UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:             811-21349 
 
 
BlackRock Limited Duration Income Trust

(Exact name of Registrant as specified in charter)
   
100 Bellevue Parkway, Wilmington, DE 
19809 


(Address of principal executive offices) 
(Zip code) 

Robert S. Kapito, President
BlackRock Limited Duration Income Trust
40 East 52nd Street, New York, NY 10022

(Name and address of agent for service)
   
Registrant's telephone number, including area code:             888-825-2257
 
   
Date of fiscal year end:             October 31, 2005
 
   
Date of reporting period:             October 31, 2005
 

 


Item 1. Reports to Shareholders.
The Registrant’s annual report to shareholders is as follows:



 

 

 

 

 

 

 

 

 

FIXED INCOME

 

LIQUIDITY

 

EQUITIES

 

ALTERNATIVES

 

BLACKROCK SOLUTIONS


 

 

 

 

 

BlackRock

 

Closed-End Funds

 

Annual Report

 

 

 

OCTOBER 31, 2005

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

BlackRock Core Bond Trust (BHK)

 

 

 

BlackRock High Yield Trust (BHY)

 

 

 

BlackRock Income Opportunity Trust (BNA)

 

 

 

BlackRock Income Trust Inc. (BKT)

 

 

 

BlackRock Limited Duration Income Trust (BLW)

 

 

 

BlackRock Strategic Bond Trust (BHD)

 

 

 

 

 

 

 

 


 

 

 

(BLACKROCK LOGO)

NOT FDIC INSURED

 

MAY LOSE VALUE

 

NO BANK GUARANTEE

 




TABLE OF CONTENTS

 

 

 

Letter to Shareholders

 

1

 

 

 

Trusts’ Summaries

 

2

 

 

 

Portfolios of Investments

 

9

 

 

 

Financial Statements

 

 

 

 

 

Statements of Assets and Liabilities

 

60

 

 

 

Statements of Operations

 

62

 

 

 

Statements of Cash Flows

 

64

 

 

 

Statements of Changes in Net Assets

 

66

 

 

 

Financial Highlights

 

69

 

 

 

Notes to Financial Statements

 

76

 

 

 

Report of Independent Registered Public Accounting Firm

 

88

 

 

 

Directors/Trustees Information

 

89

 

 

 

Dividend Reinvestment Plans

 

92

 

 

 

Board Review of Investment Management Agreements

 

93

 

 

 

Additional Information

 

96

 

 

 

Tax Information

 

98


 

 

 

Privacy Principles of the Trusts

 

 

 

          The Trusts are committed to maintaining the privacy of shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Trusts collect, how we protect that information and why, in certain cases, we may share information with select other parties.

 

 

 

          Generally, the Trusts do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of shareholders may become available to the Trusts. The Trusts do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).

 

 

 

          The Trusts restrict access to non-public personal information about their shareholders to BlackRock employees with a legitimate business need for the information. The Trusts maintain physical, electronic and procedural safeguards designed to protect the non-public personal information of their shareholders.

 

 



LETTER TO SHAREHOLDERS

October 31, 2005

Dear Shareholder:

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

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

          The following table shows the Trusts’ yields, closing market prices per share and net asset values (“NAV”) per share as of October 31, 2005.

 

 

 

 

 

 

 








Trust

Yield1

Market Price

NAV





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

5.67

%

$ 15.86

 

$ 14.63

 








BlackRock Core Bond Trust (BHK)

6.76

 

13.69

 

14.27

 








BlackRock High Yield Trust (BHY)

9.02

 

7.36

 

7.48

 








BlackRock Income Opportunity Trust (BNA)

6.81

 

10.90

 

11.56

 








BlackRock Income Trust Inc. (BKT)

7.48

 

5.90

 

6.54

 








BlackRock Limited Duration Income Trust (BLW)

8.36

 

17.48

 

19.17

 








BlackRock Strategic Bond Trust (BHD)

8.48

 

12.45

 

13.68

 









 

 

1

Yield is based on market price. Past performance does not guarantee future results.

          BlackRock, Inc. (“BlackRock”), a world leader in asset management, has a proven commitment to managing fixed income securities. As of September 30, 2005, BlackRock managed $287 billion in fixed income securities, including 20 open-end and 48 closed-end bond funds. BlackRock is recognized for its emphasis on risk management and proprietary analytics and for its reputation managing money for the world’s largest institutional investors. BlackRock Advisors, Inc., and its affiliate, BlackRock Financial Management, Inc., which manage the Trusts, are wholly owned subsidiaries of BlackRock, Inc.

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

Sincerely,

 

 

(-s- Laurence D. Fink)

(-s- Ralph L. Schlosstein)

Laurence D. Fink

Ralph L. Schlosstein

Chief Executive Officer

President

BlackRock Advisors, Inc.

BlackRock Advisors, Inc.

1


 

 

TRUST SUMMARIES
OCTOBER 31, 2005

 

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

 


Trust Information

 

 

 

 





Symbol on American Stock Exchange:

 

BCT




Initial Offering Date:

 

June 17, 1993




Closing Market Price as of 10/31/05:

 

$15.86

 





Net Asset Value as of 10/31/05:

 

$14.63

 





Yield on Closing Market Price as of 10/31/05 ($15.86):1

 

5.67

%





Current Monthly Distribution per Share:2

 

$0.075

 





Current Annualized Distribution per Share:2

 

$0.900

 





 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 






 

10/31/05

10/31/04

Change

High

Low







Market Price

$15.86

$15.80

0.38

%

$16.16

$15.25







NAV

$14.63

$15.98

(8.45

)%

$15.95

$14.63







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

Portfolio Composition

 

 

 

 

 






Composition

October 31, 2005

October 31, 2004




U.S. Government and Agency Securities

46

%

63

%






Corporate Bonds

18

 

6

 






Agency Multiple Class Mortgage Pass-Throughs

16

 

13

 






Taxable Municipal Bonds

9

 

5

 






Interest Only Mortgage-Backed Securities

6

 

7

 






Inverse Floating Rate Mortgages

4

 

4

 






Mortgage Pass-Through Securities

1

 

1

 






Commercial Mortgage-Backed Securities

 

1

 







Corporate Credit Breakdown3

 

 

 

 

 




Credit Rating

October 31, 2005

October 31, 2004




AAA/Aaa

7

%

%






AA/Aa

54

 

42

 






A

23

 

43

 






BBB/Baa

15

 

13

 






CCC/Caa

1

 

2

 








 

 

3

Using the higher of Standard & Poor’s (“S&P”), Moody’s Investors Service (“Moody’s”) or Fitch Ratings (“Fitch”) rating. Corporate bonds represented approximately 15.5% and 8.7% of net assets on October 31, 2005 and October 31, 2004, respectively.

2


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Core Bond Trust (BHK)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHK

 





Initial Offering Date:

 

November 27, 2001

 





Closing Market Price as of 10/31/05:

 

 

$

13.69

 

 








Net Asset Value as of 10/31/05:

 

 

$

14.27

 

 








Yield on Closing Market Price as of 10/31/05 ($13.69):1

 

 

 

6.76

%

 








Current Monthly Distribution per Share:2

 

 

$

0.0771

 

 








Current Annualized Distribution per Share:2

 

 

$

0.9252

 

 









 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$13.69

 

$14.02

 

(2.35

)%

 

$14.69

 

$13.15

 


















NAV

 

$14.27

 

$15.22

 

(6.24

)%

 

$15.36

 

$14.23

 


















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

Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






Corporate Bonds

 

42

%

 

45

%








U.S. Government and Agency Securities

 

31

 

 

27

 








Mortgage Pass-Through Securities

 

15

 

 

15

 








Commercial Mortgage-Backed Securities

 

6

 

 

2

 








Collateralized Mortgage Obligations

 

2

 

 

1

 








Foreign Government Bonds

 

2

 

 

7

 








Interest Only Mortgage-Backed Securities

 

1

 

 

2

 








Asset-Backed Securities

 

1

 

 

1

 








Corporate Credit Breakdown3

 

 

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






AAA/Aaa

 

5

%

 

4

%








AA/Aa

 

25

 

 

21

 








A

 

13

 

 

26

 








BBB/Baa

 

13

 

 

19

 








BB/Ba

 

12

 

 

7

 








B

 

23

 

 

18

 








CCC/Caa

 

6

 

 

2

 








Not Rated

 

3

 

 

3

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 53.3% and 61.6% of net assets on October 31, 2005 and October 31, 2004, respectively.

3


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock High Yield Trust (BHY)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHY

 





Initial Offering Date:

 

December 23, 1998

 





Closing Market Price as of 10/31/05:

 

 

$

7.36

 

 








Net Asset Value as of 10/31/05:

 

 

$

7.48

 

 








Yield on Closing Market Price as of 10/31/05 ($7.36):1

 

 

 

9.02

%

 








Current Monthly Distribution per Share:2

 

 

$

0.055333

 

 








Current Annualized Distribution per Share:2

 

 

$

0.663996

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$7.36

 

$9.30

 

(20.86

)%

 

$10.15

 

$7.11

 


















NAV

 

$7.48

 

$7.95

 

(5.91

)%

 

$  8.15

 

$7.33

 


















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

Corporate Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






Energy

 

19

%

 

19

%








Financial Institutions

 

14

 

 

15

 








Basic Materials

 

12

 

 

14

 








Telecommunications

 

8

 

 

11

 








Media

 

7

 

 

9

 








Consumer Products

 

7

 

 

5

 








Industrials

 

6

 

 

4

 








Technology

 

5

 

 

2

 








Health Care

 

4

 

 

4

 








Transportation

 

3

 

 

4

 








Entertainment & Leisure

 

3

 

 

3

 








Building & Development

 

3

 

 

2

 








Aerospace & Defense

 

3

 

 

2

 








Containers & Packaging

 

2

 

 

2

 








Automotive

 

2

 

 

2

 








Ecological Services & Equipment

 

1

 

 

1

 








Real Estate

 

1

 

 

1

 








Corporate Credit Breakdown3

 

 

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






BBB/Baa

 

3

%

 

2

%








BB/Ba

 

32

 

 

31

 








B

 

51

 

 

54

 








CCC/Caa

 

14

 

 

11

 








CC/Ca

 

 

 

1

 








Not Rated

 

 

 

1

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 133.8% and 135.4% of net assets on October 31, 2005 and October 31, 2004, respectively.

4


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Income Opportunity Trust (BNA)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BNA

 





Initial Offering Date:

 

December 20, 1991

 





Closing Market Price as of 10/31/05:

 

 

$

10.90

 

 








Net Asset Value as of 10/31/05:

 

 

$

11.56

 

 








Yield on Closing Market Price as of 10/31/05 ($10.90):1

 

 

 

6.81

%

 








Current Monthly Distribution per Share:2

 

 

$

0.0619

 

 








Current Annualized Distribution per Share:2

 

 

$

0.7428

 

 









 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$10.90

 

$11.38

 

(4.22

)%

 

$11.52

 

$10.49

 


















NAV

 

$11.56

 

$12.38

 

(6.62

)%

 

$12.37

 

$11.52

 


















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

Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






U.S. Government and Agency Securities

 

37

%

 

33

%








Corporate Bonds

 

35

 

 

46

 








Mortgage Pass-Through Securities

 

13

 

 

14

 








Agency Multiple Class Mortgage Pass-Through Securities

 

5

 

 

1

 








Commercial Mortgaged-Backed Securities

 

4

 

 

 








Non-Agency Multiple Class Mortgage Pass-Through Securities

 

1

 

 

2

 








Interest Only Mortgage-Backed Securities

 

1

 

 

2

 








Interest Only Asset-Backed Securities

 

1

 

 

1

 








Federal Housing Administration

 

1

 

 

1

 








Collateralized Mortgage Obligations

 

1

 

 

 








Inverse Floating Rate Mortgage Securities

 

1

 

 

 








Corporate Credit Breakdown3

 

 

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






AAA/Aaa

 

8

%

 

6

%








AA/Aa

 

17

 

 

18

 








A

 

9

 

 

21

 








BBB/Baa

 

19

 

 

27

 








BB/Ba

 

15

 

 

9

 








B

 

24

 

 

15

 








CCC/Caa

 

6

 

 

2

 








Not Rated

 

2

 

 

2

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 46.6% and 71.2% of net assets on October 31, 2005 and October 31, 2004, respectively.

5


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Income Trust Inc. (BKT)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BKT

 





Initial Offering Date:

 

July 22, 1988

 





Closing Market Price as of 10/31/05:

 

 

$

5.90

 

 








Net Asset Value as of 10/31/05:

 

 

$

6.54

 

 








Yield on Closing Market Price as of 10/31/05 ($5.90):1

 

 

 

7.48

%

 








Current Monthly Distribution per Share:2

 

 

$

0.036787

 

 








Current Annualized Distribution per Share:2

 

 

$

0.44144

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$5.90

 

$7.50

 

(21.33

)%

 

$7.62

 

$5.84

 


















NAV

 

$6.54

 

$6.95

 

(5.90

)%

 

$6.95

 

$6.53

 


















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

Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






U.S. Government and Agency Securities

 

30

%

 

32

%








Mortgage Pass-Through Securities

 

23

 

 

23

 








Agency Multiple Class Mortgage Pass-Through Securities

 

14

 

 

12

 








Collateralized Mortgage Obligations

 

13

 

 

10

 








Interest Only Mortgage-Backed Securities

 

7

 

 

10

 








Principal Only Mortgage-Backed Securities

 

5

 

 

6

 








Non Agency Multiple Class Mortgage Pass-Through Securities

 

2

 

 

 








Collateralized Mortgage Obligation Residuals

 

2

 

 

 








Federal Housing

 

2

 

 

2

 








Inverse Floating Rate Mortgage Securities

 

1

 

 

2

 








Interest Only Asset-Backed Securities

 

1

 

 

1

 








Commercial Mortgage-Backed Securities

 

 

 

2

 








6


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Limited Duration Income Trust (BLW)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BLW

 





Initial Offering Date:

 

July 30, 2003

 





Closing Market Price as of 10/31/05:

 

 

$

17.48

 

 








Net Asset Value as of 10/31/05:

 

 

$

19.17

 

 








Yield on Closing Market Price as of 10/31/05 ($17.48):1

 

 

 

8.36

%

 








Current Monthly Distribution per Share:2

 

 

$

0.1218

 

 








Current Annualized Distribution per Share:2

 

 

$

1.4616

 

 









 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$17.48

 

$19.95

 

(12.38

)%

 

$20.33

 

$17.30

 


















NAV

 

$19.17

 

$20.13

 

(4.77

)%

 

$20.20

 

$19.03

 


















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

Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






Corporate Bonds

 

43

%

 

43

%








Bank Loans

 

32

 

 

31

 








Mortgage Pass-Through Securities

 

15

 

 

16

 








U.S. Government and Agency Securities

 

4

 

 

4

 








Foreign Government Bonds

 

2

 

 

2

 








Asset-Backed Securities

 

2

 

 

1

 








Collateralized Mortgage Obligations

 

1

 

 

2

 








Interest Only Asset-Backed Securities

 

1

 

 

1

 








Corporate Credit Breakdown3

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






A

 

3

%

 

5

%








BBB/Baa

 

9

 

 

12

 








BB/Ba

 

33

 

 

28

 








B

 

43

 

 

50

 








CCC/Caa

 

8

 

 

2

 








Not Rated

 

4

 

 

3

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 59.8% and 58.2% of net assets on October 31, 2005 and October 31, 2004, respectively.

7


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Strategic Bond Trust (BHD)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHD

 





Initial Offering Date:

 

February 26, 2002

 





Closing Market Price as of 10/31/05:

 

 

$

12.45

 

 








Net Asset Value as of 10/31/05:

 

 

$

13.68

 

 








Yield on Closing Market Price as of 10/31/05 ($12.45):1

 

 

 

8.48

%

 








Current Monthly Distribution per Share:2

 

 

$

0.088

 

 








Current Annualized Distribution per Share:2

 

 

$

1.056

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$12.45

 

$16.70

 

(25.45

)%

 

$17.63

 

$12.41

 


















NAV

 

$13.68

 

$15.10

 

(9.40

)%

 

$15.14

 

$13.67

 


















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

Corporate Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






Financial Institutions

 

21

%

 

17

%








Energy

 

12

 

 

13

 








Media

 

10

 

 

13

 








Consumer Products

 

9

 

 

5

 








Telecommunications

 

8

 

 

7

 








Health Care

 

7

 

 

7

 








Aerospace & Defense

 

5

 

 

4

 








Basic Materials

 

5

 

 

6

 








Industrials

 

4

 

 

 








Technology

 

3

 

 

3

 








Entertainment & Leisure

 

3

 

 

3

 








Automotive

 

3

 

 

10

 








Real Estate

 

2

 

 

2

 








Building & Development

 

2

 

 

3

 








Transportation

 

2

 

 

1

 








Ecological Services & Equipment

 

2

 

 

3

 








Conglomerates

 

1

 

 

2

 








Containers & Packaging

 

1

 

 

1

 








Corporate Credit Breakdown3

 

 

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






AAA/Aaa

 

3

%

 

4

%








AA/Aa

 

8

 

 

10

 








A

 

11

 

 

10

 








BBB/Baa

 

19

 

 

17

 








BB/Ba

 

11

 

 

11

 








B

 

36

 

 

40

 








CCC/Caa

 

9

 

 

5

 








Not Rated

 

3

 

 

3

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 122.7% and 134.4% of net assets on October 31, 2005 and October 31, 2004, respectively.

8


 

 

CONSOLIDATED PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2005

 

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

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 










 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—86.4%

 

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—1.1%

 

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

$

461

 

 

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

 

$

464,567

 

 

 

 

 

16

 

 

6.50%, 7/01/29

 

 

16,293

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

480,860

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—13.4%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,168

 

 

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

 

 

2,223,631

 

 

 

 

 

12

 

 

Ser. 1534, Class IG, 5.00%, 2/15/10

 

 

11,963

 

 

 

 

 

2,000

 

 

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

 

 

2,046,660

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

55

2

 

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

 

 

54,958

 

 

 

 

 

41

 

 

Ser. 43, Class E, 7.50%, 4/25/22

 

 

41,920

 

 

 

 

 

1,000

 

 

Ser. 49, Class H, 7.00%, 4/25/13

 

 

1,037,610

 

 

 

 

 

217

 

 

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

 

 

229,144

 

 

 

 

 

160

2

 

Government National Mortgage Assoc., Remic Trust 2000, Ser. 16, Class FD, 4.771%, 12/16/27

 

 

159,956

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

5,805,842

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—3.1%

 

 

 

 

AAA

 

 

 

228

2

 

Citicorp Mortgage Securities, Inc., 10.387%, 11/25/23

 

 

228,342

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

242

2

 

Ser. 1425, Class SB, 12.103%, 12/15/07

 

 

252,299

 

 

 

 

 

42

2

 

Ser. 1506, Class S, 13.658%, 5/15/08

 

 

44,446

 

 

 

 

 

106

2

 

Ser. 1515, Class S, 13.472%, 5/15/08

 

 

111,037

 

 

 

 

 

68

2

 

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

 

 

66,990

 

 

 

 

 

44

2

 

Ser. 1661, Class SB, 13.416%, 1/15/09

 

 

47,519

 

 

 

 

 

161

2

 

Ser. 1688, Class S, 9.754%, 12/15/13

 

 

163,693

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

146

2

 

Ser. 187, Class SB, 16.392%, 10/25/07

 

 

154,695

 

 

 

 

 

116

2

 

Ser. 191, Class SD, 10.508%, 10/25/08

 

 

118,205

 

 

 

 

 

156

2

 

Ser. 214, Class SH, 7.73%, 12/25/08

 

 

150,069

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,337,295

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—6.0%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

1

 

 

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

 

 

1,580

 

 

 

 

 

 

 

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

 

 

433

 

 

 

 

 

 

 

Ser. 1114, Class J, 1,008.00%, 7/15/06

 

 

622

 

 

 

 

 

 

 

Ser. 1285 Class M, 1,005.891%, 5/15/07

 

 

22

 

 

 

 

 

387

 

 

Ser. 1645, Class IB, 5.00%, 9/15/08

 

 

15,746

 

 

 

 

 

1,970

 

 

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

 

 

176,218

 

 

 

 

 

1,046

 

 

Ser. 2543, Class IJ, 5.00%, 10/15/12

 

 

39,596

 

 

 

 

 

702

 

 

Ser. 2543, Class IM, 5.00%, 9/15/12

 

 

12,667

 

 

 

 

 

2,165

 

 

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

 

 

75,122

 

 

 

 

 

2,166

 

 

Ser. 2672, Class TP, 5.00%, 9/15/16

 

 

42,546

 

 

 

 

 

5,605

 

 

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

 

 

542,864

 

 

 

 

 

2,550

 

 

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

 

 

115,133

 

 

 

 

 

2,800

 

 

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

 

 

262,001

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

2

 

 

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

 

 

20,024

 

 

 

 

 

2,484

 

 

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

 

 

167,034

 

 

 

 

 

205

2

 

Ser. 20, Class SL, 14.853%, 9/25/08

 

 

28,714

 

 

 

 

 

6

 

 

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

 

 

45,063

 

 

 

 

 

4

 

 

Ser. 51, Class K, 1,006.50%, 4/25/07

 

 

22,593

 

 

 

 

 

12,992

 

 

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

 

 

933,475

 

 

 

 

 

 

 

Ser. 72, Class H, 1,183.25%, 7/25/06

 

 

911

 

 

 

 

 

661

 

 

Ser. 82, Class IR, 5.00%, 9/25/12

 

 

15,130

 

 

 

 

 

4

2

 

Ser. 174, Class S, 124.032%, 9/25/22

 

 

13,296

 

 

 

 

 

25

 

 

Ser. 194, Class PV, 6.50%, 6/25/08

 

 

152

 

 

 

 

 

152

2

 

Ser. 208, Class S, 3.438%, 2/25/23

 

 

2,551

 

 

 

 

 

114

 

 

Ser. 223, Class PT, 6.50%, 10/25/23

 

 

9,405

 

 

 

 

 

 

 

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

 

 

6,399

 

 

 

 

 

18,214

2

 

Vendee Mortgage Trust, Ser. 1, Class IO, 0.04%, 10/15/31

 

 

36,975

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

2,586,272

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

9


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

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 











 

 

 

 

 

 

 

Principal Only Mortgage-Backed Security—0.1%

 

 

 

 

Aaa

 

 

$

30

3

 

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

 

$

26,758

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Asset-Backed Securities—0.0%

 

 

 

 

NR

 

 

 

235

2,4,5,6

 

Global Rated Eligible Asset Trust, 7.33%, 3/15/06

 

 

23

 

 

 

 

 

 

 

 

Structured Mortgage Asset Residential Trust,

 

 

 

 

NR

 

 

 

568

2,5,6

 

Ser. 2, 8.24%, 3/15/06

 

 

57

 

NR

 

 

 

629

2,5,6

 

Ser. 3, 8.724%, 4/15/06

 

 

63

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Asset-Backed Securities

 

 

143

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Corporate Bonds—15.5%

 

 

 

 

Caa2

 

 

 

100

 

 

American Airlines, Inc., 10.44%, 3/04/07

 

 

94,500

 

Aa2

 

 

 

500

 

 

Bank America Corp., 4.75%, 10/15/06

 

 

499,385

 

A1

 

 

 

500

 

 

Conoco Funding Co., 5.45%, 10/15/06 (Canada)

 

 

503,195

 

AAA

 

 

 

500

 

 

General Electric Capital Corp., 2.75%, 9/25/06

 

 

491,675

 

BB

 

 

 

500

 

 

General Motors Acceptance Corp., 6.125%, 9/15/06

 

 

494,495

 

AA-

 

 

 

500

 

 

Goldman Sachs Group, Inc., 2.85%, 10/27/06

 

 

490,305

 

BBB+

 

 

 

500

4

 

Israel Electric Corp., Ltd., 7.25%, 12/15/06 (Israel)

 

 

511,870

 

A+

 

 

 

500

 

 

Lehman Brothers Holdings, Inc., 7.50%, 9/01/06

 

 

510,530

 

Aa3

 

 

 

1,000

7

 

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

 

 

1,120,030

 

A+

 

 

 

500

 

 

SLM Corp., 3.50%, 9/30/06

 

 

495,635

 

Aa3

 

 

 

500

 

 

Suntrust Bank, 7.25%, 9/15/06

 

 

509,990

 

Aa1

 

 

 

500

 

 

U.S. Bank NA, 2.85%, 11/15/06

 

 

489,055

 

AA-

 

 

 

500

 

 

Wachovia Corp., 4.95%, 11/01/06

 

 

500,390

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Corporate Bonds

 

 

6,711,055

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

U.S. Government and Agency Securities—39.9%

 

 

 

 

 

 

 

 

192

 

 

Small Business Investment Cos., 6.12%, 2/01/08

 

 

196,712

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

3,200

 

 

3.50%, 11/15/06

 

 

3,172,249

 

 

 

 

 

1,700

 

 

5.75%, 11/15/05

 

 

1,701,129

 

 

 

 

 

2,000

 

 

6.00%, 8/15/09

 

 

2,107,344

 

 

 

 

 

385

 

 

6.625%, 5/15/07

 

 

398,024

 

 

 

 

 

10,000

 

 

U.S. Treasury Strip, Zero Coupon, 8/15/06

 

 

9,690,600

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

17,266,058

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Taxable Municipal Bonds—7.3%

 

 

 

 

AAA

 

 

 

500

 

 

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

 

 

569,020

 

AAA

 

 

 

500

 

 

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

 

 

536,180

 

 

 

 

 

 

 

 

Los Angeles County California Pension Oblig.,

 

 

 

 

AAA

 

 

 

1,000

 

 

Ser. A, 8.62%, 6/30/06

 

 

1,025,800

 

AAA

 

 

 

500

 

 

Ser. D, 6.97%, 6/30/08

 

 

526,350

 

AAA

 

 

 

500

 

 

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

 

 

517,491

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Taxable Municipal Bonds

 

 

3,174,841

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Long-Term Investments (cost $38,020,098)

 

 

37,389,124

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—13.2%

 

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Security—13.2%

 

 

 

 

 

 

 

 

5,700

 

 

FNMA Discount Notes, 3.72%, 11/01/058 (cost $5,700,000)

 

 

5,700,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments—99.6% (cost $43,720,0359)

 

$

43,089,124

 

 

 

 

 

 

 

 

Other assets in excess of liabilities—0.4%

 

 

186,880

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Net Assets—100%

 

$

43,276,004

 

 

 

 

 

 

 

 

 

 



 

 

 

 


 

1

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

2

Rate shown is interest rate as of October 31, 2005.

3

Rate shown is interest rate or effective yield as of October 31, 2005 of the underlying collateral.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 1.2% of its net assets, with a current market value of $511,893, in securities restricted as to resale.

5

Security is fair valued.

6

Illiquid security. As of October 31, 2005, the Trust held less than 0.1% of its net assets, with a current market value of $143.

7

Entire or partial principal amount pledged as collateral.

8

Rate shown is the yield to maturity as of October 31, 2005.

9

Cost for Federal income tax purposes is $43,720,035. The net unrealized depreciation on a tax basis is $630,911, consisting of $580,134 gross unrealized appreciation and $1,211,045 gross unrealized depreciation.

See Notes to Financial Statements.

10


 

 

PORTFOLIO OF INVESTMENTS

 

OCTOBER 31, 2005

 

BlackRock Core Bond Trust (BHK)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 













 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—127.5%

 

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—12.0%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

$

1,875

 

 

3.01%, 4/19/07

 

$

1,830,731

 

 

 

 

 

92

 

 

5.00%, 8/01/33

 

 

88,416

 

 

 

 

 

3,215

 

 

5.50%, 11/01/18 - 6/01/35

 

 

3,224,845

 

 

 

 

 

249

 

 

5.985%, 5/01/32

 

 

252,464

 

 

 

 

 

3,678

 

 

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

 

 

3,759,822

 

 

 

 

 

37

 

 

7.00%, 9/01/31

 

 

38,908

 

 

 

 

 

5,200

 

 

TBA, 5.50%, 11/30/35

 

 

5,131,750

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

870

 

 

1.75%, 6/16/06

 

 

855,976

 

 

 

 

 

6,805

 

 

2.35%, 4/29/06 - 4/05/07

 

 

6,655,161

 

 

 

 

 

59

 

 

4.50%, 2/01/20

 

 

56,893

 

 

 

 

 

1,280

 

 

4.75%, 2/21/13

 

 

1,251,814

 

 

 

 

 

13,291

 

 

5.00%, 11/01/17

 

 

13,088,163

 

 

 

 

 

3,920

 

 

5.50%, 1/01/18

 

 

3,881,268

 

 

 

 

 

32

 

 

6.00%, 8/01/29 - 5/01/33

 

 

31,774

 

 

 

 

 

470

 

 

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

 

 

490,524

 

 

 

 

 

400

 

 

TBA, 5.00%, 11/30/20

 

 

394,500

 

 

 

 

 

1,700

 

 

TBA, 5.50%, 11/30/35

 

 

1,676,625

 

 

 

 

 

397

 

 

Government National Mortgage Assoc., 5.50%, 8/15/33

 

 

396,846

 

 

 

 

 

 

 

 

Small Business Administration,

 

 

 

 

 

 

 

 

964

 

 

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

 

 

946,772

 

 

 

 

 

2,169

 

 

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

 

 

2,179,519

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

46,232,771

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

 

 

 

1,072

 

 

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

 

 

1,104,518

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—6.8%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,664

 

 

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

 

 

2,669,709

 

 

 

 

 

1,566

 

 

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

 

 

1,576,404

 

 

 

 

 

1,300

 

 

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

 

 

1,248,208

 

 

 

 

 

3,686

 

 

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

 

 

3,687,626

 

 

 

 

 

1,948

 

 

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

 

 

1,952,321

 

 

 

 

 

1,921

 

 

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

 

 

1,926,999

 

 

 

 

 

1,600

 

 

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

 

 

1,646,032

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1,670

 

 

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

 

 

1,673,323

 

 

 

 

 

3,668

 

 

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

 

 

3,609,861

 

 

 

 

 

2,211

 

 

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

 

 

2,208,899

 

 

 

 

 

2,228

 

 

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

 

 

2,226,696

 

 

 

 

 

1,923

 

 

Ser. 118, Class FD, 4.438%, 12/25/33

 

 

1,931,352

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

26,357,430

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—1.3%

 

 

 

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

 

 

 

33,862

 

 

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

 

 

2,793,627

 

 

 

 

 

30,350

 

 

Ser. 2, 1.00%, 3/30/30

 

 

2,314,188

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

5,107,815

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—1.0%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

3,232

 

 

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

 

 

411,038

 

 

 

 

 

7,881

 

 

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

 

 

1,431,598

 

 

 

 

 

34,378

 

 

Federal National Mortgage Assoc., 2.663%, 11/25/34

 

 

1,855,039

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,697,675

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities—8.0%

 

 

 

 

 

 

 

 

 

 

 

Banc of America Commercial Mortgage, Inc.,

 

 

 

 

AAA

 

 

 

2,190

 

 

Ser. 1, Class A2, 6.503%, 4/15/36

 

 

2,302,829

 

AAA

 

 

 

2,180

 

 

Ser. 1, Class A4, 5.034%, 11/10/42

 

 

2,177,362

 

AAA

 

 

 

1,748

 

 

Ser. 11, Class 2CB1, 6.00%, 12/25/34

 

 

1,733,057

 

AAA

 

 

 

2,271

 

 

Commercial Mortgage Acceptance Corp., 6.03%, 9/15/30

 

 

2,304,811

 

AAA

 

 

 

2,720

 

 

CS First Boston Mortgage Securities Corp., 4.94%, 12/15/35

 

 

2,672,090

 

AAA

 

 

 

1,922

 

 

GMAC Commercial Mortgage Securities, Inc., 7.179%, 8/15/36

 

 

2,037,621

 

AAA

 

 

 

2,776

 

 

GS Mortgage Securities Corp. II, 6.135%, 10/18/30

 

 

2,831,937

 

AAA

 

 

 

1,677

 

 

Heller Financial Commercial Mortgage Asset Co., 6.847%, 5/15/31

 

 

1,746,897

 

See Notes to Financial Statements.

11


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

Value

 










 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

JP Morgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

AAA

 

 

$

2,140

 

 

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

 

$

2,220,828

 

AAA

 

 

 

2,180

 

 

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

 

 

2,115,886

 

AAA

 

 

 

1,790

 

 

JP Morgan Commercial Mortgage Finance Corp., 7.371%, 8/15/32

 

 

1,928,993

 

AAA

 

 

 

2,797

 

 

Morgan Stanley Cap. Trust I, 6.48%, 11/15/30

 

 

2,886,180

 

AAA

 

 

 

3,500

 

 

Salomon Brothers Mortgage Securities VII, 7.52%, 12/18/09

 

 

3,785,150

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

30,743,641

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations—2.8%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

1,377

 

 

Ser. 2582, Class TB, 3.50%, 10/15/21

 

 

1,370,775

 

 

 

 

 

3,271

 

 

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

 

 

3,324,874

 

AAA

 

 

 

3,150

 

 

First Union National Bank Commercial Mortgage, 6.423%, 8/15/33

 

 

3,323,124

 

AAA

 

 

 

2,928

 

 

Structured Asset Secs. Corp., 3.45%, 2/25/32

 

 

2,640,833

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Collateralized Mortgage Obligations

 

 

10,659,606

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Corporate Bonds—53.3%

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—2.5%

 

 

 

 

NR

 

 

 

365

 

 

Aero Invest, 10.634%, 3/22/15 (Luxembourg) (EUR)

 

 

432,338

 

B+

 

 

 

30

 

 

Armor Holdings, Inc., 8.25%, 8/15/13

 

 

32,400

 

B-

 

 

 

2,220

 

 

BE Aerospace, Inc., 8.875%, 5/01/11

 

 

2,336,550

 

 

 

 

 

 

 

 

Lockheed Martin Corp.,

 

 

 

 

BBB+

 

 

 

380

 

 

7.20%, 5/01/36

 

 

453,397

 

BBB+

 

 

 

1,175

 

 

8.50%, 12/01/29

 

 

1,592,055

 

 

 

 

 

 

 

 

Northrop Grumman Corp.,

 

 

 

 

BBB+

 

 

 

615

 

 

4.079%, 11/16/06

 

 

610,591

 

BBB+

 

 

 

380

 

 

7.125%, 2/15/11

 

 

414,135

 

BBB+

 

 

 

960

 

 

7.875%, 3/01/26

 

 

1,198,143

 

NR

 

 

 

1,190

 

 

Raytheon Co., 7.00%, 5/15/06

 

 

1,242,324

 

BB

 

 

 

90

 

 

Sequa Corp., 8.875%, 4/01/08

 

 

92,925

 

A+

 

 

 

1,125

 

 

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

 

 

1,103,580

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

9,508,438

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Automotive—0.8%

 

 

 

 

B-

 

 

 

240

 

 

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

 

 

226,800

 

BB+

 

 

 

75

 

 

Arvinmeritor, Inc., 8.75%, 3/01/12

 

 

70,875

 

A3

 

 

 

660

 

 

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

 

 

695,571

 

Caa1

 

 

 

1,500

 

 

Delco Remy Intl., Inc., 11.00%, 5/01/09

 

 

723,750

 

B-

 

 

 

100

 

 

Goodyear Tire & Rubber Co., 7.857%, 8/15/11

 

 

96,250

 

CCC+

 

 

 

300

2

 

Metaldyne Corp., 11.00%, 11/01/13

 

 

269,250

 

BB

 

 

 

170

 

 

Navistar Intl. Corp., 6.25%, 3/01/12

 

 

152,575

 

BB-

 

 

 

742

 

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

 

797,650

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

3,032,721

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Basic Materials—2.8%

 

 

 

 

BB-

 

 

 

220

 

 

Abitibi-Consolidated, Inc., 8.375%, 4/01/15 (Canada)

 

 

204,050

 

B-

 

 

 

80

2

 

BCI US Finance Corp/Borden 2 Nova Scotia Finance ULC, 9.65%, 7/15/10

 

 

80,800

 

B-

 

 

 

4,330

 

 

Caraustar Industries, Inc., 9.875%, 4/01/11

 

 

4,210,925

 

BB-

 

 

 

150

 

 

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

 

 

151,875

 

B

 

 

 

66

 

 

Huntsman LLC, 11.50%, 7/15/12

 

 

74,580

 

BB

 

 

 

70

 

 

IMC Global, Inc., 10.875%, 6/01/08

 

 

78,225

 

CCC+

 

 

 

1,045

2

 

Innophos, Inc., 9.125%, 8/15/14

 

 

1,058,062

 

BBB

 

 

 

130

 

 

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

 

 

147,550

 

BB-

 

 

 

3,600

 

 

Lyondell Chemical Co., 9.50%, 12/15/08

 

 

3,771,000

 

CCC+

 

 

 

380

 

 

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

 

 

347,700

 

B-

 

 

 

150

2

 

PQ Corp., 7.50%, 2/15/13

 

 

136,500

 

 

 

 

 

 

 

 

Rhodia SA (France),

 

 

 

 

CCC+

 

 

 

260

 

 

8.875%, 6/01/11

 

 

245,050

 

B3

 

 

 

25

 

 

10.25%, 6/01/10

 

 

26,563

 

BBB-

 

 

 

150

2

 

Southern Peru Copper Corp., 7.50%, 7/27/35

 

 

145,875

 

BBB

 

 

 

275

 

 

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

 

 

259,498

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

10,938,253

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

12


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

Value

 













 

 

 

 

 

 

 

Building & Development—1.7%

 

 

 

 

B-

 

 

$

75

2

 

Ahern Rentals,Inc., 9.25%, 8/15/13

 

$

76,594

 

B2

 

 

 

200

2

 

Compression Polymers Corp., 10.50%, 7/01/13

 

 

182,000

 

B-

 

 

 

730

2

 

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

 

 

689,850

 

BB+

 

 

 

3,000

 

 

Hovnanian Enterprises, Inc., 10.50%, 10/01/07

 

 

3,225,000

 

BB+

 

 

 

1,120

 

 

Hovnanian K Enterprises, Inc., 6.25%, 1/15/16

 

 

1,002,400

 

BB+

 

 

 

775

 

 

KB Home, 6.25%, 6/15/15

 

 

728,500

 

B

 

 

 

175

 

 

North American Energy Partners, Inc., 9.00%, 6/01/10 (Canada)

 

 

182,000

 

BBB+

 

 

 

455

 

 

Pulte Homes, Inc., 6.00%, 2/15/35

 

 

394,749

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

6,481,093

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Conglomerates—0.0%

 

 

 

 

BB-

 

 

 

30

 

 

Stena AB, 7.00%, 12/01/16 (Sweden)

 

 

27,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Consumer Products—2.2%

 

 

 

 

B3

 

 

 

90

 

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

81,450

 

 

 

 

 

 

 

 

Cenveo Corp.,

 

 

 

 

B3

 

 

 

250

 

 

7.875%, 12/01/13

 

 

230,625

 

B1

 

 

 

175

 

 

9.625%, 3/15/12

 

 

184,625

 

BB+

 

 

 

440

 

 

Delhaize America, Inc., 9.00%, 4/15/31

 

 

494,459

 

BBB+

 

 

 

530

 

 

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

 

 

539,201

 

B2

 

 

 

480

 

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

408,000

 

B2

 

 

 

80

 

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

90,400

 

 

 

 

 

 

 

 

GSC Holdings Corp.,

 

 

 

 

Ba3

 

 

 

60

2

 

7.875%, 10/01/11

 

 

60,375

 

Ba3

 

 

 

120

2

 

8.00%, 10/01/12

 

 

117,000

 

B-

 

 

 

690

2

 

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

641,700

 

B-

 

 

 

330

 

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

343,200

 

B

 

 

 

385

 

 

Levi Strauss & Co., 8.804%, 4/01/12

 

 

382,594

 

 

 

 

 

 

 

 

May Dept. Stores Co.,

 

 

 

 

BBB+

 

 

 

25

 

 

6.70%, 7/15/34

 

 

25,555

 

BBB+

 

 

 

230

 

 

7.875%, 3/01/30

 

 

267,833

 

B3

 

 

 

720

 

 

Movie Gallery, Inc., 11.00%, 5/01/12

 

 

576,000

 

B-

 

 

 

1,000

 

 

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

 

 

982,500

 

BB-

 

 

 

200

2

 

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

 

 

185,500

 

B-

 

 

 

865

2

 

Rite Aid Corp., 6.125%, 12/15/08

 

 

813,100

 

CCC+

 

 

 

235

2

 

Rural/Metro Corp., 9.875%, 3/15/15

 

 

245,575

 

B

 

 

 

2,100

 

 

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

 

 

1,989,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

8,659,442

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Containers & Packaging—0.8%

 

 

 

 

 

 

 

 

 

 

 

Crown European Holdings SA,

 

 

 

 

B+

 

 

 

200

 

 

9.50%, 3/01/11 (France)

 

 

220,000

 

B

 

 

 

800

 

 

10.875%, 3/01/13 (France)

 

 

944,000

 

CCC+

 

 

 

60

 

 

Graham Packaging Co., Inc., 9.875%, 10/15/14

 

 

56,850

 

B

 

 

 

1,500

 

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,526,250

 

CCC+

 

 

 

170

2

 

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

 

 

166,600

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

2,913,700

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Ecological Services & Equipment—0.1%

 

 

 

 

BB-

 

 

 

230

 

 

Allied Waste NA, Inc., 5.75%, 2/15/11

 

 

213,900

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Energy—6.0%

 

 

 

 

BBB+

 

 

 

565

 

 

Anadarko Finance Co. Ser. B, 7.50%, 5/01/31 (Canada)

 

 

678,599

 

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

B1

 

 

 

260

 

 

7.375%, 2/15/24

 

 

270,725

 

B1

 

 

 

810

 

 

9.625%, 11/01/21

 

 

980,100

 

B2

 

 

 

1,365

 

 

Aquila Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

1,392,300

 

 

 

 

 

 

 

 

Calpine Corp.,

 

 

 

 

B-

 

 

 

80

2

 

8.50%, 7/15/10

 

 

56,200

 

B

 

 

 

150

2

 

9.625%, 9/30/14

 

 

152,250

 

CCC

 

 

 

30

 

 

Calpine Energy Finance ULC (Canada), 8.50%, 5/01/08 (Canada)

 

 

16,275

 

CCC+

 

 

 

260

 

 

Calpine Generating Co. LLC, 11.50%, 4/01/11

 

 

237,575

 

B-

 

 

 

250

2

 

Clayton Williams Energy, Inc., 7.75%, 8/01/13

 

 

241,250

 

See Notes to Financial Statements.

13


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

CMS Energy Corp.,

 

 

 

 

BB-

 

 

$

30

 

 

7.50%, 1/15/09

 

$

31,050

 

BB-

 

 

 

100

 

 

9.875%, 10/15/07

 

 

107,500

 

Ba3

 

 

 

160

2

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

166,400

 

BBB

 

 

 

1,980

 

 

Devon Financing Corp. LLC, 7.875%, 9/30/31

 

 

2,429,500

 

BBB+

 

 

 

400

 

 

Dominion Resources, Inc./VA, 5.95%, 6/15/35

 

 

381,972

 

B2

 

 

 

690

 

 

Dresser, Inc., 9.375%, 4/15/11

 

 

719,325

 

 

 

 

 

 

 

 

Dynegy Holdings, Inc.,

 

 

 

 

B+

 

 

 

70

2

 

9.875%, 7/15/10

 

 

75,250

 

B+

 

 

 

1,125

2

 

10.125%, 7/15/13

 

 

1,237,500

 

 

 

 

 

 

 

 

El Paso CGP Co.,

 

 

 

 

B-

 

 

 

250

 

 

7.42%, 2/15/37

 

 

226,250

 

B-

 

 

 

65

 

 

9.625%, 5/15/12

 

 

71,256

 

B-

 

 

 

150

 

 

10.75%, 10/01/10

 

 

163,688

 

B-

 

 

 

100

 

 

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

 

 

99,125

 

 

 

 

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

B1

 

 

 

850

 

 

7.625%, 8/01/10

 

 

888,250

 

B1

 

 

 

225

 

 

8.375%, 6/15/32

 

 

248,062

 

B1

 

 

 

265

 

 

8.625%, 1/15/22

 

 

296,800

 

Ba2

 

 

 

130

 

 

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

 

 

144,035

 

A-

 

 

 

350

 

 

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

 

 

383,701

 

BBB-

 

 

 

925

 

 

Enterprise Products Operating LP, 5.75%, 3/01/35

 

 

825,698

 

B

 

 

 

70

 

 

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

 

 

71,400

 

BBB-

 

 

 

665

 

 

FirstEnergy Corp., 7.375%, 11/15/31

 

 

757,277

 

 

 

 

 

 

 

 

Florida Power & Light Co.,

 

 

 

 

AA-

 

 

 

525

 

 

4.95%, 6/01/35

 

 

468,541

 

AA-

 

 

 

100

 

 

5.40%, 9/01/35

 

 

95,626

 

BBB

 

 

 

175

 

 

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

 

 

201,212

 

 

 

 

 

 

 

 

Hilcorp Energy I LP/Hilcorp Finance Corp.,

 

 

 

 

B

 

 

 

90

2

 

7.75%, 11/01/15

 

 

90,000

 

B

 

 

 

49

2

 

10.50%, 9/01/10

 

 

54,880

 

 

 

 

 

 

 

 

KCS Energy, Inc.,

 

 

 

 

B-

 

 

 

60

 

 

7.125%, 4/01/12

 

 

61,050

 

B-

 

 

 

110

2

 

7.125%, 4/01/12

 

 

112,200

 

A-

 

 

 

700

 

 

Midamerican Energy Co., 5.75%, 11/01/35

 

 

687,725

 

B+

 

 

 

99

 

 

Midwest Generation LLC, 8.56%, 1/02/16

 

 

108,287

 

B2

 

 

 

590

 

 

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

 

 

685,875

 

A-

 

 

 

360

 

 

Occidental Petroleum Corp., 7.20%, 4/01/28

 

 

431,438

 

B2

 

 

 

130

 

 

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

 

 

154,050

 

BBB+

 

 

 

790

 

 

Peco Energy Cap. Trust IV, 5.75%, 6/15/33

 

 

728,092

 

Baa1

 

 

 

1,650

2

 

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

 

 

1,866,562

 

BBB

 

 

 

720

 

 

Petro Canada, 5.95%, 5/15/35 (Canada)

 

 

704,628

 

B

 

 

 

25

 

 

Range Resources Corp., 6.375%, 3/15/15

 

 

25,063

 

BB-

 

 

 

40

 

 

Reliant Energy, Inc., 6.75%, 12/15/14

 

 

37,100

 

Aa1

 

 

 

290

2

 

SP PowerAssets Ltd., 5.00%, 10/22/13

 

 

287,912

 

A-

 

 

 

295

 

 

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

 

 

305,612

 

B2

 

 

 

320

2

 

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

 

 

324,800

 

AA

 

 

 

1,050

 

 

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

 

 

1,431,171

 

BB+

 

 

 

20

 

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

21,625

 

A3

 

 

 

725

 

 

Virginia Electric & Power Co., 5.75%, 3/31/06

 

 

728,349

 

B2

 

 

 

45

2

 

Whiting Petroleum Corp., 7.00%, 2/01/14

 

 

45,113

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

23,006,224

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Entertainment & Leisure—0.7%

 

 

 

 

B1

 

 

 

1,000

 

 

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

 

 

1,045,000

 

B-

 

 

 

150

 

 

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

 

 

144,000

 

B

 

 

 

110

 

 

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

 

 

112,200

 

B

 

 

 

1,000

 

 

Resorts Intl. Hotel & Casino, Inc., 11.50%, 3/15/09

 

 

1,112,500

 

B+

 

 

 

100

2

 

San Pasqual Casino, 8.00%, 9/15/13

 

 

100,000

 

BB-

 

 

 

260

2

 

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

 

 

266,500

 

B+

 

 

 

115

 

 

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

 

 

109,537

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

2,889,737

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

14


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 













 

 

 

 

 

 

 

Financial Institutions—19.6%

 

 

 

 

AA

 

 

$

550

2,3

 

Allstate Financial Global Funding II, 2.625%, 10/22/06

 

$

536,833

 

BB

 

 

 

320

2

 

American Real Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13

 

 

310,400

 

 

 

 

 

 

 

 

Bank of America Corp.,

 

 

 

 

Aa2

 

 

 

765

 

 

3.25%, 8/15/08

 

 

733,222

 

Aa2

 

 

 

1,640

 

 

3.375%, 2/17/09

 

 

1,566,315

 

Aa2

 

 

 

1,645

 

 

4.50%, 8/01/10

 

 

1,607,905

 

Aa2

 

 

 

325

 

 

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

 

 

317,194

 

Aa2

 

 

 

1,400

 

 

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

 

 

1,445,869

 

 

 

 

 

 

 

 

Barclays Bank PLC,

 

 

 

 

NR

 

 

 

240

 

 

6.278%, 12/15/49

 

 

227,475

 

AA

 

 

 

170

2

 

6.86%, 9/29/49 (United Kingdom)

 

 

181,050

 

B-

 

 

 

60

 

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

66,000

 

AA

 

 

 

350

2

 

Belvoir Land LLC, 5.27%, 12/15/47

 

 

329,088

 

 

 

 

 

 

 

 

Berkshire Hathaway Finance Corp.,

 

 

 

 

AAA

 

 

 

1,200

 

 

3.40%, 7/02/07

 

 

1,172,080

 

AAA

 

 

 

1,440

 

 

4.125%, 1/15/10

 

 

1,397,563

 

AAA

 

 

 

1,175

 

 

4.75%, 5/15/12

 

 

1,155,671

 

B-

 

 

 

75

2

 

Borden US Finance Corp./Nova Scotia Finance ULC, 9.00%, 7/15/14

 

 

73,875

 

AA+

 

 

 

600

 

 

CitiFinancial, 6.25%, 1/01/08

 

 

616,842

 

 

 

 

 

 

 

 

Citigroup, Inc.,

 

 

 

 

AA+

 

 

 

3,010

 

 

3.625%, 2/09/09

 

 

2,894,536

 

AA+

 

 

 

5,470

 

 

4.125%, 2/22/10

 

 

5,290,857

 

AA+

 

 

 

1,960

 

 

4.25%, 7/29/09

 

 

1,913,666

 

AA+

 

 

 

325

 

 

5.85%, 12/11/34

 

 

329,696

 

AA

 

 

 

185

 

 

6.00%, 10/31/33

 

 

187,856

 

AA+

 

 

 

525

 

 

6.875%, 2/15/98

 

 

586,903

 

BB

 

 

 

1,080

 

 

Crum & Forster Hldgs. Corp., 10.375%, 6/15/13

 

 

1,155,600

 

AAA

 

 

 

2,150

2

 

Depfa ACS Bank, 4.25%, 8/16/10 (Ireland)

 

 

2,093,567

 

AA-

 

 

 

900

 

 

Deutsche Bank AG Ny, 3.843%, 3/15/07

 

 

893,430

 

B+

 

 

 

120

2

 

E*Trade Financial Corp., 7.375%, 9/15/13

 

 

118,200

 

BB

 

 

 

200

 

 

Fairfax Financial Holdings Ltd., 7.75%, 4/26/12 (Canada)

 

 

182,000

 

AAA

 

 

 

3,625

3

 

General Electric Capital Corp., 3.45%, 1/15/08

 

 

3,591,142

 

 

 

 

 

 

 

 

HBOS Treasury Services PLC,

 

 

 

 

AA+

 

 

 

855

2

 

3.60%, 8/15/07 (United Kingdom)

 

 

838,165

 

AA+

 

 

 

825

2

 

3.75%, 9/30/08

 

 

800,159

 

AA-

 

 

 

1,820

 

 

Household Fin. Corp., 4.75%, 5/15/09

 

 

1,799,707

 

AA-

 

 

 

635

 

 

Household Finance Corp., 6.375%, 8/01/10

 

 

667,379

 

 

 

 

 

 

 

 

HSBC Bank USA, Inc.,

 

 

 

 

AA

 

 

 

430

 

 

3.875%, 9/15/09

 

 

413,871

 

AA-

 

 

 

775

 

 

5.875%, 11/01/34

 

 

778,038

 

AA

 

 

 

1,500

2

 

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

 

 

1,413,975

 

 

 

 

 

 

 

 

JP Morgan Chase & Co.,

 

 

 

 

Aa3

 

 

 

965

 

 

5.25%, 5/30/07

 

 

971,726

 

Aa3

 

 

 

600

 

 

5.35%, 3/01/07

 

 

604,284

 

B-

 

 

 

255

 

 

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

 

 

255,000

 

BBB

 

 

 

825

2

 

Liberty Mutual Group, 6.50%, 3/15/35

 

 

766,084

 

AA

 

 

 

1,150

2

 

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

 

 

1,117,834

 

A

 

 

 

1,505

 

 

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

 

 

1,449,420

 

AA-

 

 

 

2,125

2

 

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

 

 

2,078,569

 

B-

 

 

 

410

2

 

Nell AF, 8.375%, 8/15/15 (Luxembourg)

 

 

393,600

 

AAA

 

 

 

850

2

 

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

 

 

823,659

 

 

 

 

 

 

 

 

Prudential Funding LLC,

 

 

 

 

A

 

 

 

500

 

 

5.40%, 6/13/35

 

 

461,455

 

AA-

 

 

 

1,000

2

 

6.60%, 5/15/08

 

 

1,039,490

 

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

200

2

 

8.75%, 9/01/12

 

 

210,000

 

B+

 

 

 

1,230

2

 

10.375%, 9/01/14

 

 

1,356,075

 

AA

 

 

 

650

 

 

Royal Bank of Scotland Group PLC, 7.648%, 8/31/49 (United Kingdom)

 

 

768,645

 

A+

 

 

 

4,220

 

 

SLM Corp., 3.625%, 3/17/08

 

 

4,101,587

 

B-

 

 

 

450

 

 

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

 

 

428,625

 

NR

 

 

 

3,511

 

 

Structured Asset Receivable Trust, 1.649%, 1/21/10

 

 

3,516,526

 

See Notes to Financial Statements.

15


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

A2

 

 

$

800

2

 

Sumitomo Mitsui Banking Corp., 5.625%, 12/31/49 (Japan)

 

$

782,478

 

Aa2

 

 

 

1,265

 

 

SunTrust Bank, Inc., 4.415%, 6/15/09

 

 

1,241,092

 

 

 

 

 

 

 

 

SunTrust Banks, Inc.,

 

 

 

 

Aa3

 

 

 

1,635

 

 

3.625%, 10/15/07

 

 

1,597,738

 

Aa3

 

 

 

995

 

 

4.00%, 10/15/08

 

 

970,344

 

AAA

 

 

 

235

2

 

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

 

 

230,067

 

Aa2

 

 

 

375

 

 

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

 

 

369,383

 

B-

 

 

 

50

 

 

Universal City Florida Hldg. Co. I/II, 9.00%, 5/01/10

 

 

51,000

 

 

 

 

 

 

 

 

US Bank National Assoc.,

 

 

 

 

Aa1

 

 

 

1,380

 

 

2.87%, 2/01/07

 

 

1,347,598

 

Aa2

 

 

 

2,790

 

 

6.50%, 2/01/08

 

 

2,884,609

 

AAA

 

 

 

495

2

 

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

 

 

487,040

 

AA-

 

 

 

4,200

 

 

Wachovia Corp., 3.50%, 8/15/08

 

 

4,056,780

 

 

 

 

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

Aa1

 

 

 

1,031

 

 

3.12%, 8/15/08

 

 

983,955

 

Aa1

 

 

 

680

 

 

4.00%, 8/15/08

 

 

665,570

 

Aa1

 

 

 

355

 

 

4.20%, 1/15/10

 

 

344,361

 

Aa1

 

 

 

1,665

 

 

4.625%, 8/09/10

 

 

1,636,728

 

BB-

 

 

 

50

 

 

Western Financial Bank, 9.625%, 5/15/12

 

 

56,625

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

75,734,076

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Health Care—1.0%

 

 

 

 

CCC

 

 

 

20

 

 

Curative Health Services, Inc., 10.75%, 5/01/11

 

 

13,500

 

B

 

 

 

340

2

 

Elan Finance Corp., 7.75%, 11/15/11 (Ireland)

 

 

299,200

 

B

 

 

 

420

2

 

Insight Health Services Corp., 9.174%, 11/01/11

 

 

397,950

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

B

 

 

 

70

 

 

6.375%, 12/01/11

 

 

61,075

 

B

 

 

 

475

 

 

9.875%, 7/01/14

 

 

463,125

 

B3

 

 

 

2,000

 

 

United Surgical Partners Intl., Inc., 10.00%, 12/15/11

 

 

2,165,000

 

B-

 

 

 

410

 

 

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

 

 

414,100

 

BBB+

 

 

 

85

 

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

86,334

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

3,900,284

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Industrials—1.7%

 

 

 

 

B-

 

 

 

70

2

 

Chart Industries, Inc., 9.125%, 10/15/15

 

 

69,125

 

Caa1

 

 

 

1,340

2

 

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

 

 

1,386,900

 

B-

 

 

 

635

 

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

654,050

 

Caa1

 

 

 

360

2

 

Hydrochem Industrial Services, 9.25%, 2/15/13

 

 

328,500

 

B-

 

 

 

390

 

 

NationsRent Cos., Inc., 9.50%, 5/01/15

 

 

404,625

 

CCC+

 

 

 

420

 

 

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

 

 

366,450

 

B3

 

 

 

480

2

 

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

 

 

484,800

 

B

 

 

 

2,000

 

 

Terex Corp., 9.25%, 7/15/11

 

 

2,130,000

 

CCC+

 

 

 

375

 

 

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

 

 

305,625

 

Caa1

 

 

 

305

 

 

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

 

 

277,550

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

6,407,625

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Media—4.4%

 

 

 

 

B-

 

 

 

430

 

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

427,850

 

CCC+

 

 

 

340

 

 

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

 

 

323,000

 

 

 

 

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

BBB+

 

 

 

90

 

 

6.625%, 5/15/29

 

 

90,837

 

BBB+

 

 

 

3,040

 

 

7.57%, 2/01/24

 

 

3,388,810

 

BBB+

 

 

 

205

 

 

7.625%, 4/15/31

 

 

232,478

 

BBB+

 

 

 

85

 

 

7.70%, 5/01/32

 

 

97,256

 

BBB

 

 

 

725

2

 

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

 

 

710,319

 

NR

 

 

 

510

 

 

Cablecom SCA, 4.935%, 4/30/12 (Luxembourg) (EUR)

 

 

617,064

 

CCC+

 

 

 

2,799

2

 

CCH I LLC, 11.00%, 10/01/15

 

 

2,522,599

 

CCC+

 

 

 

810

 

 

Charter Communications Holdings II, LLC/Charter Communications Holdings II Cap. Corp., 10.25%, 9/15/10

 

 

812,025

 

BBB+

 

 

 

1,535

 

 

Comcast Corp., 7.05%, 3/15/33

 

 

1,642,834

 

BB-

 

 

 

125

 

 

Echostar DBS Corp., 7.304%, 10/01/08

 

 

127,187

 

B

 

 

 

250

 

 

General Cable Corp., 9.50%, 11/15/10

 

 

263,125

 

CCC+

 

 

 

100

2

 

iesy Repository GmbH, 10.375%, 2/15/15 (Germany)

 

 

107,250

 

See Notes to Financial Statements.

16


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

BBB

 

 

$

985

 

 

7.625%, 11/30/28

 

$

1,095,330

 

BBB

 

 

 

825

 

 

7.70%, 10/30/25

 

 

921,335

 

BBB

 

 

 

735

 

 

News America, Inc., 6.20%, 12/15/34

 

 

713,119

 

B3

 

 

 

160

 

 

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

 

 

141,600

 

B2

 

 

 

440

 

 

Primedia, Inc., 9.715%, 5/15/10

 

 

448,800

 

B

 

 

 

200

 

 

Sinclair Broadcast Group, Inc., 8.75%, 12/15/11

 

 

211,000

 

 

 

 

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

BBB+

 

 

 

200

 

 

7.125%, 2/15/28

 

 

213,190

 

BBB+

 

 

 

620

 

 

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

 

 

710,705

 

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

Caa1

 

 

 

655

 

 

10.875%, 6/15/09

 

 

609,150

 

Caa2

 

 

 

90

2

 

13.50%, 12/07/09

 

 

69,300

 

Caa1

 

 

 

670

 

 

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

 

 

629,800

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

17,125,963

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Real Estate—1.8%

 

 

 

 

BB

 

 

 

3,165

 

 

American Real Estate Partners, 8.125%, 6/01/11

 

 

3,252,037

 

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

BBB+

 

 

 

350

 

 

6.625%, 9/15/11

 

 

370,955

 

BBB+

 

 

 

775

 

 

8.25%, 7/15/08

 

 

834,512

 

 

 

 

 

 

 

 

Rouse Co.,

 

 

 

 

BB+

 

 

 

895

 

 

3.625%, 3/15/09

 

 

832,780

 

BB+

 

 

 

1,650

 

 

5.375%, 11/26/13

 

 

1,554,498

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

6,844,782

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Technology—0.8%

 

 

 

 

B

 

 

 

250

 

 

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

 

 

241,875

 

BB-

 

 

 

805

 

 

Lucent Technologies, Inc., 6.50%, 1/15/28

 

 

684,250

 

Ba3

 

 

 

100

 

 

MagnaChip Semiconductor SA/Magna Semiconductor Finance Co., 7.12%, 12/15/11 (Luxembourg)

 

 

97,500

 

B+

 

 

 

100

 

 

Sanmina-SCI Corp., 6.75%, 3/01/13

 

 

94,250

 

BB

 

 

 

40

 

 

Stats Chippac Ltd., 7.50%, 7/19/10 (Singapore)

 

 

40,200

 

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

110

2

 

8.525%, 8/15/13

 

 

113,300

 

B-

 

 

 

350

2

 

9.125%, 8/15/13

 

 

357,875

 

B-

 

 

 

425

2

 

10.25%, 8/15/15

 

 

420,750

 

B

 

 

 

835

 

 

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

 

 

826,650

 

B-

 

 

 

310

 

 

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

 

 

339,450

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

3,216,100

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Telecommunications—4.9%

 

 

 

 

A

 

 

 

2,000

2

 

Bellsouth Corp., 4.258%, 4/26/21

 

 

1,994,620

 

A

 

 

 

1,700

 

 

Bellsouth Telecommunications, 4.258%, 4/26/06

 

 

843,914

 

BB-

 

 

 

210

 

 

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

 

 

218,925

 

A-

 

 

 

25

 

 

Deutsche Telekom Intl. Finance BV, 8.75%, 6/15/30

 

 

31,526

 

B-

 

 

 

190

2

 

Hawaiian Telcom Communications, Inc., 9.948%, 5/01/13

 

 

187,625

 

 

 

 

 

 

 

 

Intelsat Ltd.,

 

 

 

 

Caa1

 

 

 

175

 

 

5.25%, 11/01/08

 

 

159,250

 

B2

 

 

 

65

2

 

8.25%, 1/15/13

 

 

65,163

 

B2

 

 

 

405

2

 

8.625%, 1/15/15

 

 

411,075

 

B2

 

 

 

325

2

 

8.695%, 1/15/12

 

 

329,875

 

BB-

 

 

 

180

 

 

Lucent Technologies, Inc., 6.45%, 3/15/29

 

 

153,900

 

B-

 

 

 

70

 

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

63,700

 

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

470

2

 

7.12%, 6/15/13

 

 

492,325

 

BB+

 

 

 

200

 

 

7.875%, 9/01/11

 

 

210,000

 

BB

 

 

 

375

 

 

Qwest Services Corp., 13.50%, 12/15/10

 

 

427,969

 

BB+

 

 

 

155

 

 

Rogers Wireless, Inc., 7.25%, 12/15/12

 

 

163,138

 

Caa1

 

 

 

730

 

 

Rural Cellular Corp., 9.875%, 2/01/10

 

 

759,200

 

A

 

 

 

780

 

 

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

 

 

786,380

 

See Notes to Financial Statements.

17


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

Sprint Capital Corp.,

 

 

 

 

A-

 

 

$

1,715

 

 

6.875%, 11/15/28

 

$

1,832,495

 

A-

 

 

 

675

 

 

8.75%, 3/15/32

 

 

872,890

 

A-

 

 

 

1,875

 

 

Telecom Italia Capital SA, 6.00%, 9/30/34 (Luxembourg)

 

 

1,793,662

 

A-

 

 

 

725

 

 

Telefonica Europe BV, 7.75%, 9/15/10

 

 

803,583

 

A+

 

 

 

70

 

 

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

 

 

80,877

 

A+

 

 

 

125

 

 

Verizon Maryland Incorporated, 5.125%, 6/15/33

 

 

104,366

 

 

 

 

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

A+

 

 

 

230

 

 

7.85%, 11/15/29

 

 

264,196

 

A+

 

 

 

335

 

 

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

 

 

337,807

 

A+

 

 

 

3,150

 

 

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

 

 

2,937,469

 

A+

 

 

 

2,504

 

 

Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom)

 

 

2,756,328

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

19,082,258

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Transportation—1.5%

 

 

 

 

A-

 

 

 

350

 

 

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

 

 

381,927

 

BBB

 

 

 

1,450

 

 

Canadian Pacific Railway Ltd., 6.25%, 10/15/11 (Canada)

 

 

1,535,521

 

B

 

 

 

355

2

 

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

 

 

356,775

 

B

 

 

 

50

 

 

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

 

 

50,437

 

B3

 

 

 

47

 

 

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

 

 

49,879

 

BBB+

 

 

 

1,300

 

 

Norfolk Southern Corp., 7.05%, 5/01/37

 

 

1,528,202

 

B+

 

 

 

90

 

 

OMI Corp., 7.625%, 12/01/13

 

 

92,475

 

B

 

 

 

1,635

 

 

Sea Containers Ltd., 10.50%, 5/15/12

 

 

1,635,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

5,630,216

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Corporate Bonds

 

 

205,612,562

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

U.S. Government and Agency Securities—39.7%

 

 

 

 

AAA

 

 

 

1,670

 

 

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

 

 

1,677,055

 

AAA

 

 

 

1,050

 

 

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

 

 

557,109

 

 

 

 

 

 

 

 

Tennessee Valley Authority,

 

 

 

 

AAA

 

 

 

1,655

 

 

Ser. C, 5.88%, 4/01/36

 

 

1,827,683

 

AAA

 

 

 

2,650

 

 

Ser. D, 4.875%, 12/15/16

 

 

2,680,449

 

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

AAA

 

 

 

49,140

4

 

6.125%, 11/15/27

 

 

57,716,404

 

AAA

 

 

 

8,540

 

 

6.50%, 11/15/26

 

 

10,401,464

 

AAA

 

 

 

21,680

4

 

7.125%, 2/15/23

 

 

27,455,769

 

AAA

 

 

 

10,855

4

 

8.50%, 2/15/20

 

 

14,983,265

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

AAA

 

 

 

830

 

 

3.625%, 6/30/07

 

 

819,625

 

AAA

 

 

 

20,025

 

 

4.00%, 8/31/07-9/30/07

 

 

19,881,023

 

AAA

 

 

 

9,475

4

 

4.125%, 8/15/08

 

 

9,403,937

 

AAA

 

 

 

6,005

 

 

4.25%, 8/15/15

 

 

5,858,658

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

153,262,441

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Taxable Municipal Bond—0.1%

 

 

 

 

AA

 

 

 

350

 

 

Ohana Military Communities LLC, 6.193%, 4/01/49

 

 

377,758

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Foreign Government Bonds—2.2%

 

 

 

 

 

 

 

 

 

 

 

Germany Federal Republic,

 

 

 

 

AAA

 

 

 

2,325

 

 

4.00%, 1/04/37 (EUR)

 

 

2,895,224

 

AAA

 

 

 

525

 

 

4.75%, 7/04/34 (EUR)

 

 

735,694

 

Aaa

 

 

 

1,700

 

 

Japan Finance Corp. for Municipal Enterprises, 4.625%, 4/21/15

 

 

1,647,283

 

 

 

 

 

 

 

 

United Mexican States,

 

 

 

 

Baa1

 

 

 

400

 

 

6.75%, 9/27/34

 

 

415,000

 

Baa1

 

 

 

2,255

 

 

8.00%, 9/24/22

 

 

2,680,066

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Foreign Government Bonds

 

 

8,373,267

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments before outstanding options written—127.5% (cost $502,449,8995)

 

 

491,529,484

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

18



 

 

BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

Description

 

Value

 







 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.7)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

(5,300)

 

 

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/18

 

$

(191,463

)

(5,300)

 

 

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/18

 

 

(237,705

)

(11,500)

 

 

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

 

 

(422,018

)

(11,500)

 

 

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

 

 

(671,009

)

(13,300)

 

 

Trust pays 3-month LIBOR, Trust Receives 4.725%, expires 6/13/07

 

 

(707,959

)

(13,300)

 

 

Trust pays 4.725%, Trust Receives 3-month LIBOR, expires 6/13/07

 

 

(273,182

)

(70)

 

 

U.S. Treasury Notes Future, expiring 2/24/06

 

 

(37,734

)

 

 

 

 

 



 

 

 

Total Outstanding Options Written (premium received $2,716,753)

 

 

(2,541,070

)

 

 

 

 



 

 

 

Total investments net of outstanding options written—126.8%

 

$

488,988,414

 

 

 

Liabilities in excess of other assets—(26.8)%

 

 

(103,474,625

)

 

 

 

 



 

 

 

Net Assets—100%

 

$

385,513,789

 

 

 

 

 



 

 

 


1

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

2

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 9.6% of its net assets, with a current market value of $37,031,132, in securities restricted as to resale.

3

Security, or a portion thereof, pledged as collateral with a value of $1,504,194 on 57 long U.S. Treasury Note futures contracts expiring December 2005, 568 long U.S. Treasury Bond futures contracts expiring December 2005, 1,176 short U.S. Treasury Note futures contracts expiring December 2005, 208 short Eurodollar futures contracts expiring March 2006 to September 2007 and 101 short Germany Federal Republic Bonds futures contracts expiring December 2005. The notional value of such contracts on October 31, 2005 was ($117,883,226), with an unrealized gain of $49,189.

4

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

5

Cost for Federal income tax purposes is $503,678,690. The net unrealized depreciation on a tax basis is $12,149,206, consisting of $2,454,277 gross unrealized appreciation and $14,603,483 gross unrealized depreciation.

A category in the Coporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

 

 

KEY TO ABBREVIATIONS

 

EUR – European Monetary Unit

TBA – To Be Announced           

 

See Notes to Financial Statements.

19



 

 

PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2005

BlackRock High Yield Trust (BHY)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 











 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—136.2%

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds—133.8%

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—4.5%

 

 

 

 

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

BB-

 

 

$

435

 

 

6.875%, 12/15/07

 

$

442,612

 

NR

 

 

 

350

 

 

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

 

 

357,000

 

B

 

 

 

275

 

 

Argo-Tech Corp., 9.25%, 6/01/11

 

 

284,625

 

B+

 

 

 

125

 

 

Armor Holdings, Inc., 8.25%, 8/15/13

 

 

135,000

 

 

 

 

 

 

 

 

BE Aerospace, Inc.,

 

 

 

 

B+

 

 

 

520

 

 

8.50%, 10/01/10

 

 

557,700

 

B-

 

 

 

320

 

 

8.875%, 5/01/11

 

 

336,800

 

NR

 

 

 

1,500

2

 

Condor Systems, Inc., 11.875%, 5/01/09

 

 

 

 

 

 

 

 

 

 

Sequa Corp.,

 

 

 

 

BB

 

 

 

40

 

 

9.00%, 8/01/09

 

 

41,650

 

BB

 

 

 

19

 

 

Ser. B, 8.875%, 4/01/08

 

 

19,618

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

2,175,005

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Automotive—2.7%

 

 

 

 

B-

 

 

 

200

 

 

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

 

 

189,000

 

BB+

 

 

 

65

 

 

Arvinmeritor, Inc., 8.75%, 3/01/12

 

 

61,425

 

B2

 

 

 

150

 

 

Delco Remy Intl., Inc., 8.15%, 4/15/09

 

 

142,500

 

B-

 

 

 

60

 

 

Goodyear Tire & Rubber Co., 7.857%, 8/15/11

 

 

57,750

 

CCC+

 

 

 

315

3

 

Metaldyne Corp., 11.00%, 11/01/13

 

 

282,713

 

BB

 

 

 

310

 

 

Navistar Intl. Corp., 6.25%, 3/01/12

 

 

278,225

 

B-

 

 

 

300

 

 

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

 

 

292,500

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

1,304,113

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Basic Materials—15.6%

 

 

 

 

BB-

 

 

 

150

 

 

Abitibi-Consolidated, Inc., 8.375%, 4/01/15 (Canada)

 

 

139,125

 

B-

 

 

 

205

 

 

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

 

 

227,294

 

BB-

 

 

 

150

 

 

Arch Western Finance LLC, 6.75%, 7/01/13

 

 

150,750

 

B-

 

 

 

70

3

 

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 9.65%, 7/15/10

 

 

70,700

 

BB-

 

 

 

315

 

 

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

 

 

302,400

 

B-

 

 

 

600

 

 

Caraustar Industries, Inc., 9.875%, 4/01/11

 

 

583,500

 

BB+

 

 

 

325

 

 

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

 

 

290,875

 

BB-

 

 

 

170

 

 

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

 

 

151,300

 

BB-

 

 

 

305

 

 

Century Alum Co., 7.50%, 8/15/14

 

 

298,900

 

BB-

 

 

 

90

 

 

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

 

 

91,125

 

 

 

 

 

 

 

 

Equistar Chemicals LP/Equistar Funding Corp.,

 

 

 

 

BB-

 

 

 

50

 

 

8.75%, 2/15/09

 

 

52,625

 

BB-

 

 

 

115

 

 

10.125%, 9/01/08

 

 

124,200

 

BB-

 

 

 

100

 

 

10.625%, 5/01/11

 

 

109,500

 

BB+

 

 

 

265

 

 

Georgia-Pacific Corp., 8.00%, 1/15/24

 

 

287,525

 

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

B

 

 

 

95

 

 

11.50%, 7/15/12

 

 

107,350

 

BB-

 

 

 

365

 

 

11.625%, 10/15/10

 

 

415,187

 

BB

 

 

 

80

 

 

IMC Global, Inc., Ser. B, 10.875%, 6/01/08-8/01/13

 

 

91,313

 

CCC+

 

 

 

645

3

 

Innophos, Inc., 9.125%, 8/15/14

 

 

653,062

 

BB+

 

 

 

325

 

 

Ipsco, Inc., 8.75%, 6/01/13 (Canada)

 

 

358,312

 

BBB

 

 

 

366

 

 

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

 

 

415,410

 

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB-

 

 

 

260

 

 

10.50%, 6/01/13

 

 

295,100

 

BB-

 

 

 

230

 

 

Ser. A, 9.625%, 5/01/07

 

 

240,925

 

 

 

 

 

 

 

 

Nalco Co.,

 

 

 

 

B+

 

 

 

20

 

 

7.75%, 11/15/11

 

 

20,450

 

B-

 

 

 

590

 

 

8.875%, 11/15/13

 

 

603,275

 

CCC+

 

 

 

550

 

 

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

 

 

503,250

 

B-

 

 

 

215

3

 

PQ Corp., 7.50%, 2/15/13

 

 

195,650

 

NR

 

 

 

2,000

2,4

 

Republic Technologies Intl. LLC, 13.75%, 7/15/09

 

 

 

See Notes to Financial Statements.

20



 

 

BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 












 

 

 

 

 

 

 

Basic Materials—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

Rhodia SA,

 

 

 

 

CCC+

 

 

$

215

 

 

8.875%, 6/01/11 (France)

 

$

202,638

 

B3

 

 

 

235

 

 

10.25%, 6/01/10 (France)

 

 

249,688

 

B-

 

 

 

50

3

 

Rockwood Specialties Grp., 7.50%, 11/15/14

 

 

48,500

 

BB-

 

 

 

125

 

 

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

 

 

120,625

 

BBB-

 

 

 

100

3

 

Southern Peru Copper Corp., 7.50%, 7/27/35

 

 

97,250

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

7,497,804

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Building & Development—3.5%

 

 

 

 

B-

 

 

 

250

3

 

Ahern Rentals, Inc., 9.25%, 8/15/13

 

 

255,313

 

B+

 

 

 

40

 

 

Ainsworth Lumber Co. Ltd., 7.77%, 10/01/10 (Canada)

 

 

40,000

 

B2

 

 

 

150

3

 

Compression Polymers Corp., 10.50%, 7/01/13,

 

 

136,500

 

 

 

 

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

B-

 

 

 

45

3

 

6.41%, 6/15/12

 

 

44,325

 

B-

 

 

 

480

3

 

7.875%, 12/15/12

 

 

453,600

 

BB+

 

 

 

250

 

 

Hovnanian K Enterprises, Inc., 6.375%, 12/15/14

 

 

228,750

 

B

 

 

 

375

 

 

North American Energy Partners, Inc., 9.00%, 6/01/10 (Canada)

 

 

390,000

 

Ba3

 

 

 

125

 

 

WCI Communities, Inc., 7.875%, 10/01/13

 

 

118,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

1,667,238

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Business Equipment & Services—0.4%

 

 

 

 

 

 

 

 

 

 

 

Xerox Corp.,

 

 

 

 

BB+

 

 

 

60

 

 

6.875%, 8/15/11

 

 

62,100

 

BB+

 

 

 

100

 

 

7.20%, 4/01/16

 

 

105,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

167,850

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Consumer Products—9.3%

 

 

 

 

B3

 

 

 

50

 

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

45,250

 

B

 

 

 

175

 

 

B&G Foods, Inc., 8.00%, 10/01/11

 

 

176,750

 

 

 

 

 

 

 

 

Cenveo Corp.,

 

 

 

 

B3

 

 

 

150

 

 

7.875%, 12/01/13

 

 

138,375

 

B1

 

 

 

150

 

 

9.625%, 3/15/12

 

 

158,250

 

B2

 

 

 

540

 

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

459,000

 

B2

 

 

 

294

 

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

332,220

 

 

 

 

 

 

 

 

GSC Holdings Corp.,

 

 

 

 

Ba3

 

 

 

30

3

 

7.875%, 10/01/11

 

 

30,188

 

Ba3

 

 

 

70

3

 

8.00%, 10/01/12

 

 

68,250

 

B-

 

 

 

370

3

 

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

344,100

 

B-

 

 

 

500

 

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

520,000

 

B

 

 

 

240

 

 

Levi Strauss & Co., 8.804%, 4/01/12

 

 

238,500

 

Caa2

 

 

 

255

 

 

Merisant Co., 9.50%, 7/15/13

 

 

175,950

 

B3

 

 

 

655

 

 

Movie Gallery, Inc., 11.00%, 5/01/12

 

 

524,000

 

NR

 

 

 

1,200

2,4

 

Nebco Evans Holding Co., 12.375%, 7/15/07

 

 

 

B2

 

 

 

95

3

 

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

 

 

93,338

 

B-

 

 

 

265

 

 

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

 

 

260,362

 

BB-

 

 

 

100

3

 

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

 

 

92,750

 

B-

 

 

 

405

3

 

Rite Aid Corp., 6.125%, 12/15/08

 

 

380,700

 

CCC+

 

 

 

115

3

 

Rural/Metro Corp., 9.875%, 3/15/15

 

 

120,175

 

BB

 

 

 

280

 

 

Smithfield Foods, Inc., 7.00%, 8/01/11

 

 

285,600

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

4,443,758

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Containers & Packaging—2.3%

 

 

 

 

BB

 

 

 

55

 

 

Ball Corp., 6.875%, 12/15/12

 

 

55,894

 

B

 

 

 

540

 

 

Crown Cork & Seal, Inc., 8.00%, 4/15/23

 

 

515,700

 

 

 

 

 

 

 

 

Crown European Holdings SA,

 

 

 

 

B

 

 

 

115

 

 

7.375%, 12/15/26

 

 

109,250

 

B+

 

 

 

10

 

 

9.50%, 3/01/11 (France)

 

 

11,000

 

B

 

 

 

30

 

 

10.875%, 3/01/13 (France)

 

 

35,400

 

 

 

 

 

 

 

 

Graham Packaging Co., Inc.,

 

 

 

 

CCC+

 

 

 

180

 

 

8.50%, 10/15/12

 

 

173,700

 

CCC+

 

 

 

110

 

 

9.875%, 10/15/14

 

 

104,225

 

CCC+

 

 

 

85

3

 

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

 

 

83,300

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

1,088,469

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

21



 

 

BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

Value

 










 

 

 

 

 

 

 

Ecological Services & Equipment—0.6%

 

 

 

 

 

 

 

 

 

 

 

Allied Waste NA, Inc.,

 

 

 

 

BB-

 

 

$

80

 

 

8.50%, 12/01/08

 

$

83,200

 

BB-

 

 

 

110

 

 

8.875%, 4/01/08

 

 

114,400

 

BB-

 

 

 

115

 

 

Ser. B, 5.75%, 2/15/11

 

 

106,950

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

304,550

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Energy—25.8%

 

 

 

 

B+

 

 

 

139

 

 

AES Red Oak LLC, 8.54%, 11/30/19

 

 

153,678

 

B1

 

 

 

195

 

 

ANR Pipeline Co., 9.625%, 11/01/21

 

 

235,950

 

B2

 

 

 

565

 

 

Aquila Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

576,300

 

 

 

 

 

 

 

 

Calpine Corp.,

 

 

 

 

B-

 

 

 

55

3

 

8.50%, 7/15/10

 

 

38,638

 

B

 

 

 

95

3

 

9.625%, 9/30/14

 

 

96,425

 

CCC

 

 

 

25

 

 

Calpine Energy Finance ULC, 8.50%, 5/01/08 (Canada)

 

 

13,563

 

CCC+

 

 

 

160

 

 

Calpine Generating Co. LLC, 11.50%, 4/01/11

 

 

146,200

 

Ba1

 

 

 

233

 

 

CE Generation LLC, 7.416%, 12/15/18

 

 

246,179

 

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

BB

 

 

 

60

 

 

6.875%, 1/15/16

 

 

60,600

 

BB

 

 

 

250

 

 

7.00%, 8/15/14

 

 

258,750

 

BB

 

 

 

115

 

 

Chesapeake Energy Finance, 6.25%, 1/15/18

 

 

111,550

 

B-

 

 

 

200

3

 

Clayton Williams Energy, Inc., 7.75%, 8/01/13

 

 

193,000

 

 

 

 

 

 

 

 

CMS Energy Corp.,

 

 

 

 

BB-

 

 

 

10

 

 

7.50%, 1/15/09

 

 

10,350

 

BB-

 

 

 

40

 

 

9.875%, 10/15/07

 

 

43,000

 

B1

 

 

 

40

3

 

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

 

 

39,975

 

Ba3

 

 

 

90

3

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

93,600

 

B

 

 

 

300

 

 

Compton Petroleum Corp., 9.90%, 5/15/09 (Canada)

 

 

319,125

 

B2

 

 

 

60

 

 

Dresser, Inc., 9.375%, 4/15/11

 

 

62,550

 

 

 

 

 

 

 

 

Dynegy Holdings, Inc.,

 

 

 

 

B+

 

 

 

40

3

 

9.875%, 7/15/10

 

 

43,000

 

B+

 

 

 

365

3

 

10.125%, 7/15/13

 

 

401,500

 

 

 

 

 

 

 

 

El Paso CGP Co.,

 

 

 

 

B-

 

 

 

100

 

 

7.42%, 2/15/37

 

 

90,500

 

B-

 

 

 

60

 

 

7.75%, 6/15/10

 

 

60,600

 

B-

 

 

 

250

 

 

9.625%, 5/15/12

 

 

274,062

 

B-

 

 

 

215

 

 

10.75%, 10/01/10

 

 

234,619

 

B-

 

 

 

120

 

 

El Paso Corp., 7.625%, 8/16/07

 

 

121,800

 

 

 

 

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

B1

 

 

 

65

 

 

7.625%, 8/01/10

 

 

67,925

 

B1

 

 

 

55

 

 

8.375%, 6/15/32

 

 

60,638

 

Ba2

 

 

 

776

 

 

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

 

 

859,411

 

B

 

 

 

260

 

 

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

 

 

265,200

 

B1

 

 

 

200

 

 

Foundation Pennsylvania Coal Co., 7.25%, 8/01/14

 

 

205,000

 

BB-

 

 

 

260

 

 

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

 

 

265,200

 

B

 

 

 

195

 

 

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

 

 

208,650

 

 

 

 

 

 

 

 

Hilcorp Energy I LP/Hilcorp Finance Corp.,

 

 

 

 

B

 

 

 

50

3

 

7.75%, 11/01/15

 

 

50,000

 

B

 

 

 

170

3

 

10.50%, 9/01/10

 

 

190,400

 

BBB-

 

 

 

99

 

 

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

 

 

115,501

 

BB-

 

 

 

5

 

 

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

 

 

4,950

 

 

 

 

 

 

 

 

KCS Energy, Inc.,

 

 

 

 

B-

 

 

 

385

 

 

7.125%, 4/01/12

 

 

391,737

 

B-

 

 

 

85

3

 

7.125%, 4/01/12

 

 

86,700

 

 

 

 

 

 

 

 

Midwest Generation LLC,

 

 

 

 

B+

 

 

 

241

 

 

8.56%, 1/02/16

 

 

262,982

 

B+

 

 

 

95

 

 

8.75%, 5/01/34

 

 

104,738

 

B2

 

 

 

685

 

 

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

 

 

796,312

 

 

 

 

 

 

 

 

Newfield Exploration Co.,

 

 

 

 

BB-

 

 

 

30

 

 

6.625%, 9/01/14

 

 

30,750

 

BB-

 

 

 

20

 

 

8.375%, 8/15/12

 

 

21,400

 

CCC+

 

 

 

400

 

 

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

 

 

376,000

 

See Notes to Financial Statements.

22


BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 










 

 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

B-

 

 

$

50

3

 

Ocean Rig Norway AS, 8.375%, 7/01/13

 

$

53,875

 

B2

 

 

 

500

 

 

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

 

 

592,500

 

Ba2

 

 

 

70

 

 

Plains Exploration & Production Co., 7.125%, 6/15/14

 

 

72,975

 

Ba3

 

 

 

100

3

 

Pogo Producing Co., 6.875%, 10/01/17

 

 

99,000

 

BBB-

 

 

 

325

 

 

Premcor Refining Group, Inc., 6.75%, 5/01/14

 

 

342,875

 

Ba2

 

 

 

210

 

 

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

 

 

225,225

 

 

 

 

 

 

 

 

Range Resources Corp.,

 

 

 

 

B

 

 

 

25

 

 

6.375%, 3/15/15

 

 

25,063

 

B

 

 

 

185

 

 

7.375%, 7/15/13

 

 

195,175

 

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

BB-

 

 

 

155

 

 

6.75%, 12/15/14

 

 

143,762

 

BB-

 

 

 

150

 

 

9.25%, 7/15/10

 

 

157,500

 

B

 

 

 

300

 

 

Roseton/Danskammer, 7.27%, 11/08/10

 

 

297,750

 

Ba2

 

 

 

40

 

 

Sithe Independence Funding, 9.00%, 12/30/13

 

 

44,324

 

B2

 

 

 

200

3

 

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

 

 

203,000

 

B1

 

 

 

160

 

 

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

 

 

178,000

 

 

 

 

 

 

 

 

Transcontinental Gas Pipe Line Corp.,

 

 

 

 

BB+

 

 

 

65

 

 

7.25%, 12/01/26

 

 

70,281

 

BB+

 

 

 

400

 

 

Ser. B, 8.875%, 7/15/12

 

 

466,500

 

BBB-

 

 

 

130

 

 

TXU Corp., 6.55%, 11/15/34

 

 

116,215

 

 

 

 

 

 

 

 

Whiting Petroleum Corp.,

 

 

 

 

B2

 

 

 

140

3

 

7.00%, 2/01/14

 

 

140,350

 

B2

 

 

 

250

 

 

7.25%, 5/01/12 - 5/01/13

 

 

253,125

 

BB

 

 

 

355

 

 

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

 

 

377,187

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

12,343,690

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Entertainment & Leisure—4.4%

 

 

 

 

B-

 

 

 

280

 

 

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

 

 

268,800

 

BB

 

 

 

225

 

 

K2, Inc., 7.375%, 7/01/14

 

 

216,000

 

 

 

 

 

 

 

 

MGM Mirage,

 

 

 

 

BB

 

 

 

270

 

 

6.00%, 10/01/09

 

 

264,600

 

BB

 

 

 

60

 

 

6.75%, 9/01/12

 

 

59,700

 

B

 

 

 

240

 

 

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

 

 

244,800

 

B-

 

 

 

185

 

 

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

 

 

176,675

 

B+

 

 

 

60

3

 

San Pasqual Casino, 8.00%, 9/15/13

 

 

60,000

 

BB-

 

 

 

140

3

 

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

 

 

143,500

 

B

 

 

 

385

3

 

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

 

 

402,325

 

B+

 

 

 

295

 

 

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

 

 

280,987

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

2,117,387

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Financial Institutions—18.7%

 

 

 

 

B+

 

 

 

188

 

 

AES Ironwood LLC, 8.857%, 11/30/25

 

 

212,551

 

BB

 

 

 

185

3

 

American Real Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13

 

 

179,450

 

NR

 

 

 

500

3

 

Ameriserve Finance Capital Corp., 12.00%, 9/15/06

 

 

25,000

 

B-

 

 

 

428

 

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

470,800

 

B-

 

 

 

140

3

 

Borden US Finance Corp./Nova Scotia Finance ULC, 9.00%, 7/15/14

 

 

137,900

 

Ba2

 

 

 

1,000

3

 

Capital Guardian High Yield CBO Ltd., 11.45%, 5/24/13

 

 

1,020,100

 

BB

 

 

 

340

 

 

Crum & Forster Hldgs. Corp., 10.375%, 6/15/13

 

 

363,800

 

B+

 

 

 

100

3

 

E*Trade Financial Corp., 7.375%, 9/15/13

 

 

98,500

 

BB

 

 

 

433

 

 

Fairfax Financial Holdings Ltd., 7.75%, 4/26/12 (Canada)

 

 

394,030

 

 

 

 

 

 

 

 

Fairfax Financial Holdings, Ltd.,

 

 

 

 

BB

 

 

 

50

 

 

6.875%, 4/15/08 (Canada)

 

 

48,250

 

BB

 

 

 

50

 

 

8.30%, 4/15/26 (Canada)

 

 

41,500

 

Ba3

 

 

 

2,500

3

 

First Dominion Funding II, 11.614%, 4/25/14

 

 

2,418,500

 

 

 

 

 

 

 

 

Ford Motor Credit Co.,

 

 

 

 

BBB-

 

 

 

560

 

 

5.70%, 1/15/10

 

 

504,062

 

BBB-

 

 

 

175

 

 

7.25%, 10/25/11

 

 

162,757

 

Ba3

 

 

 

50

 

 

Huntsman Advanced Materials LLC, 11.00%, 7/15/10

 

 

55,813

 

B-

 

 

 

450

 

 

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

 

 

450,000

 

B-

 

 

 

360

3

 

Nell AF, 8.375%, 8/15/15 (Luxembourg)

 

 

345,600

 

See Notes to Financial Statements.

23


BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 













 

 

 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

$

310

3

 

8.75%, 9/01/12

 

$

325,500

 

B+

 

 

 

490

3

 

10.375%, 9/01/14

 

 

540,225

 

B-

 

 

 

455

 

 

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

 

 

433,387

 

B-

 

 

 

30

 

 

Universal City Florida Hldg. Co. I/II, 9.00%, 5/01/10

 

 

30,600

 

CCC+

 

 

 

335

 

 

Vanguard Health Holding Co. II LLC, 9.00%, 10/01/14

 

 

348,400

 

BB-

 

 

 

70

 

 

Western Financial Bank, 9.625%, 5/15/12

 

 

79,275

 

C

 

 

 

2,550

3

 

Zais Investment Grade Ltd., 9.95%, 9/23/14

 

 

254,953

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

8,940,953

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Health Care—5.8%

 

 

 

 

 

 

 

 

 

 

 

Coventry Hlth. Care, Inc.,

 

 

 

 

BBB-

 

 

 

80

 

 

5.875%, 1/15/12

 

 

79,600

 

BBB-

 

 

 

80

 

 

6.125%, 1/15/15

 

 

80,600

 

CCC

 

 

 

50

 

 

Curative Health Services, Inc., 10.75%, 5/01/11

 

 

33,750

 

B

 

 

 

500

3

 

Elan Finance Corp., 7.75%, 11/15/11 (Ireland)

 

 

440,000

 

BB+

 

 

 

300

 

 

HCA, Inc., 5.50%, 12/01/09

 

 

292,234

 

B-

 

 

 

225

 

 

IASIS Healthcare LLC/IASIS Cap. Corp., 8.75%, 6/15/14

 

 

230,625

 

B

 

 

 

230

3

 

Insight Health Services Corp., 9.174%, 11/01/11

 

 

217,925

 

CCC+

 

 

 

90

 

 

Medquest, Inc., 11.875%, 8/15/12

 

 

89,100

 

B-

 

 

 

135

 

 

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

 

 

143,775

 

B-

 

 

 

210

3

 

Select Medical Corp., 9.933%, 9/15/15

 

 

205,800

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

B

 

 

 

40

 

 

6.375%, 12/01/11

 

 

34,900

 

B

 

 

 

95

 

 

9.875%, 7/01/14

 

 

92,625

 

B-

 

 

 

505

 

 

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

 

 

510,050

 

B2

 

 

 

215

 

 

US Oncology, Inc., 9.00%, 8/15/12

 

 

227,900

 

CCC+

 

 

 

90

3

 

Warner Chilcott Corp., 8.75%, 2/01/15

 

 

82,800

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

2,761,684

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Industrials—7.8%

 

 

 

 

B

 

 

 

165

 

 

Blount, Inc., 8.875%, 8/01/12

 

 

173,662

 

B-

 

 

 

60

3

 

Chart Inds, Inc., 9.125%, 10/15/15

 

 

59,250

 

B-

 

 

 

195

 

 

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

 

 

200,850

 

Caa1

 

 

 

685

3

 

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

 

 

708,975

 

B-

 

 

 

575

 

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

592,250

 

Caa1

 

 

 

175

3

 

Hydrochem Industrial Services, 9.25%, 2/15/13

 

 

159,688

 

B+

 

 

 

163

 

 

JLG Industries, Inc., 8.375%, 6/15/12

 

 

172,372

 

B-

 

 

 

320

 

 

NationsRent Cos., Inc., 9.50%, 5/01/15

 

 

332,000

 

CCC+

 

 

 

210

 

 

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

 

 

183,225

 

B3

 

 

 

450

3

 

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

 

 

454,500

 

B

 

 

 

55

 

 

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

 

 

54,450

 

CCC+

 

 

 

375

 

 

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

 

 

305,625

 

 

 

 

 

 

 

 

United Rentals NA, Inc.,

 

 

 

 

Caa1

 

 

 

265

 

 

7.00%, 2/15/14

 

 

241,150

 

Caa1

 

 

 

130

 

 

7.75%, 11/15/13

 

 

123,500

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

3,761,497

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Media—9.2%

 

 

 

 

B-

 

 

 

265

 

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

263,675

 

CCC+

 

 

 

205

 

 

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

 

 

194,750

 

CCC+

 

 

 

200

3

 

CCH I Holdings LLC / Cap. Corp., 11.125%, 1/15/14

 

 

136,000

 

CCC+

 

 

 

344

3

 

CCH I LLC, 11.00%, 10/01/15

 

 

310,030

 

CCC+

 

 

 

680

 

 

Charter Communications Holdings II, LLC/Charter Communications Holdings II Cap. Corp., 10.25%, 9/15/10

 

 

681,700

 

 

 

 

 

 

 

 

CSC Holdings, Inc.,

 

 

 

 

BB-

 

 

 

525

3

 

7.00%, 4/15/12

 

 

506,625

 

BB-

 

 

 

45

 

 

Ser. B, 7.625%, 4/01/11

 

 

45,000

 

BB

 

 

 

55

3

 

DirecTV Holdings LLC, 6.375%, 6/15/15

 

 

53,625

 

 

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

 

85

 

 

6.375%, 10/01/11

 

 

83,087

 

BB-

 

 

 

60

 

 

7.304%, 10/01/08

 

 

61,050

 

B2

 

 

 

90

 

 

Fisher Communications, Inc., 8.625%, 9/15/14

 

 

95,850

 

See Notes to Financial Statements.

24


 

 

BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 










 

 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

B

 

 

$

325

 

 

General Cable Corp., 9.50%, 11/15/10

 

$

342,062

 

CCC+

 

 

 

75

3

 

iesy Repository GmbH, 10.375%, 2/15/15 (Germany)

 

 

80,438

 

B3

 

 

 

110

 

 

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

 

 

97,350

 

 

 

 

 

 

 

 

Primedia, Inc.,

 

 

 

 

B2

 

 

 

75

 

 

8.875%, 5/15/11

 

 

73,125

 

B2

 

 

 

275

 

 

9.715%, 5/15/10

 

 

280,500

 

B

 

 

 

200

 

 

Sinclair Broadcast Group, Inc., 8.75%, 12/15/11

 

 

211,000

 

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

Caa1

 

 

 

435

 

 

10.875%, 6/15/09

 

 

404,550

 

Caa2

 

 

 

120

3

 

13.50%, 12/07/09

 

 

92,400

 

Caa1

 

 

 

415

 

 

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

 

 

390,100

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

4,402,917

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Real Estate—0.6%

 

 

 

 

BB

 

 

 

300

 

 

American Real Estate Partners, 8.125%, 6/01/11

 

 

308,250

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Technology—7.5%

 

 

 

 

B+

 

 

 

40

3

 

Activant Solutions, Inc., 10.054%, 4/01/10

 

 

40,900

 

B-

 

 

 

60

 

 

Amkor Technology, Inc., 9.25%, 2/15/08

 

 

57,450

 

B

 

 

 

285

 

 

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

 

 

275,737

 

BB+

 

 

 

80

 

 

Flextronics Intl. Ltd., 6.50%, 5/15/13 (Singapore)

 

 

80,200

 

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

BB+

 

 

 

50

 

 

6.875%, 7/15/11

 

 

51,750

 

BB+

 

 

 

100

 

 

6.90%, 7/15/09

 

 

102,500

 

B+

 

 

 

60

3

 

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

 

 

66,825

 

BB-

 

 

 

522

 

 

Lucent Technologies, Inc., 6.50%, 1/15/28

 

 

443,700

 

 

 

 

 

 

 

 

MagnaChip Semiconductor SA/Magna Semiconductor Finance Co.,

 

 

 

 

Ba3

 

 

 

100

 

 

6.875%, 12/15/11

 

 

93,500

 

Ba3

 

 

 

310

 

 

7.12%, 12/15/11 (Luxembourg)

 

 

302,250

 

B2

 

 

 

185

 

 

8.00%, 12/15/14 (Luxembourg)

 

 

167,888

 

CCC+

 

 

 

140

 

 

NDCHealth Corp., 10.50%, 12/01/12

 

 

159,600

 

B+

 

 

 

70

 

 

Sanmina-SCI Corp., 6.75%, 3/01/13

 

 

65,975

 

 

 

 

 

 

 

 

Stats Chippac Ltd.,

 

 

 

 

BB

 

 

 

215

 

 

6.75%, 11/15/11 (Singapore)

 

 

207,744

 

BB

 

 

 

220

 

 

7.50%, 7/19/10 (Singapore)

 

 

221,100

 

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

60

3

 

8.525%, 8/15/13

 

 

61,800

 

B-

 

 

 

265

3

 

9.125%, 8/15/13

 

 

270,962

 

B-

 

 

 

340

3

 

10.25%, 8/15/15

 

 

336,600

 

B

 

 

 

365

 

 

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

 

 

361,350

 

B-

 

 

 

225

 

 

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

 

 

246,375

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

3,614,206

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Telecommunications—11.3%

 

 

 

 

NR

 

 

 

2,000

2

 

Asia Global Crossing Ltd., 13.375%, 10/15/10

 

 

65,000

 

A

 

 

 

182

 

 

AT&T Corp., 9.05%, 11/15/11

 

 

200,937

 

B3

 

 

 

320

 

 

Centennial Communications Corp., 8.125%, 2/01/14

 

 

331,200

 

BB-

 

 

 

205

 

 

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

 

 

213,712

 

B1

 

 

 

260

 

 

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

 

 

271,050

 

B-

 

 

 

100

3

 

Hawaiian Telcom Communications, Inc., 9.948%, 5/01/13

 

 

98,750

 

 

 

 

 

 

 

 

Intelsat Ltd.,

 

 

 

 

B2

 

 

 

55

3

 

8.25%, 1/15/13

 

 

55,138

 

B2

 

 

 

350

3

 

8.625%, 1/15/15

 

 

355,250

 

B2

 

 

 

345

3

 

8.695%, 1/15/12

 

 

350,175

 

BB-

 

 

 

80

 

 

Lucent Technologies, Inc., 6.45%, 3/15/29

 

 

68,400

 

B+

 

 

 

119

 

 

MCI, Inc., 6.908%, 5/01/07

 

 

120,190

 

B-

 

 

 

385

 

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

350,350

 

CCC+

 

 

 

100

3

 

Ntelos Holdings Corp., 12.90%, 10/15/13

 

 

99,750

 

 

 

 

 

 

 

 

PanAmSat Corp.,

 

 

 

 

Ba3

 

 

 

210

 

 

6.875%, 1/15/28

 

 

182,175

 

B1

 

 

 

140

 

 

9.00%, 8/15/14

 

 

147,350

 

NA

 

 

 

600

2

 

PF Net Communications, Inc., 13.75%, 5/15/10

 

 

60

 

See Notes to Financial Statements.

25


 

 

BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

$

230

3

 

7.12%, 6/15/13

 

$

240,925

 

BB+

 

 

 

600

 

 

7.875%, 9/01/11

 

 

630,000

 

BB+

 

 

 

445

 

 

8.875%, 3/15/12

 

 

490,612

 

BB-

 

 

 

395

 

 

Rogers Wireless Communications, Inc., 8.00%, 12/15/12 (Canada)

 

 

416,725

 

BB+

 

 

 

35

 

 

Rogers Wireless, Inc., 7.25%, 12/15/12

 

 

36,838

 

Caa1

 

 

 

555

 

 

Rural Cellular Corp., 9.875%, 2/01/10

 

 

577,200

 

CCC-

 

 

 

125

 

 

Suncom Wireless, Inc., 9.375%, 2/01/11

 

 

95,938

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

5,397,725

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Transportation—3.8%

 

 

 

 

B

 

 

 

240

3

 

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

 

 

241,200

 

B

 

 

 

30

 

 

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

 

 

30,263

 

B3

 

 

 

430

 

 

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

 

 

456,337

 

B+

 

 

 

265

 

 

OMI Corp., 7.625%, 12/01/13

 

 

272,287

 

BB+

 

 

 

350

 

 

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

 

 

343,875

 

B3

 

 

 

500

 

 

Sea Containers Ltd., 10.75%, 10/15/06

 

 

493,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

1,837,712

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Corporate Bonds

 

 

64,134,808

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Bank Loan—2.1%

 

 

 

 

 

 

 

 

 

 

 

Health Care—2.1%

 

 

 

 

 

 

 

 

1,000

 

 

HealthSouth Corp.,Term Loan, LIBOR + 5.00%, 6/15/10

 

 

1,001,667

 

 

 

 

 

 

 

 

 

 



 

 

 

 


 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stock—0.0%

 

 

 

 

 

 

 

 

 

 

 

Media—0.0%

 

 

 

 

 

 

 

 

1

2

 

Adelphia Business Solutions, Ser. B, 12.875%

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Common Stocks—0.3%

 

 

 

 

 

 

 

 

 

 

 

Consumer Products—0.0%

 

 

 

 

 

 

 

 

15

4

 

Mattress Discounters Corp.

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Technology—0.3%

 

 

 

 

 

 

 

 

68

 

 

Globix Corp.

 

 

133,298

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Common Stocks

 

 

133,298

 

 

 

 

 

 

 

 

 

 



 

 

 

 


 

 

 

 

 

 

 

 

 

 

Units

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants—0.0%

 

 

 

 

 

 

 

 

1

3,4,5,7

 

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

 

 

 

 

 

 

 

54

5,7

 

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

 

 

1

 

 

 

 

 

1

3,5,7

 

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

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Warrants

 

 

1

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Long-Term Investments (cost $75,697,551)

 

 

65,269,774

 

 

 

 

 

 

 

 

 

 



 

 

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—3.5%

 

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Security—3.5%

 

 

 

 

 

 

 

$

1,700

 

 

FNMA Discount Notes, 3.72%, 11/01/056 (cost $1,700,000)

 

 

1,700,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments—139.7% (cost $77,397,5518)

 

$

66,969,774

 

 

 

 

 

 

 

 

Liabilities in excess of other assets—(39.7)%

 

 

(19,045,941

)

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Net Assets—100%

 

$

47,923,833

 

 

 

 

 

 

 

 

 

 



 


 

 


1

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

2

Issuer is in default and/or bankruptcy.

3

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 35.2% of its net assets, with a current market value of $16,857,761, in securities restricted as to resale.

4

Security is fair valued.

5

Illiquid security. As of October 31, 2005, the Trust held less than 0.1% of its net assets, with a current market value of $1.

6

Rate shown is the yield to maturity as of October 31, 2005.

7

Non-income producing security.

8

Cost for Federal income tax purposes is $77,419,838. The net unrealized depreciation on a tax basis is $10,450,064 consisting of $912,633 gross unrealized appreciation and $11,362,697 gross unrealized depreciation.

A category in the Corporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

See Notes to Financial Statements.

26


 

 

PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2005

BlackRock Income Opportunity Trust (BNA)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

Rating1

 

 

 

 

 

 

 

(unaudited)

 

 

Description

 

 

Value

 










 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—152.3%

 

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—36.7%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

$

1,312

 

 

4.395%, 1/01/35

 

$

1,321,983

 

 

 

 

 

2,040

 

 

5.152%, 1/01/35

 

 

2,024,436

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

675

 

 

2.35%, 4/29/06

 

 

668,048

 

 

 

 

 

35,105

 

 

5.50%, 12/01/13 - 5/18/35

 

 

34,960,155

 

 

 

 

 

467

2

 

5.50%, 12/01/32

 

 

461,440

 

 

 

 

 

9,221

3

 

5.50%, 1/01/33

 

 

9,103,665

 

 

 

 

 

17,537

 

 

6.00%, 3/01/16 - 7/01/35

 

 

17,710,950

 

 

 

 

 

237

 

 

7.00%, 2/01/24 - 10/01/28

 

 

248,001

 

 

 

 

 

3,400

 

 

TBA, 5.50%, 11/30/20

 

 

3,422,311

 

 

 

 

 

57,700

 

 

TBA, 5.50%, 11/30/35

 

 

56,906,625

 

 

 

 

 

18,800

 

 

TBA, 6.00%, 11/30/35

 

 

18,958,634

 

 

 

 

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

 

121

 

 

8.00%, 4/15/24-11/15/25

 

 

129,610

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

145,915,858

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Federal Housing Administration Securities—1.2%

 

 

 

 

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,

 

 

 

 

 

 

 

 

352

 

 

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

 

 

356,966

 

 

 

 

 

200

 

 

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

 

 

203,204

 

 

 

 

 

 

 

 

Merrill Projects,

 

 

 

 

 

 

 

 

158

 

 

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

 

 

159,963

 

 

 

 

 

230

 

 

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

 

 

233,837

 

 

 

 

 

1,856

 

 

Reilly Project, 7.40%, 4/01/21

 

 

1,880,750

 

 

 

 

 

1,875

 

 

Westmore Project, 7.25%, 4/01/21

 

 

1,890,732

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Federal Housing Administration Securities

 

 

4,725,452

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—6.3%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

3,728

 

 

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

 

 

3,735,601

 

 

 

 

 

1,390

 

 

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

 

 

1,334,623

 

 

 

 

 

3,880

 

 

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

 

 

3,881,712

 

 

 

 

 

2,098

 

 

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

 

 

2,102,500

 

 

 

 

 

2,098

 

 

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

 

 

2,104,875

 

 

 

 

 

1,725

 

 

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

 

 

1,774,628

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

3,895

 

 

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

 

 

3,833,151

 

 

 

 

 

2,357

 

 

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

 

 

2,354,862

 

 

 

 

 

2,055

 

 

Ser. 118, Class FD, 4.438%, 12/25/33

 

 

2,063,895

 

 

 

 

 

2

 

 

Ser. 256, Class F, 5.563%, 11/25/23

 

 

1,807

 

 

 

 

 

1,822

 

 

Government National Mortgage Assoc., 6.00%, 6/20/15

 

 

1,856,506

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

25,044,160

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—1.9%

 

 

 

 

AAA

 

 

 

7,273

 

 

Residential Funding Securities Corp., 8.50%, 5/25/33

 

 

7,547,908

 

AAA

 

 

 

12

4

 

Summit Mortgage Trust, 6.292%, 12/28/12

 

 

11,935

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

7,559,843

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—0.7%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

11

 

 

Ser. 1043, Class H, 26.438%, 2/15/21

 

 

13,169

 

 

 

 

 

925

 

 

Ser. 1611, Class JC, 10.00%, 8/15/23

 

 

957,888

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1,808

 

 

Ser. 23, Class PS, 9.771%, 4/25/23

 

 

1,867,153

 

 

 

 

 

 

 

Ser. 46, Class S, 1,588.688%, 5/25/21

 

 

4,297

 

 

 

 

 

 

 

Ser. 49, Class S, 612.30%, 12/25/21

 

 

1,797

 

 

 

 

 

82

 

 

Ser. 87, Class S, 15.917%, 8/25/21

 

 

111,722

 

 

 

 

 

1

 

 

Ser. 145, Class S, 21.831%, 10/25/06

 

 

1,401

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

2,957,427

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

27


 

 

BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

Rating1

 

 

 

 

 

 

 

(unaudited)

 

 

Description

 

 

Value

 













 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—1.3%

 

 

 

 

AAA

 

 

$

1,738

4

 

Morgan Stanley Cap. Trust I, 1.686%, 6/15/17

 

$

26,752

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

NR

 

 

 

33,862

 

 

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

 

 

2,793,627

 

NR

 

 

 

32,945

 

 

Ser. 2, 1.00%, 3/30/30

 

 

2,512,057

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

5,332,436

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—0.9%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

 

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

 

 

47

 

 

 

 

 

 

 

Ser. 192, Class U, 1,009.033%, 2/15/22

 

 

60

 

 

 

 

 

 

 

Ser. 200, Class R, 118,500.264%, 12/15/22

 

 

400

 

 

 

 

 

 

 

Ser. 1054, Class I, 522.36%, 3/15/21

 

 

265

 

 

 

 

 

 

 

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

 

 

1,320

 

 

 

 

 

 

 

Ser. 1057, Class J, 1,008.001%, 3/15/21

 

 

2,584

 

 

 

 

 

 

 

Ser. 1148, Class E, 710.464%, 10/15/21

 

 

823

 

 

 

 

 

 

 

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

 

 

172

 

 

 

 

 

 

 

Ser. 1221 Class H, 1,006.50%, 3/15/07

 

 

89

 

 

 

 

 

256

 

 

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

 

 

1,666

 

 

 

 

 

518

 

 

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

 

 

49,357

 

 

 

 

 

7,881

 

 

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

 

 

1,431,598

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

128

 

 

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

 

 

17,635

 

 

 

 

 

8

 

 

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

 

 

1,711

 

 

 

 

 

 

 

Ser. 7, Class S, 686.349%, 3/25/21

 

 

4,780

 

 

 

 

 

1

 

 

Ser. 10, Class S, 664.091%, 5/25/21

 

 

9,188

 

 

 

 

 

1

 

 

Ser. 12, Class S, 702.701%, 5/25/21

 

 

13,832

 

 

 

 

 

 

 

Ser. 17, Class S, 663.569%, 6/25/21

 

 

6,232

 

 

 

 

 

1

 

 

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

 

 

14,742

 

 

 

 

 

 

 

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

 

 

430

 

 

 

 

 

6

 

 

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

 

 

85,583

 

 

 

 

 

542

 

 

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

 

 

14,677

 

 

 

 

 

 

 

Ser. 84, Class H, 1,100.633%, 8/25/06

 

 

22

 

 

 

 

 

15

 

 

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

 

 

2,967

 

 

 

 

 

34,378

 

 

Ser. 90, Class JH, 2.663%, 11/25/34

 

 

1,855,039

 

 

 

 

 

5

 

 

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

 

 

1,072

 

 

 

 

 

 

 

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

 

 

2,623

 

 

 

 

 

 

 

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

 

 

442

 

 

 

 

 

22

 

 

Ser. 136, Class S, 16.024%, 11/25/20

 

 

27,448

 

 

 

 

 

 

 

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

 

 

3,186

 

 

 

 

 

9

 

 

Ser. 141, Class SA, 18.75%, 8/25/07

 

 

1,822

 

AAA

 

 

 

6,455

4

 

Goldman Sachs Mortgage Securities Corp., 0.997%, 2/19/25

 

 

139,100

 

AAA

 

 

 

3,824

 

 

Salomon Brothers Mortgage Securities VII, 0.401%, 3/25/22

 

 

1,202

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,692,114

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Principal Only Mortgage-Backed Securities—0.1%

 

 

 

 

 

 

 

 

141

2,5

 

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

 

 

123,783

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

72

5

 

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

 

 

56,590

 

 

 

 

 

17

5

 

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

 

 

15,485

 

 

 

 

 

32

5

 

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

 

 

30,778

 

 

 

 

 

31

5

 

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

 

 

26,754

 

 

 

 

 

20

5

 

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

 

 

16,391

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Principal Only Mortgage-Backed Securities

 

 

269,781

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities—5.3%

 

 

 

 

AAA

 

 

 

1,883

 

 

Banc of America Commercial Mortgage, Inc., 6.00%, 12/25/34

 

 

1,866,369

 

 

 

 

 

 

 

 

Bear Stearns Commercial Mortgage Services,

 

 

 

 

AAA

 

 

 

2,320

 

 

Ser. 7, Class A2, 4.945%, 2/11/41

 

 

2,287,520

 

AAA

 

 

 

2,400

 

 

Ser. 9, Class A4A, 4.871%, 9/15/42

 

 

2,334,840

 

AAA

 

 

 

2,970

 

 

CS First Boston Mortgage Securities Corp., 4.94%, 12/15/35

 

 

2,917,687

 

AAA

 

 

 

2,090

 

 

First Union National Bank Commercial Mortgage Trust, 7.202%, 10/15/32

 

 

2,265,602

 

AAA

 

 

 

2,475

 

 

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

 

 

2,399,884

 

 

 

 

 

 

 

 

JP Morgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

AAA

 

 

 

1,990

 

 

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

 

 

2,065,162

 

AAA

 

 

 

2,380

 

 

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

 

 

2,310,004

 

AAA

 

 

 

2,530

 

 

LB-UBS Commercial Mortgage Trust, 4.985%, 6/15/29

 

 

2,533,238

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

20,980,306

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

28


 

 

BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

Value

 












 

 

 

 

 

 

 

Collateralized Mortgage Obligation Residuals—0.0%

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust,

 

 

 

 

 

 

AAA

 

 

$

 

 

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

 

 

 

$

334

 

AAA

 

 

 

 

 

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

 

 

 

 

5,481

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

17

 

 

 

 

 

 

 

Ser. 173, Class RS, 9.072%, 11/15/21

 

 

 

 

18

 

 

 

 

 

 

 

Ser. 19, Class R, 11,078.201%, 3/15/20

 

 

 

 

2,119

 

 

 

 

 

 

 

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

 

 

 

 

3

 

 

 

 

 

 

 

Ser. 75, Class RS, 15.485%, 1/15/21

 

 

 

 

3

 

NR

 

 

 

6

6

 

PaineWebber CMO Trust, 13.80%, 9/01/18

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Collateralized Mortgage Obligation Residuals

 

 

 

 

7,975

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations—1.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

 

1,472

 

 

Ser. 2582, Class TB, 3.50%, 10/15/21

 

 

 

 

1,465,040

 

 

 

 

 

3,489

 

 

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

 

 

 

 

3,545,892

 

AAA

 

 

 

2,310

 

 

GE Capital Commercial Mortgage Corp., 6.269%, 12/10/35

 

 

 

 

2,437,396

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Collateralized Mortgage Obligations

 

 

 

 

7,448,328

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Corporate Bonds—46.6%

 

 

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—2.2%

 

 

 

 

 

 

B+

 

 

 

100

 

 

Armor Holdings, Inc., 8.25%, 8/15/13

 

 

 

 

108,000

 

B-

 

 

 

670

 

 

BE Aerospace, Inc., 8.875%, 5/01/11

 

 

 

 

705,175

 

BBB+

 

 

 

1,620

 

 

Lockheed Martin Corp., 8.50%, 12/01/29

 

 

 

 

2,195,003

 

BBB+

 

 

 

1,000

 

 

Northrop Grumman Corp., 7.125%, 2/15/11

 

 

 

 

1,089,830

 

 

 

 

 

 

 

 

Raytheon Co.,

 

 

 

 

 

 

BBB

 

 

 

712

 

 

6.15%, 11/01/08

 

 

 

 

734,677

 

NR

 

 

 

2,500

 

 

7.00%, 5/15/06

 

 

 

 

2,609,925

 

BB

 

 

 

100

 

 

Sequa Corp., 8.875%, 4/01/08

 

 

 

 

103,250

 

A+

 

 

 

1,250

 

 

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

 

 

 

 

1,226,200

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

8,772,060

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Automotive—0.2%

 

 

 

 

 

 

B-

 

 

 

270

 

 

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

 

 

 

 

255,150

 

BB+

 

 

 

90

 

 

Arvinmeritor, Inc., 8.75%, 3/01/12

 

 

 

 

85,050

 

B-

 

 

 

110

 

 

Goodyear Tire & Rubber Co., 7.857%, 8/15/11

 

 

 

 

105,875

 

CCC+

 

 

 

350

4

 

Metaldyne Corp., 11.00%, 11/01/13

 

 

 

 

314,125

 

BB

 

 

 

185

 

 

Navistar Intl. Corp., 6.25%, 3/01/12

 

 

 

 

166,038

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

926,238

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Basic Materials—2.8%

 

 

 

 

 

 

BB-

 

 

 

50

 

 

Abitibi-Consolidated, Inc., 8.375%, 4/01/15 (Canada)

 

 

 

 

46,375

 

B-

 

 

 

80

4

 

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 9.65%, 7/15/10

 

 

80,800

 

B-

 

 

 

3,185

 

 

Caraustar Industries, Inc., 9.875%, 4/01/11

 

 

 

 

3,097,412

 

BB-

 

 

 

170

 

 

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

 

 

 

 

172,125

 

BB-

 

 

 

300

 

 

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

 

 

 

328,500

 

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

 

 

B

 

 

 

72

 

 

11.50%, 7/15/12

 

 

 

 

81,360

 

BB-

 

 

 

230

 

 

11.625%, 10/15/10

 

 

 

 

261,625

 

BB

 

 

 

70

 

 

IMC Global, Inc., 10.875%, 6/01/08

 

 

 

 

78,225

 

CCC+

 

 

 

1,150

4

 

Innophos, Inc., 9.125%, 8/15/14

 

 

 

 

1,164,375

 

BBB

 

 

 

135

 

 

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

 

 

 

 

153,225

 

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

 

BB-

 

 

 

130

 

 

10.50%, 6/01/13

 

 

 

 

147,550

 

BB-

 

 

 

2,700

 

 

11.125%, 7/15/12

 

 

 

 

3,010,500

 

B-

 

 

 

95

 

 

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

 

 

 

 

97,138

 

CCC+

 

 

 

445

 

 

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

 

 

 

 

407,175

 

Ba3

 

 

 

1,000

 

 

Oregon Steel Mills, Inc., 10.00%, 7/15/09

 

 

 

 

1,071,250

 

B-

 

 

 

140

4

 

PQ Corp., 7.50%, 2/15/13

 

 

 

 

127,400

 

 

 

 

 

 

 

 

Rhodia SA,

 

 

 

 

 

 

CCC+

 

 

 

260

 

 

8.875%, 6/01/11 (France)

 

 

 

 

245,050

 

B3

 

 

 

40

 

 

10.25%, 6/01/10 (France)

 

 

 

 

42,500

 

See Notes to Financial Statements.

29


 

 

BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

Value

 















 

 

 

 

 

 

 

Basic Materials—(cont’d)

 

 

 

 

 

 

BBB-

 

 

$

170

4

 

Southern Peru Copper Corp., 7.50%, 7/27/35

 

 

 

$

165,325

 

BBB

 

 

 

300

 

 

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

 

 

 

 

283,089

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

11,060,999

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Building & Development—0.6%

 

 

 

 

 

 

B-

 

 

 

80

4

 

Ahern Rentals, Inc., 9.25%, 8/15/13

 

 

 

 

81,700

 

B2

 

 

 

230

4

 

Compression Polymers Corp., 10.50%, 7/01/13

 

 

 

 

209,300

 

B-

 

 

 

835

4

 

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

 

 

 

 

789,075

 

BB+

 

 

 

455

 

 

Hovnanian K Enterprises, Inc., 6.25%, 1/15/16

 

 

 

 

407,225

 

BB+

 

 

 

560

 

 

KB Home, 6.25%, 6/15/15

 

 

 

 

526,400

 

B

 

 

 

300

 

 

North American Energy Partners, Inc., 9.00%, 6/01/10 (Canada)

 

 

 

 

312,000

 

BBB+

 

 

 

60

 

 

Pulte Homes, Inc., 5.20%, 2/15/15

 

 

 

 

55,484

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

2,381,184

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Conglomerates—0.0%

 

 

 

 

 

 

BB-

 

 

 

30

 

 

Stena AB, 7.00%, 12/01/16 (Sweden)

 

 

 

 

27,750

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Consumer Products—3.2%

 

 

 

 

 

 

B3

 

 

 

95

 

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

 

 

85,975

 

BBB-

 

 

 

1,500

 

 

Autonation, Inc., 9.00%, 8/01/08

 

 

 

 

1,623,750

 

B3

 

 

 

2,000

 

 

Buffets, Inc., 11.25%, 7/15/10

 

 

 

 

2,000,000

 

 

 

 

 

 

 

 

Cenveo Corp.,

 

 

 

 

 

 

B3

 

 

 

275

 

 

7.875%, 12/01/13

 

 

 

 

253,687

 

B1

 

 

 

375

 

 

9.625%, 3/15/12

 

 

 

 

395,625

 

BB+

 

 

 

470

 

 

Delhaize America, Inc., 9.00%, 4/15/31

 

 

 

 

528,172

 

BBB+

 

 

 

560

 

 

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

 

 

 

 

569,722

 

B2

 

 

 

535

 

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

 

 

454,750

 

B2

 

 

 

90

 

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

 

 

101,700

 

 

 

 

 

 

 

 

GSC Holdings Corp.,

 

 

 

 

 

 

Ba3

 

 

 

70

4

 

7.875%, 10/01/11

 

 

 

 

70,438

 

Ba3

 

 

 

120

4

 

8.00%, 10/01/12

 

 

 

 

117,000

 

B-

 

 

 

735

4

 

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

 

 

683,550

 

B-

 

 

 

380

 

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

 

 

395,200

 

B

 

 

 

470

 

 

Levi Strauss & Co., 8.804%, 4/01/12

 

 

 

 

467,062

 

B3

 

 

 

750

 

 

Movie Gallery, Inc., 11.00%, 5/01/12

 

 

 

 

600,000

 

AA-

 

 

 

3,000

 

 

Procter & Gamble Co., 6.875%, 9/15/09

 

 

 

 

3,217,260

 

BB-

 

 

 

300

4

 

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

 

 

 

 

278,250

 

B-

 

 

 

730

4

 

Rite Aid Corp., 6.125%, 12/15/08

 

 

 

 

686,200

 

CCC+

 

 

 

240

4

 

Rural/Metro Corp., 9.875%, 3/15/15

 

 

 

 

250,800

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

12,779,141

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Containers & Packaging—1.3%

 

 

 

 

 

 

B+

 

 

 

1,500

 

 

Crown European Holdings SA, 9.50%, 3/01/11 (France)

 

 

 

 

1,650,000

 

CCC+

 

 

 

60

 

 

Graham Packaging Co., Inc., 9.875%, 10/15/14

 

 

 

 

56,850

 

BB-

 

 

 

1,850

 

 

Owens-Brockway Glass Container, Inc., 8.875%, 2/15/09

 

 

 

 

1,937,875

 

CCC+

 

 

 

170

4

 

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

 

 

 

 

166,600

 

B+

 

 

 

1,240

 

 

Stone Container Corp., 9.25%, 2/01/08

 

 

 

 

1,258,600

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

5,069,925

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Ecological Services & Equipment—0.7%

 

 

 

 

 

 

BB-

 

 

 

255

 

 

Allied Waste NA, Inc., 5.75%, 2/15/11

 

 

 

 

237,150

 

B

 

 

 

2,250

 

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

 

 

2,413,125

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

2,650,275

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Energy—4.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

 

 

B1

 

 

 

145

 

 

7.375%, 2/15/24

 

 

 

 

150,981

 

B1

 

 

 

565

 

 

9.625%, 11/01/21

 

 

 

 

683,650

 

B2

 

 

 

1,200

 

 

Aquila Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

 

 

1,224,000

 

B-

 

 

 

30

4

 

Calpine Corp., 8.50%, 7/15/10

 

 

 

 

21,075

 

CCC

 

 

 

5

 

 

Calpine Energy Finance ULC, 8.50%, 5/01/08 (Canada)

 

 

 

 

2,713

 

CCC+

 

 

 

320

 

 

Calpine Generating Co. LLC, 11.50%, 4/01/11

 

 

 

 

292,400

 

B-

 

 

 

130

4

 

Clayton Williams Energy, Inc., 7.75%, 8/01/13

 

 

 

 

125,450

 

See Notes to Financial Statements.

30


 

 

BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

Value

 













 

 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

 

 

CMS Energy Corp.,

 

 

 

 

 

 

BB-

 

 

$

35

 

 

7.50%, 1/15/09

 

 

 

$

36,225

 

BB-

 

 

 

105

 

 

9.875%, 10/15/07

 

 

 

 

112,875

 

Ba3

 

 

 

180

4

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

 

 

187,200

 

B2

 

 

 

445

 

 

Dresser, Inc., 9.375%, 4/15/11

 

 

 

 

463,912

 

 

 

 

 

 

 

 

Dynegy Holdings, Inc.,

 

 

 

 

 

 

B+

 

 

 

80

4

 

9.875%, 7/15/10

 

 

 

 

86,000

 

B+

 

 

 

995

4

 

10.125%, 7/15/13

 

 

 

 

1,094,500

 

 

 

 

 

 

 

 

El Paso CGP Co.,

 

 

 

 

 

 

B-

 

 

 

175

 

 

7.42%, 2/15/37

 

 

 

 

158,375

 

B-

 

 

 

100

 

 

9.625%, 5/15/12

 

 

 

 

109,625

 

B-

 

 

 

125

 

 

10.75%, 10/01/10

 

 

 

 

136,406

 

B-

 

 

 

120

 

 

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

 

 

 

 

118,950

 

 

 

 

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

 

 

B1

 

 

 

1,000

 

 

7.625%, 8/01/10

 

 

 

 

1,045,000

 

B1

 

 

 

150

 

 

8.375%, 6/15/32

 

 

 

 

165,375

 

Ba2

 

 

 

217

 

 

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

 

 

 

 

240,059

 

B

 

 

 

430

 

 

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

 

 

 

 

438,600

 

BBB-

 

 

 

480

 

 

FirstEnergy Corp., 6.45%, 11/15/11

 

 

 

 

505,378

 

AA-

 

 

 

575

 

 

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

 

 

 

 

513,164

 

BBB

 

 

 

190

 

 

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

 

 

 

 

218,458

 

 

 

 

 

 

 

 

Hilcorp Energy I LP/Hilcorp Finance Corp.,

 

 

 

 

 

 

B

 

 

 

100

4

 

7.75%, 11/01/15

 

 

 

 

100,000

 

B

 

 

 

136

4

 

10.50%, 9/01/10

 

 

 

 

152,320

 

 

 

 

 

 

 

 

KCS Energy, Inc.,

 

 

 

 

 

 

B-

 

 

 

80

 

 

7.125%, 4/01/12

 

 

 

 

81,400

 

B-

 

 

 

135

4

 

7.125%, 4/01/12

 

 

 

 

137,700

 

BBB+

 

 

 

1,250

 

 

Kinder Morgan Energy Partners LP, 7.30%, 8/15/33

 

 

 

 

1,411,625

 

BBB

 

 

 

1,000

 

 

Kinder Morgan, Inc., 6.50%, 9/01/12

 

 

 

 

1,058,470

 

A-

 

 

 

765

 

 

Midamerican Energy Co., 5.75%, 11/01/35

 

 

 

 

751,586

 

B+

 

 

 

118

 

 

Midwest Generation LLC, 8.56%, 1/02/16

 

 

 

 

128,913

 

B2

 

 

 

1,020

 

 

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

 

 

 

 

1,185,750

 

B-

 

 

 

110

4

 

Ocean Rig Norway AS, 8.375%, 7/01/13

 

 

 

 

118,525

 

B2

 

 

 

140

 

 

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

 

 

 

 

165,900

 

Baa2

 

 

 

1,800

 

 

Progress Energy, Inc., 6.75%, 3/01/06

 

 

 

 

1,812,330

 

B

 

 

 

25

 

 

Range Resources Corp., 6.375%, 3/15/15

 

 

 

 

25,063

 

BB-

 

 

 

105

 

 

Reliant Energy, Inc., 6.75%, 12/15/14

 

 

 

 

97,387

 

B2

 

 

 

360

4

 

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

 

 

 

 

365,400

 

AA

 

 

 

325

 

 

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

 

 

 

 

442,981

 

BB+

 

 

 

30

 

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

 

 

32,438

 

BBB-

 

 

 

135

 

 

Txu Corp., 6.50%, 11/15/24

 

 

 

 

122,353

 

B2

 

 

 

55

4

 

Whiting Petroleum Corp., 7.00%, 2/01/14

 

 

 

 

55,138

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

16,375,650

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Entertainment & Leisure—2.1%

 

 

 

 

 

 

B+

 

 

 

2,000

 

 

Boyd Gaming Corp., 8.75%, 4/15/12

 

 

 

 

2,135,000

 

B-

 

 

 

250

 

 

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

 

 

 

 

240,000

 

Ba3

 

 

 

1,000

 

 

MGM Mirage, 9.75%, 6/01/07

 

 

 

 

1,050,000

 

BB+

 

 

 

2,000

 

 

Park Place Entertainment Corp., 8.875%, 9/15/08

 

 

 

 

2,150,000

 

B

 

 

 

205

 

 

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

 

 

 

 

209,100

 

B+

 

 

 

110

4

 

San Pasqual Casino, 8.00%, 9/15/13

 

 

 

 

110,000

 

BB-

 

 

 

290

4

 

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

 

 

 

 

297,250

 

BB+

 

 

 

1,930

 

 

Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 5/01/12

 

 

 

 

2,079,575

 

B+

 

 

 

125

 

 

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

 

 

 

 

119,062

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

8,389,987

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Financial Institutions—12.8%

 

 

 

 

 

 

BB

 

 

 

350

4

 

American Real Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13

 

 

 

 

339,500

 

 

 

 

 

 

 

 

Bank of America Corp.,

 

 

 

 

 

 

Aa2

 

 

 

2,000

 

 

4.50%, 8/01/10

 

 

 

 

1,954,900

 

Aa3

 

 

 

2,450

 

 

7.80%, 2/15/10

 

 

 

 

2,707,495

 

See Notes to Financial Statements.

31


 

 

BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

Value

 











 

 

 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

 

 

Aa3

 

 

$

1,400

2

 

Bank One Corp., 6.50%, 2/01/06

 

 

 

$

1,407,504

 

AA

 

 

 

2,000

4

 

Barclays Bank PLC, 6.86%, 9/29/49 (United Kingdom)

 

 

 

 

2,130,000

 

B-

 

 

 

315

 

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

 

 

346,500

 

A+

 

 

 

500

 

 

Bear Stearns Co., Inc., 6.50%, 5/01/06

 

 

 

 

504,755

 

AAA

 

 

 

2,525

 

 

Berkshire Hathaway Fin. Corp., 3.375%, 10/15/08

 

 

 

 

2,429,631

 

AAA

 

 

 

1,440

 

 

Berkshire Hathaway Finance Corp., 4.125%, 1/15/10

 

 

 

 

1,397,563

 

B-

 

 

 

90

4

 

Borden US Finance Corp./Nova Scotia Finance ULC, 9.00%, 7/15/14

 

 

 

 

88,650

 

 

 

 

 

 

 

 

Citigroup, Inc.,

 

 

 

 

 

 

AA+

 

 

 

5,975

 

 

4.125%, 2/22/10

 

 

 

 

5,779,319

 

AA+

 

 

 

275

 

 

5.85%, 12/11/34

 

 

 

 

278,974

 

AA+

 

 

 

550

 

 

6.875%, 2/15/98

 

 

 

 

614,850

 

 

 

 

 

 

 

 

Credit Suisse First Boston, Inc.,

 

 

 

 

 

 

AA-

 

 

 

700

2

 

6.125%, 11/15/11

 

 

 

 

733,859

 

AA-

 

 

 

1,000

 

 

7.125%, 7/15/32

 

 

 

 

1,153,600

 

BB

 

 

 

1,090

 

 

Crum & Forster Hldgs. Corp., 10.375%, 6/15/13

 

 

 

 

1,166,300

 

AA-

 

 

 

950

 

 

Deutsche Bank AG NY, 3.843%, 3/15/07

 

 

 

 

943,065

 

B+

 

 

 

130

4

 

E*Trade Financial Corp., 7.375%, 9/15/13

 

 

 

 

128,050

 

BB

 

 

 

200

 

 

Fairfax Financial Holdings Ltd., 7.75%, 4/26/12 (Canada)

 

 

 

 

182,000

 

AAA

 

 

 

3,000

 

 

General Electric Cap. Corp., 6.75%, 3/15/32

 

 

 

 

3,432,780

 

AAA

 

 

 

3,670

 

 

General Electric Capital Corp., 3.45%, 1/15/08

 

 

 

 

3,635,722

 

AA-

 

 

 

1,000

 

 

Goldman Sachs Group, Inc., 6.60%, 1/15/12

 

 

 

 

1,068,880

 

AA

 

 

 

2,525

 

 

HSBC Bank USA, Inc., 3.875%, 9/15/09

 

 

 

 

2,430,287

 

B-

 

 

 

360

 

 

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

 

 

 

 

360,000

 

AAA

 

 

 

3,000

 

 

KFW Intl. Finance, Inc., 5.25%, 6/28/06

 

 

 

 

3,017,190

 

A+

 

 

 

1,500

 

 

Lehman Brothers Holdings, Inc., 6.625%, 1/18/12

 

 

 

 

1,614,435

 

A

 

 

 

1,925

 

 

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

 

 

 

 

1,853,910

 

B-

 

 

 

460

4

 

Nell AF, 8.375%, 8/15/15 (Luxembourg)

 

 

 

 

441,600

 

A

 

 

 

700

 

 

Prudential Funding LLC, 5.40%, 6/13/35

 

 

 

 

646,037

 

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

 

B+

 

 

 

225

4

 

8.75%, 9/01/12

 

 

 

 

236,250

 

B+

 

 

 

1,445

4

 

10.375%, 9/01/14

 

 

 

 

1,593,112

 

AA-

 

 

 

395

 

 

RBS Capital Trust I, 4.709%, 12/29/49

 

 

 

 

371,434

 

B-

 

 

 

465

 

 

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

 

 

 

 

442,913

 

AA

 

 

 

2,000

 

 

UBS Preferred Funding Trust I, 8.622%, 10/29/49

 

 

 

 

2,288,762

 

B-

 

 

 

50

 

 

Universal City Florida Hldg. Co. I/II, 9.00%, 5/01/10

 

 

 

 

51,000

 

Aa1

 

 

 

1,000

 

 

Wells Fargo & Co., 4.625%, 8/09/10

 

 

 

 

983,020

 

Aa1

 

 

 

2,000

 

 

Wells Fargo Bank, 7.55%, 6/21/10

 

 

 

 

2,201,640

 

BB-

 

 

 

50

 

 

Western Financial Bank, 9.625%, 5/15/12

 

 

 

 

56,625

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

51,012,112

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Health Care—1.3%

 

 

 

 

 

 

CCC

 

 

 

20

 

 

Curative Health Services, Inc., 10.75%, 5/01/11

 

 

 

 

13,500

 

B

 

 

 

200

4

 

Elan Finance Corp., 7.75%, 11/15/11 (Ireland)

 

 

 

 

176,000

 

NR

 

 

 

2,000

 

 

HealthSouth Corp., 7.00%, 6/15/08

 

 

 

 

1,960,000

 

B

 

 

 

460

4

 

Insight Health Services Corp., 9.174%, 11/01/11

 

 

 

 

435,850

 

BB+

 

 

 

1,500

 

 

Omnicare, Inc., 8.125%, 3/15/11

 

 

 

 

1,565,625

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

 

 

B

 

 

 

80

 

 

6.375%, 12/01/11

 

 

 

 

69,800

 

B

 

 

 

100

 

 

9.875%, 7/01/14

 

 

 

 

97,500

 

B-

 

 

 

450

 

 

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

 

 

 

 

454,500

 

BBB+

 

 

 

350

 

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

 

 

355,495

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

5,128,270

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Industrials—2.2%

 

 

 

 

 

 

BBB-

 

 

 

2,000

 

 

Briggs & Stratton Corp., 8.875%, 3/15/11

 

 

 

 

2,260,000

 

B-

 

 

 

80

4

 

Chart Industries, Inc., 9.125%, 10/15/15

 

 

 

 

79,000

 

Caa1

 

 

 

1,520

4

 

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

 

 

 

 

1,573,200

 

B-

 

 

 

780

 

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

 

 

803,400

 

Caa1

 

 

 

375

4

 

Hydrochem Industrial Services, 9.25%, 2/15/13

 

 

 

 

342,188

 

B

 

 

 

1,306

 

 

Manitowoc, Inc., 10.50%, 8/01/12

 

 

 

 

1,452,925

 

B-

 

 

 

470

 

 

NationsRent Cos., Inc., 9.50%, 5/01/15

 

 

 

 

487,625

 

CCC+

 

 

 

465

 

 

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

 

 

 

 

405,712

 

See Notes to Financial Statements.

32


 

 

BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

Value

 















 

 

 

 

 

 

 

Industrials—(cont’d)

 

 

 

 

 

 

B3

 

 

$

530

4

 

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

 

 

 

$

535,300

 

CCC+

 

 

 

360

 

 

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

 

 

 

 

293,400

 

Caa1

 

 

 

345

 

 

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

 

 

 

 

313,950

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

8,546,700

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Media—5.8%

 

 

 

 

 

 

B-

 

 

 

460

 

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

 

 

457,700

 

CCC+

 

 

 

390

 

 

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

 

 

 

 

370,500

 

 

 

 

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

 

 

BBB+

 

 

 

1,635

 

 

7.57%, 2/01/24

 

 

 

 

1,822,600

 

BBB+

 

 

 

3,000

 

 

9.125%, 1/15/13

 

 

 

 

3,599,310

 

BBB+

 

 

 

950

 

 

AT&T Broadband Corp., 8.375%, 3/15/13

 

 

 

 

1,094,200

 

BBB

 

 

 

700

4

 

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

 

 

 

 

685,825

 

CCC+

 

 

 

2,088

4

 

CCH I LLC, 11.00%, 10/01/15

 

 

 

 

1,881,810

 

CCC+

 

 

 

745

 

 

Charter Communications Holdings II, LLC/Charter Communications Holdings II Cap. Corp., 10.25%, 9/15/10

 

 

 

 

746,862

 

BBB+

 

 

 

1,000

 

 

Comcast Cable Communications, Inc., 6.75%, 1/30/11

 

 

 

 

1,056,690

 

 

 

 

 

 

 

 

Comcast Corp.,

 

 

 

 

 

 

BBB+

 

 

 

250

 

 

5.65%, 6/15/35

 

 

 

 

223,553

 

BBB+

 

 

 

2,210

 

 

7.05%, 3/15/33

 

 

 

 

2,365,252

 

BB-

 

 

 

135

 

 

Echostar DBS Corp., 7.304%, 10/01/08

 

 

 

 

137,363

 

B

 

 

 

250

 

 

General Cable Corp., 9.50%, 11/15/10

 

 

 

 

263,125

 

CCC+

 

 

 

90

 

 

iesy Repository GmbH, 10.375%, 2/15/15 (Germany)

 

 

 

 

96,525

 

BBB

 

 

 

2,995

 

 

News America, Inc., 6.20%, 12/15/34

 

 

 

 

2,905,839

 

B3

 

 

 

180

 

 

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

 

 

 

 

159,300

 

B2

 

 

 

460

 

 

Primedia, Inc., 9.715%, 5/15/10

 

 

 

 

469,200

 

B

 

 

 

1,000

 

 

Quebecor Media, Inc., 11.125%, 7/15/11 (Canada)

 

 

 

 

1,087,500

 

B

 

 

 

400

 

 

Sinclair Broadcast Group, Inc., 8.75%, 12/15/11

 

 

 

 

422,000

 

BBB+

 

 

 

1,495

 

 

TCI Communications, Inc., 8.75%, 8/01/15

 

 

 

 

1,818,219

 

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

 

 

Caa1

 

 

 

825

 

 

10.875%, 6/15/09

 

 

 

 

767,250

 

Caa2

 

 

 

80

4

 

13.50%, 12/07/09

 

 

 

 

61,600

 

Caa1

 

 

 

715

 

 

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

 

 

 

 

672,100

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

23,164,323

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Real Estate—1.5%

 

 

 

 

 

 

BBB+

 

 

 

1,000

 

 

AvalonBay Communities, Inc., 6.625%, 9/15/11

 

 

 

 

1,059,870

 

 

 

 

 

 

 

 

EOP Operating LP,

 

 

 

 

 

 

BBB+

 

 

 

850

 

 

4.65%, 10/01/10

 

 

 

 

826,404

 

BBB+

 

 

 

1,070

 

 

7.25%, 6/15/28

 

 

 

 

1,179,621

 

A

 

 

 

585

 

 

ERP Operating LP, 5.25%, 9/15/14

 

 

 

 

576,787

 

 

 

 

 

 

 

 

Rouse Co.,

 

 

 

 

 

 

BB+

 

 

 

725

 

 

3.625%, 3/15/09

 

 

 

 

674,598

 

BB+

 

 

 

1,715

 

 

5.375%, 11/26/13

 

 

 

 

1,615,736

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

5,933,016

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Technology—1.6%

 

 

 

 

 

 

B

 

 

 

355

 

 

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

 

 

 

 

343,462

 

B+

 

 

 

100

4

 

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

 

 

 

 

111,375

 

BB-

 

 

 

895

 

 

Lucent Technologies, Inc., 6.50%, 1/15/28

 

 

 

 

760,750

 

Ba3

 

 

 

220

 

 

MagnaChip Semiconductor SA/Magna Semiconductor Finance Co., 7.12%, 12/15/11 (Luxembourg)

 

 

 

 

214,500

 

B+

 

 

 

115

 

 

Sanmina-SCI Corp., 6.75%, 3/01/13

 

 

 

 

108,388

 

BB+

 

 

 

2,000

 

 

Seagate Technology Holdings, 8.00%, 5/15/09

 

 

 

 

2,095,000

 

 

 

 

 

 

 

 

Stats Chippac Ltd.,

 

 

 

 

 

 

BB

 

 

 

350

 

 

6.75%, 11/15/11 (Singapore)

 

 

 

 

338,188

 

BB

 

 

 

50

 

 

7.50%, 7/19/10 (Singapore)

 

 

 

 

50,250

 

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

 

 

B-

 

 

 

120

4

 

8.525%, 8/15/13

 

 

 

 

123,600

 

B-

 

 

 

300

4

 

9.125%, 8/15/13

 

 

 

 

306,750

 

B-

 

 

 

480

4

 

10.25%, 8/15/15

 

 

 

 

475,200

 

B

 

 

 

905

 

 

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

 

 

 

 

895,950

 

B-

 

 

 

370

 

 

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

 

 

 

 

405,150

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

6,228,563

 

 

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

33



 

 

BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 













 

 

 

 

 

 

 

Telecommunications—3.0%

 

 

 

 

 

 

A

 

 

$

1,700

 

 

Bellsouth Telecommunications, Zero Coupon, 12/15/95

 

 

 

$

843,914

 

BB-

 

 

 

270

 

 

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

 

 

 

 

281,475

 

B-

 

 

 

170

4

 

Hawaiian Telcom Communications, Inc., 9.948%, 5/01/13

 

 

 

 

167,875

 

 

 

 

 

 

 

 

Intelsat Ltd.,

 

 

 

 

 

 

Caa1

 

 

 

180

 

 

5.25%, 11/01/08

 

 

 

 

163,800

 

B2

 

 

 

70

4

 

8.25%, 1/15/13

 

 

 

 

70,175

 

B2

 

 

 

460

4

 

8.625%, 1/15/15

 

 

 

 

466,900

 

B2

 

 

 

315

4

 

8.695%, 1/15/12

 

 

 

 

319,725

 

BB-

 

 

 

200

 

 

Lucent Technologies, Inc., 6.45%, 3/15/29

 

 

 

 

171,000

 

B-

 

 

 

80

 

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

 

 

72,800

 

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

 

 

BB+

 

 

 

375

4

 

7.12%, 6/15/13

 

 

 

 

392,813

 

BB+

 

 

 

55

 

 

7.875%, 9/01/11

 

 

 

 

57,750

 

BB

 

 

 

400

 

 

Qwest Services Corp., 13.50%, 12/15/10

 

 

 

 

456,500

 

Caa1

 

 

 

790

 

 

Rural Cellular Corp., 9.875%, 2/01/10

 

 

 

 

821,600

 

A

 

 

 

435

 

 

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

 

 

 

 

438,558

 

 

 

 

 

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

 

A-

 

 

 

1,205

 

 

6.875%, 11/15/28

 

 

 

 

1,287,555

 

A-

 

 

 

1,250

 

 

8.75%, 3/15/32

 

 

 

 

1,616,462

 

A+

 

 

 

635

 

 

Verizon Global Funding Corp., 7.75%, 12/01/30 - 6/15/32

 

 

 

 

735,765

 

A+

 

 

 

540

 

 

Verizon Maryland Incorporated, 5.125%, 6/15/33

 

 

 

 

450,862

 

A+

 

 

 

1,410

 

 

Verizon Pennsylvania, Inc., 5.65%, 11/15/11

 

 

 

 

1,402,104

 

A+

 

 

 

750

 

 

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

 

 

 

 

699,398

 

A+

 

 

 

1,000

 

 

Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom)

 

 

 

 

1,100,770

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

12,017,801

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Transportation—1.2%

 

 

 

 

 

 

A-

 

 

 

1,000

 

 

Canadian National Railway Co., 6.375%, 10/15/11 (Canada)

 

 

 

 

1,064,430

 

BBB

 

 

 

1,475

 

 

Canadian Pacific Railway Ltd., 6.25%, 10/15/11 (Canada)

 

 

 

 

1,561,995

 

B

 

 

 

400

4

 

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

 

 

 

 

402,000

 

B

 

 

 

50

 

 

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

 

 

 

 

50,438

 

B3

 

 

 

47

 

 

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

 

 

 

 

49,879

 

BBB+

 

 

 

1,400

 

 

Norfolk Southern Corp., 7.05%, 5/01/37

 

 

 

 

1,645,756

 

B+

 

 

 

115

 

 

OMI Corp., 7.625%, 12/01/13

 

 

 

 

118,162

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

4,892,660

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Corporate Bonds

 

 

 

 

185,356,654

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

U.S. Government and Agency Securities—48.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

Overseas Private Investment Corp.,

 

 

 

 

 

 

 

 

 

 

329

 

 

4.09%, 5/29/12

 

 

 

 

300,317

 

 

 

 

 

919

 

 

4.30%, 5/29/12

 

 

 

 

858,214

 

 

 

 

 

686

 

 

4.64%, 5/29/12

 

 

 

 

650,716

 

 

 

 

 

387

 

 

4.68%, 5/29/12

 

 

 

 

359,479

 

 

 

 

 

2,925

 

 

4.87%, 5/29/12

 

 

 

 

2,806,453

 

 

 

 

 

3,655

 

 

5.40%, 5/29/12

 

 

 

 

3,646,134

 

 

 

 

 

419

 

 

5.46%, 2/15/06

 

 

 

 

430,081

 

 

 

 

 

742

 

 

5.79%, 5/29/12

 

 

 

 

759,933

 

 

 

 

 

510

6

 

5.88%, 2/15/06

 

 

 

 

512,946

 

 

 

 

 

1,408

 

 

5.94%, 5/29/12

 

 

 

 

1,447,533

 

 

 

 

 

401

 

 

5.95%, 5/29/12

 

 

 

 

409,546

 

 

 

 

 

473

 

 

6.10%, 5/29/12

 

 

 

 

488,602

 

 

 

 

 

572

 

 

6.81%, 5/29/12

 

 

 

 

599,331

 

 

 

 

 

4,567

 

 

6.89%, 5/29/12

 

 

 

 

4,802,098

 

 

 

 

 

1,535

 

 

6.91%, 5/29/12

 

 

 

 

1,600,529

 

 

 

 

 

413

 

 

7.35%, 2/15/06

 

 

 

 

436,510

 

 

 

 

 

 

 

 

Small Business Administration, 6.95%, 11/01/16

 

 

 

 

1,381,982

 

 

 

 

 

 

 

 

Tennessee Valley Authority,

 

 

 

 

 

 

 

 

 

 

1,800

3

 

Ser. C, 5.88%, 4/01/36

 

 

 

 

1,987,812

 

 

 

 

 

2,900

3

 

Ser. D, 4.875%, 12/15/16

 

 

 

 

2,933,321

 

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

 

 

 

 

 

 

32,000

3

 

6.00%, 2/15/26

 

 

 

 

36,787,488

 

 

 

 

 

6,160

3

 

6.125%, 11/15/27

 

 

 

 

7,235,105

 

 

 

 

 

24,320

3

 

6.50%, 11/15/26

 

 

 

 

29,621,031

 

 

 

 

 

9,795

3

 

7.125%, 2/15/23

 

 

 

 

12,404,486

 

 

 

 

 

445

 

 

8.125%, 8/15/19

 

 

 

 

594,146

 

 

 

 

 

17,370

3

 

8.50%, 2/15/20

 

 

 

 

23,975,985

 

See Notes to Financial Statements.

34



 

 

BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

 

Value

 













 

 

 

 

 

 

 

U.S. Government and Agency Securities—(cont’d)

 

 

 

 

 

 

 

 

 

$

59,235

 

 

U.S. Treasury Notes, 4.00%, 8/31/07-2/15/15

 

 

 

$

57,805,729

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

 

 

194,835,507

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Bond—0.5%

 

 

 

 

 

 

 

 

 

 

6,055

3

 

Resolution Funding Corp., 4/15/30

 

 

 

 

1,823,949

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Long-Term Investments (cost $611,353,630)

 

 

 

 

605,949,790

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—0.6%

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Bonds—0.6%

 

 

 

 

 

 

 

 

 

 

200

 

 

Federal Home Loan Bank, 3.65%, 11/01/057

 

 

 

 

200,000

 

 

 

 

 

900

 

 

FNMA Discount Notes, 3.72%, 11/01/057

 

 

 

 

900,000

 

 

 

 

 

1,400

 

 

U.S. Treasury Bills, 3.17%, 11/10/057

 

 

 

 

1,398,895

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Short-Term Investments (cost $2,498,895)

 

 

 

 

2,498,895

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments before TBA Commitments and outstanding options written—152.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

(cost $613,852,5258 )

 

 

 

 

608,448,685

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

TBA SALE COMMITMENTS—(30.7)%

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—(30.7)%

 

 

 

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc. TBA,

 

 

 

 

 

 

 

 

 

 

(300

)

 

5.50%, 11/30/20

 

 

 

 

(301,968

)

 

 

 

 

(87,500

)

 

5.50%, 11/30/35

 

 

 

 

(86,296,875

)

 

 

 

 

(35,200

)

 

6.00%, 11/30/35

 

 

 

 

(35,497,018

)

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total TBA Sale Commitments (proceeds $122,969,414)

 

 

 

 

(122,095,861

)

 

 

 

 

 

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

 

 

 

 

 

 

 

 

 





 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.7)%

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

 

 

(5,700

)

 

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/18

 

 

 

 

(205,912

)

 

 

 

 

(5,700

)

 

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/18

 

 

 

 

(255,645

)

 

 

 

 

(12,400

)

 

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

 

 

 

 

(455,046

)

 

 

 

 

(12,400

)

 

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

 

 

 

 

(723,523

)

 

 

 

 

(14,200

)

 

Trust pays 3-month LIBOR, Trust Receives 4.725%, expires 6/13/07

 

 

 

 

(755,866

)

 

 

 

 

(14,200

)

 

Trust pays 4.725%, Trust Receives 3-month LIBOR, expires 6/13/07

 

 

 

 

(291,668

)

 

 

 

 

(76

)

 

U.S. Treasury Notes Futures, expires 2/24/06

 

 

 

 

(40,969

)

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Outstanding Options Written (premium received $2,917,398)

 

 

 

 

(2,728,629

)

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments net of TBA sale commitments and outstanding options written—121.5%

 

 

 

$

483,624,195

 

 

 

 

 

 

 

 

Liabilities in excess of other assets—(21.5)%

 

 

 

 

(85,546,142

)

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Net Assets—100%

 

 

 

$

398,078,053

 

 

 

 

 

 

 

 

 

 

 

 



 



 

 

1

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

2

Security, or a portion thereof, pledged as collateral with a value of $2,448,265 on 234 long U.S. Treasury Note futures contracts expiring December 2005, 780 long U.S. Treasury Bond futures contracts expiring December 2005, 1,163 short U.S. Treasury Note futures contracts expiring December 2005 and 228 short Eurodollar futures contracts expiring March 2006 to September 2007. The notional value of such contracts on October 31, 2005 was ($64,718,528), with an unrealized loss of $1,194,797.

3

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

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 5.5% of its net assets, with a current market value of $21,777,631, in securities restricted as to resale.

5

Rate shown is interest rate or effective yield as of October 31, 2005 of the underlying collateral.

6

Security is fair valued.

7

Rate shown is yield to maturity as of October 31, 2005.

8

Cost for Federal income tax purposes is $614,171,549. The net unrealized depreciation on a tax basis is $5,722,864, consisting of $6,715,839 gross unrealized appreciation and $12,438,703 gross unrealized depreciation.

A category in the Corporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

 


KEY TO ABBREVIATIONS

TBA – To Be Announced

See Notes to Financial Statements.

35


 

 

PORTFOLIO OF INVESTMENTS

 

OCTOBER 31, 2005

 

BlackRock Income Trust Inc. (BKT)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

 

Value

 














 

 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—140.7%

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—32.1%

 

 

 

 

 

 

 

 

 

 

 

 

CWALT, Inc.,

 

 

 

 

AAA

 

 

 

$

3,870

 

 

Class 1 A1, 4.768%, 10/25/35

 

$

3,908,961

 

AAA

 

 

 

 

7,532

 

 

Class 1 A5, 5.50%, 8/25/35

 

 

7,539,458

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

1,277

2

 

4.173%, 1/01/35

 

 

1,269,263

 

 

 

 

 

 

43

 

 

4.655%, 2/01/25

 

 

43,338

 

 

 

 

 

 

1,054

2

 

4.959%, 10/01/34

 

 

1,037,245

 

 

 

 

 

 

11,855

 

 

5.50%, 10/01/16 - 5/01/17

 

 

11,936,866

 

 

 

 

 

 

41

 

 

5.555%, 11/01/30

 

 

41,724

 

 

 

 

 

 

32

 

 

5.885%, 11/01/17

 

 

32,246

 

 

 

 

 

 

81

 

 

6.50%, 5/01/29 - 5/01/30

 

 

83,980

 

 

 

 

 

 

15

 

 

7.50%, 2/01/23

 

 

15,543

 

 

 

 

 

 

81

 

 

8.00%, 11/01/15

 

 

84,327

 

 

 

 

 

 

30

 

 

8.50%, 10/01/06 - 3/01/08

 

 

30,966

 

 

 

 

 

 

203

 

 

9.00%, 9/01/20

 

 

219,347

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

 

25,482

2

 

5.00%, 6/01/33 - 11/01/35

 

 

24,589,573

 

 

 

 

 

 

59,531

2,3

 

5.50%, 12/01/13 - 10/01/35

 

 

59,432,339

 

 

 

 

 

 

7,154

 

 

6.00%, 11/01/31 - 8/01/34

 

 

7,221,184

 

 

 

 

 

 

3,714

2

 

6.50%, 2/01/26 - 5/01/31

 

 

3,818,632

 

 

 

 

 

 

6,127

 

 

7.00%, 6/01/26 - 01/01/32

 

 

6,404,273

 

 

 

 

 

 

5,115

 

 

7.50%, 11/01/14 - 9/01/23

 

 

5,236,701

 

 

 

 

 

 

305

 

 

8.00%, 5/01/08 - 5/01/22

 

 

313,238

 

 

 

 

 

 

12

 

 

9.50%, 1/01/19 - 9/01/19

 

 

12,916

 

 

 

 

 

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

 

 

115

 

 

7.00%, 10/15/17

 

 

120,892

 

 

 

 

 

 

604

 

 

7.50%, 8/15/21 - 12/15/23

 

 

640,864

 

 

 

 

 

 

395

 

 

8.00%, 10/15/22 - 2/15/29

 

 

424,833

 

 

 

 

 

 

41

 

 

9.00%, 6/15/18 - 9/15/21

 

 

44,823

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

134,503,532

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

Federal Housing Administration Securities—2.9%

 

 

 

 

 

 

 

 

 

517

 

 

GMAC Colonial, 7.40%, 12/01/22

 

 

523,708

 

 

 

 

 

 

4,058

 

 

GMAC Projects, Ser. 56, 7.43%, 11/01/22 - 2/01/23

 

 

4,116,906

 

 

 

 

 

 

53

 

 

Merrill Projects, 7.43%, 5/15/23

 

 

53,630

 

 

 

 

 

 

837

 

 

Reilly Project, 8.28%, 3/01/20

 

 

849,835

 

 

 

 

 

 

6,440

 

 

USGI Projects, Ser. 99, 7.43%, 6/01/21 - 10/01/23

 

 

6,532,675

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

Total Federal Housing Administration Securities

 

 

12,076,754

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—19.9%

 

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

5,654

 

 

Ser. 11, Class A9, 2.504%, 1/25/28

 

 

4,721,151

 

 

 

 

 

 

4,000

 

 

Ser. 40, Class K, 6.50%, 10/15/08 - 8/17/24

 

 

4,104,330

 

 

 

 

 

 

10,200

 

 

Ser. 2542, Class UC, 6.00%, 12/15/22

 

 

10,350,960

 

 

 

 

 

 

12,344

2

 

Ser. 2758, Class KV, 5.50%, 5/15/23

 

 

12,367,429

 

 

 

 

 

 

1,654

 

 

Ser. 2765, Class UA, 4.00%, 3/15/11

 

 

1,551,280

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

 

29,119

 

 

Ser. 28, Class PB, 6.00%, 9/25/15 - 1/25/34

 

 

29,611,606

 

 

 

 

 

 

124

 

 

Ser. 38, Class F, 8.325%, 4/25/21

 

 

132,602

 

 

 

 

 

 

5,157

 

 

Ser. 43, Class E, 7.50%, 4/25/22 - 5/25/34

 

 

5,479,783

 

 

 

 

 

 

1,687

 

 

Ser. 60, Class PA, 5.50%, 3/01/34 - 4/25/34

 

 

1,648,685

 

 

 

 

 

 

4

 

 

Ser. 256, Class F, 5.563%, 11/25/23

 

 

4,066

 

 

 

 

 

 

3,052

 

 

Freddie Mac Structured Pass, 5.50%, 6/15/35

 

 

3,058,883

 

See Notes to Financial Statements.

36


 

 

BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 










 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

$

1,571

 

 

Ser. 5, Class Z, 7.00%, 5/16/26

 

$

1,621,683

 

 

 

 

 

2,500

 

 

Ser. 33, Class PB, 6.50%, 7/20/31

 

 

2,572,709

 

 

 

 

 

12,725

 

 

Ser. 75, Class IJ, 5.50%, 7/20/25

 

 

676,348

 

 

 

 

 

5,267

 

 

Ser. 89, Class PE, 6.00%, 10/20/34

 

 

5,445,020

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

83,346,535

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

10,909

 

 

Residential Funding Securities Corp., 8.50%, 5/25/33

 

 

11,321,861

 

 

 

 

 

82

4

 

Summit Mortgage Trust, 6.292%, 12/28/12

 

 

82,114

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

11,403,975

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—1.6%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

24

 

 

Ser. 1043, Class H, 26.438%, 2/15/21

 

 

28,274

 

 

 

 

 

47

 

 

Ser. 1160, Class F, 22.631%, 10/15/21

 

 

48,545

 

 

 

 

 

455

3

 

Ser. 1616, Class SB, 8.50%, 11/15/08

 

 

454,922

 

 

 

 

 

1,449

 

 

Ser. 1688, Class S, 9.754%, 12/15/13

 

 

1,473,235

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

126

 

 

Ser. 38, Class SA, 10.186%, 4/25/21

 

 

129,584

 

 

 

 

 

 

 

Ser. 46, Class S, 1,588.688%, 5/25/21

 

 

9,219

 

 

 

 

 

 

 

Ser. 49, Class S, 612.30%, 12/25/21

 

 

3,859

 

 

 

 

 

661

 

 

Ser. 72, Class S, 8.75%, 5/25/08

 

 

663,430

 

 

 

 

 

180

 

 

Ser. 87, Class S, 15.917%, 8/25/21

 

 

244,113

 

 

 

 

 

283

 

 

Ser. 93, Class S, 8.50%, 5/25/08

 

 

282,767

 

 

 

 

 

3

 

 

Ser. 145, Class S, 21.831%, 10/25/06

 

 

2,851

 

 

 

 

 

130

 

 

Ser. 170, Class SC, 9.00%, 9/25/08

 

 

131,639

 

 

 

 

 

1,253

 

 

Ser. 196, Class SC, 8.313%, 10/25/08

 

 

1,264,300

 

 

 

 

 

469

 

 

Ser. 214, Class SH, 7.73%, 12/25/08

 

 

450,206

 

 

 

 

 

1,392

 

 

Ser. 247, Class SN, 10.00%, 12/25/23

 

 

1,375,449

 

 

 

 

 

242

 

 

Kidder Peabody Acceptance Corp., 9.123%, 8/25/23

 

 

241,266

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

6,803,659

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—1.5%

 

 

 

 

 

 

 

 

5,776

4

 

Morgan Stanley Cap. Trust I, 1.686%, 6/15/17

 

 

88,915

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

 

 

 

42,140

 

 

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

 

 

3,476,514

 

 

 

 

 

33,705

 

 

Ser. 2, 1.00%, 3/30/30

 

 

2,570,006

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

6,135,435

 

 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—9.2%

 



 

 

 

 

 

3,581

 

 

ABN Amro Mortgage Corp., 5.50%, 3/25/33

 

 

116,933

 

 

 

 

 

245

 

 

American Housing Trust, Zero Coupon, 3/25/19

 

 

5,000

 

 

 

 

 

82,632

5

 

Commercial Mortgage Acceptance Corp., 0.919% 11/15/17

 

 

1,544,981

 

 

 

 

 

26,515

4

 

CS First Boston Mortgage Securities Corp., 1.721%, 6/20/29

 

 

858,570

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

9,093

 

 

Ser. 60, Class HS, 1.938%, 4/25/24

 

 

113,393

 

 

 

 

 

 

 

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

 

 

102

 

 

 

 

 

 

 

Ser. 192, Class U, 1,009.033%, 2/15/22

 

 

129

 

 

 

 

 

2,601

 

 

Ser. 204, 6.00%, 5/01/29

 

 

596,502

 

 

 

 

 

 

 

Ser. 1054, Class I, 522.36%, 3/15/21

 

 

569

 

 

 

 

 

 

 

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

 

 

2,834

 

 

 

 

 

 

 

Ser. 1057, Class J, 1,008.001%, 3/15/21

 

 

5,546

 

 

 

 

 

1

 

 

Ser. 1148, Class E, 710.464%, 10/15/21

 

 

1,768

 

 

 

 

 

 

 

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

 

 

369

 

 

 

 

 

 

 

Ser. 1221 Class H, 1,006.50%, 3/15/07

 

 

191

 

 

 

 

 

513

 

 

Ser. 1706, Class IA, 7.00%, 10/15/23

 

 

31,338

 

 

 

 

 

160

 

 

Ser. 1720, Class PK, 7.50%, 1/15/24

 

 

11,444

 

 

 

 

 

5,925

 

 

Ser. 1914, Class PC, 0.75%, 12/15/11

 

 

69,148

 

See Notes to Financial Statements.

37


 

 

BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 











 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp., (cont’d)

 

 

 

 

 

 

 

$

3,842

 

 

Ser. 2002, Class HJ, 3.00%, 10/15/08

 

$

43,468

 

 

 

 

 

1,432

 

 

Ser. 2296, Class SA, 3.635%, 3/15/16

 

 

76,799

 

 

 

 

 

791

 

 

Ser. 2444, Class ST, 3.855%, 9/15/29

 

 

43,496

 

 

 

 

 

48,068

 

 

Ser. 2687, Class IQ, 5.50%, 8/15/13-9/15/32

 

 

4,305,349

 

 

 

 

 

29,415

 

 

Ser. 2773, Class OX, 5.00%, 9/15/12-4/15/26

 

 

3,173,347

 

 

 

 

 

9,448

 

 

Ser. 2559, Class IO, 0.961%, 8/15/30

 

 

44,294

 

 

 

 

 

50,585

 

 

Ser. 2786, Class PI, 4.50%, 10/15/10-7/15/19

 

 

2,522,471

 

 

 

 

 

16,219

 

 

Ser. 2779, Class YS, 3.035%, 1/15/33

 

 

1,123,023

 

 

 

 

 

22,027

 

 

Ser. 2780, Class SM, 1.885%, 4/15/34

 

 

564,110

 

 

 

 

 

6,727

 

 

Ser. 2825, Class NI, 5.50%, 3/15/30

 

 

1,558,171

 

 

 

 

 

43,942

 

 

Ser. 2990, Class WR, 2.431%, 6/15/35

 

 

2,842,531

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

328

 

 

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

 

 

45,348

 

 

 

 

 

18

 

 

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

 

 

3,674

 

 

 

 

 

1

 

 

Ser. 7, Class S, 686.349%, 3/25/21

 

 

10,261

 

 

 

 

 

2

 

 

Ser. 10, Class S, 664.091%, 5/25/21

 

 

19,726

 

 

 

 

 

1

 

 

Ser. 12, Class C, 1,016.898%, 2/25/22

 

 

13,497

 

 

 

 

 

1

 

 

Ser. 12, Class S, 702.701%, 5/25/21

 

 

29,697

 

 

 

 

 

1

 

 

Ser. 17, Class S, 663.569%, 6/25/21

 

 

13,381

 

 

 

 

 

 

 

Ser. 20, Class H, 856.27%, 3/25/06

 

 

1

 

 

 

 

 

1

 

 

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

 

 

31,648

 

 

 

 

 

 

 

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

 

 

924

 

 

 

 

 

1

 

 

Ser. 50, Class G, 1,158.628%, 12/25/21

 

 

10,809

 

 

 

 

 

1,084

 

 

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

 

 

29,353

 

 

 

 

 

916

 

 

Ser. 60, Class SB, 1.60%, 10/25/22

 

 

20,260

 

 

 

 

 

6,749

 

 

Ser. 68, Class SC, 4.038%, 3/25/09-1/25/24

 

 

436,493

 

 

 

 

 

42,143

 

 

Ser. 82, Class IR, 5.00%, 9/25/12-7/25/33

 

 

3,844,264

 

 

 

 

 

 

 

Ser. 84, Class H, 1,100.633%, 8/25/06

 

 

48

 

 

 

 

 

18,202

 

 

Ser. 88, Class TI, 4.50%, 11/25/13

 

 

912,079

 

 

 

 

 

32

 

 

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

 

 

6,371

 

 

 

 

 

10

 

 

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

 

 

2,302

 

 

 

 

 

 

 

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

 

 

5,631

 

 

 

 

 

42,740

 

 

Ser. 90, Class JH, 2.663%, 11/25/34

 

 

2,306,265

 

 

 

 

 

18,471

 

 

Ser. 90, Class M, 6.00%, 1/25/28

 

 

2,868,691

 

 

 

 

 

3,507

 

 

Ser. 122, Class IA, 4.00%, 9/25/09

 

 

63,196

 

 

 

 

 

 

 

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

 

 

947

 

 

 

 

 

48

 

 

Ser. 136, Class S, 16.024%, 11/25/20

 

 

58,931

 

 

 

 

 

1

 

 

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

 

 

6,840

 

 

 

 

 

20

 

 

Ser. 141, Class SA, 18.75%, 8/25/07

 

 

3,911

 

 

 

 

 

3,217

 

 

Ser. 199, Class SB, 3.438%, 10/25/23

 

 

156,456

 

 

 

 

 

20,382

 

 

Ser. 602, Class BI, 5.50%, 7/25/15-8/25/33

 

 

2,392,796

 

 

 

 

 

904

 

 

Ser. W4, 6.50%, 12/25/28

 

 

137,859

 

 

 

 

 

131

 

 

First Boston Mortgage Securities Corp., 10.965%, 4/25/17

 

 

21,891

 

 

 

 

 

26,591

 

 

GMAC Commercial Mortgage Securities, Inc., 1.563%, 7/15/27

 

 

900,627

 

 

 

 

 

12,832

4

 

Goldman Sachs Mortgage Securities Corp., 0.997%, 2/19/25

 

 

276,520

 

 

 

 

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

 

2,601

 

 

Ser. 39, Class ID, 5.00%, 5/20/33

 

 

484,320

 

 

 

 

 

3,361

 

 

Ser. 58, Class IT, 5.50%, 7/20/33

 

 

372,329

 

 

 

 

 

26,626

 

 

Ser. 89, Class SA, 1.779%, 10/16/33

 

 

1,215,231

 

 

 

 

 

108

 

 

Kidder Peabody Acceptance Corp., 9.50%, 4/22/18

 

 

23,048

 

 

 

 

 

2,055

 

 

Merrill Lynch Mortgage Investors, Inc., 1.216%, 6/15/21

 

 

93,370

 

 

 

 

 

83,062

 

 

MLCC Mortgage Investors Inc., 0.83%, 3/25/28

 

 

1,453,587

 

 

 

 

 

2,439

 

 

Morgan Stanley Cap. Trust I, 5.00%, 5/25/19

 

 

290,774

 

 

 

 

 

15,751

 

 

Small Business Administration, 1.38%, 4/01/15

 

 

59,066

 

 

 

 

 

129,420

 

 

Vendee Mortgage Trust, 5.40%, 5/15/29

 

 

301,549

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

38,579,847

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

38


 

 

BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 










 

 

 

 

 

 

 

Principal Only Mortgage-Backed Securities—7.2%

 

 

 

 

 

 

 

$

100

6

 

Collateralized Mortgage Obligation Trust, Ser. 29, Class A, 11.50%, 5/23/17

 

$

98,961

 

 

 

 

 

11,393

6

 

Countrywide Home Loans, Inc., Ser. J8, Class PO, 4.787%, 9/25/23

 

 

8,395,432

 

 

 

 

 

516

6

 

Drexel Burnham Lambert, Inc., Ser. V, Class 1, 11.50%, 9/01/18

 

 

458,152

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

359

6

 

Ser. 8, Class A10, 6.737%, 11/15/28

 

 

282,220

 

 

 

 

 

234

6

 

Ser. 1418, Class M, 7.50%, 11/15/22

 

 

214,786

 

 

 

 

 

580

6

 

Ser. 1571, Class G, 7.50%, 8/15/23

 

 

521,887

 

 

 

 

 

3,333

6

 

Ser. 1739, Class B, 7.50%, 2/15/24

 

 

2,870,880

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

458

6

 

Ser. 2, Class KB, 8.00%, 1/25/23

 

 

366,747

 

 

 

 

 

16,330

6

 

Ser. W4, Class PO, 5.985%, 2/25/29

 

 

12,839,758

 

 

 

 

 

435

6

 

MASTR Asset Securitization Trust, Ser. 3, Class 4A15, 5.65%, 3/25/34

 

 

335,651

 

 

 

 

 

13,000

6

 

Resolution Funding Corp., Zero Coupon, 4/15/30

 

 

3,915,990

 

 

 

 

 

27

6

 

Structured Mortgage Asset Residential Trust, Ser. 3C, Class CX, 7.031%, 4/25/24

 

 

23,806

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Principal Only Mortgage-Backed Securities

 

 

30,324,270

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Residuals—0.0%

 

 

 

 

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust,

 

 

 

 

 

 

 

 

1

 

 

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

 

 

718

 

 

 

 

 

 

 

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

 

 

11,766

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

 

Ser. 19, Class R, 11,078.201%, 3/15/20

 

 

4,550

 

 

 

 

 

 

 

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

 

 

7

 

 

 

 

 

 

 

Ser. 75, Class RS, 15.485%, 1/15/21

 

 

7

 

 

 

 

 

 

 

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

 

 

38

 

 

 

 

 

 

 

Ser. 173, Class RS, 9.072%, 11/15/21

 

 

38

 

 

 

 

 

 

 

Ser. 200, Class R, 118,500.264%, 12/15/22

 

 

858

 

 

 

 

 

13

5

 

PaineWebber CMO Trust, 13.80%, 9/01/18

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Collateralized Mortgage Obligation Residuals

 

 

17,982

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations—20.1%

 

 

 

 

 

 

 

 

 

 

FBC Mortgage Securities Trust 16, 4.804%, 7/01/17

 

 

283,265

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

8,382

 

 

Ser. 2218 Class Z, 8.50%, 3/15/20 - 3/15/30

 

 

9,382,648

 

 

 

 

 

15,695

 

 

Ser. 2461, Class Z, 6.50%, 5/15/12 - 6/15/32

 

 

16,134,998

 

 

 

 

 

2,475

 

 

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

 

 

2,467,501

 

 

 

 

 

1,492

 

 

Ser. 2582, Class TB, 3.50%, 10/15/21

 

 

1,484,678

 

 

 

 

 

2,050

 

 

Ser. 2750, Class TC, 5.25%, 2/15/34

 

 

2,006,438

 

 

 

 

 

3,551

 

 

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

 

 

3,609,314

 

 

 

 

 

2,152

 

 

Ser. 2927, Class BZ, 5.50%, 2/15/35

 

 

2,021,196

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

7,380

 

 

Ser. 47, Class AK, 5.00%, 6/25/20

 

 

7,302,424

 

 

 

 

 

5,996

 

 

Ser. 59, Class S, 6.328%, 10/25/22

 

 

876,345

 

 

 

 

 

3,371

 

 

Ser. 68, Class PC, 5.50%, 7/25/35

 

 

3,361,443

 

 

 

 

 

7,736

 

 

Ser. 73, Class DS, 7.053%, 8/25/35

 

 

6,859,413

 

 

 

 

 

 

 

 

GSR Mortgage Loan Trust,

 

 

 

 

 

 

 

 

5,435

 

 

Ser. 10, Class 2A1, 4.475%, 10/25/33

 

 

5,172,453

 

 

 

 

 

5,145

 

 

Ser. 13, Class 1A1, 4.506%, 10/25/33

 

 

4,948,582

 

 

 

 

 

6,725

 

 

Indymac MBS, Inc., 4.388%, 10/25/18

 

 

6,716,509

 

 

 

 

 

2,129

 

 

MASTR Alternative Loan Trust, 6.00%, 1/25/19

 

 

306,065

 

 

 

 

 

2,308

 

 

MASTR Alternative Loan Trust, 8.00%, 11/25/18

 

 

2,384,615

 

 

 

 

 

9,183

 

 

MASTR Asset Securitization Trust, 5.25%, 10/25/14

 

 

8,912,313

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Collateralized Mortgage Obligations

 

 

84,230,200

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Corporate Bonds—1.0%

 

 

 

 

 

 

 

 

 

 

 

Financial Institutions—1.0%

 

 

 

 

 

 

 

 

3,961

 

 

Structured Asset Receivable Trust, 1.649%, 1/21/10

 

 

3,967,183

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

39


 

 

BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 










 

 

 

 

 

 

 

U.S. Government and Agency Securities—42.5%

 

 

 

 

 

 

 

 

 

 

 

Overseas Private Investment Corp.,

 

 

 

 

 

 

 

$

299

 

 

4.09%, 5/29/12

 

$

273,015

 

 

 

 

 

835

 

 

4.30%, 5/29/12

 

 

780,194

 

 

 

 

 

623

 

 

4.64%, 5/29/12

 

 

591,559

 

 

 

 

 

352

 

 

4.68%, 5/29/12

 

 

326,799

 

 

 

 

 

2,659

 

 

4.87%, 5/29/12

 

 

2,551,321

 

 

 

 

 

3,323

 

 

5.40%, 5/29/12

 

 

3,314,668

 

 

 

 

 

381

 

 

5.46%, 2/15/06

 

 

390,982

 

 

 

 

 

674

 

 

5.79%, 5/29/12

 

 

690,849

 

 

 

 

 

464

5

 

5.88%, 2/15/06

 

 

466,314

 

 

 

 

 

1,280

 

 

5.94%, 5/29/12

 

 

1,315,939

 

 

 

 

 

364

 

 

5.95%, 5/29/12

 

 

372,315

 

 

 

 

 

430

 

 

6.10%, 5/29/12

 

 

444,184

 

 

 

 

 

520

 

 

6.81%, 12/16/06

 

 

544,846

 

 

 

 

 

4,152

 

 

6.89%, 5/29/12

 

 

4,365,544

 

 

 

 

 

1,396

 

 

6.91%, 5/29/12

 

 

1,455,026

 

 

 

 

 

375

 

 

7.35%, 2/15/06

 

 

396,827

 

 

 

 

 

 

 

 

Small Business Administration,

 

 

 

 

 

 

 

 

969

 

 

Ser. 20C-1, 7.15%, 3/01/17

 

 

1,013,911

 

 

 

 

 

1,214

 

 

Ser. 20E-1, 7.60%, 5/01/16

 

 

1,271,851

 

 

 

 

 

1,643

 

 

Ser. 20F-1, 7.55%, 6/01/16

 

 

1,722,268

 

 

 

 

 

1,107

 

 

Ser. 20G-1, 7.70%, 7/01/16

 

 

1,163,720

 

 

 

 

 

1,428

 

 

Ser. 20H-1, 7.25%, 8/01/16

 

 

1,493,021

 

 

 

 

 

2,517

 

 

Ser. 20K-1, 6.95%, 11/01/16

 

 

2,616,682

 

 

 

 

 

1,689

 

 

Small Business Investment Cos., 6.12%, 2/01/08

 

 

1,727,920

 

 

 

 

 

129,000

2

 

U.S. Treasury Bonds, Zero Coupon, 11/15/24

 

 

51,133,278

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

40,000

2

 

1.50%, 3/31/06

 

 

39,568,800

 

 

 

 

 

2,930

2

 

2.50%, 5/31/06

 

 

2,900,700

 

 

 

 

 

915

 

 

3.625%, 1/15/10

 

 

885,546

 

 

 

 

 

21,000

2

 

3.75%, 3/31/07

 

 

20,809,740

 

 

 

 

 

19,400

 

 

4.00%, 8/31/07

 

 

19,263,618

 

 

 

 

 

9,000

2

 

4.25%, 11/15/13

 

 

8,814,420

 

 

 

 

 

5,145

 

 

4.25%, 11/15/13

 

 

5,019,615

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

177,685,472

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Long-Term Investments (cost $610,664,067)

 

 

589,074,844

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—0.2%

 

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Security—0.2%

 

 

 

 

 

 

 

 

640

 

 

U.S. Treasury Bills, 3.44%, 11/10/059 (cost $639,481)

 

 

639,481

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments before investments sold short, borrowed bonds, TBA sale commitments and outstanding options written (cost $611,303,5487)

 

 

589,714,325

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

40


 

 

BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal/
Amount
(000)

 

Description

 

 

Value

 










 

 

 

 

 

 

 

INVESTMENTS SOLD SHORT—(17.2)%

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

 

 

 

$

(12,930

)

 

5.375%, 2/15/31

 

$

(14,097,708

)

 

 

 

 

(15,750

)

 

6.25%, 8/15/23

 

 

(18,373,320

)

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

(14,900

)

 

4.00%, 2/15/15

 

 

(14,250,509

)

 

 

 

 

(12,000

)

 

4.125%, 8/15/10

 

 

(11,820,000

)

 

 

 

 

(13,900

)

 

4.25%, 11/15/14

 

 

(13,560,646

)

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Investments Sold Short (proceeds $73,151,527)

 

 

(72,102,183

)

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

BORROWED BONDS—17.4%

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

 

 

 

 

14,288

8

 

5.375%, 11/02/05

 

 

14,287,650

 

 

 

 

 

18,624

8

 

6.25%, 11/02/05

 

 

18,624,375

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

14,397

8

 

4.00%, 11/02/05

 

 

14,397,125

 

 

 

 

 

11,940

8

 

4.125%, 11/02/05

 

 

11,940,000

 

 

 

 

 

13,848

8

 

4.25%, 11/02/05

 

 

13,847,875

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Borrowed Bonds (cost $73,097,025)

 

 

73,097,025

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

TBA SALE COMMITMENTS—(5.1)%

 

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc. TBA,

 

 

 

 

 

 

 

 

(8,000

)

 

5.00%, 11/30/35

 

 

(7,697,504

)

 

 

 

 

(14,000

)

 

5.50%, 11/30/35

 

 

(13,807,500

)

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total TBA Sale Commitments (proceeds $21,750,313)

 

 

(21,505,004

)

 

 

 

 

 

 

 

 

 



 

 

 




 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.6)%

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

(5,700

)

 

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/18

 

 

(205,912

)

 

 

 

 

(5,700

)

 

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/18

 

 

(255,645

)

 

 

 

 

(12,400

)

 

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

 

 

(455,046

)

 

 

 

 

(12,400

)

 

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

 

 

(723,523

)

 

 

 

 

(14,200

)

 

Trust pays 3-month LIBOR, Trust Receives 4.725%, expires 6/13/07

 

 

(750,543

)

 

 

 

 

(14,200

)

 

Trust pays 4.725%, Trust Receives 3-month LIBOR, expires 6/13/07

 

 

(289,614

)

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Outstanding Options Written (premium received $2,868,468)

 

 

(2,680,283

)

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments net of investments sold short, borrowed bonds, TBA sale commitments and outstanding options written—135.4%

 

$

566,523,880

 

 

 

 

 

 

 

 

Liabilities in excess of other assets—(35.4)%

 

 

(148,133,756

)

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Net Assets—100%

 

$

418,390,124

 

 

 

 

 

 

 

 

 

 



 


 

 

1

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

2

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

3

Security, or a portion thereof, pledged as collateral with a value of $2,646,906 on 362 short U.S. Treasury Note futures contracts expiring December 2005, 847 short U.S. Treasury Bond futures contracts expiring December 2005 and 296 short Eurodollar futures contracts expiring March 2006 to September 2007. The notional value of such contracts on October 31, 2005 was ($203,956,400), with an unrealized gain of $5,144,471.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 0.3% of its net assets, with a current market value of $1,306,119, in securities restricted as to resale.

5

Security is fair valued.

6

Rate shown is interest rate or effective yield as of October 31, 2005 of the underlying collateral.

7

Cost for Federal income tax purposes is $615,022,603. The net unrealized depreciation on a tax basis is $25,308,278, consisting of $11,463,907 gross unrealized appreciation and $36,772,185 gross unrealized depreciation.

8

The interest rate and maturity date shown represent the terms of the bonds borrowed transaction, not the security borrowed (see Note 1).

9

Rate shown is yield to maturity as of October 31, 2005.


 


KEY TO ABBREVIATIONS

 

 

TBA – To Be Announced

 

See Notes to Financial Statements.

41


PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005

 

 

BlackRock Limited Duration Income Trust (BLW)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

Value

 













 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—138.7%

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds—59.8%

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—2.6%

 

 

 

 

NR

 

 

$

1,560

 

 

AAR Corp., 8.39%, 5/15/11

 

$

1,591,200

 

NR

 

 

 

2,134

 

 

Aero Invest, 10.634%, 3/22/15 (Luxembourg)

 

 

2,531,370

 

B-

 

 

 

1,020

 

 

BE Aerospace, Inc., 8.875%, 5/01/11

 

 

1,073,550

 

NR

 

 

 

4,750

 

 

Raytheon Co., 7.00%, 5/15/06

 

 

4,958,857

 

BB

 

 

 

5,350

2

 

Sequa Corp., 8.875%, 4/01/08

 

 

5,523,875

 

B-

 

 

 

2,755

 

 

Transdigm, Inc., 8.375%, 7/15/11

 

 

2,865,200

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

18,544,052

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Automotive—2.1%

 

 

 

 

B-

 

 

 

1,140

 

 

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

 

 

1,077,300

 

BB+

 

 

 

270

 

 

Arvinmeritor, Inc., 8.75%, 3/01/12

 

 

255,150

 

A3

 

 

 

7,500

2

 

DaimlerChrysler NA Holding Corp., 4.05%, 6/04/08

 

 

7,289,700

 

B-

 

 

 

470

 

 

Goodyear Tire & Rubber Co., 7.857%, 8/15/11

 

 

452,375

 

CCC+

 

 

 

1,105

3

 

Metaldyne Corp., 11.00%, 11/01/13

 

 

991,738

 

BB

 

 

 

530

 

 

Navistar Intl. Corp., 6.25%, 3/01/12

 

 

475,675

 

BB-

 

 

 

3,729

 

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

 

4,008,675

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

14,550,613

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Basic Materials—6.9%

 

 

 

 

BB-

 

 

 

420

 

 

Abitibi-Consolidated, Inc., 8.375%, 4/01/15 (Canada)

 

 

389,550

 

B-

 

 

 

3503

 

 

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 9.65%, 7/15/10

 

 

353,500

 

B-

 

 

 

4,250

2

 

Caraustar Industries, Inc., 9.875%, 4/01/11

 

 

4,133,125

 

BB-

 

 

 

740

 

 

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

 

 

749,250

 

BB+

 

 

 

5,685

2

 

Georgia Pacific Corp., 8.875%, 2/01/10

 

 

6,317,456

 

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

B

 

 

 

310

 

 

11.50%, 7/15/12

 

 

350,300

 

BB-

 

 

 

1,950

 

 

11.625%, 10/15/10

 

 

2,218,125

 

BB

 

 

 

300

 

 

IMC Global, Inc., 10.875%, 6/01/08

 

 

335,250

 

CCC+

 

 

 

2,625

3

 

Innophos, Inc., 9.125%, 8/15/14

 

 

2,657,812

 

BB+

 

 

 

5,000

 

 

Ipsco, Inc., 8.75%, 6/01/13 (Canada)

 

 

5,512,500

 

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB-

 

 

 

560

 

 

10.50%, 6/01/13

 

 

635,600

 

BB-

 

 

 

4,500

 

 

11.125%, 7/15/12

 

 

5,017,500

 

B-

 

 

 

340

 

 

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

 

 

347,650

 

 

 

 

 

 

 

 

NewPage Corp.,

 

 

 

 

CCC+

 

 

 

500

 

 

10.00%, 5/01/12

 

 

457,500

 

B3

 

 

 

1,500

 

 

10.50%, 5/01/12

 

 

1,402,500

 

B-

 

 

 

370

3

 

PQ Corp., 7.50%, 2/15/13

 

 

336,700

 

 

 

 

 

 

 

 

Rhodia SA,

 

 

 

 

CCC+

 

 

 

1,175

 

 

8.875%, 6/01/11 (France)

 

 

1,107,438

 

B3

 

 

 

125

 

 

10.25%, 6/01/10 (France)

 

 

132,813

 

B-

 

 

 

3,645

 

 

Rockwood Specialties Group, Inc., 10.625%, 5/15/11

 

 

3,900,150

 

B-

 

 

 

450

3

 

Rockwood Specialties Grp., 7.50%, 11/15/14

 

 

436,500

 

 

 

 

 

 

 

 

Southern Peru Copper Corp.,

 

 

 

 

BBB-

 

 

 

210

3

 

6.375%, 7/27/15

 

 

205,724

 

BBB-

 

 

 

700

3

 

7.50%, 7/27/35

 

 

680,750

 

BB

 

 

 

3,250

 

 

US Steel LLC, 10.75%, 8/01/08

 

 

3,607,500

 

BBB

 

 

 

7,500

2

 

Weyerhaeuser Co., 5.25%, 12/15/09

 

 

7,479,345

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

48,764,538

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Building & Development—1.1%

 

 

 

 

B-

 

 

 

350

3

 

Ahern Rentals, Inc., 9.25%, 8/15/13

 

 

357,438

 

B2

 

 

 

750

3

 

Compression Polymers Corp., 10.50%, 7/01/13

 

 

682,500

 

BBB-

 

 

 

3,000

 

 

DR Horton, Inc., 5.875%, 7/01/13

 

 

2,898,975

 

B-

 

 

 

375

3

 

Goodman Global Hldgs., Inc., 6.41%, 6/15/12

 

 

369,375

 

B-

 

 

 

3,170

3

 

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

 

 

2,995,650

 

B

 

 

 

550

 

 

North American Energy Partners, Inc., 9.00%, 6/01/10 (Canada)

 

 

572,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

7,875,938

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

42


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

Value

 










 

 

 

 

 

 

 

Conglomerates—1.1%

 

 

 

 

BB-

 

 

$

75

 

 

Stena AB, 7.00%, 12/01/16 (Sweden)

 

$

69,375

 

BBB+

 

 

 

7,500

2

 

Tyco Intl. Group SA, 6.125%, 11/01/08 (Luxembourg)

 

 

7,721,775

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

7,791,150

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer Products—6.2%

 

 

 

 

B3

 

 

 

300

 

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

271,500

 

B1

 

 

 

5,000

 

 

Cenveo Corp., 9.625%, 3/15/12

 

 

5,275,000

 

CCC+

 

 

 

1,610

 

 

Duane Reade, Inc., 8.37%, 12/15/10

 

 

1,543,587

 

B2

 

 

 

1,630

 

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

1,385,500

 

B2

 

 

 

2,140

 

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

2,418,200

 

B+

 

 

 

5,000

 

 

Group 1 Automotive, Inc., 8.25%, 8/15/13

 

 

4,750,000

 

 

 

 

 

 

 

 

GSC Holdings Corp.,

 

 

 

 

Ba3

 

 

 

300

3

 

7.875%, 10/01/11

 

 

301,875

 

Ba3

 

 

 

510

3

 

8.00%, 10/01/12

 

 

497,250

 

BBB-

 

 

 

4,400

 

 

JC Penney Co., Inc., 8.00%, 3/01/10

 

 

4,757,500

 

B-

 

 

 

2,835

3

 

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

2,636,550

 

B-

 

 

 

1,550

 

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

1,612,000

 

B

 

 

 

2,075

 

 

Levi Strauss & Co., 8.804%, 4/01/12

 

 

2,062,031

 

B3

 

 

 

4,605

 

 

Movie Gallery, Inc., 11.00%, 5/01/12

 

 

3,684,000

 

B2

 

 

 

223

3

 

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

 

 

219,098

 

BB-

 

 

 

600

3

 

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

 

 

556,500

 

 

 

 

 

 

 

 

Rite Aid Corp.,

 

 

 

 

B-

 

 

 

375

3

 

6.125%, 12/15/08

 

 

352,500

 

BB-

 

 

 

5,000

 

 

8.125%, 5/01/10

 

 

5,062,500

 

CCC+

 

 

 

700

3

 

Rural/Metro Corp., 9.875%, 3/15/15

 

 

731,500

 

B1

 

 

 

2,500

 

 

Sheridan Group, Inc., 10.25%, 8/15/11

 

 

2,600,000

 

B

 

 

 

3,500

 

 

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

 

 

3,316,250

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

44,033,341

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Containers & Packaging—0.6%

 

 

 

 

 

 

 

 

 

 

 

Graham Packaging Co., Inc.,

 

 

 

 

CCC+

 

 

 

785

 

 

8.50%, 10/15/12

 

 

757,525

 

CCC+

 

 

 

935

 

 

9.875%, 10/15/14

 

 

885,913

 

B-

 

 

 

2,500

 

 

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

 

 

2,250,000

 

CCC+

 

 

 

665

3

 

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

 

 

651,700

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

4,545,138

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ecological Services & Equipment—0.3%

 

 

 

 

B

 

 

 

2,000

 

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

2,145,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Energy —6.4%

 

 

 

 

BB+

 

 

 

5,500

3

 

AES Corp., 8.75%, 5/15/13

 

 

5,933,125

 

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

B1

 

 

 

460

 

 

7.375%, 2/15/24

 

 

478,975

 

B1

 

 

 

1,780

 

 

9.625%, 11/01/21

 

 

2,153,800

 

B2

 

 

 

3,440

 

 

Aquila Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

3,508,800

 

 

 

 

 

 

 

 

Calpine Corp.,

 

 

 

 

B-

 

 

 

180

3

 

8.50%, 7/15/10

 

 

126,450

 

B

 

 

 

700

3

 

9.625%, 9/30/14

 

 

710,500

 

CCC

 

 

 

15

 

 

Calpine Energy Finance ULC, 8.50%, 5/01/08 (Canada)

 

 

8,138

 

BB

 

 

 

4,000

 

 

Chesapeake Energy Corp., 7.50%, 9/15/13

 

 

4,220,000

 

B-

 

 

 

1,095

3

 

Clayton Williams Energy, Inc., 7.75%, 8/01/13

 

 

1,056,675

 

 

 

 

 

 

 

 

CMS Energy Corp.,

 

 

 

 

BB-

 

 

 

150

 

 

7.50%, 1/15/09

 

 

155,250

 

BB-

 

 

 

460

 

 

9.875%, 10/15/07

 

 

494,500

 

Ba3

 

 

 

750

3

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

780,000

 

B+

 

 

 

2,350

3

 

Dynegy Holdings, Inc., 10.125%, 7/15/13

 

 

2,585,000

 

 

 

 

 

 

 

 

El Paso CGP Co.,

 

 

 

 

B-

 

 

 

400

 

 

7.42%, 2/15/37

 

 

362,000

 

B-

 

 

 

525

 

 

9.625%, 5/15/12

 

 

575,531

 

B-

 

 

 

225

 

 

10.75%, 10/01/10

 

 

245,531

 

B-

 

 

 

400

 

 

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

 

 

396,500

 

B1

 

 

 

400

 

 

El Paso Natural Gas Co., 8.375%, 6/15/32

 

 

441,000

 

See Notes to Financial Statements.

43


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

Value

 










 

 

 

 

 

 

 

Energy—(cont’d.)

 

 

 

 

B

 

 

$

260

 

 

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

 

$

265,200

 

 

 

 

 

 

 

 

Hilcorp Energy I LP/Hilcorp Finance Corp.,

 

 

 

 

B

 

 

 

430

3

 

7.75%, 11/01/15

 

 

430,000

 

B

 

 

 

2,434

3

 

10.50%, 9/01/10

 

 

2,726,080

 

 

 

 

 

 

 

 

KCS Energy, Inc.,

 

 

 

 

B-

 

 

 

325

 

 

7.125%, 4/01/12

 

 

330,687

 

B-

 

 

 

400

3

 

7.125%, 4/01/12

 

 

408,000

 

 

 

 

 

 

 

 

Midwest Generation LLC,

 

 

 

 

B+

 

 

 

4,778

 

 

8.56%, 1/02/16

 

 

5,208,061

 

B+

 

 

 

1,315

 

 

Ser. A, 8.30%, 7/02/09

 

 

1,367,600

 

B2

 

 

 

500

 

 

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

 

 

581,250

 

B-

 

 

 

450

3

 

Ocean Rig Norway AS, 8.375%, 7/01/13

 

 

484,875

 

B2

 

 

 

580

 

 

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

 

 

687,300

 

B

 

 

 

110

 

 

Range Resources Corp., 6.375%, 3/15/15

 

 

110,275

 

BB-

 

 

 

215

 

 

Reliant Energy, Inc., 6.75%, 12/15/14

 

 

199,413

 

B

 

 

 

5,000

 

 

Swift Energy Co., 9.375%, 5/01/12

 

 

5,400,000

 

B2

 

 

 

1,475

3

 

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

 

 

1,497,125

 

BB+

 

 

 

100

 

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

108,125

 

B2

 

 

 

190

3

 

Whiting Petroleum Corp., 7.00%, 2/01/14

 

 

190,475

 

BB

 

 

 

1,000

 

 

Williams Cos., Inc., 7.125%, 9/01/11

 

 

1,036,250

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

45,262,491

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Entertainment & Leisure—1.0%

 

 

 

 

Ba3

 

 

 

5,425

 

 

MGM Mirage, 9.75%, 6/01/07

 

 

5,696,250

 

B

 

 

 

250

 

 

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

 

 

255,000

 

B+

 

 

 

460

3

 

San Pasqual Casino, 8.00%, 9/15/13

 

 

460,000

 

B+

 

 

 

400

 

 

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

 

 

381,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

6,792,250

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Financial Institutions—8.2%

 

 

 

 

BB

 

 

 

1,480

3

 

American Real Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13

 

 

1,435,600

 

B-

 

 

 

2,333

 

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

2,566,300

 

BB

 

 

 

3,360

 

 

Crum & Forster Hldgs. Corp., 10.375%, 6/15/13

 

 

3,595,200

 

B+

 

 

 

550

3

 

E*Trade Financial Corp., 7.375%, 9/15/13

 

 

541,750

 

BB

 

 

 

1,000

 

 

Fairfax Financial Holdings Ltd., 7.75%, 4/26/12 (Canada)

 

 

910,000

 

 

 

 

 

 

 

 

Ford Motor Credit Co.,

 

 

 

 

BBB-

 

 

 

500

 

 

7.25%, 10/25/11

 

 

465,020

 

BBB-

 

 

 

7,500

2

 

7.375%, 2/01/11

 

 

7,043,977

 

 

 

 

 

 

 

 

General Motors Acceptance Corp.,

 

 

 

 

BB

 

 

 

3,000

 

 

5.05%, 1/16/07

 

 

2,941,560

 

BB

 

 

 

7,500

3

 

6.875%, 8/28/12

 

 

7,201,800

 

Ba3

 

 

 

2,500

 

 

Huntsman Advanced Materals, LLC, 11.00%, 7/15/10

 

 

2,790,625

 

B-

 

 

 

900

 

 

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

 

 

900,000

 

Baa2

 

 

 

5,000

3

 

Kazkommerts Intl. BV, 10.125%, 5/08/07

 

 

5,287,500

 

BBB

 

 

 

200

 

 

Marsh & McLennan Cos., Inc., 4.27%, 7/13/07

 

 

199,256

 

B-

 

 

 

1,800

3

 

Nell AF, 8.375%, 8/15/15 (Luxembourg)

 

 

1,728,000

 

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

925

3

 

8.75%, 9/01/12

 

 

971,250

 

B+

 

 

 

4,985

3

 

10.375%, 9/01/14

 

 

5,495,962

 

B-

 

 

 

1,080

 

 

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

 

 

1,028,700

 

NR

 

 

 

7,135

 

 

Structured Asset Receivable Trust, 1.649%, 1/21/10

 

 

7,145,761

 

B-

 

 

 

220

 

 

Universal City Florida Hldg. Co. I/II, 9.00%, 5/01/10

 

 

224,400

 

BB-

 

 

 

4,425

2

 

Western Financial Bank, 9.625%, 5/15/12

 

 

5,011,313

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

57,483,974

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Health Care—2.8%

 

 

 

 

B-

 

 

 

5,000

 

 

Concentra Operating Corp., 9.50%, 8/15/10

 

 

5,150,000

 

CCC

 

 

 

80

 

 

Curative Health Services, Inc., 10.75%, 5/01/11

 

 

54,000

 

B

 

 

 

1,345

3

 

Elan Finance Corp., 7.75%, 11/15/11 (Ireland)

 

 

1,183,600

 

B

 

 

 

1,750

3

 

Insight Health Services Corp., 9.174%, 11/01/11

 

 

1,658,125

 

B-

 

 

 

3,000

 

 

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

 

 

3,195,000

 

See Notes to Financial Statements.

44


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

Value

 










 

 

 

 

 

 

 

Health Care—(cont’d.)

 

 

 

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

B

 

 

$

340

 

 

6.375%, 12/01/11

 

$

296,650

 

B

 

 

 

1,470

 

 

9.875%, 7/01/14

 

 

1,433,250

 

B3

 

 

 

4,500

 

 

United Surgical Partners Intl., Inc., 10.00%, 12/15/11

 

 

4,871,250

 

B-

 

 

 

1,880

 

 

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

 

 

1,898,800

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

19,740,675

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Industrials—3.2%

 

 

 

 

B-

 

 

 

300

3

 

Chart Industries, Inc., 9.125%, 10/15/15

 

 

296,250

 

Caa1

 

 

 

5,760

3

 

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

 

 

5,961,600

 

B-

 

 

 

2,665

 

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

2,744,950

 

B-

 

 

 

4,000

 

 

Fasten Tech, Inc., 11.50%, 5/01/11

 

 

4,140,000

 

Caa1

 

 

 

1,670

3

 

Hydrochem Industrial Services, 9.25%, 2/15/13

 

 

1,523,875

 

B-

 

 

 

1,880

 

 

NationsRent Cos., Inc., 9.50%, 5/01/15

 

 

1,950,500

 

CCC+

 

 

 

1,955

 

 

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

 

 

1,705,737

 

B3

 

 

 

2,240

3

 

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

 

 

2,262,400

 

CCC+

 

 

 

2,395

 

 

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

 

 

1,951,925

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

22,537,237

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Media—7.3%

 

 

 

 

B-

 

 

 

740

 

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

736,300

 

CCC+

 

 

 

1,550

 

 

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

 

 

1,472,500

 

NR

 

 

 

2,360

 

 

Cablecom SCA, 4.935%, 4/30/12 (Luxembourg)

 

 

2,855,435

 

CCC+

 

 

 

3,500

 

 

CBD Media Inc., 8.625%, 6/01/11

 

 

3,548,125

 

CCC+

 

 

 

880

 

 

Charter Communications Holdings II, LLC/Charter Communications Holdings II Cap.
Corp., 10.25%, 9/15/10

 

 

882,200

 

BBB+

 

 

 

6,685

2

 

Comcast Cable Communications, Inc., 6.875%, 6/15/09

 

 

7,034,291

 

BB-

 

 

 

6,000

2

 

CSC Holdings, Inc., 7.875%, 12/15/07

 

 

6,157,500

 

B1

 

 

 

1,300

 

 

Dex Media East LLC, 12.125%, 11/15/12

 

 

1,521,000

 

 

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

 

2,000

 

 

5.75%, 10/01/08

 

 

1,955,000

 

BB-

 

 

 

5,100

 

 

7.304%, 10/01/08

 

 

5,189,250

 

B-

 

 

 

5,000

 

 

Houghton Mifflin Co., 9.875%, 2/01/13

 

 

5,212,500

 

CCC+

 

 

 

300

3

 

iesy Repository GmbH, 10.375%, 2/15/15 (Germany)

 

 

321,750

 

B3

 

 

 

760

 

 

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

 

 

672,600

 

B3

 

 

 

2,750

 

 

Nextmedia Operating, Inc., 10.75%, 7/01/11

 

 

2,997,610

 

B1

 

 

 

2,500

3

 

Paxson Communications Corp., 6.90%, 1/15/10

 

 

2,493,750

 

B2

 

 

 

1,200

 

 

Primedia, Inc., 9.715%, 5/15/10

 

 

1,224,000

 

B2

 

 

 

2,000

 

 

Salem Communications Corp., 7.75%, 12/15/10

 

 

2,075,000

 

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

Caa1

 

 

 

2,540

 

 

10.875%, 6/15/09

 

 

2,362,200

 

Caa2

 

 

 

95

3

 

13.50%, 12/07/09

 

 

73,150

 

Caa1

 

 

 

2,875

 

 

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

 

 

2,702,500

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

51,486,661

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Real Estate—1.1%

 

 

 

 

BB

 

 

 

5,860

 

 

American Real Estate Partners, 8.125%, 6/01/11

 

 

6,021,150

 

BB+

 

 

 

2,000

 

 

Rouse Co., 5.375%, 11/26/13

 

 

1,884,240

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

7,905,390

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Technology—2.9%

 

 

 

 

B-

 

 

 

1,958

 

 

Amkor Tech. Inc., 7.75%, 5/15/13

 

 

1,664,300

 

B

 

 

 

1,145

 

 

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

 

 

1,107,787

 

BB+

 

 

 

3,232

 

 

Flextronics Intl. Ltd., 6.50%, 5/15/13 (Singapore)

 

 

3,240,080

 

B+

 

 

 

430

3

 

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

 

 

478,913

 

BB-

 

 

 

3,830

 

 

Lucent Technologies, Inc., 6.50%, 1/15/28

 

 

3,255,500

 

Ba3

 

 

 

500

 

 

MagnaChip Semiconductor SA/Magna Semiconductor Finance Co., 7.12%, 12/15/11 (Luxembourg)

 

 

487,500

 

B+

 

 

 

485

 

 

Sanmina-SCI Corp., 6.75%, 3/01/13

 

 

457,113

 

BB

 

 

 

200

 

 

Stats Chippac Ltd., 7.50%, 7/19/10 (Singapore)

 

 

201,000

 

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

500

3

 

8.525%, 8/15/13

 

 

515,000

 

B-

 

 

 

1,900

3

 

9.125%, 8/15/13

 

 

1,942,750

 

B-

 

 

 

1,830

3

 

10.25%, 8/15/15

 

 

1,811,700

 

See Notes to Financial Statements.

45


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

 

Value

 











 

 

 

 

 

 

 

Technology—(cont’d.)

 

 

 

 

B

 

 

$

3,515

 

 

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

 

$

3,479,850

 

B-

 

 

 

1,440

 

 

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

 

 

1,576,800

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

20,218,293

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Telecommunications—5.0%

 

 

 

 

BB-

 

 

 

920

 

 

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

 

 

959,100

 

A-

 

 

 

5,000

2

 

Deutsche Telekom Intl. Finance BV, 8.50%, 6/15/10

 

 

5,575,200

 

B-

 

 

 

860

3

 

Hawaiian Telcom Communications, Inc., 9.948%, 5/01/13

 

 

849,250

 

 

 

 

 

 

 

 

Intelsat Ltd.,

 

 

 

 

Caa1

 

 

 

800

 

 

5.25%, 11/01/08

 

 

728,000

 

B2

 

 

 

460

3

 

8.25%, 1/15/13

 

 

461,150

 

B2

 

 

 

2,250

3

 

8.625%, 1/15/15

 

 

2,283,750

 

B2

 

 

 

2,360

3

 

8.695%, 1/15/12

 

 

2,395,400

 

BB-

 

 

 

120

 

 

Lucent Technologies, Inc., 6.45%, 3/15/29

 

 

102,600

 

B-

 

 

 

300

 

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

273,000

 

B1

 

 

 

2,737

 

 

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

 

 

2,880,692

 

BB

 

 

 

4,000

 

 

Qwest Communications Intl., Inc, 7.84%, 2/15/09

 

 

4,000,000

 

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

2,500

3

 

7.12%, 6/15/13

 

 

2,618,750

 

BB+

 

 

 

1,000

 

 

7.875%, 9/01/11

 

 

1,050,000

 

BB+

 

 

 

6,000

2

 

8.875%, 3/15/12

 

 

6,615,000

 

BB

 

 

 

1,320

 

 

Qwest Services Corp., 13.50%, 12/15/10

 

 

1,506,450

 

BB+

 

 

 

460

 

 

Rogers Wireless, Inc., 7.25%, 12/15/12

 

 

484,150

 

Caa1

 

 

 

2,030

 

 

Rural Cellular Corp., 9.875%, 2/01/10

 

 

2,111,200

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

34,893,692

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Transportation—1.0%

 

 

 

 

B

 

 

 

1,575

3

 

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

 

 

1,582,875

 

B

 

 

 

140

 

 

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

 

 

141,225

 

B3

 

 

 

111

 

 

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

 

 

117,799

 

B+

 

 

 

360

 

 

OMI Corp., 7.625%, 12/01/13

 

 

369,900

 

BB+

 

 

 

1,650

 

 

Overseas Shipholding Group, Inc., 8.75%, 12/01/13

 

 

1,856,250

 

B

 

 

 

3,015

 

 

Sea Containers Ltd., 10.50%, 5/15/12

 

 

3,015,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

7,083,049

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Corporate Bonds

 

 

421,653,482

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Bank Loans—43.8%

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—0.8%

 

 

 

 

 

 

 

 

985

 

 

Arinc, Inc., Term Loan B, LIBOR + 2.00%, 3/10/11

 

 

992,388

 

 

 

 

 

976

 

 

Camp Acquisition Co., Term Loan A, LIBOR + 3.25%, 8/30/11

 

 

978,246

 

 

 

 

 

1,990

 

 

Dyncorp International LLC, Term Loan B, LIBOR + 2.75%, 2/11/11

 

 

1,990,000

 

 

 

 

 

1,465

 

 

Transdigm, Inc., Term Loan, LIBOR + 2.25%, 7/22/10

 

 

1,484,113

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

5,444,747

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Automotive—1.4%

 

 

 

 

 

 

 

 

1,229

 

 

Dayco Products, LLC, Term Loan B, LIBOR + 3.00%, 6/23/11

 

 

1,239,487

 

 

 

 

 

 

 

 

Goodyear Tire & Rubber Co. (The),

 

 

 

 

 

 

 

 

500

 

 

Term Loan, LIBOR + 2.75%, 4/30/10

 

 

503,854

 

 

 

 

 

2,000

 

 

Term Loan, LIBOR + 3.50%, 4/01/11

 

 

1,983,000

 

 

 

 

 

995

 

 

Hilite International, Term Loan, LIBOR + 4.00%, 4/15/10

 

 

950,225

 

 

 

 

 

999

 

 

Metaldyne Co. LLC, Term Loan D, LIBOR + 4.50%, 12/31/09

 

 

991,751

 

 

 

 

 

1,000

 

 

Polar Corp., Term Loan, LIBOR, 6/15/10

 

 

1,015,000

 

 

 

 

 

500

 

 

Precision Parts Intl., Term Loan B, LIBOR + 3.75%, 10/15/11

 

 

503,750

 

 

 

 

 

517

 

 

Tenneco Automotive, Inc., Term Loan B-1, LIBOR + 2.25%, 12/12/10

 

 

523,448

 

 

 

 

 

2,481

 

 

TRW Automotive Acquisitions Corp., Term Loan B, LIBOR + 1.50%, 6/30/12

 

 

2,501,926

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

10,212,441

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Basic Materials—2.9%

 

 

 

 

 

 

 

 

 

 

 

Basell Fin. Co.,

 

 

 

 

 

 

 

 

83

 

 

Term Loan B4, LIBOR + 2.50%, 9/07/13

 

 

84,531

 

 

 

 

 

83

 

 

Term Loan C4, LIBOR + 2.50%, 9/07/14

 

 

84,635

 

 

 

 

 

 

 

 

Basell NV,

 

 

 

 

 

 

 

 

417

 

 

Term Loan B2, LIBOR + 2.50%, 9/07/13

 

 

422,656

 

 

 

 

 

417

 

 

Term Loan C2, LIBOR + 3.00%, 9/07/14

 

 

423,177

 

See Notes to Financial Statements.

46


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Basic Materials—(cont’d.)

 

 

 

 

 

 

 

 

 

$

998

 

 

Berry Plastics Corp., Term Loan, LIBOR + 2.00%, 12/02/11

 

 

 

$

1,008,223

 

 

 

 

 

956

 

 

Boise Cascade Corp., Term Loan D, LIBOR + 1.75%, 10/29/11

 

 

 

 

968,307

 

 

 

 

 

2,201

 

 

Celanese, Ag, Term Loan B, LIBOR + 2.25%, 4/06/11

 

 

 

 

2,230,691

 

 

 

 

 

3,000

 

 

Cognis Deutschland, Term Loan, LIBOR + 4.75%, 11/15/13

 

 

 

 

3,061,500

 

 

 

 

 

1,946

 

 

Huntsman International, LLC, Term Loan B, LIBOR + 1.75%, 8/16/12

 

 

 

 

1,955,279

 

 

 

 

 

920

 

 

Ineos Grp. Holdings, PLC, Term Loan C, LIBOR + 3.50%, 4/26/09

 

 

 

 

921,639

 

 

 

 

 

 

 

 

Invista, B.V.,

 

 

 

 

 

 

 

 

 

 

1,850

 

 

Term Loan B-1, LIBOR + 2.25%, 4/29/11

 

 

 

 

1,877,411

 

 

 

 

 

803

 

 

Term Loan B-2, LIBOR + 2.25%, 4/29/11

 

 

 

 

814,546

 

 

 

 

 

2,497

 

 

Nalco Co., Term Loan B, LIBOR + 2.00%, 11/04/10

 

 

 

 

2,532,793

 

 

 

 

 

498

 

 

PQ Corp., Term Loan, LIBOR + 2.00%, 2/10/12

 

 

 

 

500,609

 

 

 

 

 

995

 

 

Rockwood Specialties Group, Inc., Term Loan D, LIBOR + 2.50%, 12/10/12

 

 

 

 

1,010,132

 

 

 

 

 

 

 

 

SP Newsprint,

 

 

 

 

 

 

 

 

 

 

1,611

 

 

Term Loan B, Zero Coupon, 1/09/08

 

 

 

 

1,633,264

 

 

 

 

 

656

 

 

Term Loan, LIBOR + 2.25%, 1/08/10

 

 

 

 

665,274

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

20,194,667

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Building & Development—0.5%

 

 

 

 

 

 

 

 

 

 

242

 

 

Atrium Companies, Inc., Term Loan, LIBOR + 3.75%, 12/28/11

 

 

 

 

242,108

 

 

 

 

 

1,500

 

 

Custom Building Products, Inc., Term Loan, LIBOR + 5.00%, 4/29/12

 

 

 

 

1,490,625

 

 

 

 

 

250

 

 

Euramax International, Inc., Term Loan, LIBOR + 7.00%, 6/29/13

 

 

 

 

245,000

 

 

 

 

 

495

 

 

Nortek, Inc., Term Loan B, LIBOR + 2.25%, 8/27/11

 

 

 

 

499,702

 

 

 

 

 

1,250

 

 

Professional Service, Inc., TBD

 

 

 

 

1,253,125

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

3,730,560

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Conglomerates—4.0%

 

 

 

 

 

 

 

 

 

 

 

 

 

Atlantis Plastics, Inc.,

 

 

 

 

 

 

 

 

 

 

995

 

 

Term Loan, LIBOR + 2.75%, 9/30/11

 

 

 

 

990,025

 

 

 

 

 

500

 

 

Term Loan, LIBOR + 7.25%, 3/11/05

 

 

 

 

501,875

 

 

 

 

 

1,985

 

 

Colfax Corp., Term Loan B, LIBOR + 2.25%, 5/30/09

 

 

 

 

2,001,541

 

 

 

 

 

3,125

 

 

Fidelity National Information Solutions, Inc., Term Loan B, LIBOR + 1.75%, 3/09/13

 

 

 

 

3,134,013

 

 

 

 

 

494

 

 

Fisher Scientific International, Inc., Term Loan B, LIBOR + 1.50%, 8/02/11

 

 

 

 

496,219

 

 

 

 

 

500

 

 

Gentek, Inc., Term Loan, LIBOR + 5.75%, 3/15/12

 

 

 

 

490,250

 

 

 

 

 

1,481

 

 

Honeywell Security, Term Loan B, PRIME + 2.00%, 6/28/10

 

 

 

 

1,488,664

 

 

 

 

 

 

 

 

IAP Acquisition Corp.,

 

 

 

 

 

 

 

 

 

 

1,496

 

 

Term Loan, LIBOR + 2.75%, 3/01/11

 

 

 

 

1,516,824

 

 

 

 

 

625

 

 

Term Loan, LIBOR + 5.75%, 3/01/12

 

 

 

 

636,979

 

 

 

 

 

 

 

 

Invensys Intl Holdings, Ltd.,

 

 

 

 

 

 

 

 

 

 

1,000

 

 

Term Loan, 0.50%, 3/05/09

 

 

 

 

970,000

 

 

 

 

 

1,144

 

 

Term Loan B1, LIBOR + 3.50%, 9/05/09

 

 

 

 

1,152,513

 

 

 

 

 

4,250

 

 

Term Loan, LIBOR + 4.75%, 11/30/09

 

 

 

 

4,345,625

 

 

 

 

 

 

 

 

Jarden Corp.,

 

 

 

 

 

 

 

 

 

 

998

 

 

Term Loan B2, LIBOR + 1.75%, 1/24/12

 

 

 

 

1,001,618

 

 

 

 

 

1,109

 

 

Term Loan, LIBOR + 2.00%, 8/15/11

 

 

 

 

1,116,456

 

 

 

 

 

1,000

 

 

Mueller Group, Inc., Term Loan B, LIBOR + 2.25%, 10/03/12

 

 

 

 

1,012,857

 

 

 

 

 

466

 

 

Penn Engineering & Manufacturing, Term Loan, LIBOR + 2.25%, 5/25/11

 

 

 

 

471,157

 

 

 

 

 

292

 

 

Precise Technology, Inc., Term Loan, LIBOR + 3.00%, 3/31/11

 

 

 

 

292,502

 

 

 

 

 

 

 

 

Sensus Metering Systems, Inc.,

 

 

 

 

 

 

 

 

 

 

1,220

 

 

Term Loan B1, LIBOR + 2.50%, 12/17/10

 

 

 

 

1,228,712

 

 

 

 

 

190

 

 

Term Loan B2, LIBOR + 2.50%, 12/17/10

 

 

 

 

191,699

 

 

 

 

 

876

 

 

St. John Knits International, Inc., Term Loan B, LIBOR + 2.50%, 3/18/12

 

 

 

 

886,902

 

 

 

 

 

2,494

 

 

Sungard Data Systems, Inc., Term Loan B, LIBOR + 2.50%, 2/11/13

 

 

 

 

2,513,870

 

 

 

 

 

1,425

 

 

Visant Holding Corp., Term Loan B, LIBOR + 2.50%, 10/04/11

 

 

 

 

1,445,930

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

27,886,231

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Consumer Products—7.2%

 

 

 

 

 

 

 

 

 

 

1,000

 

 

24 Hour Fitness Worldwide, Inc., Term Loan B, LIBOR + 3.00%, 6/08/12

 

 

 

 

1,014,375

 

 

 

 

 

488

 

 

Adams Outdoor Advertising, L.P., Term Loan, LIBOR + 2.00%, 10/18/12

 

 

 

 

494,573

 

 

 

 

 

1,053

 

 

Alimentation Couche-Tard, Inc., Term Loan, LIBOR + 1.75%, 12/17/10

 

 

 

 

1,063,863

 

 

 

 

 

499

 

 

Arby’s Restaurant Group, Inc., Term Loan B, LIBOR + 2.25%, 7/25/12

 

 

 

 

501,244

 

 

 

 

 

 

 

 

Berkline Bench Craft,

 

 

 

 

 

 

 

 

 

 

963

 

 

Term Loan B, LIBOR + 3.00%, 11/03/11

 

 

 

 

943,250

 

 

 

 

 

1,000

 

 

Term Loan, PRIME + 7.00%, 4/30/12

 

 

 

 

900,000

 

See Notes to Financial Statements.

47


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Consumer Products—(cont’d.)

 

 

 

 

 

 

 

 

 

$

500

 

 

Buffets, Inc., LIBOR + 0.10%, 6/28/09

 

 

 

$

502,500

 

 

 

 

 

499

 

 

Burger King Corp., Term Loan B, LIBOR + 1.75%, 6/30/12

 

 

 

 

503,381

 

 

 

 

 

744

 

 

Central Garden & Pet Co., Term Loan B, LIBOR + 1.75%, 5/31/09

 

 

 

 

753,630

 

 

 

 

 

 

 

 

Chiquita Brands International, Inc.,

 

 

 

 

 

 

 

 

 

 

299

 

 

Term Loan B, LIBOR + 2.50%, 6/28/12

 

 

 

 

303,672

 

 

 

 

 

499

 

 

Term Loan C, LIBOR + 2.50%, 6/28/12

 

 

 

 

504,984

 

 

 

 

 

983

 

 

CKE Restaurants, Inc., Term Loan, LIBOR + 2.00%, 5/01/10

 

 

 

 

987,522

 

 

 

 

 

1

 

 

Delaware Laboratories, Inc., TBD

 

 

 

 

639

 

 

 

 

 

1,000

 

 

Denny’s Corp., Term Loan, LIBOR + 5.13%, 9/30/10

 

 

 

 

1,023,125

 

 

 

 

 

549

 

 

Dole Food Co., Inc., Term Loan B, LIBOR + 1.50%, 4/18/12

 

 

 

 

553,059

 

 

 

 

 

496

 

 

Douglas Dynamics, LLC, Term Loan, PRIME + 1.00%, 12/16/10

 

 

 

 

501,213

 

 

 

 

 

2,901

 

 

Dr. Pepper Bottling Co. of Texas, Inc., Term Loan B, PRIME + 1.00%, 12/19/10

 

 

 

 

2,938,734

 

 

 

 

 

 

 

 

Eastman Kodak Co.,

 

 

 

 

 

 

 

 

 

 

368

 

 

Term Loan B-2, 1.50%, 10/18/12

 

 

 

 

363,971

 

 

 

 

 

882

 

 

Term Loan B1, LIBOR + 2.25%, 10/18/12

 

 

 

 

877,721

 

 

 

 

 

995

 

 

Eye Care Centers of America, Inc., Term Loan, LIBOR + 3.00%, 2/16/12

 

 

 

 

1,001,219

 

 

 

 

 

792

 

 

Keystone Foods Holdings, LLC, Term Loan, LIBOR + 1.75%, 6/16/11

 

 

 

 

799,979

 

 

 

 

 

500

 

 

Knoll, Inc., Term Loan, LIBOR + 2.00%, 10/03/12

 

 

 

 

506,250

 

 

 

 

 

902

 

 

Language Line, Inc., Term Loan B, LIBOR + 4.25%, 6/10/11

 

 

 

 

906,960

 

 

 

 

 

1,653

 

 

Le-Natures, Inc., Term Loan B, LIBOR + 3.00%, 5/30/10

 

 

 

 

1,657,526

 

 

 

 

 

500

 

 

MD Beauty, Inc., Term Loan, PRIME + 6.00%, 2/18/13

 

 

 

 

498,750

 

 

 

 

 

2,738

 

 

Michael Foods, Inc., Term Loan B, LIBOR + 2.25%, 11/21/10

 

 

 

 

2,777,617

 

 

 

 

 

998

 

 

Movie Gallery, Inc., Term Loan B, LIBOR + 3.75%, 4/27/11

 

 

 

 

972,147

 

 

 

 

 

1,750

 

 

Neiman-Marcus Group, Inc., Term Loan, LIBOR + 2.50%, 4/06/13

 

 

 

 

1,757,656

 

 

 

 

 

1,995

 

 

NewPage, Term Loan B, LIBOR + 3.00%, 5/02/11

 

 

 

 

2,009,962

 

 

 

 

 

950

 

 

Nice Pak Products, Term Loan, LIBOR + 3.50%, 6/15/10

 

 

 

 

953,563

 

 

 

 

 

 

 

 

Olympus Cable Holdings, LLC,

 

 

 

 

 

 

 

 

 

 

2,000

 

 

Term Loan A, PRIME + 1.25%, 6/30/10

 

 

 

 

1,965,358

 

 

 

 

 

3,500

 

 

Term Loan B, PRIME + 2.00%, 9/30/10

 

 

 

 

3,463,750

 

 

 

 

 

500

 

 

Oriental Trading Co., Inc., Term Loan, LIBOR + 4.75%, 1/08/11

 

 

 

 

501,563

 

 

 

 

 

2,633

 

 

Oriental Trading Company, Inc., Term Loan B, LIBOR + 2.25%, 8/06/10

 

 

 

 

2,641,205

 

 

 

 

 

2,970

 

 

OSI Group LLC, Term Loan B, LIBOR + 2.00%, 9/02/11

 

 

 

 

3,002,174

 

 

 

 

 

1,745

 

 

Pantry, Inc. (The), Term Loan B, LIBOR + 2.25%, 3/12/11

 

 

 

 

1,768,920

 

 

 

 

 

953

 

 

PBM Products, LLC, Term Loan B, LIBOR + 3.00%, 7/26/11

 

 

 

 

957,821

 

 

 

 

 

844

 

 

Pierre Foods, Inc., Term Loan B, LIBOR + 2.75%, 6/30/10

 

 

 

 

853,312

 

 

 

 

 

750

 

 

Pivotal Promontory, LLC, Term Loan, LIBOR + 6.50%, 8/31/11

 

 

 

 

753,750

 

 

 

 

 

1,478

 

 

Prestige Brands Holdings, Inc., Term Loan B, LIBOR + 2.25%, 4/06/11

 

 

 

 

1,494,122

 

 

 

 

 

3,470

 

 

R.H. Donnelley, Inc., Term Loan D, LIBOR + 1.75%, 6/30/11

 

 

 

 

3,487,072

 

 

 

 

 

442

 

 

Sealy Mattress Co., Term Loan D, LIBOR + 1.75%, 4/06/12

 

 

 

 

445,658

 

 

 

 

 

600

 

 

Synventive Acquisition, Inc., Term Loan, LIBOR + 14.0%, 7/29/14

 

 

 

 

600,000

 

 

 

 

 

500

 

 

Travelcenters of America, Inc., Term Loan B, LIBOR + 1.75%, 12/01/11

 

 

 

 

505,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

51,012,790

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Containers & Packaging—1.8%

 

 

 

 

 

 

 

 

 

 

868

 

 

Bway Corp., Term Loan, LIBOR + 2.25%, 6/30/11

 

 

 

 

878,850

 

 

 

 

 

353

 

 

Flexsol Packaging Corp., Term Loan, LIBOR + 3.25%, 11/30/11

 

 

 

 

352,440

 

 

 

 

 

 

 

 

Graham Packaging Company, L.P.,

 

 

 

 

 

 

 

 

 

 

1,985

 

 

Term Loan B, LIBOR + 2.50%, 10/07/11

 

 

 

 

2,007,953

 

 

 

 

 

2,000

 

 

Term Loan C, LIBOR + 4.25%, 4/07/12

 

 

 

 

2,031,666

 

 

 

 

 

1,383

 

 

Graphic Packaging International, Inc., Term Loan C, LIBOR + 2.50%, 6/30/10

 

 

 

 

1,393,710

 

 

 

 

 

 

 

 

Owens-Illinois Group, Inc.,

 

 

 

 

 

 

 

 

 

 

3,170

 

 

Term Loan A1, LIBOR + 2.75%, 4/01/07

 

 

 

 

3,188,516

 

 

 

 

 

589

 

 

Term Loan C1, LIBOR + 1.75%, 4/01/08

 

 

 

 

592,796

 

 

 

 

 

568

 

 

Smurfit-Stone Container Corp., Term Loan, LIBOR + 2.10%, 11/01/11

 

 

 

 

573,558

 

 

 

 

 

1,970

 

 

Solo Cup, Inc., Term Loan, LIBOR + 2.50%, 2/27/11

 

 

 

 

1,974,432

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

12,994,921

 

 

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

48


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Ecological Services & Equipment—0.6%

 

 

 

 

 

 

 

 

 

 

 

 

 

Allied Waste North America, Inc.,

 

 

 

 

 

 

 

 

 

$

1,003

 

 

Term Loan A, LIBOR + 2.00%, 1/15/12

 

 

 

$

1,008,256

 

 

 

 

 

2,655

 

 

Term Loan, LIBOR + 2.00%, 1/15/12

 

 

 

 

2,667,712

 

 

 

 

 

500

 

 

Envirosolutions, Inc., Term Loan, LIBOR + 3.50%, 7/07/12

 

 

 

 

508,125

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

4,184,093

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Energy—3.1%

 

 

 

 

 

 

 

 

 

 

429

 

 

AES Corp., Term Loan, LIBOR + 1.75%, 4/30/08

 

 

 

 

433,607

 

 

 

 

 

998

 

 

Cellnet Technology, Inc., Term Loan B, LIBOR + 3.00%, 4/26/12

 

 

 

 

1,002,487

 

 

 

 

 

 

 

 

Coffeyville Resources, LLC,

 

 

 

 

 

 

 

 

 

 

600

 

 

Term Loan, LIBOR + 2.50%, 6/24/12

 

 

 

 

609,250

 

 

 

 

 

898

 

 

Term Loan B, LIBOR + 2.50%, 6/24/12

 

 

 

 

911,591

 

 

 

 

 

777

 

 

Cogentrix Delaware Holdings, Inc., Term Loan, LIBOR + 1.75%, 4/14/12

 

 

 

 

785,129

 

 

 

 

 

250

 

 

Complete Production Services, Inc., Term Loan B, LIBOR, 9/12/12

 

 

 

 

251,979

 

 

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

 

 

 

 

 

 

375

 

 

Term Loan, LIBOR + 2.85%, 11/30/07

 

 

 

 

377,448

 

 

 

 

 

615

 

 

Term Loan B, LIBOR + 2.75%, 11/23/09

 

 

 

 

619,015

 

 

 

 

 

998

 

 

Kerr-McGee Corp., Term Loan B, PRIME + 1.50%, 5/24/11

 

 

 

 

999,495

 

 

 

 

 

1,500

 

 

Key Energy Services, Term Loan B, 1.00%, 6/30/12

 

 

 

 

1,520,625

 

 

 

 

 

500

 

 

Magellan Midstream Holdings, L.P., Term Loan, LIBOR + 2.13%, 6/30/12

 

 

 

 

506,562

 

 

 

 

 

 

 

 

MDCP Acquistions,

 

 

 

 

 

 

 

 

 

 

2,429

 

 

Term Loan B3, LIBOR + 2.75%, 12/31/08

 

 

 

 

2,425,867

 

 

 

 

 

2,429

 

 

Term Loan C3, LIBOR + 2.75%, 10/31/11

 

 

 

 

2,428,702

 

 

 

 

 

250

 

 

Petrohawk, Term Loan, LIBOR + 4.50%, 7/31/10

 

 

 

 

250,938

 

 

 

 

 

304

 

 

Pike Electric, Inc., Term Loan B, LIBOR + 2.25%, 7/01/12

 

 

 

 

306,849

 

 

 

 

 

 

 

 

Reliant Energy Resources Corp.,

 

 

 

 

 

 

 

 

 

 

1,500

 

 

Term Loan, LIBOR + 2.38%, 9/30/10

 

 

 

 

1,503,214

 

 

 

 

 

2,729

 

 

Term Loan, LIBOR + 2.38%, 4/30/10

 

 

 

 

2,735,224

 

 

 

 

 

 

 

 

Semcrude, L.P.,

 

 

 

 

 

 

 

 

 

 

797

 

 

Term Loan, LIBOR + 2.50%, 3/16/11

 

 

 

 

804,467

 

 

 

 

 

697

 

 

Term Loan, LIBOR + 2.50%, 3/16/11

 

 

 

 

703,465

 

 

 

 

 

1,000

 

 

Targa Resources Asst. Sale, TBD

 

 

 

 

1,000,000

 

 

 

 

 

500

 

 

Trout Coal Holdings, LLC, Term Loan, LIBOR + 6.50%, 3/15/12

 

 

 

 

503,750

 

 

 

 

 

995

 

 

Universal Compression, Inc., Term Loan, 0.35%, 2/15/12

 

 

 

 

1,004,640

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

21,684,304

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Entertainment & Leisure—2.6%

 

 

 

 

 

 

 

 

 

 

988

 

 

Boyd Gaming Corp., Term Loan B, LIBOR + 1.50%, 6/30/11

 

 

 

 

997,992

 

 

 

 

 

 

 

 

CCM Merger, Inc.,

 

 

 

 

 

 

 

 

 

 

498

 

 

Term Loan, 0.50%, 7/25/12

 

 

 

 

502,484

 

 

 

 

 

750

 

 

Term Loan B, LIBOR + 2.00%, 4/25/12

 

 

 

 

755,156

 

 

 

 

 

2,790

 

 

Greektown Casino, LLC, Term Loan D, LIBOR + 3.50%, 12/31/05

 

 

 

 

2,800,245

 

 

 

 

 

493

 

 

Green Valley Ranch Gaming, LLC, Term Loan B, LIBOR + 2.00%, 12/17/11

 

 

 

 

498,685

 

 

 

 

 

1,241

 

 

Isle of Capri Casinos, Inc., Term Loan, LIBOR + 1.75%, 2/04/11

 

 

 

 

1,251,869

 

 

 

 

 

985

 

 

Loews Cineplex Entertainment Corp., Term Loan B, LIBOR + 2.25%, 7/31/11

 

 

 

 

987,879

 

 

 

 

 

5,000

 

 

Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, LIBOR + 2.25%, 4/08/12

 

 

 

 

5,039,375

 

 

 

 

 

2,000

 

 

Penn National Gaming, Term Loan B, PRIME + 1.00%, 10/03/12

 

 

 

 

2,023,126

 

 

 

 

 

499

 

 

Volume Svcs. America, Inc., Term Loan, PRIME + 1.25%, 10/01/10

 

 

 

 

503,111

 

 

 

 

 

 

 

 

Wyndham International, Inc.,

 

 

 

 

 

 

 

 

 

 

651

 

 

TBD

 

 

 

 

650,650

 

 

 

 

 

1,099

 

 

Term Loan E, LIBOR, 9/11/07

 

 

 

 

1,099,350

 

 

 

 

 

1,000

 

 

Wynn Las Vegas, LLC, Term Loan, 1.00%, 12/14/11

 

 

 

 

1,009,000

 

 

 

 

 

500

 

 

Yellowstone Mtn. Club, Term Loan, LIBOR + 2.38%, 9/30/10

 

 

 

 

505,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

18,623,922

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Financial Institutions—1.2%

 

 

 

 

 

 

 

 

 

 

1,500

 

 

Arias Acquisitions, Inc., Term Loan, LIBOR + 3.75%, 7/26/11

 

 

 

 

1,494,375

 

 

 

 

 

956

 

 

CCC Information Services, Inc., Term Loan B, LIBOR + 2.75%, 8/20/10

 

 

 

 

955,563

 

 

 

 

 

1,432

 

 

Global Cash Access, LLC, Term Loan, LIBOR + 2.25%, 3/10/10

 

 

 

 

1,450,932

 

 

 

 

 

 

 

 

N.E.W. Holdings I, LLC,

 

 

 

 

 

 

 

 

 

 

966

 

 

Term Loan, LIBOR + 3.25%, 7/08/11

 

 

 

 

977,776

 

 

 

 

 

250

 

 

Term Loan, LIBOR + 7.00%, 6/30/12

 

 

 

 

253,438

 

See Notes to Financial Statements.

49


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Financial Institutions—(cont’d.)

 

 

 

 

 

 

 

 

 

$

1,975

 

 

SBA Sen. Finance, Inc., Term Loan D, LIBOR + 2.25%, 10/31/08

 

 

 

$

1,979,114

 

 

 

 

 

463

 

 

Universal American Financial Corp., Term Loan, LIBOR + 2.25%, 3/31/09

 

 

 

 

462,500

 

 

 

 

 

981

 

 

USI Holdings Corp., Term Loan B, LIBOR + 2.50%, 8/11/08

 

 

 

 

981,838

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

8,555,536

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Health Care—4.3%

 

 

 

 

 

 

 

 

 

 

494

 

 

Accellent Corp., Term Loan B, LIBOR + 2.25%, 6/30/10

 

 

 

 

494,676

 

 

 

 

 

181

 

 

Ameripath, Inc., Term Loan, LIBOR + 3.25%, 3/27/10

 

 

 

 

182,529

 

 

 

 

 

1,500

 

 

CCS Medical, Term Loan B, TBD

 

 

 

 

1,497,499

 

 

 

 

 

719

 

 

Colgate Medical, Ltd., Term Loan B, LIBOR + 2.00%, 12/30/08

 

 

 

 

724,713

 

 

 

 

 

2,970

 

 

Community Health Systems, Inc., Term Loan, LIBOR + 1.75%, 8/19/11

 

 

 

 

3,005,269

 

 

 

 

 

2,500

 

 

Concentra Operating Corp., Term Loan B, LIBOR + 2.00%, 9/30/11

 

 

 

 

2,526,562

 

 

 

 

 

1,922

 

 

Davita, Inc., Term Loan B, LIBOR + 2.25%, 10/05/12

 

 

 

 

1,947,990

 

 

 

 

 

1,000

 

 

Duloxetine Royalty Sub., Term Loan, LIBOR + 4.50%, 10/15/13

 

 

 

 

1,000,000

 

 

 

 

 

 

 

 

HealthSouth Corp.,

 

 

 

 

 

 

 

 

 

 

638

 

 

Term Loan B, 0.50%, 2/28/10

 

 

 

 

639,492

 

 

 

 

 

2,357

 

 

Term Loan, LIBOR + 2.50%, 6/14/07

 

 

 

 

2,363,958

 

 

 

 

 

2,000

 

 

Term Loan, LIBOR + 5.00%, 6/15/10

 

 

 

 

2,003,334

 

 

 

 

 

988

 

 

IASIS Healthcare Corp., Term Loan B, LIBOR + 2.25%, 6/30/11

 

 

 

 

1,000,256

 

 

 

 

 

2,970

 

 

Jean Coutu Group, Inc., Term Loan B, LIBOR + 2.25%, 7/30/11

 

 

 

 

3,001,093

 

 

 

 

 

776

 

 

Kinetic Concepts, Inc., Term Loan B-2, LIBOR + 1.75%, 8/11/10

 

 

 

 

784,151

 

 

 

 

 

827

 

 

NDC Hlth Corp., Term Loan, PRIME + 2.00%, 11/26/08

 

 

 

 

827,036

 

 

 

 

 

993

 

 

Pacificare Health Systems, Inc., Term Loan B, LIBOR + 1.50%, 12/13/10

 

 

 

 

993,534

 

 

 

 

 

995

 

 

Select Med. Corp., Term Loan B, LIBOR + 1.75%, 2/24/12

 

 

 

 

994,862

 

 

 

 

 

500

 

 

Triumph Healthcare Second Holdings, Inc., Term Loan, PRIME + 7.50%, 8/31/12

 

 

 

 

499,062

 

 

 

 

 

1,000

 

 

Vanguard Hlth. Holding Co. II, Term Loan, LIBOR + 2.25%, 9/23/11

 

 

 

 

1,012,500

 

 

 

 

 

 

 

 

Warner Chilcott Corp.,

 

 

 

 

 

 

 

 

 

 

530

 

 

Term Loan, 1.375%, 1/31/06 - 6/30/06

 

 

 

 

531,482

 

 

 

 

 

2,173

 

 

Term Loan B, LIBOR + 2.75%, 1/18/12

 

 

 

 

2,178,931

 

 

 

 

 

876

 

 

Term Loan C, LIBOR + 2.75%, 1/18/12

 

 

 

 

878,003

 

 

 

 

 

404

 

 

Term Loan D, LIBOR + 2.75%, 1/18/12

 

 

 

 

405,613

 

 

 

 

 

988

 

 

Wellcare Holdings, LLC, Term Loan, LIBOR + 2.50%, 5/13/09

 

 

 

 

993,672

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

30,486,217

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Industrials—1.5%

 

 

 

 

 

 

 

 

 

 

236

 

 

Alderwoods Group, Inc., Term Loan B2, LIBOR + 2.00%, 9/29/09

 

 

 

 

238,464

 

 

 

 

 

3,198

 

 

Buhrmann U.S., Inc., Term Loan C1, LIBOR + 2.50%, 12/31/10

 

 

 

 

3,254,235

 

 

 

 

 

780

 

 

Novelis, Inc., Term Loan, LIBOR + 1.75%, 1/06/12

 

 

 

 

788,455

 

 

 

 

 

499

 

 

Roller Bearing Co. of America, Term Loan B, LIBOR + 3.75%, 12/29/10

 

 

 

 

506,231

 

 

 

 

 

1,961

 

 

Trimas Corp., Term Loan B, LIBOR + 3.75%, 12/31/09

 

 

 

 

1,976,846

 

 

 

 

 

1,806

 

 

United Rentals (North America), Inc., Term Loan B, LIBOR + 2.25%, 2/14/11

 

 

 

 

1,818,926

 

 

 

 

 

1,698

 

 

Worldspan, L.P., Term Loan, LIBOR + 2.75%, 2/16/10

 

 

 

 

1,653,211

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

10,236,368

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Media—5.8%

 

 

 

 

 

 

 

 

 

 

1,741

 

 

American Lawyers Media, Inc., Term Loan, 0.75%, 3/05/10

 

 

 

 

1,739,800

 

 

 

 

 

4,000

 

 

Century Cable Holdings, LLC, Term Loan, PRIME + 2.00%, 6/30/09

 

 

 

 

3,957,856

 

 

 

 

 

3,452

 

 

Charter Communications Operating, LLC, Term Loan, LIBOR + 3.25%, 4/27/11

 

 

 

 

3,458,862

 

 

 

 

 

3,684

 

 

Dex Media West, LLC, Term Loan B, LIBOR + 1.75%, 3/09/10

 

 

 

 

3,697,028

 

 

 

 

 

2,333

 

 

DirecTV Holdings, LLC, Term Loan B, LIBOR + 1.50%, 4/13/13

 

 

 

 

2,351,806

 

 

 

 

 

2,978

 

 

Emmis Communications Co., Term Loan B, LIBOR + 1.75%, 11/10/11

 

 

 

 

2,994,993

 

 

 

 

 

2,581

 

 

Insight Midwest Holdings, LLC, Term Loan C, LIBOR + 2.00%, 12/31/09

 

 

 

 

2,614,884

 

 

 

 

 

249

 

 

Masonite International Corp., Term Loan, LIBOR + 2.00%, 4/05/13

 

 

 

 

247,943

 

 

 

 

 

1,990

 

 

Mediacom Communications Corp., Term Loan C, LIBOR + 2.00%, 2/01/14

 

 

 

 

2,017,363

 

 

 

 

 

1,985

 

 

Mediacom Illinois, LLC, Term Loan B, LIBOR + 2.25%, 3/31/13

 

 

 

 

2,014,156

 

 

 

 

 

1,946

 

 

Mission Broadcasting, Inc., Term Loan B, LIBOR + 1.75%, 8/14/12

 

 

 

 

1,955,645

 

 

 

 

 

500

 

 

NEP Supershooters, L.P., Term Loan, LIBOR + 8.00%, 2/01/11

 

 

 

 

495,000

 

 

 

 

 

1,981

 

 

Nexstar Broadcasting, Inc., Term Loan B, LIBOR + 1.75%, 8/14/12

 

 

 

 

1,990,749

 

 

 

 

 

3,000

 

 

NTL Investment Holding Ltd., Term Loan B, LIBOR + 3.00%, 5/19/12

 

 

 

 

3,006,750

 

 

 

 

 

750

 

 

Puerto Rico Cable Acquisition Co., Term Loan, PRIME + 5.25%, 2/28/12

 

 

 

 

760,313

 

See Notes to Financial Statements.

50


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Media—(cont’d.)

 

 

 

 

 

 

 

 

 

$

2,500

 

 

Raycom Media, Inc., Term Loan B, LIBOR + 1.75%, 3/31/12

 

 

 

$

2,509,375

 

 

 

 

 

 

 

 

Relizon Co. (The),

 

 

 

 

 

 

 

 

 

 

122

 

 

Term Loan B-1, LIBOR + 3.00%, 2/20/11

 

 

 

 

122,336

 

 

 

 

 

1,118

 

 

Term Loan, LIBOR + 3.00%, 2/20/11

 

 

 

 

1,120,697

 

 

 

 

 

2,000

 

 

UPC Distribution Corp., Term Loan H, LIBOR + 2.50%, 9/30/12

 

 

 

 

2,015,416

 

 

 

 

 

1,968

 

 

WMG Acquisition Corp., Term Loan, LIBOR + 2.00%, 2/28/11

 

 

 

 

1,986,422

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

41,057,394

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Publishing—0.1%

 

 

 

 

 

 

 

 

 

 

750

 

 

Endurance Business Media, Term Loan B, PRIME + 1.25%, 3/08/12

 

 

 

 

755,625

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Real Estate—1.7%

 

 

 

 

 

 

 

 

 

 

627

 

 

Crescent Real Estate Equities, L.P., Term Loan, LIBOR + 2.25%, 1/12/06

 

 

 

 

628,893

 

 

 

 

 

 

 

 

General Growth Properties, Inc.,

 

 

 

 

 

 

 

 

 

 

1,766

 

 

Term Loan A, LIBOR + 1.75%, 11/12/07

 

 

 

 

1,772,128

 

 

 

 

 

3,003

 

 

Term Loan B, LIBOR + 2.00%, 11/12/08

 

 

 

 

3,034,339

 

 

 

 

 

 

 

 

Kyle Acquisition Group, LLC,

 

 

 

 

 

 

 

 

 

 

731

 

 

Term Loan B, PRIME, 7/20/08

 

 

 

 

738,661

 

 

 

 

 

300

 

 

Term Loan, PRIME, 7/20/10

 

 

 

 

303,000

 

 

 

 

 

1,000

 

 

Landsource Communities Development, LLC, Term Loan B, LIBOR + 2.50%, 3/31/10

 

 

 

 

1,006,250

 

 

 

 

 

476

 

 

Macerich Partnership, L.P., Term Loan, LIBOR + 1.60%, 4/25/06

 

 

 

 

476,154

 

 

 

 

 

249

 

 

Masonite Intl. Corp., Term Loan, LIBOR + 2.00%, 4/05/13

 

 

 

 

247,521

 

 

 

 

 

 

 

 

Ply Gem Industries, Inc.,

 

 

 

 

 

 

 

 

 

 

61

 

 

Term Loan, LIBOR + 2.50%, 3/15/10

 

 

 

 

61,745

 

 

 

 

 

1,916

 

 

Term Loan B, LIBOR + 2.50%, 2/12/11

 

 

 

 

1,925,819

 

 

 

 

 

712

 

 

Stewart Enterprises, Inc., Term Loan B, LIBOR + 1.75%, 11/19/11

 

 

 

 

720,132

 

 

 

 

 

1,000

 

 

Williams Scotsman, Inc., Term Loan B, LIBOR + 2.50%, 6/28/10

 

 

 

 

1,011,875

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

11,926,517

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Technology—0.4%

 

 

 

 

 

 

 

 

 

 

413

 

 

Coinstar, Inc., Term Loan, LIBOR + 2.25%, 7/07/11

 

 

 

 

419,792

 

 

 

 

 

498

 

 

Federal IT Systems, Inc., Term Loan, LIBOR + 2.75%, 4/01/11

 

 

 

 

502,786

 

 

 

 

 

1,441

 

 

Verifone, Inc., Term Loan B, LIBOR + 2.00%, 6/30/11

 

 

 

 

1,448,415

 

 

 

 

 

241

 

 

Westcom Corp., Term Loan B, LIBOR + 2.75%, 12/16/10

 

 

 

 

242,312

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

2,613,305

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Telecommunications—3.4%

 

 

 

 

 

 

 

 

 

 

250

 

 

AAT Communications Corp., Term Loan, LIBOR + 1.75%, 7/27/12

 

 

 

 

253,125

 

 

 

 

 

1,000

 

 

Alaska Communications Systems Holdings, Inc., Term Loan, LIBOR + 2.00%, 1/31/12

 

 

 

 

1,012,000

 

 

 

 

 

1,000

 

 

Atlantic Broadband Finance, LLC, Term Loan B1, LIBOR + 2.75%, 8/04/12

 

 

 

 

1,015,000

 

 

 

 

 

 

 

 

Centennial Cellular Operating Co.,

 

 

 

 

 

 

 

 

 

 

489

 

 

Term Loan, LIBOR + 2.25%, 2/09/11

 

 

 

 

490,913

 

 

 

 

 

991

 

 

Term Loan, LIBOR + 2.25%, 2/09/11

 

 

 

 

995,669

 

 

 

 

 

1,481

 

 

Cons. Communications, Inc., Term Loan D, LIBOR + 2.25%, 10/14/11

 

 

 

 

1,496,062

 

 

 

 

 

500

 

 

Country Road Communications, LLC, Term Loan, LIBOR, 7/15/13

 

 

 

 

506,250

 

 

 

 

 

750

 

 

Fairpoint Communications, Inc., Term Loan, LIBOR + 1.75%, 2/15/12

 

 

 

 

756,750

 

 

 

 

 

1,244

 

 

Freedom Communications, Inc., Term Loan B, LIBOR + 1.50%, 5/01/13

 

 

 

 

1,251,834

 

 

 

 

 

993

 

 

Intelsat Zeus, Ltd., Term Loan, 0.75%, 7/28/11

 

 

 

 

1,000,358

 

 

 

 

 

2,000

 

 

Iowa Telecommunications Services, Inc., Term Loan B, LIBOR + 1.75%, 11/23/11

 

 

 

 

2,017,500

 

 

 

 

 

 

 

 

IPC Acquisition Corp.,

 

 

 

 

 

 

 

 

 

 

1,000

 

 

Term Loan, LIBOR + 2.75%, 8/05/11

 

 

 

 

1,003,333

 

 

 

 

 

500

 

 

Term Loan, LIBOR + 7.25%, 8/05/12

 

 

 

 

490,000

 

 

 

 

 

1,000

 

 

Madison River Capital, LLC, Term Loan B, LIBOR + 2.50%, 7/29/12

 

 

 

 

1,013,333

 

 

 

 

 

2,500

 

 

Nextel Partners Operating Corp., Term Loan D, LIBOR + 1.50%, 5/31/12

 

 

 

 

2,505,730

 

 

 

 

 

 

 

 

Ntelos, Inc.,

 

 

 

 

 

 

 

 

 

 

744

 

 

Term Loan, LIBOR + 2.50%, 8/25/11

 

 

 

 

749,027

 

 

 

 

 

750

 

 

Term Loan, LIBOR + 5.00%, 2/25/12

 

 

 

 

754,688

 

 

 

 

 

2,000

 

 

Qwest Corp., Term Loan A, LIBOR + 4.75%, 6/30/07

 

 

 

 

2,059,444

 

 

 

 

 

2,000

 

 

Satbirds Finance, Term Loan, LIBOR + 4.25%, 10/15/13

 

 

 

 

2,414,536

 

 

 

 

 

1,933

 

 

Valor Telecommunication Enterprises II, LLC, Term Loan B, LIBOR + 1.75%, 2/14/12

 

 

 

 

1,953,703

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

23,739,255

 

 

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

51


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

Value

 











 

 

 

 

 

 

 

Transportation—0.5%

 

 

 

 

 

 

 

 

 

$

500

 

 

Delta Air Lines, Inc., Term Loan B, LIBOR + 6.50%, 3/16/08

 

 

 

$

516,750

 

 

 

 

 

988

 

 

Kenan Advantage Group, Inc., Term Loan, LIBOR + 3.50%, 6/30/10

 

 

 

 

997,375

 

 

 

 

 

1,000

 

 

Sirva Worldwide, Inc., Term Loan, LIBOR + 3.50%, 12/01/10

 

 

 

 

954,500

 

 

 

 

 

750

 

 

Transport Industries, L.P., Term Loan B, LIBOR + 2.50%, 9/30/11

 

 

 

 

755,625

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

3,224,250

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Bank Loans

 

 

 

 

308,562,143

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—21.2%

 

 

 

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

 

 

988

2

 

5.00%, 6/01/20 - 8/01/20

 

 

 

 

974,650

 

 

 

 

 

3,519

 

 

5.50%, 12/01/28 - 11/01/33

 

 

 

 

3,476,430

 

 

 

 

 

7,725

2

 

5.50%, 7/01/33 - 10/01/33

 

 

 

 

7,627,858

 

 

 

 

 

170,002

 

 

7.25%, 1/15/10

 

 

 

 

18,582,020

 

 

 

 

 

120,700

 

 

TBA, 5.00%, 11/30/20

 

 

 

 

119,040,375

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

 

 

149,701,333

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—1.3%

 

 

 

 

 

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

 

NR

 

 

 

58,694

 

 

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

 

 

 

 

4,842,287

 

NR

 

 

 

54,298

 

 

Ser. 2, 1.00%, 3/30/30

 

 

 

 

4,140,202

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

 

 

8,982,489

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Asset-Backed Securities—2.7%

 

 

 

 

 

 

AAA

 

 

 

2,080

2

 

Citibank Credit Card Issuance Trust, 2.50%, 4/07/08

 

 

 

 

2,063,651

 

AAA

 

 

 

4,031

2

 

DaimlerChrysler Auto Trust, 2.25%, 8/08/07

 

 

 

 

4,008,902

 

AAA

 

 

 

5,170

2

 

Honda Auto Receivables Class A3, 2.30%, 10/18/07

 

 

 

 

5,116,536

 

AAA

 

 

 

7,910

2

 

MBNA Credit Card Master Note Trust, 5.75%, 10/15/08

 

 

 

 

7,965,528

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Asset-Backed Securities

 

 

 

 

19,154,617

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations—2.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

GSR Mortgage Loan Trust,

 

 

 

 

 

 

AAA

 

 

 

7,764

 

 

Ser. 10, Class 2A1, 4.475%, 10/25/33

 

 

 

 

7,389,218

 

AAA

 

 

 

7,510

 

 

Ser. 13, Class 1A1, 4.506%, 10/25/33

 

 

 

 

7,224,207

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Collateralized Mortgage Obligations

 

 

 

 

14,613,425

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

U.S. Government and Agency Securities—5.3%

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

 

 

20,425

2

 

3.375%, 12/15/08 - 9/15/09

 

 

 

 

19,773,303

 

 

 

 

 

10,000

2

 

3.75%, 3/31/07

 

 

 

 

9,909,400

 

 

 

 

 

6,000

2

 

3.875%, 5/15/09

 

 

 

 

5,889,360

 

 

 

 

 

1,815

2

 

4.25%, 8/15/15

 

 

 

 

1,770,768

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

 

 

37,342,831

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Foreign Government Bonds—2.5%

 

 

 

 

 

 

B+

 

 

 

1,190

 

 

Bolivarian Republic of Venezuela, 4.563%, 12/18/07

 

 

 

 

1,184,462

 

BB

 

 

 

5,000

 

 

Republic of Colombia, 9.75%, 4/23/09

 

 

 

 

5,597,500

 

BB

 

 

 

5,000

 

 

Republic of Peru, 9.125%, 2/21/12

 

 

 

 

5,780,000

 

BB-

 

 

 

5,000

 

 

Republic of Turkey, 11.375%, 11/27/06

 

 

 

 

5,350,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Foreign Government Bonds

 

 

 

 

17,911,962

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Warrants—0.0%

 

 

 

 

 

 

NR

 

 

 

10

7

 

Reliant Resources, Inc., expires 8/25/05, strike price $0.001, 1 share for 1 warrant

 

 

 

 

77,609

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Long-Term Investments (cost 978,248,319)

 

 

 

 

977,999,891

 

 

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

52


 

 

BlackRock Limited Duration Income Trust (BLW) (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

Value

 











 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—0.6%

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Bond—0.6%

 

 

 

 

 

 

A-1+

 

 

$

4,000

 

 

FNMA Discount Notes, 3.72%, 11/01/056 (cost $4,000,000)

 

 

 

$

4,000,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments before borrowed bond (cost $982,248,3194)

 

 

 

 

981,999,891

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

BORROWED BOND—1.2%

 

 

 

 

 

 

 

 

 

 

8,671

5

 

U.S. Treasury Note, 4.25%, 11/04/05 (cost $8,670,825)

 

 

 

 

8,670,825

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments net of borrowed bonds—140.5%

 

 

 

 

990,670,716

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Liabilities in excess of other assets—(40.5)%

 

 

 

 

(285,709,299

)

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Net Assets—100%

 

 

 

$

704,961,417

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 


1

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

2

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

3

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 12.3% of its net assets, with a current market value of $86,425,365, in securities restricted as to resale.

4

Cost for Federal income tax purposes is $982,455,182. The net unrealized depreciation on a tax basis is $455,291, consisting of $12,636,533 gross unrealized appreciation and $13,091,824 gross unrealized depreciation.

5

The interest rate and maturity date shown represent the terms of the borrowed bond transaction, not the security borrowed (see Note 1).

6

Rate shown is yield to maturity as of October 31, 2005.

7

Non-income producing security.

 

 

A category in the Corporate Bonds and Bank Loans sections may contain multiple industries as defined by the SEC’s Standard Industry Codes.


 

 

KEY TO ABBREVIATIONS

 

TBA   –   To Be Announced

TBD   –   To Be Determined

 

See Notes to Financial Statements.

53


 

 

PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005

BlackRock Strategic Bond Trust (BHD)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—130.0%

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds—122.7%

 

 

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—6.7%

 

 

 

 

 

 

NR

 

 

$

250

 

 

AAR Corp., 8.39%, 5/15/11

 

 

 

$

255,000

 

B-

 

 

 

320

 

 

BE Aerospace, Inc., 8.875%, 5/01/11

 

 

 

 

336,800

 

BBB+

 

 

 

2,000

 

 

Lockheed Martin Corp., 8.50%, 12/01/29

 

 

 

 

2,709,880

 

BBB+

 

 

 

1,000

 

 

Northrop Grumman Corp., 7.125%, 2/15/11

 

 

 

 

1,089,830

 

BBB

 

 

 

650

 

 

Raytheon Co., 4.85%, 1/15/11

 

 

 

 

640,913

 

BB

 

 

 

350

 

 

Sequa Corp., 8.875%, 4/01/08

 

 

 

 

361,375

 

A+

 

 

 

 1,000

2

 

United Technologies Corp., 6.35%, 3/01/11

 

 

 

 

1,062,460

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

6,456,258

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Automotive—3.4%

 

 

 

 

 

 

B-

 

 

 

180

 

 

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

 

 

 

 

170,100

 

BB+

 

 

 

60

 

 

Arvinmeritor, Inc., 8.75%, 3/01/12

 

 

 

 

56,700

 

A3

 

 

 

 1,000

2

 

DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12

 

 

 

 

1,074,330

 

Caa1

 

 

 

1,000

 

 

Delco Remy Intl., Inc., 11.00%, 5/01/09

 

 

 

 

482,500

 

BB

 

 

 

300

 

 

General Motors Acceptance Corp., 8.00%, 11/01/31

 

 

 

 

309,129

 

B-

 

 

 

80

 

 

Goodyear Tire & Rubber Co., 7.857%, 8/15/11

 

 

 

 

77,000

 

CCC+

 

 

 

 200

3

 

Metaldyne Corp., 11.00%, 11/01/13

 

 

 

 

179,500

 

BB

 

 

 

130

 

 

Navistar Intl. Corp., 6.25%, 3/01/12

 

 

 

 

116,675

 

BB-

 

 

 

717

 

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

 

 

 

770,775

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

3,236,709

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Basic Materials—6.2%

 

 

 

 

 

 

BB-

 

 

 

105

 

 

Abitibi-Consolidated, Inc., 8.375%, 4/01/15 (Canada)

 

 

 

 

97,388

 

B- 

 

 

 

 80

3

 

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 9.65%, 7/15/10

 

 

 

 

80,800

 

BB-

 

 

 

415

 

 

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

 

 

 

 

398,400

 

B-

 

 

 

2,175

 

 

Caraustar Industries, Inc., 9.875%, 4/01/11

 

 

 

 

2,115,187

 

BB-

 

 

 

120

 

 

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

 

 

 

 

121,500

 

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

 

 

B

 

 

 

99

 

 

11.50%, 7/15/12

 

 

 

 

111,870

 

BB-

 

 

 

50

 

 

11.625%, 10/15/10

 

 

 

 

56,875

 

BB

 

 

 

70

 

 

IMC Global, Inc., 10.875%, 6/01/08

 

 

 

 

78,225

 

 CCC+

 

 

 

 1,155

3

 

Innophos, Inc., 9.125%, 8/15/14

 

 

 

 

1,169,437

 

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

 

BB-

 

 

 

300

 

 

9.50%, 12/15/08

 

 

 

 

314,250

 

BB-

 

 

 

130

 

 

10.50%, 6/01/13

 

 

 

 

147,550

 

B-

 

 

 

85

 

 

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

 

 

 

 

86,913

 

CCC+

 

 

 

310

 

 

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

 

 

 

 

283,650

 

 B-

 

 

 

 80

3

 

PQ Corp., 7.50%, 2/15/13

 

 

 

 

72,800

 

 

 

 

 

 

 

 

Rhodia SA,

 

 

 

 

 

 

CCC+

 

 

 

300

 

 

8.875%, 6/01/11 (France)

 

 

 

 

282,750

 

B3

 

 

 

30

 

 

10.25%, 6/01/10 (France)

 

 

 

 

31,875

 

BBB- 

 

 

 

 110

3

 

Southern Peru Copper Corp., 7.50%, 7/27/35

 

 

 

 

106,975

 

BBB

 

 

 

441

 

 

Weyerhaeuser Co., 6.125%, 3/15/07

 

 

 

 

448,069

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

6,004,514

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Building & Development—2.2%

 

 

 

 

 

 

 B-

 

 

 

 75

3

 

Ahern Rentals, Inc., 9.25%, 8/15/13

 

 

 

 

76,594

 

BB+

 

 

 

1,000

 

 

Beazer Homes USA, Inc., 8.625%, 5/15/11

 

 

 

 

1,017,500

 

 B2

 

 

 

 150

3

 

Compression Polymers Corp., 10.50%, 7/01/13

 

 

 

 

136,500

 

 B-

 

 

 

 775

3

 

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

 

 

 

 

732,375

 

B

 

 

 

200

 

 

North American Energy Partners, Inc., 9.00%, 6/01/10 (Canada)

 

 

 

 

208,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

2,170,969

 

 

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

54


 

 

BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Conglomerates—1.6%

 

 

 

 

 

 

A+

 

 

$

325

 

 

Honeywell Intl., Inc., 7.50%, 3/01/10

 

 

 

$

357,718

 

BB-

 

 

 

30

 

 

Stena AB, 7.00%, 12/01/16 (Sweden)

 

 

 

 

27,750

 

 BBB+

 

 

 

 1,132

2

 

Tyco Intl. Group, 6.375%, 2/15/06

 

 

 

 

1,137,388

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

1,522,856

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Consumer Products—10.6%

 

 

 

 

 

 

B3

 

 

 

90

 

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

 

 

81,450

 

BBB-

 

 

 

2,000

 

 

Autonation, Inc., 9.00%, 8/01/08

 

 

 

 

2,165,000

 

B1

 

 

 

2,000

 

 

Cenveo Corp., 9.625%, 3/15/12

 

 

 

 

2,110,000

 

B2

 

 

 

465

 

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

 

 

395,250

 

 BBB+

 

 

 

 1,000

2

 

General Mills, Inc., 5.125%, 2/15/07

 

 

 

 

1,003,020

 

B2

 

 

 

320

 

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

 

 

361,600

 

 

 

 

 

 

 

 

GSC Holdings Corp.,

 

 

 

 

 

 

 Ba3

 

 

 

 70

3

 

7.875%, 10/01/11

 

 

 

 

70,438

 

 Ba3

 

 

 

 125

3

 

8.00%, 10/01/12

 

 

 

 

121,875

 

 B-

 

 

 

 460

3

 

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

 

 

427,800

 

B-

 

 

 

380

 

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

 

 

395,200

 

B

 

 

 

270

 

 

Levi Strauss & Co., 8.804%, 4/01/12

 

 

 

 

268,312

 

B3

 

 

 

530

 

 

Movie Gallery, Inc., 11.00%, 5/01/12

 

 

 

 

424,000

 

B-

 

 

 

500

 

 

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

 

 

 

 

491,250

 

 BB-

 

 

 

 100

3

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

 

 

92,750

 

 B-

 

 

 

 500

3

 

Rite Aid Corp., 6.125%, 12/15/08

 

 

 

 

470,000

 

 CCC+

 

 

 

 75

3

 

Rural/Metro Corp., 9.875%, 3/15/15

 

 

 

 

78,375

 

B

 

 

 

1,400

 

 

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

 

 

 

 

1,326,500

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

10,282,820

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Containers & Packaging—1.5%

 

 

 

 

 

 

 

 

 

 

 

 

 

Crown European Holdings SA,

 

 

 

 

 

 

B+

 

 

 

200

 

 

9.50%, 3/01/11 (France)

 

 

 

 

220,000

 

B

 

 

 

800

 

 

10.875%, 3/01/13 (France)

 

 

 

 

944,000

 

CCC+

 

 

 

95

 

 

Graham Packaging Co., Inc., 9.875%, 10/15/14

 

 

 

 

90,013

 

 CCC+

 

 

 

 230

3

 

Pregis Corp., 12.375%, 10/15/13

 

 

 

 

225,400

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

1,479,413

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Ecological Services & Equipment—1.9%

 

 

 

 

 

 

BB-

 

 

 

265

 

 

Allied Waste NA, Inc., 5.75%, 2/15/11

 

 

 

 

246,450

 

B

 

 

 

1,500

 

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

 

 

1,608,750

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

1,855,200

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Energy—15.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

 

 

B1

 

 

 

185

 

 

7.375%, 2/15/24

 

 

 

 

192,631

 

B1

 

 

 

655

 

 

9.625%, 11/01/21

 

 

 

 

792,550

 

B2

 

 

 

1,010

 

 

Aquila Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

 

 

1,030,200

 

 

 

 

 

 

 

 

Calpine Corp.,

 

 

 

 

 

 

 B-

 

 

 

 35

3

 

8.50%, 7/15/10

 

 

 

 

24,588

 

 B

 

 

 

 225

3

 

9.625%, 9/30/14

 

 

 

 

228,375

 

CCC

 

 

 

5

 

 

Calpine Energy Finance ULC, 8.50%, 5/01/08 (Canada)

 

 

 

 

2,713

 

CCC+

 

 

 

255

 

 

Calpine Generating Co. LLC, 11.50%, 4/01/11

 

 

 

 

233,006

 

 B-

 

 

 

 270

3

 

Clayton Williams Energy, Inc., 7.75%, 8/01/13

 

 

 

 

260,550

 

 

 

 

 

 

 

 

CMS Energy Corp.,

 

 

 

 

 

 

BB-

 

 

 

95

 

 

7.50%, 1/15/09

 

 

 

 

98,325

 

BB-

 

 

 

295

 

 

9.875%, 10/15/07

 

 

 

 

317,125

 

 Ba3

 

 

 

 120

3

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

 

 

124,800

 

A1

 

 

 

1,000

 

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

 

 

1,190,220

 

 BBB+

 

 

 

 1,000

2

 

Dominion Resources, Inc., 5.70%, 9/17/12

 

 

 

 

1,016,340

 

B2

 

 

 

470

 

 

Dresser, Inc., 9.375%, 4/15/11

 

 

 

 

489,975

 

BBB

 

 

 

250

 

 

DTE Energy Co., 7.05%, 6/01/11

 

 

 

 

268,247

 

 B+

 

 

 

 610

3

 

Dynegy Holdings, Inc., 10.125%, 7/15/13

 

 

 

 

671,000

 

 

 

 

 

 

 

 

El Paso CGP Co.,

 

 

 

 

 

 

B-

 

 

 

200

 

 

7.42%, 2/15/37

 

 

 

 

181,000

 

B-

 

 

 

165

 

 

9.625%, 5/15/12

 

 

 

 

180,881

 

B-

 

 

 

100

 

 

10.75%, 10/01/10

 

 

 

 

109,125

 

See Notes to Financial Statements.

55


 

 

BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

 

 

B-

 

 

$

165

 

 

7.75%, 1/15/32

 

 

 

$

164,588

 

B-

 

 

 

205

 

 

7.80%, 8/01/31

 

 

 

 

203,206

 

B1

 

 

 

175

 

 

El Paso Natural Gas Co., 8.375%, 6/15/32

 

 

 

 

192,938

 

B

 

 

 

250

 

 

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

 

 

 

 

255,000

 

BBB-

 

 

 

1,075

 

 

FirstEnergy Corp., 7.375%, 11/15/31

 

 

 

 

1,224,169

 

 

 

 

 

 

 

 

Hilcorp Energy I LP/Hilcorp Finance Corp.,

 

 

 

 

 

 

 B

 

 

 

 100

3

 

7.75%, 11/01/15

 

 

 

 

100,000

 

 B

 

 

 

 97

3

 

10.50%, 9/01/10

 

 

 

 

108,640

 

 

 

 

 

 

 

 

KCS Energy, Inc.,

 

 

 

 

 

 

B-

 

 

 

70

 

 

7.125%, 4/01/12

 

 

 

 

71,225

 

 B-

 

 

 

 125

3

 

7.125%, 4/01/12

 

 

 

 

127,500

 

 

 

 

 

 

 

 

Midwest Generation LLC,

 

 

 

 

 

 

B+

 

 

 

596

 

 

8.56%, 1/02/16

 

 

 

 

649,720

 

B+

 

 

 

370

 

 

8.75%, 5/01/34

 

 

 

 

407,925

 

B2

 

 

 

120

 

 

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

 

 

 

 

139,500

 

A-

 

 

 

250

 

 

Occidental Petroleum Corp., 6.75%, 1/15/12

 

 

 

 

274,997

 

 B-

 

 

 

 110

3

 

Ocean Rig Norway AS, 8.375%, 7/01/13

 

 

 

 

118,525

 

B2

 

 

 

140

 

 

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

 

 

 

 

165,900

 

 

 

 

 

 

 

 

Progress Energy, Inc.,

 

 

 

 

 

 

Baa2

 

 

 

1,000

 

 

6.75%, 3/01/06

 

 

 

 

1,006,850

 

Baa2

 

 

 

1,000

 

 

7.75%, 3/01/31

 

 

 

 

1,149,070

 

B

 

 

 

30

 

 

Range Resources Corp., 6.375%, 3/15/15

 

 

 

 

30,075

 

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

 

 

BB-

 

 

 

70

 

 

6.75%, 12/15/14

 

 

 

 

64,925

 

BB-

 

 

 

75

 

 

9.25%, 7/15/10

 

 

 

 

78,750

 

 B2

 

 

 

 400

3

 

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

 

 

 

 

406,000

 

BB+

 

 

 

30

 

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

 

 

32,438

 

 B2

 

 

 

 60

3

 

Whiting Petroleum Corp., 7.00%, 2/01/14

 

 

 

 

60,150

 

BB

 

 

 

100

 

 

Williams Cos., Inc., 7.125%, 9/01/11

 

 

 

 

103,625

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

14,547,367

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Entertainment & Leisure—4.0%

 

 

 

 

 

 

BB

 

 

 

195

 

 

MGM Mirage, 6.00%, 10/01/09

 

 

 

 

191,100

 

B

 

 

 

55

 

 

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

 

 

 

 

56,100

 

B

 

 

 

1,000

 

 

Resorts Intl. Hotel & Casino, Inc., 11.50%, 3/15/09

 

 

 

 

1,112,500

 

Ba1

 

 

 

1,500

 

 

Royal Caribbean Cruises Ltd., 8.75%, 2/02/11

 

 

 

 

1,679,100

 

 B+

 

 

 

 70

3

 

San Pasqual Casino, 8.00%, 9/15/13

 

 

 

 

70,000

 

 BB-

 

 

 

 190

3

 

Seneca Gaming Corp., 7.25%, 5/01/12

 

 

 

 

194,750

 

B+

 

 

 

565

 

 

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

 

 

 

 

538,162

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

3,841,712

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Financial Institutions—25.6%

 

 

 

 

 

 

 AA

 

 

 

 185

3

 

Allstate Financial Global Funding LLC, 5.25%, 2/01/07

 

 

 

 

186,062

 

 BB

 

 

 

 230

3

 

American Real Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13

 

 

 

 

223,100

 

 Aa3

 

 

 

 1,000

2

 

Bank One Corp., 6.50%, 2/01/06

 

 

 

 

1,005,360

 

 Aa3

 

 

 

 650

3

 

Barclays Bank PLC, 8.55%, 9/29/49 (United Kingdom)

 

 

 

 

751,505

 

B-

 

 

 

250

 

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

 

 

275,000

 

A+

 

 

 

325

 

 

Bear Stearns Co., Inc., 6.50%, 5/01/06

 

 

 

 

328,091

 

B1

 

 

 

2,000

 

 

Bluewater Finance Ltd., 10.25%, 2/15/12

 

 

 

 

2,135,000

 

 B-

 

 

 

 500

3

 

Borden US Finance Corp./Nova Scotia Finance ULC, 9.00%, 7/15/14

 

 

 

 

492,500

 

 AA+

 

 

 

 3,000

2

 

Citigroup, Inc., 5.75%, 5/10/06

 

 

 

 

3,020,250

 

BB

 

 

 

590

 

 

Crum & Forster Hldgs. Corp., 10.375%, 6/15/13

 

 

 

 

631,300

 

 B+

 

 

 

 130

3

 

E*Trade Financial Corp., 7.375%, 9/15/13

 

 

 

 

128,050

 

BB

 

 

 

200

 

 

Fairfax Financial Holdings Ltd., 7.75%, 4/26/12 (Canada)

 

 

 

 

182,000

 

BB

 

 

 

300

 

 

Fairfax Financial Holdings, Ltd., 6.875%, 4/15/08 (Canada)

 

 

 

 

289,500

 

 

 

 

 

 

 

 

Ford Motor Credit Co.,

 

 

 

 

 

 

BBB-

 

 

 

720

 

 

5.70%, 1/15/10

 

 

 

 

648,079

 

BBB-

 

 

 

1,600

 

 

5.72%, 1/15/10

 

 

 

 

1,461,728

 

BBB-

 

 

 

750

 

 

5.80%, 1/12/09

 

 

 

 

684,533

 

BBB-

 

 

 

75

 

 

7.25%, 10/25/11

 

 

 

 

69,753

 

See Notes to Financial Statements.

56


 

 

BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

 

 

 AAA

 

 

$ 

 2,000

2

 

General Electric Cap. Corp., 3.45%, 7/16/07

 

 

 

$

1,957,440

 

BB

 

 

 

250

 

 

General Motors Acceptance Corp., 6.75%, 1/15/06

 

 

 

 

249,888

 

 AA

 

 

 

 1,500

2

 

HSBC Bank USA, Inc., 3.875%, 9/15/09

 

 

 

 

1,443,735

 

B-

 

 

 

225

 

 

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

 

 

 

 

225,000

 

AAA

 

 

 

850

 

 

KFW Intl. Finance, Inc., 5.25%, 6/28/06

 

 

 

 

854,870

 

A

 

 

 

325

 

 

MetLife, Inc., 6.125%, 12/01/11

 

 

 

 

340,334

 

 B-

 

 

 

 415

3

 

Nell AF, 8.375%, 8/15/15 (Luxembourg)

 

 

 

 

398,400

 

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

 

 B+

 

 

 

 210

3

 

8.75%, 9/01/12

 

 

 

 

220,500

 

 B+

 

 

 

 2,045

3

 

10.375%, 9/01/14

 

 

 

 

2,254,612

 

B-

 

 

 

340

 

 

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

 

 

 

 

323,850

 

NR

 

 

 

923

 

 

Structured Asset Receivable Trust, 1.649%, 1/21/10

 

 

 

 

924,215

 

 AAA

 

 

 

 1,000

2,3

 

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

 

 

 

 

979,010

 

B-

 

 

 

50

 

 

Universal City Florida Hldg. Co. I/II, 9.00%, 5/01/10

 

 

 

 

51,000

 

 Aa1

 

 

 

 2,000

2

 

Wells Fargo & Co., 3.50%, 4/04/08

 

 

 

 

1,941,140

 

BB-

 

 

 

50

 

 

Western Financial Bank, 9.625%, 5/15/12

 

 

 

 

56,625

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

24,732,430

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Health Care—8.1%

 

 

 

 

 

 

CCC

 

 

 

10

 

 

Curative Health Services, Inc., 10.75%, 5/01/11

 

 

 

 

6,750

 

 B

 

 

 

 170

3

 

Elan Finance Corp., 7.75%, 11/15/11 (Ireland)

 

 

 

 

149,600

 

NR

 

 

 

2,000

 

 

Healthsouth Corp., 7.375%, 10/01/06

 

 

 

 

1,980,000

 

 B

 

 

 

 300

3

 

Insight Health Services Corp., 9.174%, 11/01/11

 

 

 

 

284,250

 

 AA

 

 

 

 1,000

2

 

Merck & Co., Inc., 4.375%, 2/15/13

 

 

 

 

939,410

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

 

 

B

 

 

 

50

 

 

6.375%, 12/01/11

 

 

 

 

43,625

 

B

 

 

 

380

 

 

9.875%, 7/01/14

 

 

 

 

370,500

 

B3

 

 

 

1,500

 

 

United Surgical Partners Intl., Inc., 10.00%, 12/15/11

 

 

 

 

1,623,750

 

B-

 

 

 

290

 

 

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

 

 

 

 

292,900

 

 BBB+

 

 

 

 1,000

2

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

 

 

1,015,700

 

 A

 

 

 

 1,000

2

 

Wyeth, 6.50%, 2/01/34

 

 

 

 

1,097,050

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

7,803,535

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Industrials—5.0%

 

 

 

 

 

 

 B-

 

 

 

 80

3

 

Chart Industries, Inc., 9.125%, 10/15/15

 

 

 

 

79,000

 

 Caa1

 

 

 

 1,185

3

 

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

 

 

 

 

1,226,475

 

B-

 

 

 

595

 

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

 

 

612,850

 

 Caa1

 

 

 

 550

3

 

Hydrochem Industrial Services, 9.25%, 2/15/13

 

 

 

 

501,875

 

B-

 

 

 

300

 

 

NationsRent Cos., Inc., 9.50%, 5/01/15

 

 

 

 

311,250

 

CCC+

 

 

 

700

 

 

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

 

 

 

 

610,750

 

 B3

 

 

 

 350

3

 

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

 

 

 

 

353,500

 

CCC+

 

 

 

775

 

 

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

 

 

 

 

631,625

 

Caa1

 

 

 

525

 

 

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

 

 

 

 

477,750

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

4,805,075

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Media—12.7%

 

 

 

 

 

 

 NR

 

 

 

 1,000

4

 

Adelphia Communications Corp., 10.50%, 7/15/04

 

 

 

 

645,000

 

B-

 

 

 

165

 

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

 

 

164,175

 

CCC+

 

 

 

400

 

 

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

 

 

 

 

380,000

 

BBB+

 

 

 

1,000

 

 

AOL Time Warner, Inc., 7.70%, 5/01/32

 

 

 

 

1,144,190

 

 CCC+

 

 

 

 1,675

3

 

CCH I Holdings LLC/Cap. Corp., 11.125%, 1/15/14

 

 

 

 

1,139,000

 

CCC+

 

 

 

365

 

 

Charter Communications Holdings II, LLC/Charter Communications Holdings II Cap. Corp., 10.25%, 9/15/10

 

 

 

 

365,912

 

 BBB+

 

 

 

 1,000

2

 

Comcast Cable Communications, Inc., 6.875%, 6/15/09

 

 

 

 

1,052,250

 

BB-

 

 

 

200

 

 

Echostar DBS Corp., 7.304%, 10/01/08

 

 

 

 

203,500

 

 CCC+

 

 

 

 75

3

 

iesy Repository GmbH, 10.375%, 2/15/15 (Germany)

 

 

 

 

80,438

 

 BBB

 

 

 

 1,500

2

 

News America, Inc., 6.20%, 12/15/34

 

 

 

 

1,455,345

 

B3

 

 

 

220

 

 

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

 

 

 

 

194,700

 

B3

 

 

 

1,765

 

 

Nextmedia Operating, Inc., 10.75%, 7/01/11

 

 

 

 

1,923,921

 

B2

 

 

 

270

 

 

Primedia, Inc., 9.715%, 5/15/10

 

 

 

 

275,400

 

BBB+

 

 

 

1,000

 

 

TCI Communications, Inc., 7.875%, 2/15/26

 

 

 

 

1,146,580

 

See Notes to Financial Statements.

57


 

 

BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

 

 

Caa1

 

 

$

1,090

 

 

10.875%, 6/15/09

 

 

 

$

1,013,700

 

 Caa2

 

 

 

 90

3

 

13.50%, 12/07/09

 

 

 

 

69,300

 

Baa3

 

 

 

85

 

 

Viacom, Inc., 6.625%, 5/15/11

 

 

 

 

88,773

 

Caa1

 

 

 

970

 

 

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

 

 

 

 

911,800

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

12,253,984

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Real Estate—2.6%

 

 

 

 

 

 

BB

 

 

 

860

 

 

American Real Estate Partners, 8.125%, 6/01/11

 

 

 

 

883,650

 

A

 

 

 

500

 

 

ERP Operating LP, 6.95%, 3/02/11

 

 

 

 

537,870

 

B1

 

 

 

1,000

 

 

Felcore Lodging LP, 9.00%, 6/01/11

 

 

 

 

1,070,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

2,491,520

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Technology—4.3%

 

 

 

 

 

 

B

 

 

 

315

 

 

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

 

 

 

 

304,762

 

 B+

 

 

 

 100

3

 

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

 

 

 

 

111,375

 

BB-

 

 

 

905

 

 

Lucent Technologies, Inc., 6.50%, 1/15/28

 

 

 

 

769,250

 

 

 

 

 

 

 

 

MagnaChip Semiconductor SA/Magna Semiconductor Finance Co.,

 

 

 

 

 

 

Ba3

 

 

 

250

 

 

6.875%, 12/15/11

 

 

 

 

233,750

 

Ba3

 

 

 

175

 

 

7.12%, 12/15/11 (Luxembourg)

 

 

 

 

170,625

 

B+

 

 

 

115

 

 

Sanmina-SCI Corp., 6.75%, 3/01/13

 

 

 

 

108,388

 

BB

 

 

 

50

 

 

Stats Chippac Ltd., 7.50%, 7/19/10 (Singapore)

 

 

 

 

50,250

 

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

 

 

 B-

 

 

 

 120

3

 

8.525%, 8/15/13

 

 

 

 

123,600

 

 B-

 

 

 

 450

3

 

9.125%, 8/15/13

 

 

 

 

460,125

 

 B-

 

 

 

 480

3

 

10.25%, 8/15/15

 

 

 

 

475,200

 

B

 

 

 

950

 

 

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

 

 

 

 

940,500

 

B-

 

 

 

360

 

 

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

 

 

 

 

394,200

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

4,142,025

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Telecommunications—9.2%

 

 

 

 

 

 

BB-

 

 

 

190

 

 

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

 

 

 

 

198,075

 

 B-

 

 

 

 130

3

 

Hawaiian Telcom Communications, Inc., 9.948%, 5/01/13

 

 

 

 

128,375

 

 

 

 

 

 

 

 

Intelsat Ltd.,

 

 

 

 

 

 

Caa1

 

 

 

550

 

 

5.25%, 11/01/08

 

 

 

 

500,500

 

 B2

 

 

 

 50

3

 

8.25%, 1/15/13

 

 

 

 

50,125

 

 B2

 

 

 

 325

3

 

8.625%, 1/15/15

 

 

 

 

329,875

 

 B2

 

 

 

 295

3

 

8.695%, 1/15/12

 

 

 

 

299,425

 

BB-

 

 

 

30

 

 

Lucent Technologies, Inc., 6.45%, 3/15/29

 

 

 

 

25,650

 

B-

 

 

 

235

 

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

 

 

213,850

 

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

 

 

 BB+

 

 

 

 340

3

 

7.12%, 6/15/13

 

 

 

 

356,150

 

BB+

 

 

 

200

 

 

7.875%, 9/01/11

 

 

 

 

210,000

 

BB

 

 

 

450

 

 

Qwest Services Corp., 13.50%, 12/15/10

 

 

 

 

513,562

 

BB+

 

 

 

85

 

 

Rogers Wireless, Inc., 7.25%, 12/15/12

 

 

 

 

89,463

 

Caa1

 

 

 

350

 

 

Rural Cellular Corp., 9.875%, 2/01/10

 

 

 

 

364,000

 

 A

 

 

 

 1,500

2

 

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

 

 

 

 

1,512,270

 

 A-

 

 

 

 1,000

2

 

Telecom Italia Cap., 4.95%, 9/30/14 (Luxembourg)

 

 

 

 

956,420

 

 A+

 

 

 

 2,000

2

 

Verizon New England, Inc., 6.50%, 9/15/11

 

 

 

 

2,067,520

 

 A+

 

 

 

 1,000

2

 

Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom)

 

 

 

 

1,100,770

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

8,916,030

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Transportation—2.0%

 

 

 

 

 

 

A-

 

 

 

500

 

 

Canadian National Railway Co., 6.90%, 7/15/28 (Canada)

 

 

 

 

582,405

 

 B

 

 

 

 445

2

 

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

 

 

 

 

447,225

 

B

 

 

 

30

 

 

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

 

 

 

 

30,262

 

B3

 

 

 

39

 

 

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

 

 

 

 

41,389

 

B+

 

 

 

90

 

 

OMI Corp., 7.625%, 12/01/13

 

 

 

 

92,475

 

BB+

 

 

 

300

 

 

Overseas Shipholding Group, Inc., 8.25%, 3/15/13

 

 

 

 

319,500

 

B

 

 

 

440

 

 

Sea Containers Ltd., 10.50%, 5/15/12

 

 

 

 

440,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

1,953,256

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Corporate Bonds

 

 

 

 

118,495,673

 

 

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

58


 

 

BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

 

 

 

Value

 












 

 

 

 

 

 

 

U.S. Government and Agency Securities—5.1%

 

 

 

 

 

 

 

 

 

$ 

 410

2

 

U.S. Treasury Bonds, 5.375%, 2/15/31

 

 

 

$

447,027

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

 

 

 1,010

2

 

2.50%, 5/31/06

 

 

 

 

999,900

 

 

 

 

 

 933

2

 

2.625%, 11/15/06

 

 

 

 

916,523

 

 

 

 

 

 810

2

 

4.125%, 8/15/10

 

 

 

 

797,850

 

 

 

 

 

 1,075

2

 

4.25%, 8/15/13

 

 

 

 

1,053,952

 

 

 

 

 

 710

2

 

4.75%, 5/15/14

 

 

 

 

718,989

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

 

 

4,934,241

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Foreign Government Bond—1.3%

 

 

 

 

 

 

Baa1

 

 

 

1,000

 

 

United Mexican States, 8.125%, 12/30/19 (Mexico)

 

 

 

 

1,196,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Supranational—0.9%

 

 

 

 

 

 

 AAA

 

 

 

 850

2

 

European Investment Bank, 4.875%, 9/06/06 (Luxembourg)

 

 

 

 

852,975

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Long-Term Investments (cost $126,865,439)

 

 

 

 

125,478,889

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—0.7%

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Bond—0.7%

 

 

 

 

 

 

 

 

 

 

 700

 

 

FNMA Discount Notes, 3.72%, 11/01/05

 

 

 

 

700,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments—130.7% (cost $127,565,4396 )

 

 

 

$

126,178,889

 

 

 

 

 

 

 

 

Liabilities in excess of other assets—(30.7)%

 

 

 

 

(29,632,818)

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Net Assets—100%

 

 

 

$

96,546,071

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 


1

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

2

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

3

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 19.5% of its net assets, with a current market value of $18,835,149, in securities restricted as to resale.

4

Issuer is in default and/or bankruptcy.

5

Rate shown is yield to maturity as of October 31, 2005.

6

Cost for Federal income tax purposes is $127,571,106. The net unrealized depreciation on a tax basis is $1,392,217, consisting of $2,678,979 gross unrealized appreciation and $4,071,196 gross unrealized depreciation.

A category in the Corporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

See Notes to Financial Statements.

59


 

STATEMENTS OF ASSETS AND LIABILITIES

October 31, 2005



 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 



 



 

Assets

 

 

 

 

 

 

 

Investments at value2

 

$

43,089,124

 

$

491,529,484

 

Cash

 

 

81,748

 

 

223,772

 

Foreign currency at value3

 

 

 

 

3,767,682

 

Receivable from investments sold

 

 

 

 

31,756,967

 

Variation margin receivable

 

 

 

 

72,156

 

Borrowed bond

 

 

 

 

 

Unrealized gain on foreign currency exchange contracts

 

 

 

 

49,277

 

Interest receivable

 

 

509,610

 

 

8,022,338

 

Unrealized appreciation on interest rate swaps

 

 

 

 

1,845,618

 

Unrealized appreciation on credit default swaps

 

 

176

 

 

2,240

 

Investments in affiliates

 

 

18,841

 

 

60,284

 

Other assets

 

 

3,802

 

 

24,003

 

 

 



 



 

 

 

 

43,703,301

 

 

537,353,821

 

 

 



 



 

Liabilities

 

 

 

 

 

 

 

Reverse repurchase agreement

 

 

 

 

86,876,056

 

Payable for investments purchased

 

 

 

 

53,549,428

 

Payable for dollar rolls

 

 

 

 

7,284,443

 

Variation margin payable

 

 

 

 

 

Loan payable

 

 

 

 

 

Investments sold short at value4

 

 

 

 

 

Outstanding options written at value5

 

 

 

 

2,541,070

 

TBA Sale Commitments6

 

 

 

 

 

Interest payable

 

 

4,386

 

 

1,146,351

 

Cash with brokers as collateral

 

 

 

 

727

 

Investment advisory fee payable

 

 

20,489

 

 

201,963

 

Administration fee payable

 

 

5,588

 

 

 

Deferred Trustees’ fees

 

 

18,841

 

 

60,284

 

Payable to affiliates

 

 

8,063

 

 

21,396

 

Other accrued expenses

 

 

369,930

 

 

158,314

 

 

 



 



 

 

 

 

427,297

 

 

151,840,032

 

 

 



 



 

Net Assets

 

$

43,276,004

 

$

385,513,789

 

 

 



 



 

Composition of Net Assets:

 

 

 

 

 

 

 

Par value

 

$

29,571

 

$

27,019

 

Paid-in capital in excess of par

 

 

41,775,250

 

 

386,195,641

 

Cost of shares held in treasury7

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

4,778,322

 

 

515,459

 

Accumulated net realized gain (loss)

 

 

(2,676,404

)

 

7,694,700

 

Net unrealized depreciation

 

 

(630,735

)

 

(8,919,030

)

 

 



 



 

Net assets, October 31, 2005

 

$

43,276,004

 

$

385,513,789

 

 

 



 



 

 

 

 

 

 

 

 

 

Net asset value8

 

$

14.63

 

$

14.27

 

 

 



 



 


 

 

 

 

 

 

 

 

 


1

Consolidated Statement of Assets and Liabilities

 

 

 

 

 

 

 

2

Investments at cost

 

$

43,720,035

 

$

502,449,899

 

3

Foreign currency at cost

 

 

 

 

3,873,887

 

4

Proceeds received

 

 

 

 

 

5

Premium received

 

 

 

 

2,716,753

 

6

Proceeds for TBA Sale Commitments

 

 

 

 

 

7

Shares held in treasury

 

 

 

 

 

8

Shares outstanding

 

 

2,957,093

 

 

27,018,774

 

See Notes to Financial Statements.

60


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High
Yield Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Strategic
Bond Trust
(BHD)

 


 


 


 


 


 

 

 

 

 

 

 

 

 

 

 

$

66,969,774

 

$

608,448,685

 

$

589,714,325

 

$

981,999,891

 

$

126,178,889

 

 

97,957

 

 

78,105

 

 

88,034

 

 

1,391,333

 

 

67,525

 

 

 

 

 

 

 

 

386,270

 

 

 

 

378,168

 

 

195,253,202

 

 

46,264,151

 

 

1,849,075

 

 

64,735

 

 

 

 

116,853

 

 

 

 

 

 

 

 

 

 

 

 

73,097,025

 

 

8,670,825

 

 

 

 

 

 

 

 

 

 

77,712

 

 

 

 

1,696,403

 

 

8,104,198

 

 

5,396,082

 

 

14,564,359

 

 

2,567,437

 

 

 

 

2,067,178

 

 

1,299,430

 

 

 

 

 

 

 

 

2,357

 

 

 

 

4,008

 

 

 

 

26,235

 

 

128,426

 

 

148,802

 

 

45,901

 

 

12,800

 

 

6,741

 

 

25,304

 

 

24,443

 

 

47,747

 

 

9,701

 



 



 



 



 



 

 

69,175,278

 

 

814,224,308

 

 

716,032,292

 

 

1,009,037,121

 

 

128,901,087

 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

120,179,200

 

 

149,558,250

 

 

176,010,262

 

 

31,882,548

 

 

283,026

 

 

169,241,259

 

 

48,947,681

 

 

7,353,861

 

 

253,519

 

 

 

 

 

 

 

 

119,709,882

 

 

 

 

 

 

 

 

132,701

 

 

 

 

 

 

20,750,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

72,102,183

 

 

 

 

 

 

 

 

2,728,629

 

 

2,680,283

 

 

 

 

 

 

 

 

122,095,861

 

 

21,505,004

 

 

 

 

 

 

77,175

 

 

1,290,089

 

 

2,016,551

 

 

350,282

 

 

45,465

 

 

 

 

 

 

 

 

 

 

 

 

43,780

 

 

205,013

 

 

231,479

 

 

470,577

 

 

60,553

 

 

2,078

 

 

67,658

 

 

97,112

 

 

 

 

 

 

26,235

 

 

128,426

 

 

148,802

 

 

45,901

 

 

12,800

 

 

33

 

 

14,177

 

 

57,226

 

 

 

 

6,702

 

 

69,118

 

 

195,943

 

 

164,896

 

 

134,939

 

 

93,429

 



 



 



 



 



 

 

21,251,445

 

 

416,146,255

 

 

297,642,168

 

 

304,075,704

 

 

32,355,016

 



 



 



 



 



 

$

47,923,833

 

$

398,078,053

 

$

418,390,124

 

$

704,961,417

 

$

96,546,071

 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

6,411

 

$

344,497

 

$

639,425

 

$

36,768

 

$

7,058

 

 

92,938,867

 

 

406,532,068

 

 

525,523,492

 

 

700,832,170

 

 

98,695,235

 

 

 

 

(17,377,850

)

 

 

 

 

 

 

 

(26,235

)

 

2,180,817

 

 

(595,003

)

 

6,419,573

 

 

(12,800

)

 

(34,567,433

)

 

9,852,458

 

 

(93,186,618

)

 

(2,214,977

)

 

(756,872

)

 

(10,427,777

)

 

(3,453,937

)

 

(13,991,172

)

 

(112,117

)

 

(1,386,550

)



 



 



 



 



 

$

47,923,833

 

$

398,078,053

 

$

418,390,124

 

$

704,961,417

 

$

96,546,071

 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

7.48

 

$

11.56

 

$

6.54

 

$

19.17

 

$

13.68

 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

77,397,551

 

$

613,852,525

 

$

611,303,548

 

$

982,248,319

 

$

127,565,439

 

 

 

 

 

 

 

 

386,386

 

 

 

 

 

 

 

 

73,151,527

 

 

 

 

 

 

 

 

2,917,398

 

 

2,868,468

 

 

 

 

 

 

 

 

122,969,414

 

 

21,750,313

 

 

 

 

 

 

 

 

1,757,400

 

 

 

 

 

 

 

 

6,411,104

 

 

34,449,693

 

 

63,942,536

 

 

36,768,498

 

 

7,058,402

 

61


 

STATEMENTS OF OPERATIONS

For the year ended October 31, 2005



 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 



 



 

Investment Income

 

 

 

 

 

 

 

Interest income

 

$

3,436,738

 

$

35,145,787

 

Other affiliated income

 

 

1,341

 

 

4,294

 

 

 



 



 

Total investment income

 

 

3,438,079

 

 

35,150,081

 

 

 



 



 

Expenses

 

 

 

 

 

 

 

Investment advisory

 

 

248,955

 

 

2,755,737

 

Administration

 

 

67,897

 

 

 

Transfer agent

 

 

10,851

 

 

14,965

 

Custodian

 

 

71,642

 

 

201,990

 

Reports to shareholders

 

 

31,345

 

 

116,400

 

Directors/Trustees

 

 

12,658

 

 

58,035

 

Registration

 

 

1,825

 

 

18,544

 

Independent accountants

 

 

47,361

 

 

63,913

 

Legal

 

 

27,377

 

 

105,453

 

Insurance

 

 

3,757

 

 

33,324

 

Deferred Trustees’ fee

 

 

1,341

 

 

4,294

 

Miscellaneous

 

 

13,253

 

 

72,249

 

 

 



 



 

Total expenses excluding interest expense and excise tax

 

 

538,262

 

 

3,444,904

 

Interest expense

 

 

182,554

 

 

10,768,498

 

Excise tax

 

 

352,123

 

 

 

 

 



 



 

Total expenses

 

 

1,072,939

 

 

14,213,402

 

Less fees waived by Advisor

 

 

 

 

 

Less fees paid indirectly

 

 

 

 

(9,682

)

 

 



 



 

Net expenses

 

 

1,072,939

 

 

14,203,720

 

 

 



 



 

Net investment income

 

 

2,365,140

 

 

20,946,361

 

 

 



 



 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

Net realized gain (loss) on:

 

 

 

 

 

 

 

Investments

 

 

828,061

 

 

6,297,249

 

Foreign currency

 

 

 

 

2,713,506

 

Futures

 

 

(42,750

)

 

7,686,890

 

Interest rate swaps

 

 

172

 

 

(1,193,199

)

Options written

 

 

 

 

1,494,491

 

Short sales

 

 

 

 

27,694

 

 

 



 



 

 

 

 

785,483

 

 

17,026,631

 

 

 



 



 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

Investments

 

 

(3,199,814

)

 

(27,195,374

)

Foreign currency

 

 

 

 

180,169

 

Futures

 

 

(134,098

)

 

(632,282

)

Interest rate floors

 

 

 

 

 

Interest rate swaps

 

 

 

 

1,401,202

 

Credit default swaps

 

 

176

 

 

2,240

 

Options written

 

 

 

 

(681,787

)

Short sales

 

 

 

 

 

 

 



 



 

 

 

 

(3,333,736

)

 

(26,925,832

)

 

 



 



 

Net loss

 

 

(2,548,253

)

 

(9,899,201

)

 

 

 

 

 

 

 

 

 

 



 



 

Net Increase (Decrease) in Net Assets Resulting from Operations

 

$

(183,113

)

$

11,047,160

 

 

 



 



 


 

 


1

Consolidated Statement of Operations.

See Notes to Financial Statements.

62


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High
Yield Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Strategic
Bond Trust
(BHD)

 


 


 


 


 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

6,122,646

 

$

31,810,718

 

$

40,148,316

 

$

65,962,793

 

$

9,641,546

 

 

1,665

 

 

10,399

 

 

9,829

 

 

3,308

 

 

797

 



 



 



 



 



 

 

6,124,311

 

 

31,821,117

 

 

40,158,145

 

 

65,966,101

 

 

9,642,343

 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

739,567

 

 

2,474,512

 

 

2,795,230

 

 

5,675,801

 

 

991,562

 

 

70,435

 

 

412,419

 

 

645,053

 

 

 

 

 

 

16,060

 

 

29,200

 

 

85,400

 

 

17,885

 

 

14,965

 

 

89,602

 

 

152,968

 

 

199,002

 

 

366,988

 

 

76,533

 

 

40,806

 

 

127,671

 

 

154,855

 

 

175,664

 

 

32,040

 

 

12,520

 

 

59,612

 

 

58,110

 

 

79,935

 

 

13,870

 

 

17,410

 

 

24,351

 

 

44,530

 

 

27,615

 

 

18,775

 

 

42,171

 

 

75,318

 

 

63,820

 

 

61,402

 

 

34,558

 

 

6,118

 

 

85,060

 

 

57,369

 

 

93,833

 

 

1,989

 

 

4,813

 

 

35,724

 

 

43,256

 

 

70,856

 

 

8,985

 

 

1,665

 

 

10,399

 

 

9,829

 

 

3,308

 

 

797

 

 

11,830

 

 

101,301

 

 

84,872

 

 

73,464

 

 

17,966

 



 



 



 



 



 

 

1,052,997

 

 

3,588,535

 

 

4,241,326

 

 

6,646,751

 

 

1,212,040

 

 

710,346

 

 

3,544,922

 

 

7,792,988

 

 

5,743,773

 

 

971,619

 

 

 

 

 

 

 

 

 

 

 



 



 



 



 



 

 

1,763,343

 

 

7,133,457

 

 

12,034,314

 

 

12,390,524

 

 

2,183,659

 

 

 

 

 

 

 

 

 

 

(264,417

)

 

(4,032

)

 

(7,810

)

 

(20,620

)

 

(62,718

)

 

(11,291

)



 



 



 



 



 

 

1,759,311

 

 

7,125,647

 

 

12,013,694

 

 

12,327,806

 

 

1,907,951

 



 



 



 



 



 

 

4,365,000

 

 

24,695,470

 

 

28,144,451

 

 

53,638,295

 

 

7,734,392

 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

863,475

 

 

4,116,519

 

 

(5,669,450

)

 

(2,461,619

)

 

(324,159

)

 

 

 

 

 

 

 

11,452

 

 

 

 

 

 

9,983,319

 

 

(6,286,755

)

 

 

 

 

 

 

 

(2,214,104

)

 

(2,108,655

)

 

3,910

 

 

 

 

 

 

2,090,580

 

 

(11,183

)

 

246,726

 

 

 

 

 

 

339,049

 

 

(1,360,293

)

 

 

 

 



 



 



 



 



 

 

863,475

 

 

14,315,363

 

 

(15,436,336

)

 

(2,199,531

)

 

(324,159

)



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(3,198,856

)

 

(26,513,426

)

 

(13,522,491

)

 

(32,088,372

)

 

(7,608,367

)

 

 

 

 

 

 

 

76,984

 

 

 

 

 

 

(4,455,818

)

 

6,979,802

 

 

 

 

 

 

 

 

 

 

9,265

 

 

 

 

 

 

 

 

1,465,515

 

 

3,187,784

 

 

 

 

 

 

 

 

2,357

 

 

 

 

4,008

 

 

 

 

 

 

(965,867

)

 

(1,185,793

)

 

(185

)

 

 

 

 

 

327,492

 

 

1,474,383

 

 

 

 

 



 



 



 



 



 

 

(3,198,856

)

 

(30,139,747

)

 

(3,057,050

)

 

(32,007,565

)

 

(7,608,367

)



 



 



 



 



 

 

(2,335,381

)

 

(15,824,384

)

 

(18,493,386

)

 

(34,207,096

)

 

(7,932,526

)



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

2,029,619

 

$

8,871,086

 

$

9,651,065

 

$

19,431,199

 

$

(198,134

)



 



 



 



 



 

63


 

STATEMENTS OF CASH FLOWS
For the year ended October 31, 2005



 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009 Term
Trust Inc
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 



 



 

Net Increase (Decrease) in net assets resulting from operations

 

$

(183,113

)

$

11,047,160

 

 

 



 



 

Purchases of long-term investments

 

 

(45,719,992

)

 

(6,335,366,352

)

Proceeds from sales of long-term investments

 

 

67,920,139

 

 

6,384,043,264

 

Net proceeds (purchases) of short-term investments

 

 

(2,761,930

)

 

18,241,178

 

Amortization of premium and discount on investments

 

 

1,272,212

 

 

2,118,306

 

Net realized loss (gain) on investments

 

 

(828,061

)

 

(9,034,013

)

Decrease in unrealized appreciation/depreciation on investments

 

 

3,199,814

 

 

27,015,205

 

Increase (Decrease) in investments sold short

 

 

 

 

 

Increase in outstanding options written

 

 

 

 

1,202,098

 

Increase (Decrease) in TBA Commitments

 

 

 

 

 

Increase in interest rate floor

 

 

 

 

 

Increase in interest rate swaps

 

 

 

 

(1,401,202

)

Increase in credit default swaps

 

 

(176

)

 

(2,240

)

Decrease (Increase) in receivable for investments sold

 

 

 

 

60,898,401

 

Decrease in variation margin receivable

 

 

23,313

 

 

170,032

 

Decrease (Increase) in unrealized gain on forgein currency exchange contracts

 

 

 

 

(340,719

)

Decrease (Increase) in interest receivable

 

 

180,851

 

 

(94,147

)

Decrease (Increase) in investments in affiliates

 

 

5,812

 

 

24,833

 

Decrease (Increase) in other assets

 

 

(11,551

)

 

(38,455

)

Increase (Decrease) in payable for investments purchased

 

 

 

 

(100,494,399

)

Increase (Decrease) in interest payable

 

 

(7,790

)

 

766,089

 

Increase (Decrease) in payable for dollar rolls

 

 

 

 

(2,561,368

)

Decrease in collateral due to broker

 

 

 

 

 

Increase (Decrease) in deposits with brokers

 

 

 

 

 

Increase (Decrease) in variation margin payable

 

 

 

 

 

Increase (Decrease) in investment advisory fee payable

 

 

(1,434

)

 

 

Increase (Decrease) in administration fee payable

 

 

(391

)

 

(32,840

)

Increase (Decrease) in deferred Directors/Trustees fees

 

 

4,966

 

 

14,055

 

Increase (Decrease) in payable to affiliates

 

 

44

 

 

(2,981

)

Increase (Decrease) in accrued expenses

 

 

1,912

 

 

65,356

 

Increase (Decrease) in due to parent

 

 

 

 

 

 

 



 



 

Total adjustments

 

 

23,277,738

 

 

45,190,101

 

 

 



 



 

Net cash provided by (used for) operating activities

 

$

23,094,625

 

$

56,237,261

 

 

 



 



 

Increase (Decrease) in Cash and Foreign Currency

 

 

 

 

 

 

 

Net cash provided by (used for) operating activities

 

$

23,094,625

 

$

56,237,261

 

 

 



 



 

Cash provided by (used for) financing activities:

 

 

 

 

 

 

 

Capital Contributions

 

 

 

 

 

Increase (Decrease) in reverse repurchase agreements

 

 

(19,262,500

)

 

(15,597,918

)

Increase in loan payable

 

 

 

 

 

Cash dividends paid

 

 

(3,796,316

)

 

(36,696,629

)

Cost of Trust shares reacquired

 

 

 

 

 

 

 



 



 

Net cash provided by (used for) financing activities

 

 

(23,058,816

)

 

(52,294,547

)

 

 



 



 

Net increase (decrease) in cash

 

 

35,809

 

 

3,942,714

 

Cash and foreign currency at beginning of year

 

 

45,939

 

 

48,740

 

 

 



 



 

Cash and foreign currency at end of year

 

$

81,748

 

$

3,991,454

 

 

 



 



 


 

 

1

Consolidated Statement of Cash Flows.

See Notes to Financial Statements.

64

















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield
Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Strategic
Bond Trust
(BHD)

 


 


 


 


 


 

$

2,029,619

 

$

8,871,086

 

$

9,651,065

 

$

19,431,199

 

$

(198,134

)



 



 



 



 



 

 

(69,592,009

)

 

(7,857,225,052

)

 

(1,596,170,009

)

 

(2,057,187,494

)

 

(79,667,761

)

 

70,383,838

 

 

7,874,145,476

 

 

1,630,929,666

 

 

2,051,064,147

 

 

65,492,193

 

 

(1,657,102

)

 

926,098

 

 

6,574,961

 

 

(3,710,287

)

 

(681,768

)

 

(24,984

)

 

2,663,759

 

 

14,262,687

 

 

2,289,553

 

 

277,146

 

 

(863,475

)

 

(4,116,519

)

 

5,669,450

 

 

3,078,372

 

 

324,159

 

 

3,198,814

 

 

26,513,426

 

 

13,522,491

 

 

32,011,388

 

 

7,608,367

 

 

 

 

 

 

59,024,863

 

 

 

 

 

 

 

 

1,325,645

 

 

1,139,095

 

 

 

 

 

 

 

 

76,280,101

 

 

21,505,004

 

 

 

 

 

 

 

 

 

 

(68,890

)

 

 

 

 

 

 

 

(1,465,515

)

 

(856,894

)

 

 

 

 

 

 

 

(2,357

)

 

 

 

(4,008

)

 

 

 

1,473,625

 

 

(106,212,104

)

 

(27,924,676

)

 

8,774,091

 

 

626,735

 

 

 

 

317,377

 

 

 

 

 

 

 

 

 

 

 

 

 

 

77,100

 

 

 

 

(116,122

)

 

(303,234

)

 

1,385,182

 

 

(335,382

)

 

11,416

 

 

(5,290

)

 

(20,391

)

 

(20,312

)

 

(19,932

)

 

 

 

(3,771

)

 

(944

)

 

41,291

 

 

65,652

 

 

(6,886

)

 

(1,371,057

)

 

12,142,263

 

 

39,791,081

 

 

(3,225,459

)

 

(2,890,439

)

 

 

 

488,993

 

 

610,080

 

 

225,369

 

 

7,009

 

 

 

 

(17,775,500

)

 

 

 

(4,462,149

)

 

 

 

 

 

(529,143

)

 

(646,730

)

 

(806,692

)

 

 

 

 

 

 

 

(68,724,228

)

 

(8,670,825

)

 

 

 

38,814

 

 

 

 

(309,835

)

 

 

 

39,310

 

 

(35

)

 

(9,941

)

 

(11,907

)

 

(9,792

)

 

 

 

(4

)

 

(1,656

)

 

(2,747

)

 

 

 

 

 

5,290

 

 

20,391

 

 

(20,312

)

 

19,932

 

 

4,528

 

 

(944

)

 

(6,145

)

 

(5,053

)

 

(3,381

)

 

(1,134

)

 

(812

)

 

14,953

 

 

(20,591

)

 

(43,762

)

 

 

 

 

 

 

 

 

 

 

 

(42,446

)



 



 



 



 



 

 

1,464,776

 

 

7,169,981

 

 

99,673,667

 

 

19,126,441

 

 

(8,899,571

)



 



 



 



 



 

$

3,494,395

 

$

16,041,067

 

$

109,324,732

 

$

38,557,640

 

$

(9,097,705

)



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

3,494,395

 

$

16,041,067

 

$

109,324,732

 

$

38,557,640

 

$

(9,097,705

)



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

67,537

 

 

 

 

 

 

822,572

 

 

145,218

 

 

 

 

25,535,287

 

 

(74,177,339

)

 

16,594,531

 

 

18,694,694

 

 

1,500,000

 

 

 

 

 

 

 

 

 

 

(5,087,371

)

 

(37,436,482

)

 

(35,465,482

)

 

(54,517,748

)

 

(9,834,138

)

 

 

 

 

 

 

 

 

 

 



 



 



 



 



 

 

(3,519,834

)

 

(11,901,195

)

 

(109,642,821

)

 

(37,100,645

)

 

9,005,774

 



 



 



 



 



 

 

(25,439

)

 

4,139,872

 

 

(318,089

)

 

1,456,995

 

 

(91,931

)

 

123,396

 

 

(4,061,767

)

 

406,123

 

 

320,608

 

 

159,456

 



 



 



 



 



 

$

97,957

 

$

78,105

 

$

88,034

 

$

1,777,603

 

$

67,525

 



 



 



 



 



 

65


STATEMENTS OF CHANGES IN NET ASSETS
For the years ended October 31, 2005 and 2004



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Broad Investment Grade
2009 Term Trust Inc.1
(BCT)

 

Core Bond Trust
(BHK)

 

 

 


 


 

 

 

2005

 

2004

 

2005

 

2004

 

 

 


 


 


 


 

Increase (Decrease) in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

2,365,140

 

$

1,807,108

 

$

20,946,361

 

$

24,880,206

 

Net realized gain (loss)

 

 

785,483

 

 

(654,975

)

 

17,026,631

 

 

11,672,686

 

Net change in unrealized appreciation/depreciation

 

 

(3,333,736

)

 

1,383,412

 

 

(26,925,832

)

 

6,039,881

 

 

 



 



 



 



 

Net increase (decrease) in net assets resulting from operations

 

 

(183,113

)

 

2,535,545

 

 

11,047,160

 

 

42,592,773

 

 

 



 



 



 



 

Dividends and Distributions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(3,053,790

)

 

(2,661,384

)

 

(27,245,732

)

 

(23,226,362

)

Net realized gain

 

 

(742,526

)

 

 

 

(9,450,897

)

 

(6,742,863

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 



 



 



 



 

Total dividends and distributions

 

 

(3,796,316

)

 

(2,661,384

)

 

(36,696,629

)

 

(29,969,225

)

 

 



 



 



 



 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

 

 

 

 

 

 

 

 

 



 



 



 



 

Total increase (decrease)

 

 

(3,979,429

)

 

(125,839

)

 

(25,649,469

)

 

12,623,548

 

 

 



 



 



 



 

Net Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of year

 

 

47,255,433

 

 

47,381,272

 

 

411,163,258

 

 

398,539,710

 

 

 



 



 



 



 

End of year

 

$

43,276,004

 

$

47,255,433

 

$

385,513,789

 

$

411,163,258

 

 

 



 



 



 



 

End of year undistributed (distribution in excess of) net investment income

 

$

4,778,321

 

$

7,945,414

 

$

515,459

 

$

2,267,985

 


 

 


1

Consolidated Statement of Changes in Net Assets.

See Notes to Financial Statements.

66


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield Trust
(BHY)

 

Income Opportunity Trust
(BNA)

 

Income Trust Inc.
(BKT)

 

 


 


 


 

 

2005

 

2004

 

2005

 

2004

 

2005

 

2004

 

 


 


 


 


 


 


 

 

$

4,365,000

 

$

5,860,489

 

$

24,695,470

 

$

26,125,045

 

$

28,144,451

 

$

31,946,835

 

 

 

863,475

 

 

(316,410

)

 

14,315,363

 

 

10,285,218

 

 

(15,436,336

)

 

(8,309,572

)

 

 

(3,198,856

)

 

6,773,216

 

 

(30,139,747

)

 

8,190,164

 

 

(3,057,050

)

 

(1,727,131

)

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2,029,619

 

 

12,317,295

 

 

8,871,086

 

 

44,600,427

 

 

9,651,065

 

 

21,910,132

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(5,087,371

)

 

(5,864,606

)

 

(27,821,573

)

 

(28,937,742

)

 

(30,667,298

)

 

(38,921,208

)

 

 

 

 

 

 

(9,614,909

)

 

 

 

 

 

 

 

 

 

 

(187,188

)

 

 

 

 

 

(4,798,184

)

 

 

 



 



 



 



 



 



 

 

 

(5,087,371

)

 

(6,051,794

)

 

(37,436,482

)

 

(28,937,742

)

 

(35,465,482

)

 

(38,921,208

)

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

67,545

 

 

210,485

 

 

 

 

 

 

1,569,925

 

 

2,335,670

 

 



 



 



 



 



 



 

 

 

(2,990,207

)

 

6,475,986

 

 

(28,565,396

)

 

15,662,685

 

 

(24,244,492

)

 

(14,675,406

)

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

50,914,040

 

 

44,438,054

 

 

426,643,449

 

 

410,980,764

 

 

442,634,616

 

 

457,310,022

 

 



 



 



 



 



 



 

 

$

47,923,833

 

$

50,914,040

 

$

398,078,053

 

$

426,643,449

 

$

418,390,124

 

$

442,634,616

 

 



 



 



 



 



 



 

 

$

(26,235

)

$

(20,945

)

$

2,180,817

 

$

2,972,407

 

$

(595,003

)

$

3,499,237

 

67


STATEMENTS OF CHANGES IN NET ASSETS (continued)
For the years ended October 31, 2005 and 2004



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited Duration Income Trust
(BLW)

 

Strategic Bond Trust
(BHD)

 

 

 


 


 

 

 

2005

 

2004

 

2005

 

2004

 

 

 


 


 


 


 

Net Increase (Decrease) in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

53,638,295

 

$

53,609,041

 

$

7,734,392

 

$

9,814,985

 

Net realized gain (loss)

 

 

(2,199,531

)

 

5,497,164

 

 

(324,159

)

 

1,061,047

 

Net change in unrealized appreciation/depreciation

 

 

(32,007,565

)

 

10,020,060

 

 

(7,608,367

)

 

648,992

 

 

 



 



 



 



 

Net increase (decrease) in net assets resulting from operations

 

 

19,431,199

 

 

69,126,265

 

 

(198,134

)

 

11,525,024

 

 

 



 



 



 



 

Dividends and Distributions

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(49,020,501

)

 

(54,687,174

)

 

(7,935,935

)

 

(11,337,469

)

Net realized gain

 

 

(5,497,247

)

 

(390,466

)

 

 

 

 

Tax return of capital

 

 

 

 

 

 

(1,898,203

)

 

 

 

 



 



 



 



 

Total dividends and distributions

 

 

(54,517,748

)

 

(55,077,640

)

 

(9,834,138

)

 

(11,337,469

)

 

 



 



 



 



 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

822,572

 

 

429,365

 

 

145,218

 

 

200,599

 

 

 



 



 



 



 

Total increase (decrease)

 

 

(34,263,977

)

 

14,477,990

 

 

(9,887,054

)

 

388,154

 

 

 



 



 



 



 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of year

 

 

739,225,394

 

 

724,747,404

 

 

106,433,125

 

 

106,044,971

 

 

 



 



 



 



 

End of year

 

$

704,961,417

 

$

739,225,394

 

$

96,546,071

 

$

106,433,125

 

 

 



 



 



 



 

End of period undistributed (distributions in excess of) net investment income

 

$

6,419,573

 

$

1,786,417

 

$

(12,800

)

$

188,743

 

See Notes to Financial Statements.

68


 

 

CONSOLIDATED FINANCIAL HIGHLIGHTS

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

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 

 

2005

 

2004

 

2003

 

2002

 

2001

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

15.98

 

$

16.02

 

$

17.33

 

$

16.05

 

$

13.64

 

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.80

 

 

0.61

 

 

1.28

 

 

2.01

 

 

1.17

 

Net realized and unrealized gain (loss)

 

 

(0.87

)

 

0.25

 

 

(1.40

)

 

0.04

 

 

2.01

 

 

 



 



 



 



 



 

Net increase (decrease) from investment operations

 

 

(0.07

)

 

0.86

 

 

(0.12

)

 

2.05

 

 

3.18

 

 

 



 



 



 



 



 

Dividends and distributions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.03

)

 

(0.90

)

 

(1.19

)

 

(0.77

)

 

(0.77

)

Net realized gains

 

 

(0.25

)

 

 

 

 

 

 

 

 

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(1.28

)

 

(0.90

)

 

(1.19

)

 

(0.77

)

 

(0.77

)

 

 



 



 



 



 



 

Net asset value, end of year

 

$

14.63

 

$

15.98

 

$

16.02

 

$

17.33

 

$

16.05

 

 

 



 



 



 



 



 

Market price, end of year

 

$

15.86

 

$

15.80

 

$

15.85

 

$

16.18

 

$

14.39

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURN1

 

 

8.74

%

 

5.45

%

 

5.32

%

 

18.34

%

 

27.66

%

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.37

%

 

2.48

%

 

2.43

%

 

2.50

%

 

3.52

%

Net expenses

 

 

2.37

%

 

2.48

%

 

2.43

%

 

2.50

%

 

3.52

%

Net expenses excluding interest expense and excise tax

 

 

1.19

%

 

1.11

%

 

1.18

%

 

1.16

%

 

1.16

%

Net investment income

 

 

5.23

%

 

3.83

%

 

7.54

%

 

12.22

%

 

7.93

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets

 

$

45,264

 

$

47,191

 

$

49,882

 

$

48,731

 

$

43,701

 

Portfolio turnover

 

 

116

%

 

20

%

 

39

%

 

35

%

 

19

%

Net assets, end of year (000)

 

$

43,276

 

$

47,255

 

$

47,381

 

$

51,244

 

$

47,466

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

 

$

19,263

 

$

19,953

 

$

23,669

 

$

13,373

 

Asset coverage, end of year2

 

$

 

$

3,453

 

$

3,375

 

$

3,165

 

$

4,550

 

Reverse repurchase agreements average daily balance (000)

 

$

7,865

 

$

22,055

 

$

19,409

 

$

18,388

 

$

18,080

 

Reverse repurchase agreements weighted average interest rate

 

 

2.32

%

 

1.20

%

 

1.21

%

 

1.82

%

 

4.94

%


 

 


1

Total investment return is calculated assuming a purchase of a share at the curent market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each year indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

69


 

 

FINANCIAL HIGHLIGHTS

BlackRock Core Bond Trust (BHK)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the period
November 30, 20011
through
October 31, 2002

 

 

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2005

 

2004

 

2003

 

 

 

 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

15.22

 

$

14.75

 

$

14.33

 

$

14.332

 

 

 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.78

 

 

0.92

 

 

0.83

 

 

0.99

 

Net realized and unrealized gain (loss)

 

 

(0.37

)

 

0.66

 

 

0.77

 

 

0.04

 

 

 



 



 



 



 

Net increase from investment operations

 

 

0.41

 

 

1.58

 

 

1.60

 

 

1.03

 

 

 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.01

)

 

(0.86

)

 

(1.00

)

 

(1.00

)

Net realized gains

 

 

(0.35

)

 

(0.25

)

 

(0.18

)

 

 

 

 



 



 



 



 

Total dividends and distributions

 

 

(1.36

)

 

(1.11

)

 

(1.18

)

 

(1.00

)

 

 



 



 



 



 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

 

(0.03

)

 

 



 



 



 



 

Net asset value, end of period

 

$

14.27

 

$

15.22

 

$

14.75

 

$

14.33

 

 

 



 



 



 



 

Market price, end of period

 

$

13.69

 

$

14.02

 

$

13.57

 

$

13.82

 

 

 



 



 



 



 

TOTAL INVESTMENT RETURN3

 

 

7.46

%

 

11.93

%

 

6.62

%

 

(1.02

%)

 

 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

3.53

%

 

1.32

%

 

1.05

%

 

1.04

%4

Net expenses

 

 

3.53

%

 

1.32

%

 

1.05

%

 

1.04

%4

Net expenses excluding interest expense

 

 

0.85

%

 

0.92

%

 

0.87

%

 

0.93

%4

Net investment income

 

 

5.20

%

 

6.20

%

 

5.58

%

 

7.67

%4

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets

 

$

402,783

 

$

401,212

 

$

401,049

 

$

380,277

 

Portfolio turnover

 

 

220

%

 

398

%

 

161

%

 

73

%

Net assets, end of period (000)

 

$

385,514

 

$

411,163

 

$

398,540

 

$

387,238

 

Reverse repurchase agreements outstanding, end of period (000)

 

$

86,876

 

$

102,474

 

$

91,668

 

$

165,215

 

Asset coverage, end of period5

 

$

5,438

 

$

5,012

 

$

5,348

 

$

3,342

 

Reverse repurchase agreements average daily balance (000)

 

$

91,130

 

$

145,094

 

$

67,591

 

$

35,207

 

Reverse repurchase agreements weighted average interest rate

 

 

2.86

%

 

1.11

%

 

1.05

%

 

1.04

%


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share.

3

Total investment return is calculated assuming a purchase of a share at the curent market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

4

Annualized.

5

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

70


 

 

FINANCIAL HIGHLIGHTS

BlackRock High Yield Trust (BHY)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 

 

2005

 

2004

 

2003

 

2002

 

2001

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

7.95

 

$

6.96

 

$

6.13

 

$

7.20

 

$

10.60

 

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.68

 

 

0.92

 

 

1.06

 

 

1.20

 

 

1.32

 

Net realized and unrealized gain (loss)

 

 

(0.36

)

 

1.02

 

 

0.89

 

 

(0.98

)

 

(3.13

)

 

 



 



 



 



 



 

Net increase (decrease) from investment operations

 

 

0.32

 

 

1.94

 

 

1.95

 

 

0.22

 

 

(1.81

)

 

 



 



 



 



 



 

Dividends and Distributions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.79

)

 

(0.92

)

 

(1.07

)

 

(1.20

)

 

(1.48

)

Tax return of capital

 

 

 

 

(0.03

)

 

(0.05

)

 

(0.09

)

 

(0.11

)

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(0.79

)

 

(0.95

)

 

(1.12

)

 

(1.29

)

 

(1.59

)

 

 



 



 



 



 



 

Net asset value, end of year

 

$

7.48

 

$

7.95

 

$

6.96

 

$

6.13

 

$

7.20

 

 

 



 



 



 



 



 

Market price, end of year

 

$

7.36

 

$

9.30

 

$

10.25

 

$

8.68

 

$

9.18

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURN1

 

 

(13.49

%)

 

0.28

%

 

32.87

%

 

7.97

%

 

(11.31

%)

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

3.52

%

 

2.69

%

 

3.07

%

 

3.45

%

 

4.90

%

Net expenses

 

 

3.51

%

 

2.68

%

 

3.07

%

 

3.45

%

 

4.90

%

Net expenses excluding interest expense

 

 

2.10

%

 

1.96

%

 

2.22

%

 

2.20

%

 

2.03

%

Net investment income

 

 

8.71

%

 

12.16

%

 

16.37

%

 

16.29

%

 

14.23

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets

 

$

50,104

 

$

48,186

 

$

41,326

 

$

46,751

 

$

58,553

 

Portfolio turnover

 

 

102

%

 

156

%

 

30

%

 

147

%

 

71

%

Net assets, end of year (000)

 

$

47,924

 

$

50,914

 

$

44,438

 

$

38,953

 

$

45,520

 

Loan outstanding, end of year (000)

 

$

20,750

 

$

19,250

 

$

19,250

 

$

19,250

 

$

23,000

 

Asset coverage, end of year2

 

$

3,310

 

$

3,645

 

$

3,308

 

$

3,024

 

$

2,893

 

Loan average daily balance (000)

 

$

20,425

 

$

19,250

 

$

19,250

 

$

22,664

 

$

28,449

 

Loan weighted average interest rate

 

 

2.87

%

 

1.80

%

 

1.96

%

 

2.65

%

 

5.90

%


 

 


1

Total investment return is calculated assuming a purchase of a share at the curent market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results.

2

Per $1,000 of loan outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each year indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

71


 

 

FINANCIAL HIGHLIGHTS

BlackRock Income Opportunity Trust (BNA)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 

 

2005

 

2004

 

2003

 

2002

 

2001

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

12.38

 

$

11.93

 

$

11.83

 

$

11.47

 

$

11.03

 

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.72

 

 

0.76

 

 

0.84

 

 

1.15

 

 

0.87

 

Net realized and unrealized gain (loss)

 

 

(0.45

)

 

0.53

 

 

0.31

 

 

(0.05

)

 

0.34

 

 

 



 



 



 



 



 

Net increase from investment operations

 

 

0.27

 

 

1.29

 

 

1.15

 

 

1.10

 

 

1.21

 

 

 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.81

)

 

(0.84

)

 

(0.81

)

 

(0.75

)

 

(0.23

)

Net realized gains

 

 

(0.28

)

 

 

 

(0.24

)

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

(0.54

)

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(1.09

)

 

(0.84

)

 

(1.05

)

 

(0.75

)

 

(0.77

)

 

 



 



 



 



 



 

Increase resulting from Trust shares repurchased

 

 

 

 

 

 

 

 

0.01

 

 

 

 

 



 



 



 



 



 

Net asset value, end of year

 

$

11.56

 

$

12.38

 

$

11.93

 

$

11.83

 

$

11.47

 

 

 



 



 



 



 



 

Market price, end of year

 

$

10.90

 

$

11.38

 

$

10.95

 

$

10.50

 

$

10.41

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURN1

 

 

5.53

%

 

12.04

%

 

14.71

%

 

8.44

%

 

15.09

%

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.72

%

 

1.11

%

 

1.29

%

 

1.40

%

 

3.62

%

Net expenses

 

 

1.72

%

 

1.11

%

 

1.29

%

 

1.40

%

 

3.62

%

Net expenses excluding interest expense

 

 

0.87

%

 

0.84

%

 

0.89

%

 

0.93

%

 

1.01

%

Net investment income

 

 

5.97

%

 

6.29

%

 

6.99

%

 

10.04

%

 

7.76

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets

 

$

413,777

 

$

415,131

 

$

413,543

 

$

394,495

 

$

388,478

 

Portfolio turnover

 

 

396

%

 

300

%

 

46

%

 

153

%

 

83

%

Net assets, end of year (000)

 

$

398,078

 

$

426,643

 

$

410,981

 

$

407,480

 

$

397,756

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

120,179

 

$

94,644

 

$

103,378

 

$

85,704

 

$

136,385

 

Asset coverage, end of year2

 

$

4,312

 

$

5,508

 

$

4,976

 

$

5,755

 

$

3,916

 

Reverse repurchase agreements average daily balance (000)

 

$

122,457

 

$

97,264

 

$

136,172

 

$

36,153

 

$

151,804

 

Reverse repurchase agreements weighted average interest rate

 

 

2.87

%

 

1.14

%

 

1.22

%

 

1.93

%

 

4.92

%


 

 


1

Total investment return is calculated assuming a purchase of a share at the curent market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each year indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

72


 

 

FINANCIAL HIGHLIGHTS

BlackRock Income Trust Inc. (BKT)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 

 

2005

 

2004

 

2003

 

2002

 

2001

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

6.95

 

$

7.21

 

$

8.13

 

$

8.06

 

$

7.23

 

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.44

 

 

0.51

 

 

0.61

 

 

0.99

 

 

0.56

 

Net realized and unrealized gain (loss)

 

 

(0.30

)

 

(0.16

)

 

(0.52

)

 

(0.35

)

 

0.83

 

 

 



 



 



 



 



 

Net increase from investment operations

 

 

0.14

 

 

0.35

 

 

0.09

 

 

0.64

 

 

1.39

 

 

 



 



 



 



 



 

Dividends and Distributions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.48

)

 

(0.61

)

 

(1.01

)

 

(0.57

)

 

(0.56

)

Tax return of capital

 

 

(0.07

)

 

 

 

 

 

 

 

 

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(0.55

)

 

(0.61

)

 

(1.01

)

 

(0.57

)

 

(0.56

)

 

 



 



 



 



 



 

Net asset value, end of year

 

$

6.54

 

$

6.95

 

$

7.21

 

$

8.13

 

$

8.06

 

 

 



 



 



 



 



 

Market price, end of year

 

$

5.90

 

$

7.50

 

$

7.71

 

$

8.07

 

$

7.26

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURN1

 

 

(14.63

)%

 

5.97

%

 

15.41

%

 

15.35

%

 

23.23

%

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.80

%

 

1.37

%

 

1.36

%

 

2.05

%

 

2.54

%

Net expenses

 

 

2.79

%

 

1.37

%

 

1.36

%

 

2.05

%

 

2.54

%

Net expenses excluding interest expense

 

 

0.99

%

 

0.97

%

 

1.02

%

 

1.03

%

 

1.03

%

Net investment income

 

 

6.54

%

 

7.13

%

 

8.18

%

 

12.28

%

 

7.43

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets

 

$

430,035

 

$

447,984

 

$

472,676

 

$

506,533

 

$

470,185

 

Portfolio turnover

 

 

60

%

 

120

%

 

64

%

 

125

%

 

32

%

Net assets, end of year (000)

 

$

418,390

 

$

442,635

 

$

457,301

 

$

511,385

 

$

506,764

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

149,558

 

$

223,736

 

$

121,767

 

$

205,792

 

$

118,634

 

Asset coverage, end of year2

 

$

3,798

 

$

2,978

 

$

4,756

 

$

3,485

 

$

5,272

 

Reverse repurchase agreements average daily balance (000)

 

$

180,553

 

$

158,278

 

$

135,804

 

$

173,501

 

$

148,204

 

Reverse repurchase agreements weighted average interest rate

 

 

2.81

%

 

1.12

%

 

1.17

%

 

1.81

%

 

4.78

%


 

 


1

Total investment return is calculated assuming a purchase of a share at the curent market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

 

 

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each year indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

73


 

 

FINANCIAL HIGHLIGHTS

BlackRock Limited Duration Income Trust (BLW)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Period
July 30, 20031
through
October 31, 2003

 

 

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2005

 

2004

 

 

 

 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

20.13

 

$

19.74

 

 

$

19.10

2

 

 

 



 



 

 



 

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

1.46

 

 

1.46

 

 

 

0.33

 

 

Net realized and unrealized gain (loss)

 

 

(0.94

)

 

0.43

 

 

 

0.60

 

 

 

 



 



 

 



 

 

Net increase from investment operations

 

 

0.52

 

 

1.89

 

 

 

0.93

 

 

 

 



 



 

 



 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.33

)

 

(1.49

)

 

 

(0.25

)

 

Net realized gains

 

 

(0.15

)

 

(0.01

)

 

 

 

 

 

 



 



 

 



 

 

Total dividends and distributions

 

 

(1.48

)

 

(1.50

)

 

 

(0.25

)

 

 

 



 



 

 



 

 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

(0.04

)

 

 

 



 



 

 



 

 

Net asset value, end of period

 

$

19.17

 

$

20.13

 

 

$

19.74

 

 

 

 



 



 

 



 

 

Market price, end of period

 

$

17.48

 

$

19.95

 

 

$

18.80

 

 

 

 



 



 

 



 

 

TOTAL INVESTMENT RETURN3

 

 

(5.30

)%

 

14.64

%

 

 

(4.77

)%

 

 

 



 



 

 



 

 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.71

%

 

1.26

%

 

 

0.82

%4

 

Net expenses

 

 

1.71

%

 

1.25

%

 

 

0.82

%4

 

Net expenses excluding interest expense

 

 

0.92

%

 

0.90

%

 

 

0.79

%4

 

Net investment income

 

 

7.42

%

 

7.34

%

 

 

6.87

%4

 

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

722,668

 

$

730,369

 

 

$

686,655

 

 

Portfolio turnover

 

 

70

%

 

215

%

 

 

127

%

 

Net assets, end of period (000)

 

$

704,961

 

$

739,225

 

 

$

724,747

 

 

Reverse repurchase agreements outstanding, end of period (000)

 

$

176,010

 

$

159,416

 

 

$

118,993

 

 

Asset coverage, end of period5

 

$

5,005

 

$

5,637

 

 

$

7,091

 

 

Reverse repurchase agreements average daily balance (000)

 

$

186,660

 

$

195,845

 

 

$

26,591

 

 

Reverse repurchase agreements weighted average interest rate

 

 

3.08

%

 

1.32

%

 

 

0.76

%

 


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.

3

Total investment return is calculated assuming a purchase of a share at the curent market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

4

Annualized.

5

Per $1,000 reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

74


 

 

FINANCIAL HIGHLIGHTS

BlackRock Strategic Bond Trust (BHD)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the period
February 28, 20021
through
October 31, 2002

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2005

 

2004

 

2003

 

 

 

 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

15.10

 

$

15.07

 

$

12.63

 

 

$

14.33

2

 

 

 



 



 



 

 



 

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

1.10

 

 

1.39

 

 

1.59

 

 

 

0.98

 

 

Net realized and unrealized gain (loss)

 

 

(1.13

)

 

0.25

 

 

2.34

 

 

 

(1.77

)

 

 

 



 



 



 

 



 

 

Net increase (decrease) from investment operations

 

 

(0.03

)

 

1.64

 

 

3.93

 

 

 

(0.79

)

 

 

 



 



 



 

 



 

 

Dividends and Distributions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.12

)

 

(1.61

)

 

(1.49

)

 

 

(0.84

)

 

Tax return of capital

 

 

(0.27

)

 

 

 

 

 

 

 

 

 

 



 



 



 

 



 

 

Total dividends and distributions

 

 

(1.39

)

 

(1.61

)

 

(1.49

)

 

 

(0.84

)

 

 

 



 



 



 

 



 

 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

 

 

(0.07

)

 

 

 



 



 



 

 



 

 

Net asset value, end of period

 

$

13.68

 

$

15.10

 

$

15.07

 

 

$

12.63

 

 

 

 



 



 



 

 



 

 

Market price, end of period

 

$

12.45

 

$

16.70

 

$

15.27

 

 

$

12.35

 

 

 

 



 



 



 

 



 

 

TOTAL INVESTMENT RETURN3

 

 

(18.11

)%

 

21.54

%

 

37.36

%

 

 

(12.34

)%

 

 

 



 



 



 

 



 

 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.14

%

 

1.49

%

 

2.01

%

 

 

2.57

%4

 

Net expenses

 

 

1.87

%

 

1.23

%

 

1.71

%

 

 

2.26

%

 

Net expenses excluding interest expense and excise tax

 

 

0.92

%

 

0.89

%

 

1.01

%

 

 

1.25

%4

 

Net investment income

 

 

7.58

%

 

9.23

%

 

11.32

%

 

 

10.68

%4

 

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets

 

$

101,990

 

$

106,330

 

$

98,498

 

 

$

95,675

 

 

Portfolio turnover

 

 

51

%

 

31

%

 

32

%

 

 

22

%

 

Net assets, end of period (000)

 

$

96,546

 

$

106,433

 

$

106,045

 

 

$

88,594

 

 

Reverse repurchase agreements outstanding, end of period (000)

 

$

31,883

 

$

13,188

 

$

45,872

 

 

$

44,223

 

 

Asset coverage, end of period5

 

$

4,028

 

$

9,071

 

$

3,312

 

 

$

3,003

 

 

Reverse repurchase agreements average daily balance (000)

 

$

30,406

 

$

27,652

 

$

46,036

 

 

$

44,889

 

 

Reverse repurchase agreements weighted average interest rate

 

 

3.20

%

 

1.33

%

 

1.51

%

 

 

1.45

%

 


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share.

3

Total investment return is calculated assuming a purchase of a share at the curent market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

4

Annualized.

5

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

75


 

NOTES TO FINANCIAL STATEMENTS (unaudited)


Note 1. Organization & Accounting Policies

BlackRock Broad Investment Grade 2009 Term Trust Inc. (“Broad Investment Grade”), BlackRock Core Bond Trust (“Core Bond”), BlackRock High Yield Trust (“High Yield”), BlackRock Income Opportunity Trust (“Income Opportunity”), BlackRock Income Trust Inc. (“Income Trust”), BlackRock Limited Duration Income Trust (“Limited Duration”) and BlackRock Strategic Bond Trust (“Strategic Bond”) (collectively, the “Trusts”) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended. Broad Investment Grade, Income Opportunity and Income Trust are organized as Maryland corporations. Core Bond, High Yield, Limited Duration and Strategic Bond are organized as Delaware statutory trusts.

          On December 3, 1999, Broad Investment Grade transferred a substantial portion of its total assets to a 100% owned regulated investment company subsidiary called BCT Subsidiary, Inc. The financial statements and these notes to the financial statements for Broad Investment Grade are consolidated and include the operations of both Broad Investment Grade and its wholly owned subsidiary after elimination of all intercompany transactions and balances.

          The following is a summary of significant accounting policies followed by the Trusts.

Investment Valuation: The Trusts value most of their investments on the basis of current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board (the “Board”) of Directors/Trustees (the “Trustees”). In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures based on valuation technology commonly employed in the market for such investments. Exchange-traded options are valued at their last sales price as of the close of options trading on applicable exchanges. In the absence of a last sale, options are valued at the average of the quoted bid and asked prices as of the close of business. A futures contract is valued at the last sale price as of the close of the commodities exchange on which it trades. Swap quotations are provided by dealers selected under the supervision of the Board. Short-term securities may be valued at amortized cost. Investments in open-end investment companies are valued at net asset value. Investments or assets for which such current market quotations are not readily available are valued at fair value (“Fair Value Assets”) as determined in good faith under procedures established by, and under the general supervision and responsibility of, each Trust’s Board. The investment advisor and/or sub-advisor will submit its recommendations regarding the valuation and/or valuation methodologies for Fair Value Assets to a valuation committee. The valuation committee may accept, modify or reject any recommendations. The pricing of all Fair Value Assets shall be subsequently reported to the Board.

When determining the price for a Fair Value Asset, the investment advisor and/or sub-advisor shall seek to determine the price that the Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that BlackRock Advisors deems relevant.

Investment Transactions and Investment Income: Investment transactions are recorded on trade date. The cost of investments sold and the related gain or loss is determined by use of the specific identification method, generally first-in, first out, for both financial reporting and federal income tax purposes. Each Trust records interest income on an accrual basis and amortizes premium and/or accretes discount on securities purchased using the interest method.

Repurchase Agreements: In connection with transactions in repurchase agreements, a Trust’s custodian takes possession of the underlying collateral securities, the value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Trust may be delayed or limited.

Bank Loans: In the process of buying, selling and holding bank loans, a Trust may receive and/or pay certain fees. These fees are in addition to interest payments received and may include facility fees, commitment fees, amendment fees, commissions and prepayment penalty fees. When a Trust buys a bank loan it may receive a facility fee and when it sells a bank loan it may pay a facility fee. On an ongoing basis, a Trust may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a bank loan. In certain circumstances, a Trust may receive a prepayment penalty fee upon the prepayment of a bank loan by a borrower. Other fees received by a Trust may include covenant waiver fees and covenant modification fees.

Option Writing/Purchasing: When a Trust writes or purchases an option, an amount equal to the premium received or paid by the Trust is recorded as an asset or a liability and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or a loss on investment transactions. A Trust, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

Options, when used by the Trusts, help in maintaining a targeted duration. Duration is a measure of the price sensitivity of a security or a portfolio to relative changes in interest rates. For instance, a duration of “one” means that a portfolio’s or a security’s price would be expected to change by approximately one percent with a one percent change in interest rates, while a duration of five would imply that the price would move approximately five percent in relation to a one percent change in interest rates.

76


          Option writing and purchasing may be used by the Trusts as an attempt to manage the duration of positions, or collections of positions, so that changes in interest rates do not adversely affect the targeted duration of the portfolio unexpectedly. A call option gives the purchaser of the option the right (but not obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying position at the exercise price at any time or at a specified time during the option period. Put or call options can be purchased or sold to help manage the targeted duration of the portfolio.

          The main risk that is associated with purchasing options is that the option expires without being exercised. In this case, the option expires worthless and the premium paid for the option is considered the loss. The risk associated with writing call options is that a Trust may forgo the opportunity for a profit if the market value of the underlying position increases and the option is exercised. The risk in writing put options is that a Trust may incur a loss if the market value of the underlying position decreases and the option is exercised. In addition, the Trust risks not being able to enter into a closing transaction for the written option as the result of an illiquid market.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Trust may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Trustees.

Credit Default Swaps: Credit default swaps are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place. Risks arise from the possible inability of the counterparties to meet the terms of their contracts.

          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Total Return Swaps: Total return swaps are agreements in which one party commits to pay interest in exchange for a market linked return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trust will receive a payment from or make a payment to the counterparty.

          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Interest Rate Swaps: Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. Interest rate swaps are efficient as asset/liability management tools. In more complex swaps, the notional principal amount may decline (or amortize) over time.

          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Swap Options: Swap options are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. Premiums received or paid from writing or purchasing options are recorded as liabilities or assets and are subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commission, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or loss on investment transactions.

          The main risk that is associated with purchasing swap options is that the swap option expires without being exercised. In this case, the option expires worthless and the premium paid for the swap option is considered the loss. The main risk that is associated with the writing of a swap option is the market risk of an unfavorable change in the value of the interest rate swap underlying the written swap option.

          Swap options may be used by the Trusts to manage the duration of the Trusts’ portfolios in a manner similar to more generic options described above.

77


Interest Rate Caps: Interest rate caps are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the excess, if any, of a floating rate over a specified fixed or floating rate.

          Interest rate caps are intended to both manage the duration of the Trusts’ portfolios and their exposure to changes in short-term interest rates. Owning interest rate caps reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The effect on income involves protection from rising short-term interest rates, which the Trusts experience primarily in the form of leverage.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate cap. However, the Trusts do not anticipate non-performance by any counterparty.

          Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate cap. The asset or liability is subsequently adjusted to the current market value of the interest rate cap purchased or sold. Changes in the value of the interest rate cap are recognized as unrealized gains and losses.

Interest Rate Floors: Interest rate floors are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the deficiency, if any, of a floating rate under a specified fixed or floating rate.

          Interest rate floors are used by the Trusts to both manage the duration of the portfolios and their exposure to changes in short-term interest rates. Selling interest rate floors reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The Trusts’ leverage provides extra income in a period of falling rates. Selling floors reduces some of that extra income by partially monetizing it as an up-front payment which the Trusts receive.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate floor. However, the Trusts do not anticipate non-performance by any counterparty.

          Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate floor. The asset or liability is subsequently adjusted to the current market value of the interest rate floor purchased or sold. Changes in the value of the interest rate floor are recognized as unrealized gains and losses.

Financial Futures Contracts: A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Trust records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract.

          Financial futures contracts, when used by the Trusts, help in maintaining a targeted duration. Futures contracts can be sold to effectively shorten an otherwise longer duration portfolio. In the same sense, futures contracts can be purchased to lengthen a portfolio that is shorter than its duration target. Thus, by buying or selling futures contracts, the Trusts may attempt to manage the duration of positions so that changes in interest rates do not change the duration of the portfolio unexpectedly.

Forward Currency Contracts: The Trusts enter into forward currency contracts primarily to facilitate settlement of purchases and sales of foreign securities and to help manage the overall exposure to foreign currency. A forward contract is a commitment to purchase or sell a foreign currency at a future date (usually the security transaction settlement date) at a negotiated forward rate. In the event that a security fails to settle within the normal settlement period, the forward currency contract is renegotiated at a new rate. The gain or loss arising from the difference between the settlement value of the original and renegotiated forward contracts is isolated and is included in net realized gains (losses) from foreign currency transactions. Risks may arise as a result of the potential inability of the counterparties to meet the terms of their contract.

          Forward currency contracts, when used by the Trusts, help to manage the overall exposure to the foreign currency backing some of the investments held by the Trusts. Forward currency contracts are not meant to be used to eliminate all of the exposure to the foreign currency, rather they allow the Trusts to limit their exposure to foreign currency within a narrow band to the objectives of the Trusts.

Foreign Currency Translation: Foreign currency amounts are translated into United States dollars on the following basis:

 

 

(i)

market value of investment securities, other assets and liabilities—at the London 4:00 PM rates of exchange. Effective as of November 7, 2005, the 4:00 PM Eastern Standard Time rates of exchange will be used.

 

 

(ii)

purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.

          The Trusts isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at period end. Similarly, the Trusts isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period.

          Net realized and unrealized foreign exchange gains and losses includes realized foreign exchange gains and losses from sales and maturities of foreign portfolio securities, maturities of foreign reverse repurchase agreements, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of interest and discount recorded on the Trusts’ books and the U.S. dollar equivalent amounts actually received or paid and changes in unrealized foreign exchange gains and losses in the value of portfolio securities and other assets and liabilities arising as a result of changes in the exchange rate.

          Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

78


Short Sales: The Trusts may make short sales of securities as a method of managing potential price declines in similar securities owned. When a Trust makes a short sale, it may borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the sale. The Trusts may have to pay a fee to borrow the particular securities and may be obligated to pay over any payments received on such borrowed securities. A gain, limited to the price at which a Trust sold the security short, or a loss, unlimited as to dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received.

Bonds Borrowed Agreements: In a bonds borrowed agreement, the Trust borrows securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Bonds borrowed agreements are primarily entered into to settle short positions. In a bonds borrowed agreement, the Trust’s prime broker or third party broker takes possession of the underlying collateral securities or cash to settle such short positions. The value of the underlying collateral securities or cash approximates the principal amount of the bonds borrowed transaction, including accrued interest. To the extent that bonds borrowed transactions exceed one business day, the value of the collateral with any counterparty is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Trust may be delayed or limited.

Segregation: In cases in which the Investment Company Act of 1940, as amended (the “1940 Act”), and the interpretive positions of the Securities and Exchange Commission (the “Commission”) require a Trust to segregate assets in connection with certain investments (e.g., when-issued securities, reverse repurchase agreements or futures contracts), each Trust will, consistent with certain interpretive letters issued by the Commission, designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated.

Federal Income Taxes: It is each Trust’s intention to continue to be treated as a regulated investment company under the Internal Revenue Code and to distribute sufficient amounts of their taxable income to shareholders. Therefore, no Federal income tax provisions are required. As part of a tax planning strategy, Broad Investment Grade has retained a portion of its taxable income and will pay excise tax on the undistributed amounts.

Dividends and Distributions: Each Trust declares and pays dividends and distributions to common shareholders monthly from net investment income, net realized short-term capital gains and other sources, if necessary. Net long-term capital gains, if any, in excess of loss car-ryforwards may be distributed in accordance with the 1940 Act. Dividends and distributions are recorded on the ex-dividend date. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, non-interested Trustees are required to defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of other BlackRock closed-end funds selected by the Trustees. This has the same economic effect for the Trustees as if the Trustees had invested the deferred amounts in such Trusts.

          The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Trust. Each Trust may, however, elect to invest in common shares of those Trusts selected by the Trustees in order to match its deferred compensation obligations.

Reclassification of Capital Accounts: In order to present undistributed (distribution in excess of) net investment income (“UNII”), accumulated net realized gain (“Accumulated Gain”) and paid-in-capital (“PIC”) more closely to its tax character, the following accounts for each Trust were increased (decreased):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

 

UNII

 

Accumulated Gain

 

PIC

 


 

 


 


 


 

Broad Investment Grade

 

$

(2,478,442

)

 

$

(509,131

)

 

$

2,987,573

 

Core Bond

 

 

4,546,845

 

 

 

(4,545,298

)

 

 

(1,547

)

High Yield

 

 

717,081

 

 

 

 

 

 

(717,081

)

Income Opportunity

 

 

2,334,513

 

 

 

(2,334,513

)

 

 

 

Income Trust

 

 

(1,571,393

)

 

 

1,571,393

 

 

 

 

Limited Duration

 

 

15,362

 

 

 

(15,362

)

 

 

 

Strategic Bond

 

 

1,898,203

 

 

 

(1,898,203

Note 2. Agreements

Each Trust has an Investment Management Agreement with BlackRock Advisors, Inc. (the “Advisor”), which is a wholly owned subsidiary of BlackRock, Inc. BlackRock Financial Management, Inc., a wholly owned subsidiary of BlackRock, Inc., serves as sub-advisor to Core Bond, Limited Duration and Strategic Bond. BlackRock, Inc. is an indirect, majority owned subsidiary of The PNC Financial Services Group, Inc.

          Broad Investment Grade, High Yield, Income Opportunity and Income Trust each have an Administration Agreement with the Advisor. The Investment Management Agreement for Core Bond, Limited Duration and Strategic Bond covers both investment advisory and administration services.

79


          Each Trust’s investment advisory fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.55% for Broad Investment Grade, 0.60% for Income Opportunity and 0.65% for Income Trust, of each Trust’s average net assets and 0.55% for Core Bond and Limited Duration, 1.05% for High Yield and 0.75% for Strategic Bond, of each Trust’s average weekly managed assets. “Managed assets” means the total assets of a Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). The Advisor has voluntarily agreed to waive a portion of the investment advisory fees or other expenses on Strategic Bond as a percentage of its average weekly managed assets as follows: 0.20% for the first 5 years of the Trust’s operations, 0.15% in year 6, 0.10% in year 7 and 0.05% in year 8.

          The administration fee paid to the Advisor by Broad Investment Grade, High Yield, Income Opportunity and Income Trust is computed weekly and payable monthly based on an annual rate of 0.15%, 0.05%, 0.10%, and 0.15%, respectively of the Trusts’ average weekly managed assets.

          Pursuant to the agreements, the Advisor provides continuous supervision of the investment portfolio and pays the compensation of officers of each Trust who are affiliated persons of the Advisor, as well as occupancy and certain clerical and accounting costs of each Trust. Each Trust bears all other costs and expenses, which include reimbursements to the Advisor for cost of employees that provide pricing, secondary market support, and compliance services to each Trust. For the year ended October 31, 2005, the Trusts reimbursed the Advisor the following amounts:

 

 

 

 

 

 

 

 

 

 

Trust

 

Amount

 

Trust

 

Amount

 


 


 


 


 

Broad Investment Grade

 

$

3,650

 

Income Trust

 

$

31,087

 

Core Bond

 

 

24,820

 

Limited Duration

 

 

24,820

 

High Yield

 

 

2,500

 

Strategic Bond

 

 

6,198

 

Income Opportunity

 

 

25,652

 

 

 

 

 

 

          Pursuant to the terms of their custody agreements, Core Bond, High Yield, Income Opportunity, Income Trust, Limited Duration and Strategic Bond received earnings credits from its custodian for positive cash balances maintained, which are used to offset custody fees.

Note 3. Portfolio Investments

Purchases and sales of investment securities, other than short-term investments, dollar rolls and U.S. government securities, for the year ended October 31, 2005, aggregated as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Purchases

 

Sales

 

Trust

 

Purchases

 

Sales

 


 


 


 


 


 


 

Broad Investment Grade

 

$

31,083,360

 

$

31,914,231

 

Income Trust

 

$

149,707,225

 

$

154,480,452

 

Core Bond

 

 

343,708,046

 

 

394,094,432

 

Limited Duration

 

 

719,043,234

 

 

716,261,831

 

High Yield

 

 

69,592,009

 

 

70,138,264

 

Strategic Bond

 

 

78,237,356

 

 

64,945,130

 

Income Opportunity

 

 

969,733,044

 

 

1,011,842,678

 

 

 

 

 

 

 

 

 

          Purchases and sales of U.S. government securities for the year ended October 31, 2005 aggregated as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Purchases

 

Sales

 

Trust

 

Purchases

 

Sales

 


 


 


 


 


 



Broad Investment Grade

 

$

14,636,632

 

$

36,005,908

 

Income Trust

 

$

224,933,848

 

$

254,777,853

 

Core Bond

 

 

1,070,707,534

 

 

1,068,262,108

 

Limited Duration

 

 

11,853,749

 

 

8,548,029

 

High Yield

 

 

 

 

245,574

 

Strategic Bond

 

 

1,430,405

 

 

547,063

 

Income Opportunity

 

 

1,333,797,883

 

 

1,388,765,858

 

 

 

 

 

 

 

 

 

          Each Trust may from time to time purchase in the secondary market certain mortgage pass-through securities packaged or master serviced by affiliates or mortgage-related securities containing loans or mortgages originated by PNC Bank or its affiliates, including Midland Loan Services, Inc., each of which is an affiliate of BlackRock Advisors, Inc. It is possible under certain circumstances, that PNC Mortgage Securities Corp. or its affiliates, including Midland Loan Services, Inc., could have interests that are in conflict with the holders of these mortgage-backed securities, and such holders could have rights against PNC Mortgage Securities Corp. or its affiliates, including Midland Loan Services, Inc.

          For Federal income tax purposes, the following Trusts had capital loss carryforwards as of their last respective tax year end. These amounts may be used to offset future realized capital gains, if any:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Capital Loss
Carryforward Amount

 

Expires

 

Trust

 

Capital Loss
Carryforward Amount

 

Expires


 


 


 


 


 


Broad Investment Grade

 

 

$

2,518,895

 

 

 

2011

 

Income Trust

 

 

$

33,107,952

 

 

2007

 

 

 

 

684,360

 

 

 

2012

 

 

 

 

 

1,352,206

 

 

2008

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,203,255

 

 

 

 

 

 

 

 

 

13,940,898

 

 

2009

 

 

 



 

 

 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield

 

 

$

2,558,868

 

 

 

2007

 

 

 

 

 

21,960,613

 

 

2011

 

 

 

 

3,270,311

 

 

 

2008

 

 

 

 

 

10,100,201

 

 

2012

 

 

 

 

15,159,280

 

 

 

2009

 

 

 

 

 

3,861,222

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

8,468,860

 

 

 

2010

 

 

 

 

$

84,323,092

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,771,417

 

 

 

2011

 

Limited Duration

 

 

$

2,008,113

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

316,410

 

 

 

2012

 

Strategic Bond

 

 

$

432,713

 

 

2011

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

34,545,146

 

 

 

 

 

 

 

 

 

318,492

 

 

2013

 

 

 



 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

751,205

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

          Accordingly, no capital gain distributions are expected to be paid to shareholders of a Trust until that Trust has net realized capital gains in excess of its carryforward amounts. As of October 31, 2005 High Yield used $884,735 in capital loss carryforwards to offset net taxable gains.

80


Details of open forward currency contracts at October 31, 2005 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

 

Foreign
Currency

 

 

Settlement
Date

 

 

Contract to
Purchase /

Receive

 

 

Value at
Settlement

Date

 

Value at
October 31,

2005

 

 

Unrealized
Appreciation

 


 

 


 

 


 

 


 

 


 

 


 

 


 

Core Bond

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

 

01/20/06

 

 

4,106,777€

 

 

4,990,946

 

 

4,941,669

 

 

49,277

 

Limited Duration

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

 

01/20/06

 

 

6,586,400€

 

 

8,003,102

 

 

7,925,390

 

 

77,712

 

Details of open interest rate swaps at October 31, 2005 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Notional
Amount
(000)

 

Fixed
Rate

 

Floating
Rate

 

Termination
Date

 

Unrealized
Appreciation
(Depreciation)

 


 


 


 


 


 


 

Core Bond

 

 

5,400

 

 

 

4.412

%(b)

 

 

3-month LIBOR

 

 

02/17/14

 

$

218,586

 

 

 

 

50,000

 

 

 

3.000

(b)

 

 

3-month LIBOR

 

 

04/16/07

 

 

1,266,667

 

 

 

 

19,435

 

 

 

3.215

(a)

 

 

3-month LIBOR

 

 

06/14/06

 

 

(15,277

)

 

 

 

14,300

 

 

 

3.210

(a)

 

 

3-month LIBOR

 

 

06/17/06

 

 

(11,777

)

 

 

 

950

 

 

 

5.365

(b)

 

 

3-month LIBOR

 

 

07/29/19

 

 

(32,120

)

 

 

 

1,300

 

 

 

5.155

(a)

 

 

3-month LIBOR

 

 

08/13/19

 

 

2,717

 

 

 

 

800

 

 

 

4.780

(a)

 

 

3-month LIBOR

 

 

10/27/19

 

 

(30,560

)

 

 

 

41,200

 

 

 

4.510

(b)

 

 

3-month LIBOR

 

 

10/29/14

 

 

1,573,000

 

 

 

 

20,000

 

 

 

4.458

(a)

 

 

3-month LIBOR

 

 

04/18/10

 

 

(362,257

)

 

 

 

5,600

 

 

 

4.415

(a)

 

 

3-month LIBOR

 

 

09/27/08

 

 

(60,200

)

 

 

 

2,800

 

 

 

4.500

(b)

 

 

3-month LIBOR

 

 

05/26/15

 

 

81,760

 

 

 

 

3,300

 

 

 

4.442

(a)

 

 

3-month LIBOR

 

 

07/11/15

 

 

(118,626

)

 

 

 

9,710

 

 

 

4.368

(a)

 

 

3-month LIBOR

 

 

07/15/10

 

 

(113,122

)

 

 

 

17,500

 

 

 

4.385

(a)

 

 

3-month LIBOR

 

 

08/02/07

 

 

71,197

 

 

 

 

9,400

 

 

 

4.510

(a)

 

 

3-month LIBOR

 

 

09/27/10

 

 

(156,275

)

 

 

 

14,100

 

 

 

4.305

(a)

 

 

3-month LIBOR

 

 

06/17/10

 

 

(192,089

)

 

 

 

24,400

 

 

 

4.444

(a)

 

 

3-month LIBOR

 

 

08/17/07

 

 

(118,485

)

 

 

 

10,525

 

 

 

4.501

(b)

 

 

3-month LIBOR

 

 

08/31/10

 

 

177,873

 

 

 

 

4,800

 

 

 

4.372

(a)

 

 

3-month LIBOR

 

 

06/30/15

 

 

(188,160

)

 

 

 

6,200

 

 

 

4.725

(a)

 

 

3-month LIBOR

 

 

08/02/15

 

 

(147,234

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,845,618

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Opportunity Trust

 

 

3,000

 

 

 

5.230

%(a)

 

 

3-month LIBOR

 

 

11/04/21

 

 

(59,367

)

 

 

 

5,700

 

 

 

4.412

(a)

 

 

3-month LIBOR

 

 

02/17/14

 

 

230,730

 

 

 

 

50,000

 

 

 

3.000

(a)

 

 

3-month LIBOR

 

 

04/16/07

 

 

1,266,667

 

 

 

 

20,735

 

 

 

3.215

(b)

 

 

3-month LIBOR

 

 

06/14/06

 

 

(16,299

)

 

 

 

15,300

 

 

 

3.210

(b)

 

 

3-month LIBOR

 

 

06/17/06

 

 

(12,600

)

 

 

 

1,050

 

 

 

5.365

(a)

 

 

3-month LIBOR

 

 

07/29/19

 

 

(35,501

)

 

 

 

1,400

 

 

 

5.155

(b)

 

 

3-month LIBOR

 

 

08/13/19

 

 

2,926

 

 

 

 

27,500

 

 

 

4.399

(a)

 

 

3-month LIBOR

 

 

10/25/14

 

 

1,268,860

 

 

 

 

900

 

 

 

4.780

(b)

 

 

3-month LIBOR

 

 

10/27/19

 

 

(34,380

)

 

 

 

13,800

 

 

 

4.510

(a)

 

 

3-month LIBOR

 

 

10/29/14

 

 

526,879

 

 

 

 

10,000

 

 

 

4.458

(b)

 

 

3-month LIBOR

 

 

04/18/10

 

 

(181,129

)

 

 

 

7,800

 

 

 

4.415

(b)

 

 

3-month LIBOR

 

 

09/27/08

 

 

(83,850

)

 

 

 

3,000

 

 

 

4.500

(a)

 

 

3-month LIBOR

 

 

05/26/15

 

 

87,600

 

 

 

 

3,600

 

 

 

4.442

(b)

 

 

3-month LIBOR

 

 

07/11/15

 

 

(129,410

)

 

 

 

10,375

 

 

 

4.368

(b)

 

 

3-month LIBOR

 

 

07/15/10

 

 

(120,869

)

 

 

 

18,800

 

 

 

4.385

(b)

 

 

3-month LIBOR

 

 

08/02/07

 

 

76,486

 

 

 

 

4,300

 

 

 

4.510

(b)

 

 

3-month LIBOR

 

 

09/27/10

 

 

(71,488

)

 

 

 

13,300

 

 

 

4.305

(b)

 

 

3-month LIBOR

 

 

06/17/10

 

 

(181,190

)

 

 

 

22,200

 

 

 

4.444

(b)

 

 

3-month LIBOR

 

 

08/17/07

 

 

(107,802

)

 

 

 

4,825

 

 

 

4.501

(a)

 

 

3-month LIBOR

 

 

08/31/10

 

 

81,544

 

 

 

 

8,000

 

 

 

4.670

(b)

 

 

3-month LIBOR

 

 

09/20/15

 

 

(236,789

)

 

 

 

5,200

 

 

 

4.372

(b)

 

 

3-month LIBOR

 

 

06/30/15

 

 

(203,840

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2,067,178

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

81


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Notional
Amount
(000)

 

Fixed
Rate

 

Floating
Rate

 

Termination
Date

 

Unrealized
Appreciation
(Depreciation)

 


 


 


 


 


 


 

Income Trust

 

 

24,000

 

 

 

3.550

%(a)

 

 

3-month LIBOR

 

 

10/24/06

 

$

(264,595

)

 

 

 

50,000

 

 

 

3.000

(b)

 

 

3-month LIBOR

 

 

04/16/07

 

 

1,266,667

 

 

 

 

19,000

 

 

 

4.889

(b)

 

 

3-month LIBOR

 

 

04/22/14

 

 

179,376

 

 

 

 

2,800

 

 

 

5.940

(a)

 

 

3-month LIBOR

 

 

12/07/15

 

 

191,520

 

 

 

 

22,295

 

 

 

3.215

(a)

 

 

3-month LIBOR

 

 

06/14/06

 

 

(17,525

)

 

 

 

16,400

 

 

 

3.210

(a)

 

 

3-month LIBOR

 

 

06/17/06

 

 

(13,506

)

 

 

 

1,075

 

 

 

5.365

(b)

 

 

3-month LIBOR

 

 

07/29/19

 

 

(36,346

)

 

 

 

1,450

 

 

 

5.155

(a)

 

 

3-month LIBOR

 

 

08/13/19

 

 

3,030

 

 

 

 

12,500

 

 

 

4.399

(b)

 

 

3-month LIBOR

 

 

10/25/14

 

 

576,755

 

 

 

 

900

 

 

 

4.780

(a)

 

 

3-month LIBOR

 

 

10/27/19

 

 

(34,380

)

 

 

 

9,400

 

 

 

4.902

(b)

 

 

3-month LIBOR

 

 

03/17/15

 

 

87,702

 

 

 

 

25,000

 

 

 

4.883

(a)

 

 

3-month LIBOR

 

 

03/21/15

 

 

(242,000

)

 

 

 

16,000

 

 

 

4.925

(b)

 

 

3-month LIBOR

 

 

03/22/15

 

 

130,639

 

 

 

 

11,000

 

 

 

4.415

(a)

 

 

3-month LIBOR

 

 

09/27/08

 

 

(118,250

)

 

 

 

3,000

 

 

 

4.500

(b)

 

 

3-month LIBOR

 

 

05/26/15

 

 

87,600

 

 

 

 

4,500

 

 

 

4.442

(a)

 

 

3-month LIBOR

 

 

07/11/15

 

 

(161,763

)

 

 

 

10,210

 

 

 

4.368

(a)

 

 

3-month LIBOR

 

 

07/15/10

 

 

(118,947

)

 

 

 

18,300

 

 

 

4.385

(a)

 

 

3-month LIBOR

 

 

08/02/07

 

 

74,453

 

 

 

 

12,000

 

 

 

4.320

(a)

 

 

3-month LIBOR

 

 

09/08/10

 

 

(291,000

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,299,430

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

(a)

Trust pays floating interest rate and receives fixed rate.

(b)

Trust pays fixed interest rate and receives floating rate.

The terms of the open credit default swap agreements at October 31, 2005 were to receive the quarterly notional amount multiplied by 0.23% and pay Goldman Sachs, upon default event of Consolidated Natural Gas Co., the par value of the notional amount of Consolidated Natural Gas Co. 5.375% 11/01/06. Details of open credit default swaps at October 31, 2005 were as follows:

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Notional
Amount
(000)

 

Termination
Date

 

Unrealized
Appreciation

 


 


 


 


 

Broad Investment Grade

 

 

300

 

 

11/01/05

 

$

176

 

 

 

 

 

 

 

 

 



 

Core Bond

 

 

3,800

 

 

11/01/05

 

$

2,240

 

 

 

 

 

 

 

 

 



 

Income Opportunity Trust

 

 

4,000

 

 

11/01/05

 

$

2,357

 

 

 

 

 

 

 

 

 



 

Limited Duration

 

 

6,800

 

 

11/01/05

 

$

4,008

 

 

 

 

 

 

 

 

 



 

Transactions in options written during the year ended October 31, 2005 were as follows:

 

 

 

 

 

 

 

 

 

 

 

Trust

 

 

 

 

Contracts/
Notional Amount
(000)

 

Premium
Received

 


 

 

 

 


 


 

Core Bond

 

 

Options outstanding at October 31, 2004

 

$

151,700

 

$

2,196,443

 

 

 

 

Options written

 

 

65,350

 

 

3,046,054

 

 

 

 

Options expired

 

 

 

 

(136,980

)

 

 

 

Options terminated in closing purchase transactions

 

 

(156,850

)

 

(2,388,764

)

 

 

 

 

 



 



 

 

 

 

Options outstanding at October 31, 2005

 

$

60,200

 

$

2,716,753

 

 

 

 

 

 



 



 

Income Opportunity Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at October 31, 2004

 

$

177,400

 

$

2,557,620

 

 

 

 

Options written

 

 

70,200

 

 

3,272,591

 

 

 

 

Options expired

 

 

 

 

(180,572

)

 

 

 

Options terminated in closing purchase transactions

 

 

(183,000

)

 

(2,732,241

)

 

 

 

 

 



 



 

 

 

 

Options outstanding at October 31, 2005

 

$

64,600

 

$

2,917,398

 

 

 

 

 

 



 



 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at October 31, 2004

 

$

182,800

 

$

2,915,666

 

 

 

 

Options written

 

 

69,900

 

 

2,967,460

 

 

 

 

Options expired

 

 

(77,000

)

 

(1,699,981

)

 

 

 

Options terminated in closing purchase transactions

 

 

(111,300

)

 

(1,314,677

)

 

 

 

 

 



 



 

 

 

 

Options outstanding at October 31, 2005

 

$

64,400

 

$

2,868,468

 

 

 

 

 

 



 



 

82


Note 4. Borrowings

Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third-party broker-dealers as determined by and under the direction of the Trusts’ Board. Interest on the value of reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. At the time a Trust enters into a reverse repurchase agreement, it will establish and maintain a segregated account with the lender, containing liquid investment grade securities having a value not less than the repurchase price, including accrued interest of the reverse repurchase agreement. Details of open reverse repurchase agreements at October 31, 2005 were as follows (please see Corresponding Underlying Collateral Chart on pages 84-85):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Par

 


 



 



 



 


 


 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

 

3.850

%

 

 

10/24/05

 

 

 

11/02/05

 

 

$

80,713,691

 

$

80,636,894

 

 

 

 

3.550

 

 

 

10/25/05

 

 

 

11/04/05

 

 

 

3,677,423

 

 

3,674,163

 

 

 

 

4.000

 

 

 

10/31/05

 

 

 

11/01/05

 

 

 

2,565,285

 

 

2,565,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86,876,057

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

3.800

 

 

 

10/24/05

 

 

 

11/02/05

 

 

 

67,781,919

 

 

67,717,588

 

 

 

 

3.770

 

 

 

10/24/05

 

 

 

11/04/05

 

 

 

41,852,008

 

 

41,808,225

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

109,525,813

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

3.920

 

 

 

10/13/05

 

 

 

11/07/05

 

 

 

3,846,413

 

 

3,836,387

 

 

 

 

3.920

 

 

 

10/18/05

 

 

 

11/08/05

 

 

 

4,378,990

 

 

4,369,000

 

 

 

 

3.900

 

 

 

10/19/05

 

 

 

11/07/05

 

 

 

2,453,039

 

 

2,448,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10,653,387

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclays Bank PLC

 

 

3.900

 

 

 

10/27/05

 

 

 

11/07/05

 

 

 

35,475,891

 

 

35,437,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Credit Suisse First Boston LLC

 

 

3.850

 

 

 

10/27/05

 

 

 

11/07/05

 

 

 

69,558,059

 

 

69,483,750

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

3.920

 

 

 

10/13/05

 

 

 

11/07/05

 

 

 

6,862,387

 

 

6,844,500

 

 

 

 

3.950

 

 

 

10/21/05

 

 

 

11/07/05

 

 

 

2,528,708

 

 

2,524,000

 

 

 

 

3.890

 

 

 

10/05/05

 

 

 

11/07/05

 

 

 

10,857,579

 

 

10,819,000

 

 

 

 

3.930

 

 

 

10/13/05

 

 

 

11/07/05

 

 

 

2,266,924

 

 

2,261,000

 

 

 

 

3.920

 

 

 

10/12/05

 

 

 

11/03/05

 

 

 

9,080,717

 

 

9,060,000

 

 

 

 

3.890

 

 

 

10/05/05

 

 

 

11/03/05

 

 

 

9,534,761

 

 

9,506,000

 

 

 

 

3.800

 

 

 

10/20/05

 

 

 

11/04/05

 

 

 

2,834,182

 

 

2,830,000

 

 

 

 

4.050

 

 

 

10/31/05

 

 

 

11/01/05

 

 

 

792,589

 

 

792,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

44,637,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Limited Duration

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

1.000

 

 

 

10/24/05

 

 

 

11/04/05

 

 

 

1,801,888

 

 

1,801,387

 

 

 

 

3.720

 

 

 

10/24/05

 

 

 

11/04/05

 

 

 

19,307,180

 

 

19,287,250

 

 

 

 

3.750

 

 

 

10/24/05

 

 

 

11/04/05

 

 

 

25,485,645

 

 

25,459,125

 

 

 

 

4.070

 

 

 

10/20/05

 

 

 

11/21/05

 

 

 

27,366,577

 

 

27,271,000

 

 

 

 

4.230

 

 

 

10/20/05

 

 

 

11/21/05

 

 

 

27,240,865

 

 

27,142,000

 

 

 

 

3.800

 

 

 

09/02/05

 

 

 

11/07/05

 

 

 

14,445,926

 

 

14,352,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

115,312,762

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

3.900

 

 

 

09/26/05

 

 

 

11/04/05

 

 

 

18,484,784

 

 

18,409,000

 

 

 

 

4.100

 

 

 

09/26/05

 

 

 

11/04/05

 

 

 

3,775,268

 

 

3,759,000

 

 

 

 

3.980

 

 

 

10/06/05

 

 

 

11/07/05

 

 

 

8,683,659

 

 

8,654,000

 

 

 

 

3.970

 

 

 

10/11/05

 

 

 

11/14/05

 

 

 

1,491,572

 

 

1,486,000

 

 

 

 

3.900

 

 

 

10/13/05

 

 

 

11/07/05

 

 

 

19,046,894

 

 

18,997,500

 

 

 

 

3.920

 

 

 

10/13/05

 

 

 

11/07/05

 

 

 

4,488,700

 

 

4,477,000

 

 

 

 

3.850

 

 

 

10/17/05

 

 

 

11/07/05

 

 

 

265,595

 

 

265,000

 

 

 

 

3.940

 

 

 

10/17/05

 

 

 

11/07/05

 

 

 

2,188,781

 

 

2,184,000

 

 

 

 

2.250

 

 

 

10/19/05

 

 

 

11/07/05

 

 

 

2,468,774

 

 

2,466,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

60,697,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

4.070

 

 

 

10/20/05

 

 

 

11/22/05

 

 

 

16,393,093

 

 

16,334,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

3.150

 

 

 

10/03/05

 

 

 

11/07/05

 

 

 

460,052

 

 

458,688

 

 

 

 

3.625

 

 

 

10/03/05

 

 

 

11/07/05

 

 

 

1,002,169

 

 

998,750

 

 

 

 

3.650

 

 

 

10/03/05

 

 

 

11/07/05

 

 

 

743,617

 

 

741,063

 

 

 

 

3.700

 

 

 

10/03/05

 

 

 

11/07/05

 

 

 

1,012,262

 

 

1,008,737

 

 

 

 

4.100

 

 

 

10/19/05

 

 

 

11/21/05

 

 

 

10,643,649

 

 

10,605,000

 

 

 

 

3.750

 

 

 

10/19/05

 

 

 

11/21/05

 

 

 

810,668

 

 

807,975

 

 

 

 

3.900

 

 

 

10/24/05

 

 

 

11/17/05

 

 

 

930,648

 

 

928,335

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15,548,548

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

83


Details of underlying collateral for open reverse repurchase agreements at October 31, 2005 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust / Counter Party

 

Description

 

Rate

 

Maturity
Date

 

Original
Face

 

Current
Face

 

Market Value

 


 


 


 


 


 


 


 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

 

U.S. Treasury Bond

 

 

6.125

%

 

11/15/27

 

 

48,600,000

 

$

48,600,000

 

$

57,082,158

 

 

 

 

U.S. Treasury Bond

 

 

8.500

 

 

02/15/27

 

 

10,855,000

 

 

10,855,000

 

 

14,983,265

 

 

 

 

U.S. Treasury Bond

 

 

7.125

 

 

02/15/23

 

 

6,500,000

 

 

6,500,000

 

 

8,231,665

 

 

 

 

U.S. Treasury Bond

 

 

4.125

 

 

08/15/08

 

 

3,665,000

 

 

3,665,000

 

 

3,637,513

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83,934,601

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

U.S. Treasury Bond

 

 

8.500

 

 

02/15/20

 

 

15,845,000

 

 

15,845,000

 

 

21,871,012

 

 

 

 

U.S. Treasury Bond

 

 

7.125

 

 

02/15/23

 

 

9,795,000

 

 

9,795,000

 

 

12,404,486

 

 

 

 

U.S. Treasury Bond

 

 

6.500

 

 

11/15/26

 

 

24,320,000

 

 

24,320,000

 

 

29,621,030

 

 

 

 

U.S. Treasury Bond

 

 

6.125

 

 

11/15/27

 

 

5,060,000

 

 

5,060,000

 

 

5,943,122

 

 

 

 

U.S. Treasury Bond

 

 

6.000

 

 

02/15/26

 

 

32,000,000

 

 

32,000,000

 

 

36,787,488

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

106,627,138

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

Resolution Funding Corp.

 

 

0.000

 

 

04/15/30

 

 

6,055,000

 

 

6,055,000

 

 

1,823,948

 

 

 

 

Tennessee Valley Authority

 

 

5.880

 

 

04/01/36

 

 

1,800,000

 

 

1,800,000

 

 

1,987,812

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.500

 

 

02/01/33

 

 

9,500,000

 

 

4,500,368

 

 

4,443,168

 

 

 

 

Tennessee Valley Authority

 

 

4.875

 

 

12/15/16

 

 

2,400,000

 

 

2,400,000

 

 

2,427,576

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10,682,504

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclays Capital Inc.

 

 

U.S. Treasury Bond

 

 

0.000

 

 

11/15/24

 

 

90,000,000

 

 

90,000,000

 

 

35,674,380

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

U.S. Treasury Notes

 

 

1.500

 

 

03/31/06

 

 

40,000,000

 

 

40,000,000

 

 

39,568,800

 

 

 

 

U.S. Treasury Notes

 

 

3.750

 

 

03/31/07

 

 

21,000,000

 

 

21,000,000

 

 

20,809,740

 

 

 

 

U.S. Treasury Notes

 

 

4.250

 

 

11/15/13

 

 

9,000,000

 

 

9,000,000

 

 

8,814,420

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69,192,960

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

Federal National Mortgage Assoc.

 

 

5.000

 

 

06/01/33

 

 

5,999,400

 

 

5,144,458

 

 

4,969,681

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.000

 

 

07/01/34

 

 

4,600,000

 

 

3,943,200

 

 

3,802,810

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.000

 

 

06/01/34

 

 

3,000,000

 

 

2,327,197

 

 

2,247,658

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

5.500

 

 

05/15/23

 

 

7,800,000

 

 

7,439,082

 

 

7,453,440

 

 

 

 

Federal National Mortgage Assoc.

 

 

6.500

 

 

05/01/31

 

 

48,673,696

 

 

2,644,117

 

 

2,715,191

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.500

 

 

09/01/17

 

 

30,215,381

 

 

9,217,552

 

 

9,286,684

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

4.165

 

 

01/01/35

 

 

1,277,500

 

 

1,277,092

 

 

1,269,263

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

4.959

 

 

10/01/34

 

 

1,607,000

 

 

1,053,328

 

 

1,036,222

 

 

 

 

Resolution Funding Corp.

 

 

0.000

 

 

04/15/30

 

 

13,000,000

 

 

13,000,000

 

 

3,915,990

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.500

 

 

10/01/35

 

 

5,600,000

 

 

5,600,000

 

 

5,526,161

 

 

 

 

U.S. Treasury Notes

 

 

2.500

 

 

05/31/06

 

 

2,830,000

 

 

2,830,000

 

 

2,801,700

 

 

 

 

U.S. Treasury
Bond

 

 

0.000

 

 

11/15/24

 

 

2,000,000

 

 

2,000,000

 

 

792,764

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45,817,564

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Limited Duration

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

 

DaimlerChrysler NA Holding Corp.

 

 

4.050

 

 

06/04/08

 

 

7,500,000

 

 

7,500,000

 

 

7,289,700

 

First Boston LLC

 

 

Comcast Cable Communications, Inc.

 

 

6.875

 

 

06/15/09

 

 

6,685,000

 

 

6,685,000

 

 

7,034,290

 

 

 

 

CSC Holdings, Inc.

 

 

7.875

 

 

12/15/07

 

 

6,000,000

 

 

6,000,000

 

 

6,157,500

 

 

 

 

Georgia Pacific Corp.

 

 

8.875

 

 

02/01/10

 

 

5,685,000

 

 

5,685,000

 

 

6,317,456

 

 

 

 

Qwest Corp.

 

 

9.125

 

 

03/15/12

 

 

6,000,000

 

 

6,000,000

 

 

6,615,000

 

 

 

 

Sequa Corp.

 

 

8.875

 

 

04/01/08

 

 

5,350,000

 

 

5,350,000

 

 

5,523,875

 

 

 

 

Western Financial Bank

 

 

9.625

 

 

05/15/12

 

 

4,215,000

 

 

4,215,000

 

 

4,773,488

 

 

 

 

Weyerhaeuser Co.

 

 

5.250

 

 

12/15/09

 

 

7,500,000

 

 

7,500,000

 

 

7,479,345

 

 

 

 

Deutsche Telekom Intl. Finance BV

 

 

8.500

 

 

06/15/10

 

 

5,000,000

 

 

5,000,000

 

 

5,575,200

 

 

 

 

General Motors Acceptance Corp.

 

 

6.875

 

 

08/28/12

 

 

7,500,000

 

 

7,500,000

 

 

7,201,800

 

 

 

 

Ford Motor Credit Co.

 

 

7.375

 

 

02/01/11

 

 

7,500,000

 

 

7,500,000

 

 

7,043,978

 

 

 

 

U.S. Treasury Notes

 

 

3.375

 

 

12/15/08

 

 

17,000,000

 

 

17,000,000

 

 

16,476,740

 

 

 

 

U.S. Treasury Notes

 

 

4.250

 

 

11/15/13

 

 

8,660,000

 

 

8,660,000

 

 

8,838,656

 

 

 

 

U.S. Treasury Notes

 

 

3.875

 

 

05/15/09

 

 

6,000,000

 

 

6,000,000

 

 

5,889,360

 

 

 

 

U.S. Treasury Notes

 

 

3.375

 

 

09/15/09

 

 

3,425,000

 

 

3,425,000

 

 

3,296,563

 

 

 

 

U.S. Treasury Notes

 

 

3.750

 

 

03/31/07

 

 

10,000,000

 

 

10,000,000

 

 

9,909,400

 

 

 

 

U.S. Treasury Notes

 

 

4.250

 

 

08/15/15

 

 

1,815,000

 

 

1,815,000

 

 

1,770,768

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

117,193,119

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

84


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust / Counter Party

 

Description

 

Rate

 

Maturity
Date

 

Original
Face

 

Current
Face

 

Market Value

 


 


 


 


 


 


 


 

Limited Duration (continued)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Caraustar Industries, Inc.

 

 

9.875

%

 

04/01/11

 

 

4,250,000

 

$

4,250,000

 

$

4,133,125

 

 

 

 

Citibank Credit Card Issuance Trust

 

 

2.500

 

 

04/07/08

 

 

2,080,000

 

 

2,080,000

 

 

2,063,651

 

 

 

 

DaimlerChrysler Auto Trust

 

 

2.250

 

 

08/08/07

 

 

6,900,000

 

 

4,654,263

 

 

4,629,040

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.000

 

 

06/01/20

 

 

657,205

 

 

648,118

 

 

639,408

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.500

 

 

07/01/33

 

 

1,281,754

 

 

848,745

 

 

838,657

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.500

 

 

08/01/33

 

 

2,113,543

 

 

1,156,356

 

 

1,142,611

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.500

 

 

09/01/33

 

 

5,852,429

 

 

3,835,880

 

 

3,790,286

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.500

 

 

10/01/33

 

 

3,182,952

 

 

1,880,746

 

 

1,856,303

 

 

 

 

Federal National Mortgage Assoc.

 

 

5.500

 

 

08/01/20

 

 

306,253

 

 

298,907

 

 

294,956

 

 

 

 

Federal National Mortgage Assoc.

 

 

7.250

 

 

01/15/10

 

 

17,000,000

 

 

17,000,000

 

 

18,582,020

 

 

 

 

Goodman Global Holding Co., Inc.

 

 

7.875

 

 

12/15/12

 

 

3,170,000

 

 

3,170,000

 

 

2,995,650

 

 

 

 

Honda Auto Receivables

 

 

2.300

 

 

10/18/07

 

 

7,125,000

 

 

5,675,201

 

 

5,616,742

 

 

 

 

MBNA Credit Card Master Note Trust

 

 

5.750

 

 

11/15/08

 

 

7,910,000

 

 

7,910,000

 

 

7,965,528

 

 

 

 

Tyco Intl. Group SA

 

 

6.125

 

 

11/01/08

 

 

7,500,000

 

 

7,500,000

 

 

7,721,775

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

62,269,752

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

Wells Fargo & Co.

 

 

3.500

 

 

04/04/08

 

 

2,000,000

 

 

2,000,000

 

 

1,941,140

 

 

 

 

HSBC Bank USA, Inc.

 

 

3.875

 

 

09/15/09

 

 

1,500,000

 

 

1,500,000

 

 

1,443,735

 

 

 

 

Comcast Cable Communications, Inc.

 

 

6.875

 

 

06/15/09

 

 

1,000,000

 

 

1,000,000

 

 

1,052,250

 

 

 

 

SBC Communications, Inc.

 

 

6.450

 

 

06/15/34

 

 

1,500,000

 

 

1,500,000

 

 

1,512,270

 

 

 

 

Bank One Corp.

 

 

6.500

 

 

02/01/06

 

 

1,000,000

 

 

1,000,000

 

 

1,005,360

 

 

 

 

Dominion Resources, Inc.

 

 

5.700

 

 

09/17/12

 

 

1,000,000

 

 

1,000,000

 

 

1,016,340

 

 

 

 

TIAA Global Markets, Inc.

 

 

3.875

 

 

01/22/08

 

 

1,000,000

 

 

1,000,000

 

 

979,010

 

 

 

 

Tyco Intl. Group

 

 

6.375

 

 

02/15/06

 

 

1,132,000

 

 

1,132,000

 

 

1,137,388

 

 

 

 

DaimlerChrysler NA Holding Corp.

 

 

7.300

 

 

01/15/12

 

 

1,000,000

 

 

1,000,000

 

 

1,074,330

 

 

 

 

Citigroup, Inc.

 

 

5.750

 

 

05/10/06

 

 

2,900,000

 

 

2,900,000

 

 

2,919,575

 

 

 

 

General Electric Cap. Corp.

 

 

3.450

 

 

07/16/07

 

 

400,000

 

 

400,000

 

 

391,488

 

 

 

 

Verizon New England, Inc.

 

 

6.500

 

 

09/15/11

 

 

2,000,000

 

 

2,000,000

 

 

2,067,520

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

16,540,406

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

U.S. Treasury Bond

 

 

5.375

 

 

02/15/31

 

 

410,000

 

 

410,000

 

 

447,027

 

 

 

 

U.S. Treasury Notes

 

 

4.250

 

 

08/15/13

 

 

1,000,000

 

 

1,000,000

 

 

980,780

 

 

 

 

U.S. Treasury Notes

 

 

4.750

 

 

05/15/14

 

 

710,000

 

 

710,000

 

 

718,989

 

 

 

 

U.S. Treasury Notes

 

 

2.500

 

 

05/31/06

 

 

1,010,000

 

 

1,010,000

 

 

999,900

 

 

 

 

General Electric Cap. Corp.

 

 

3.450

 

 

07/16/07

 

 

1,600,000

 

 

1,600,000

 

 

1,565,952

 

 

 

 

News America, Inc.

 

 

6.200

 

 

12/15/34

 

 

1,500,000

 

 

1,500,000

 

 

1,455,345

 

 

 

 

General Mills, Inc.

 

 

5.125

 

 

02/15/07

 

 

1,000,000

 

 

1,000,000

 

 

1,003,020

 

 

 

 

Merck & Co., Inc.

 

 

4.375

 

 

02/15/13

 

 

1,000,000

 

 

1,000,000

 

 

939,410

 

 

 

 

Telecom Italia Cap.

 

 

4.950

 

 

09/30/14

 

 

1,000,000

 

 

1,000,000

 

 

956,420

 

 

 

 

United Technologies Corp.

 

 

6.350

 

 

03/01/11

 

 

1,000,000

 

 

1,000,000

 

 

1,062,460

 

 

 

 

Wellpoint, Inc.

 

 

5.950

 

 

12/15/34

 

 

1,000,000

 

 

1,000,000

 

 

1,015,700

 

 

 

 

Wyeth

 

 

6.500

 

 

02/01/34

 

 

1,000,000

 

 

1,000,000

 

 

1,097,050

 

 

 

 

Vodafone Group PLC

 

 

7.750

 

 

02/15/10

 

 

1,000,000

 

 

1,000,000

 

 

1,100,770

 

 

 

 

European Investment Bank

 

 

4.875

 

 

09/06/06

 

 

500,000

 

 

500,000

 

 

501,750

 

 

 

 

U.S. Treasury Notes

 

 

4.125

 

 

08/15/10

 

 

810,000

 

 

810,000

 

 

797,850

 

 

 

 

U.S. Treasury Notes

 

 

2.625

 

 

11/15/06

 

 

933,000

 

 

933,000

 

 

916,523

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15,558,946

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

85


Dollar Rolls: The Trusts may enter into dollar rolls in which a Trust sells securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. During the roll period the Trusts forgo principal and interest paid on the securities. The Trusts will be compensated by the interest earned on the cash proceeds of the initial sale and/or by the lower repurchase price at the future date.

Loan Payable: High Yield has a $32 million committed credit facility (the “facility”). Under the terms of the facility, the Trust borrows at the London Interbank Offered Rate (“LIBOR”) plus facility and administrative fees. In addition, the Trust pays a liquidity fee on the unused portion of the facility. The Trust may borrow up to 33 1/3% of its total assets up to the committed amount. In accordance with the terms of the facility, the Trust has pledged its portfolio assets as collateral for the borrowing.

Note 5. Distributions to Shareholders

The tax character of distributions paid during the years ended October 31, 2005 and October 31, 2004 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended October 31, 2005

 

 

 












 

Distributions Paid from:

 

Ordinary
Income

 

Non-taxable
Return of Capital

 

Long-term
Capital Gains

 

Total
Distributions

 


 



 



 



 



 

Broad Investment Grade

 

 

$

3,271,251

 

 

 

$

 

 

 

$

525,065

 

 

 

$

3,796,316

 

 

Core Bond

 

 

 

27,245,722

 

 

 

 

 

 

 

 

9,450,907

 

 

 

 

36,696,629

 

 

High Yield

 

 

 

5,087,371

 

 

 

 

 

 

 

 

 

 

 

 

5,087,371

 

 

Income Opportunity

 

 

 

28,509,597

 

 

 

 

 

 

 

 

8,926,885

 

 

 

 

37,436,482

 

 

Income Trust

 

 

 

30,667,298

 

 

 

 

4,798,184

 

 

 

 

 

 

 

 

35,465,482

 

 

Limited Duration

 

 

 

52,882,982

 

 

 

 

 

 

 

 

1,634,766

 

 

 

 

54,517,748

 

 

Strategic Bond

 

 

 

7,935,935

 

 

 

 

1,898,203

 

 

 

 

 

 

 

 

9,834,138

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended October 31, 2004

 

 

 




















 

Distributions Paid From:

 

Ordinary
Income

 

Non-taxable
Return of Capital

 

Long-term
Capital Gains

 

Total
Distributions

 


 





 





 





 





 

Broad Investment Grade

 

 

$

2,661,384

 

 

 

$

 

 

 

$

 

 

 

$

2,661,384

 

 

Core Bond

 

 

 

29,412,475

 

 

 

 

 

 

 

 

556,750

 

 

 

 

29,969,225

 

 

High Yield

 

 

 

5,864,606

 

 

 

 

187,188

 

 

 

 

 

 

 

 

6,051,794

 

 

Income Opportunity

 

 

 

28,937,742

 

 

 

 

 

 

 

 

 

 

 

 

28,937,742

 

 

Income Trust

 

 

 

38,921,208

 

 

 

 

 

 

 

 

 

 

 

 

38,921,208

 

 

Limited Duration

 

 

 

55,077,640

 

 

 

 

 

 

 

 

 

 

 

 

55,077,640

 

 

Strategic Bond

 

 

 

11,337,469

 

 

 

 

 

 

 

 

 

 

 

 

11,337,469

 

 

          As of October 31, 2005, the components of distributable earnings on a tax basis were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Ordinary
Income

 

Undistributed
Long-term
Gains

 

Undistributed
Unrealized Net
Appreciation

 

 

 

 

 

 


 





 





 





 

 

 

 

 

 

Broad Investment Grade

 

 

$

8,125,481

 

 

 

$

 

 

 

$

 

 

 

 

 

 

 

Core Bond

 

 

 

2,812,502

 

 

 

 

7,424,183

 

 

 

 

 

 

 

 

 

 

 

High Yield

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Opportunity

 

 

 

2,912,695

 

 

 

 

8,976,685

 

 

 

 

 

 

 

 

 

 

 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited Duration

 

 

 

6,547,096

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86


Note 6. Capital

There are 200 million of $0.01 par value common shares authorized for each of the Broad Investment Grade, Income Opportunity and Income Trusts. There are an unlimited number of $0.001 par value common shares authorized for Core Bond, High Yield, Limited Duration and Strategic Bond. At October 31, 2005, the common shares outstanding and the shares owned by affiliates of the Advisor of each Trust were:

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Common Shares
Outstanding

 

Common Shares
Owned

 


 



 



 

Broad Investment Grade

 

 

 

2,957,093

 

 

 

 

 

 

Core Bond

 

 

 

27,018,774

 

 

 

 

 

 

High Yield

 

 

 

6,411,104

 

 

 

 

 

 

Income Opportunity

 

 

 

34,449,693

 

 

 

 

 

 

Income Trust

 

 

 

63,942,536

 

 

 

 

 

 

Limited Duration

 

 

 

36,768,498

 

 

 

 

6,021

 

 

Strategic Bond

 

 

 

7,058,402

 

 

 

 

 

 

          During the year ended October 31, 2005, High Yield, Income Trust, Limited Duration and Strategic Bond issued additional shares under their dividend reinvestment plans of 7,498, 227,068, 41,211, and 9,684, respectively. During the year ended October 31, 2004, High Yield, Income Trust, Limited Duration and Strategic Bond issued additional shares under their dividend reinvestment plans of 21,958, 325,777, 21,266 and 13,097, respectively.

Note 7. Dividends

Subsequent to October 31, 2005, the Board of each of the Trusts declared dividends per common share payable November 30, 2005 to shareholders of record on November 15, 2005. The per share common dividends declared were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Common Dividend
Per Share

 

 

 

 

 

 


 


 

 

 

 

 

 

Broad Investment Grade

 

 

$

0.075000

 

 

 

 

 

 

 

Core Bond

 

 

 

0.077100

 

 

 

 

 

 

 

High Yield

 

 

 

0.055333

 

 

 

 

 

 

 

Income Opportunity

 

 

 

0.061900

 

 

 

 

 

 

 

Income Trust

 

 

 

0.036787

 

 

 

 

 

 

 

Limited Duration

 

 

 

0.121800

 

 

 

 

 

 

 

Strategic Bond

 

 

 

0.088000

 

 

 

 

 

 

 

87


 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM



 

To the Trustees/Directors and Shareholders of:

BlackRock Broad Investment Grade 2009 Term Trust Inc.

BlackRock Core Bond Trust

BlackRock High Yield Trust

BlackRock Income Opportunity Trust

BlackRock Income Trust Inc.

BlackRock Limited Duration Income Trust

BlackRock Strategic Bond Trust

(Collectively the “Trusts”)

We have audited the accompanying statement of assets and liabilities of the Trusts, including the portfolios of investments, as of October 31, 2005, and 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, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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. The Trusts are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2005, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Trusts as of October 31, 2005, 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 each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

(DELOITTE & TOUCHE LLP)

Boston, Massachusetts
December 29, 2005

88



DIRECTORS/TRUSTEES INFORMATION (Unaudited)



 

 

 

 

 

 

 

 Name,  address, age

  Current positions
  held with the Trusts
 

  Term of office
 and length of time served

  Principal occupations
 during the past five years 

  Number of
  portfolios over- 
 seen within the 
fund complex 1

  Other Directorships 
held outside the 
 fund complex 1

 Events or transactions by reason of which the Trustee is an interested person as  defined in Section 2(a) (19) of the 1940 Act 


Interested Directors/Trustees2


Ralph L.
Schlosstein
BlackRock, Inc.
40 East 52nd Street
New York, NY
10022
Age: 54

Chairman of the Board3

3 years4/since
inception

Director since 1999 and President of BlackRock, Inc. since its formation in 1998 and of BlackRock, Inc.’s predecessor entities since 1988. Member of the Management Committee and Investment Strategy Group of BlackRock, Inc. Formerly, Managing Director of Lehman Brothers, Inc. and Co-head of its Mortgage and Savings Institutions Group. Chairman and President of the BlackRock Liquidity Funds and Director of several of BlackRock’s alternative investment vehicles.

67

Director and Chairman of the Board of Anthracite Capital, Inc. Member of the Visiting Board of Overseers of the John F. Kennedy School of Government at Harvard University, a member of the board of the Financial Institutions Center of The Wharton School of the University of Pennsylvania, a trustee of the American Museum of Natural History, a trustee of Trinity School in New York City, a member of the Board of Advisors of Marujupu LLC, and a trustee of New Visions for Public Education, The Public Theater in New York City and the James Beard Foundation. Formerly, a director of Pulte Corporation, the nation’s largest home- builder, a trustee of Denison University and a member of Fannie Mae’s Advisory Council.

Director and President of the Advisor.


Robert S. Kapito
BlackRock, Inc.
40 East 52nd Street
New York, NY
10022
Age: 48

President and
Trustee

3 years4/since
August 22,
2002

Vice Chairman of BlackRock, Inc. Head of the Portfolio Management Group. Also a member of the Management Committee, the Investment Strategy Group, the Fixed Income and Global Operating Committees and the Equity Investment Strategy Group. Responsible for the portfolio management of the Fixed Income, Domestic Equity and International Equity, Liquidity, and Alternative Investment Groups of BlackRock.

57

Chairman of the Hope and Heroes Children’s Cancer Fund. President of the Board of Directors of the Periwinkle National Theatre for Young Audiences.

Director and Vice
Chairman of the Advisor.

 

 

 

 

 

 

 

89



 

DIRECTORS/TRUSTEES INFORMATION (Unaudited) (Continued)



 

 

 

 

 

 

Name, address, age

Current positions held
with the Trusts

Term of office and
length of time served

Principal occupations
during the past five years

Number of
portfolios overseen
within the fund
complex1

Other Directorships held
outside the fund complex


Independent Directors/ Trustees


Andrew F. Brimmer
P.O. Box 4546
New York, NY
10163-4546
Age: 79

Lead Trustee
Audit Committee
Chairman5

3 years4/since
inception

President of Brimmer & Company, Inc., a Washington, D.C.-based economic and financial consulting firm, also Wilmer D. Barrett Professor of Economics, University of Massachusetts – Amherst. Formerly member of the Board of Governors of the Federal Reserve System. Former Chairman, District of Columbia Financial Control Board.

57

Director of CarrAmerica Realty Corporation and Borg-Warner Automotive. Formerly Director of Airborne Express, BankAmerica Corporation (Bank of America), BellSouth Corporation, College Retirement Equities Fund (Trustee), Commodity Exchange, Inc. (Public Governor), Connecticut Mutual Life Insurance Company, E.I. du Pont de Nemours & Company, Equitable Life Assurance Society of the United States, Gannett Company, Mercedes-Benz of North America, MNC Financial Corporation (American Security Bank), NCM Capital Management, Navistar International Corporation, PHH Corp. and UAL Corporation (United Airlines).


Richard E. Cavanagh
P.O. Box 4546
New York, NY
10163-4546
Age: 59

Trustee
Audit Committee
Member

3 years4/since
inception6

President and Chief Executive Officer of The Conference Board, Inc., a leading global business research organization, from 1995-present. Former Executive Dean of the John F. Kennedy School of Government at Harvard University from 1988-1995. Acting Director, Harvard Center for Business and Government (1991-1993). Formerly Partner (principal) of McKinsey & Company, Inc. (1980-1988). Former Executive Director of Federal Cash Management, White House Office of Management and Budget (1977-1979). Co- author, THE WINNING PERFORMANCE (best selling management book published in 13 national editions).

57

Trustee of Aircraft Finance Trust (AFT) and Chairman of Educational Testing Service (ETS). Director, Arch Chemicals, Fremont Group and The Guardian Life Insurance Company of America.


Kent Dixon
P.O. Box 4546
New York, NY
10163-4546
Age: 68

Trustee
Audit Committee
Member5

3 years4/since
inception

Consultant/Investor. Former President and Chief Executive Officer of Empire Federal Savings Bank of America and Banc PLUS Savings Association, former Chairman of the Board, President and Chief Executive Officer of Northeast Savings.

57

Former Director of ISFA (the owner of INVEST, a national securities broker- age service designed for banks and thrift institutions).


Frank J. Fabozzi
P.O. Box 4546
New York, NY
10163-4546
Age: 57

Trustee
Audit Committee
Member5

3 years4/since
inception

Consultant. Editor of THE JOURNAL OF PORTFOLIO MANAGEMENT and Adjunct Professor of Finance and Becton Fellow at the School of Management at Yale University. Author and editor of several books on fixed income portfolio management. Visiting Professor of Finance and Accounting at the Sloan School of Management, Massachusetts Institute of Technology from 1986 to August 1992.

57

Director, Guardian Mutual Funds Group (18 portfolios).

 

 

 

 

 

 

90



 

DIRECTORS/TRUSTEES INFORMATION (Unaudited) (Continued)



 

 

 

 

 

 

Name, address, age

Current positions
held with the Trusts

Term of office and
length of time served

Principal occupations
during the past five years

Number of
portfolios
overseen
within
the fund
complex1

Other Directorships held
outside the fund complex


Independent Directors/Trustees (continued)


Kathleen F. Feldstein
P.O. Box 4546
New York, NY
10163-4546
Age: 63

Trustee

3 years4/since
January 19, 2005

President of Economics Studies, Inc., a Belmont, MA-based private economic consulting firm, since 1987; Chair, Board of Trustees, McLean Hospital in Belmont, MA.

56

Director of BellSouth Inc. and Knight Ridder, Inc.; Trustee of the Museum of Fine Arts, Boston, Committee for Economic Development and Partners HealthCare, Inc. Corporation Member of Sherrill House, Inc. Member of the Visiting Committee of the Harvard University Art Museums and of the Advisory Board to the International School of Business at Brandeis University.

 


R. Glenn Hubbard
P.O. Box 4546
New York, NY
10163-4546
Age: 47

Trustee

3 years4/since
November 16, 2004

Dean of Columbia Business School since July 1, 2004. Columbia faculty member since 1988. Co-director of Columbia Business School’s Entrepreneurship Program 1994-1997. Visiting professor at the John F. Kennedy School of Government at Harvard and the Harvard Business School, as well as the University of Chicago. Visiting scholar at the American Enterprise Institute in Washington and member of International Advisory Board of the MBA Program of BenGurion University. Deputy assistant secretary of the U.S. Treasury Department for Tax Policy 1991-1993. Chairman of the U.S. Council of Economic Advisers under the President of the United States 2001-2003.

57

Director of ADP, Dex Media, Duke Realty, KKR Financial Corporation, and Ripplewood Holdings. Advisory boards of the Congressional Budget Office, the Council on Competitiveness, the American Council on Capital Formation, the Tax Foundation and the Center for Addiction and Substance Abuse. Trustee of Fifth Avenue Presbyterian Church of New York.


James Clayburn
La Force, Jr.
P.O. Box 4546
New York, NY
10163-4546
Age: 76

Trustee

3 years4/since
inception7

Dean Emeritus of the John E. Anderson Graduate School of Management, University of California since July 1, 1993. Acting Dean of the School of Business, Hong Kong University of Science and Technology 1990-1993. From 1978 to September 1993, Dean of the John E. Anderson Graduate School of Management, University of California.

57

Director of Payden & Rygel Investment Trust, Metzler-Payden Investment Trust, Advisors Series Trust, Arena Pharmaceuticals, Inc. and CancerVax Corporation. Former director of First Nationwide Bank, Eli Lilly & Company, National Inter- group, Rockwell Interna- tional, Cyprus Mines, Getty Oil Company, The Timken Company, Jacobs Engineer- ing Group, and Motor Cargo Industries.


Walter F. Mondale
P.O. Box 4546
New York, NY
10163-4546
Age: 77

Trustee

3 years4/since
inception8

Senior Counsel, Dorsey & Whitney, LLP, a law firm (January 2004-present); Partner, Dorsey & Whitney, LLP, (December 1996- December 2003, September 1987-August 1993). Formerly U.S. Ambassador to Japan (1993-1996). Formerly Vice President of the United States, U.S. Senator and Attorney General of the State of Minnesota. 1984 Democratic Nominee for President of the United States.

57

Chairman of Panasonic Foundation’s Board of Directors and Director of United Health Foundation. Member of the Hubert H. Humphrey Institute of Public Affairs Advisory Board, The Mike and Maureen Mansfield Foundation and the Dean’s Board of Visitors of the Medical School at the University of Minnesota.

 

 

 

 

 

 


 

 

1

The Fund Complex means two or more registered investments companies that: (1) hold themselves out to investors as related companies for purposes of investment and investor services; or (2) have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies.

2

Interested Director/Trustee as defined by Section 2(a)(19) of the Investment Company Act of 1940.

3

Director/Trustee since inception; appointed Chairman of the Board on August 22, 2002.

4

The Board is classified into three classes of which one class is elected annually. Each Director/Trustee serves a three-year term concurrent with the class from which they are elected.

5

The Board of each Trust has determined that each Trust has three Audit Committee financial experts serving on its Audit Committee, Dr. Brimmer, Mr. Dixon and Mr. Fabozzi, each of whom are independent for the purpose of the definition of Audit Committee financial expert as applicable to the Trusts.

6

For Broad Investment Grade, Income Opportunity and Income Trust appointed Director on 8/11/94.

7

For Income Opportunity and Income Trust appointed Director on 6/19/92.

8

Except during the periods August 12, 1993 through April 15, 1997 and October 31, 2002 through November 11, 2002 for all of the Trusts.

91



 

DIVIDEND REINVESTMENT PLANS


     Pursuant to each Trust’s respective Dividend Reinvestment Plan (the “Plan”), shareholders of Broad Investment Grade, Income Opportunity and Income Trust may elect, while shareholders of Core Bond, High Yield, Limited Duration and Strategic Bond are automatically enrolled, to have all distributions of dividends and capital gains reinvested by EquiServe Trust Company, N.A. (the “Plan Agent”) in the respective Trust’s shares pursuant to the Plan. Shareholders who do not participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Plan Agent, which serves as agent for the shareholders in administering the Plan.

     After Broad Investment Grade and/or Income Opportunity Trust declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, by the purchase of outstanding shares on the open market, on the Trust’s primary exchange or elsewhere (“open market purchases”). The Trust will not issue any new shares under the Plan.

     After Core Bond, High Yield, Income Trust, Limited Duration and/or Strategic Bond declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, depending upon the circumstances described below, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by open market purchases. If, on the dividend payment date, the NAV is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as “market premium”), the Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the payment date, the dollar amount of the dividend will be divided by 95% of the market price on the payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus estimated brokerage commissions (such condition being referred to herein as “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases.

     The Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any Federal income tax that may be payable on such dividends or distributions.

     Each Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, each Trust reserves the right to amend the Plan to include a service charge payable by the participants. Participants who request a sale of shares through the Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commisson. All correspondence concerning the Plan should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021 or (800) 699-1BFM.

92



 

BOARD REVIEW OF INVESTMENT MANAGEMENT AGREEMENTS


     At a meeting held on May 26, 2005, the board of directors or the board of trustees, as the case may be (the “Board” or the “Trustees”) of each trust in the BlackRock Closed-End Fund Complex (each a “Trust”), including the independent trustees (the “Independent Trustees”), unanimously approved the continuance of an Investment Management Agreement between each Trust and BlackRock Advisors, Inc. (the “Advisor”). For each Investment Management Agreement, the Boards also approved a related Sub-Investment Advisory Agreement, when applicable, among each respective Trust, the Advisor and BlackRock Financial Management, Inc. (the “Sub-Advisor”). The Investment Management Agreements and the Sub-Investment Advisory Agreements sometimes are referred to herein collectively as the “Agreements”. The Advisor and the Sub-Advisor sometimes are referred to herein collectively as “BlackRock”.

Information Received by the Boards

     To assist each Board in its evaluation of the Agreements, the Independent Trustees received information from BlackRock on or about April 27, 2005 which detailed, among other things: the organization, business lines and capabilities of BlackRock, including the responsibilities of various departments and key personnel and biographical information relating to key personnel; financial statements for BlackRock, Inc., The PNC Financial Services Group, Inc. and each Trust; the advisory and/or administrative fees paid by each Trust to BlackRock, including comparisons, compiled by an independent third party, with the management fees of funds with similar investment objectives (“Peers”); the profitability of BlackRock and certain industry profitability analyses for advisors to registered investment companies; the expenses of BlackRock in providing the various services; non-investment advisory reimbursements and “fallout” benefits to BlackRock; the expenses of each Trust, including comparisons of the respective Trust’s expense ratios (both before and after any fee waivers) with the expense ratios of its Peers; and each Trust’s performance for the past one-, three-, five- and ten-year periods, when applicable, as well as each Trust’s performance compared to its Peers. This information supplemented the information received by each Board throughout the year regarding each Trust’s performance, expense ratios, portfolio composition, trade execution and compliance.

     In addition to the foregoing materials, independent legal counsel to the Independent Trustees provided a legal memorandum outlining, among other things, the duties of the Boards under the Investment Company Act of 1940, as amended (the “1940 Act”) as well as the general principles of relevant law in reviewing and approving advisory contracts, the requirements of the 1940 Act in such matters, an advisor’s fiduciary duty with respect to advisory agreements and compensation, and the standards used by courts in determining whether investment company boards of directors have fulfilled their duties and factors to be considered by the boards in voting on advisory agreements.

     Prior to the Board meeting, the Independent Trustees reviewed a preliminary binder of information, and, in consultation with independent counsel, submitted a memorandum on May 12, 2005, to BlackRock setting forth certain questions and requests for additional information. BlackRock responded to these questions in writing on May 24, 2005 and May 25, 2005. The Independent Trustees reviewed these responses with independent counsel on May 25, 2005.

     At the Board meeting on May 26, 2005, BlackRock made a presentation to and responded to additional questions from the Boards. After the presentations and after reviewing the written materials, the Independent Trustees met in executive session with their legal counsel to review the Boards’ duties in reviewing the Agreements and to consider the renewal of the Agreements. With this background, the Boards considered each Agreement and, in consultation with independent counsel, reviewed the factors set out in judicial decisions and Securities and Exchange Commission statements relating to the renewal of the Agreements.

Matters Considered by the Boards

     In connection with their deliberations, the Boards considered all factors they believed relevant with respect to each Trust, including the following: the nature, extent and quality of the services to be provided by BlackRock; the investment performance of each Trust; the costs of the services to be provided and profits to be realized by BlackRock and its affiliates from their relationship with the Trusts; the extent to which economies of scale would be realized as the BlackRock closed-end fund complex grows; and whether BlackRock realizes other benefits from its relationship with the Trusts.

     Nature and Quality of Investment Advisory and Sub-Advisory Services. In evaluating the nature, extent and quality of BlackRock’s services, the Boards reviewed information concerning the types of services that BlackRock provides and is expected to provide to each Trust, narrative and statistical information concerning each Trust’s performance record and how such performance compares to each Trust’s Peers, information describing BlackRock’s organization and its various departments, the experience and responsibilities of key personnel and available resources. The Boards further noted the willingness of the personnel of BlackRock to engage in open, candid discussions with the Boards. The Boards further considered the quality of BlackRock’s investment process in making portfolio management decisions. Given the Boards’ experience with BlackRock, the Boards noted that they were familiar with and continue to have a good understanding of the organization, operations and personnel of BlackRock.

     In addition to advisory services, the Independent Trustees considered the quality of the administrative or non-investment advisory services provided to the Trusts. In this regard, BlackRock provides each Trust with such administrative and other services (exclusive of, and in addition to, any such services provided by others for the Trusts) and officers and other personnel as are necessary for the operations of the respective Trust. In addition to investment management services, BlackRock and its affiliates provide each Trust with a wide range of services, including: preparing shareholder reports and communications, including annual and semi-annual financial statements and Trust web sites; communications with analysts to support secondary market trading; assisting with daily accounting and pricing; preparing periodic filings with regulators and stock exchanges; overseeing and coordinating the activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; providing legal and compliance support (such as helping to prepare proxy statements and responding to regulatory inquiries); and performing other Trust administrative tasks necessary for the operation of the respective Trust

93



(such as tax reporting and fulfilling regulatory filing requirements). In addition, in evaluating the administrative services, the Boards considered, in particular, BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations in light of the new Securities and Exchange Commission regulations governing compliance. The Boards noted BlackRock’s focus on compliance and its compliance systems. The Independent Trustees noted that BlackRock’s commitment to supporting the secondary market for the common shares of its closed-end funds is particularly noteworthy.

     The Investment Performance of the Trusts. As previously noted, the Boards received myriad performance information regarding each Trust and its Peers. Among other things, the Boards received materials reflecting each Trust’s historic performance and each Trust’s performance compared to its Peers. More specifically, each Trust’s one-, three-, five- and ten-year total returns (when applicable) were evaluated relative to its respective Peers (including the performance of individual Peers as well as the Peers’ average performance).

     The Boards also reviewed a narrative analysis of the Peer rankings that was prepared by an independent third party and summarized by BlackRock at the Boards’ request. The summary placed the Peer rankings into context by analyzing various factors that affect these comparisons. In evaluating the performance information, in certain limited instances, the Boards noted that the Peers most similar to a given Trust still would not adequately reflect such Trust’s investment objectives and strategies, thereby limiting the usefulness of the comparisons of such Trust’s performance with that of its Peers. The Boards noted the quality of information provided by BlackRock throughout the year with respect to the performance of the Trusts. The Boards considered this information in connection with its deliberations as to whether the level of management services provided to each Trust, in light of all the other facts and circumstances relating to that Trust, supports a conclusion that the Trust’s Agreement should be renewed.

     Fees and Expenses. In evaluating the management fees and expenses that a Trust is expected to bear, the Boards considered each Trust’s current management fee structure and the Trust’s expected expense ratios in absolute terms as well as relative to the fees and expense ratios of applicable Peers. In reviewing fees, the Boards, among other things, reviewed comparisons of each Trust’s gross management fees before and after any applicable reimbursements and fee waivers and total expense ratios before and after any applicable waivers with those of the applicable Peers. The Boards also reviewed a narrative analysis of the Peer rankings that was prepared by an independent third party and summarized by BlackRock at the request of the Boards. This summary placed the rankings into context by analyzing various factors that affect these comparisons.

     The Boards also compared the management fees charged to the Trusts by BlackRock to the management fees BlackRock charges other types of clients (such as open-end investment companies and separately managed institutional accounts). With respect to open-end investment companies, the management fees charged to the Trusts generally were higher than those charged to the open-end investment companies. The Boards also noted that BlackRock provides the Trusts with certain services not provided to open-end funds, such as leverage management in connection with the issuance of preferred shares, stock exchange listing compliance requirements, rating agency compliance with respect to the leverage employed by the Trusts and secondary market support and other services not provided to the Trusts, such as monitoring of subscriptions and redemptions. With respect to separately managed institutional accounts, the management fees for such accounts were generally lower than those charged to the comparable Trusts. The Boards noted, however, the various services that are provided and the costs incurred by BlackRock in managing and operating the Trusts. For instance, BlackRock and its affiliates provide numerous services to the Trusts that are not provided to institutional accounts including, but not limited to: preparing shareholder reports and communications, including annual and semi-annual financial statements; preparing periodic filings with regulators and stock exchanges; overseeing and coordinating the activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; income monitoring; expense budgeting; preparing proxy statements; and performing other Trust administrative tasks necessary for the operation of the respective Trust (such as tax reporting and fulfilling regulatory filing requirements). Further, the Boards noted the increased compliance requirements for the Trusts in light of new Securities and Exchange Commission regulations and other legislation. These services are generally not required to the same extent, if at all, for separate accounts.

     The Boards considered this information in connection with its deliberations as to whether the fees paid by each Trust under its Agreements, in light of all the other facts and circumstances relating to that Trust, supports a conclusion that the Trust’s Agreements should be renewed.

     Profitability. The Trustees also considered BlackRock’s profitability in conjunction with their review of fees. The Trustees reviewed BlackRock’s revenues, expenses and profitability margins on an after-tax basis. In reviewing profitability, the Trustees recognized that one of the most difficult issues in determining profitability is establishing a method of allocating expenses. The Trustees also reviewed BlackRock’s assumptions and methodology of allocating expenses. In this regard, the methods of allocation used appeared reasonable but the Boards noted the inherent limitations in allocating costs among various advisory products. The Boards also recognized that individual fund or product line profitability of other advisors is generally not publicly available.

     The Boards recognized that profitability may be affected by numerous factors including, among other things, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited. Nevertheless, to the extent available, the Boards considered BlackRock’s pre-tax profit margin compared to the pre-tax profitability of various publicly-traded investment management companies and/or investment management companies that publicly disclose some or all of their financial results.

     In evaluating the reasonableness of BlackRock’s compensation, the Boards also considered any other revenues paid to BlackRock, including partial reimbursements paid to BlackRock for certain non-investment advisory services. The Boards noted that these payments were less than BlackRock’s costs for providing these services. The Boards also considered indirect benefits (such as soft dollar arrangements) that BlackRock and its affiliates are expected to receive that are attributable to their management of the Trusts.

     In reviewing each Trust’s fees and expenses, the Boards examined the potential benefits of economies of scale, and whether any economies of scale should be reflected in the Trusts’ fee structures, for example through the use of breakpoints. In this connection, the Boards reviewed

94



information provided by BlackRock, noting that most closed-end fund complexes do not have fund-level breakpoints, as closed-end funds generally do not experience substantial growth after their initial public offering and each fund is managed independently consistent with its own investment objectives. The information also revealed that only one closed-end fund complex used a complex-level breakpoint structure, and that this complex generally is homogeneous with regard to the types of funds managed and is about four times as large as the Trusts’ complex. The Boards concluded that breakpoints were not warranted at this time.

     Other Benefits. In evaluating fees, the Boards also considered indirect benefits or profits BlackRock or its affiliates may receive as a result of their relationships with the Trusts. The Trustees, including the Independent Trustees, considered the intangible benefits that accrue to BlackRock and its affiliates by virtue of their relationships with the Trusts, including potential benefits accruing to BlackRock and its affiliates as a result of potentially stronger relationships with members of the broker-dealer community, increased name recognition of BlackRock and its affiliates, enhanced sales of other investment funds and products sponsored by BlackRock and its affiliates and increased assets under management which may increase the benefits realized by BlackRock from soft dollar arrangements with broker-dealers. The Boards also considered the unquantifiable nature of these potential benefits.

     Miscellaneous. During the Boards’ deliberations in connection with the Agreements, the Boards were aware that the Advisor pays compensation, out of its own assets, to the lead underwriter and to certain qualifying underwriters of many of its closed-end funds, and to employees of BlackRock’s affiliates that participated in the offering of such funds. The Boards considered whether the management fee met applicable standards in light of the services provided by BlackRock, without regard to whether BlackRock ultimately pays any portion of the anticipated compensation to the underwriters.

Conclusion

     The Trustees did not identify any single factor discussed above as all-important or controlling. The Trustees, including a majority of Independent Trustees, determined that each of the factors described above, in light of all the other factors and all of the facts and circumstances applicable to each respective Trust, was acceptable for each Trust and supported the Trustees’ conclusion that the terms of each Agreement were fair and reasonable, that the respective Trust’s fees are reasonable in light of the services provided to the respective Trust, and that the renewal of each Agreement should be approved.

95



 

ADDITIONAL INFORMATION


          The Joint Annual Meeting of Shareholders was held on May 26, 2005 to elect a certain number of Directors/Trustees for each of the following Trusts to three-year terms, unless otherwise indicated, expiring in 2008:

 

 

 

 

 

 

 

 

 

 

 

Broad Investment Grade

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Elected the Class II Trustees as follows:

 

 

 

 

 

 

 

 

 

 

Trustee

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Frank J. Fabozzi

 

 

2,724,305

 

 

 

110,182

 

 

 

Kathleen F. Feldstein

 

 

2,805,454

 

 

 

29,033

 

 

 

Walter F. Mondale

 

 

2,798,565

 

 

 

35,922

 

 

 

Ralph L. Schlosstein

 

 

2,807,102

 

 

 

27,385

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Elected Class I Trustee as follows:

 

 

 

 

 

 

 

 

 

 

Trustee

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

R. Glenn Hubbard1

 

 

2,806,685

 

 

 

27,802

 

 

 

 

 

 

 

 

 

 

 

 

 

Core Bond

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Elected the Class I Trustees as follows:

 

 

 

 

 

 

 

 

 

 

Trustee

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Richard E. Cavanagh

 

 

23,643,324

 

 

 

404,054

 

 

 

R. Glenn Hubbard

 

 

23,623,775

 

 

 

423,603

 

 

 

James Clayburn La Force, Jr.

 

 

23,586,832

 

 

 

460,546

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Elected Class II Trustee as follows:

 

 

 

 

 

 

 

 

 

 

Trustee

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Kathleen F. Feldstein1

 

 

23,620,007

 

 

 

427,371

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Elected the Class III Trustees as follows:

 

 

 

 

 

 

 

 

 

 

Trustee

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Andrew F. Brimmer

 

 

6,002,200

 

 

 

134,114

 

 

 

Kent Dixon

 

 

6,005,218

 

 

 

131,096

 

 

 

Robert S. Kapito

 

 

6,033,610

 

 

 

102,704

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Opportunity

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Elected the Class I Directors as follows:

 

 

 

 

 

 

 

 

 

 

Director

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Richard E. Cavanagh

 

 

30,256,745

 

 

 

1,232,563

 

 

 

R. Glenn Hubbard

 

 

30,189,633

 

 

 

1,299,675

 

 

 

James Clayburn La Force, Jr.

 

 

30,168,983

 

 

 

1,320,325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Elected Class II Director as follows:

 

 

 

 

 

 

 

 

 

 

Director

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Kathleen F. Feldstein1

 

 

30,240,041

 

 

 

1,249,267

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Trust

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Elected the Class I Directors as follows:

 

 

 

 

 

 

 

 

 

 

Director

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Richard E. Cavanagh

 

 

57,413,396

 

 

 

884,310

 

 

 

R. Glenn Hubbard

 

 

57,414,518

 

 

 

883,188

 

 

 

James Clayburn La Force, Jr.

 

 

57,351,067

 

 

 

946,639

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Elected Class II Director as follows:

 

 

 

 

 

 

 

 

 

 

Director

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Kathleen F. Feldstein1

 

 

57,366,673

 

 

 

931,033

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited Duration

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Elected the Class II Trustees as follows:

 

 

 

 

 

 

 

 

 

 

Trustee

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Frank J. Fabozzi

 

 

33,675,201

 

 

 

389,514

 

 

 

Kathleen F. Feldstein

 

 

33,659,680

 

 

 

405,035

 

 

 

Walter F. Mondale

 

 

33,590,950

 

 

 

473,765

 

 

 

Ralph L. Schlosstein

 

 

33,663,141

 

 

 

401,574

 

 

96


 

 

 

 

 

 

 

 

 

 

 

Strategic Bond

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Elected the Class I Trustees as follows:

 

 

 

 

 

 

 

 

 

 

Trustee

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Richard E. Cavanagh

 

 

5,904,793

 

 

 

69,039

 

 

 

R. Glenn Hubbard

 

 

5,905,293

 

 

 

68,539

 

 

 

James Clayburn La Force, Jr.

 

 

5,896,023

 

 

 

77,809

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Elected Class II Trustee as follows:

 

 

 

 

 

 

 

 

 

 

Trustee

 

 

Votes For

 

 

Votes Withheld

 

 


 

 


 

 


 

 

Kathleen F. Feldstein1

 

 

5,905,293

 

 

 

68,539

 

 


 

 


1

Mr. Hubbard and Ms. Feldstein will serve until the end of the term for the class of Directors/Trustees to which they were elected, if such class was not standing for election at the May 26, 2005 annual shareholders meeting.

          The following Trusts had an additional proposal (Proposal #2A) to amend its respective Declaration of Trust in order to change the maximum number of permitted Trustees allowed on its respective Board to 11:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

 

Votes Against

 

 

Votes Withheld

 

 

 

 


 

 


 

 


 

Core Bond

 

 

23,442,122

 

 

 

419,368

 

 

 

185,888

 

 

Limited Duration

 

 

33,074,495

 

 

 

646,876

 

 

 

343,344

 

 

Strategic Bond

 

 

5,800,367

 

 

 

93,187

 

 

 

80,278

 

 

The following Trust had an additional proposal (Proposal #2B) to amend its respective Declaration of Trust in order to reduce the maximum number of permitted Trustees allowed on its respective Board from 15 to 11:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

 

Votes Against

 

 

Votes Withheld

 

 

 

 


 

 


 

 


 

High Yield

 

 

6,027,273

 

 

 

64,513

 

 

 

44,528

 

 

          The Trusts listed for trading on the New York Stock Exchange (NYSE) has filed with the NYSE its chief executive officer certification regarding compliance with the NYSE’s listing standards and each Trust listed for trading on the American Stock Exchange (AMEX) has filed with the AMEX its corporate governance certification regarding compliance with the AMEX’s listing standards. All of the Trusts have filed with the Securities and Exchange Commission the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

          The Trusts do not make available copies of their respective Statements of Additional Information because the Trusts’share are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of such Trust’s offering and the information contained in each Trust’s Statement of Additional Information may have become outdated.

          During the period, there were no material changes in the Trusts’ investment objective or policies or to their charters or by-laws that have not been approved by shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolio.

          Quarterly performance and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com/indiv/products/closedendfunds/funds.html. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended, to incorporate BlackRock’s website into this report.

          Certain of the officers of the Trusts listed on the inside back cover of this Report to Shareholders are also officers of the Advisor or Sub-Advisor. They serve in the following capacities for the Advisor or Sub-Advisor: Robert S. Kapito—Director and Vice Chairman of the Advisor and the Sub-Advisor, Henry Gabbay, Anne Ackerley and Bartholomew Battista—Managing Directors of the Advisor and the Sub-Advisor, James Kong and Vincent Tritto—Managing Directors of the Sub-Advisor, and Jeff Gary and Brian P. Kindelan—Managing Director of the Advisor.

97


 

TAX INFORMATION (Unaudited)


          The information set forth below is for the Trusts’ tax year as required by the Internal Revenue Service.1 Shareholders, however, must report distributions on a calendar year basis for income tax purposes. Accordingly, the information needed by shareholders for income tax purposes will be sent to them in January 2006. Please consult your tax advisor for proper treatment of this information.

          For the tax year ended October 31, 2005, the Trusts designated distributions paid during the year as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ordinary Income
Per Share

 

Non-taxable
Return of Capital
Per Share

 

Long-term
Capital Gains
Per Share

 

 

Total

 

 

 


 


 


 


 

Broad Investment Grade (BCT)

 

 

$

1.10624

 

 

 

$

0.00000

 

 

 

$

0.17756

 

 

$

1.28380

 

High Yield (BHY)

 

 

 

0.79352

 

 

 

 

0.00000

 

 

 

 

0.00000

 

 

 

0.79352

 

Income Opportunity (BNA)

 

 

 

0.82757

 

 

 

 

0.00000

 

 

 

 

0.25913

 

 

 

1.08670

 

Income Trust (BKT)

 

 

 

0.47961

 

 

 

 

0.07504

 

 

 

 

0.00000

 

 

 

0.55465

 

Limited Duration (BLW)

 

 

 

1.43827

 

 

 

 

0.00000

 

 

 

 

0.04446

 

 

 

1.48273

 

Strategic Bond (BHD)

 

 

 

1.12432

 

 

 

 

0.26893

 

 

 

 

0.00000

 

 

 

1.39325

 

          Further, we wish to advise you that your income dividends received do not qualify for the corporate dividend received deduction and are not subject to the 15% rate entitled to qualified dividend income for taxable non-corporate shareholders.

 

 

1

Core Bond Trust (BHK) has a December tax year end, therefore not required to be included in this notice.

98


 

SECTION 19 NOTICES


          Set forth below is a summary of notices sent by each Trust, if any, pursuant to Section 19 of the Investment Company Act of 1940. Section 19 requires each Trust to accompany dividend payments with a notice if any part of that payment is from a source other than accumulated net income, not including profits or losses from the sale of securities or other properties. These notices are not for tax reporting purposes and were provided only for informational purposes in order to comply with the requirements of Section 19 of the Investment Company Act of 1940. In January 2006, after the completion of each Trust’s tax year, shareholders will receive a Form 1099-DIV which will reflect the amount of income, capital gain and return of capital paid by the Trust taxable in calendar year 2005 and reportable on your 2005 federal and other income tax returns.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total
distributions

 

Net Investment
Income

 

Distributions from
proceeds from the
sale of securities

 

Distributions from
return of capital

 

 

 

 

 


 


 


 


 

BlackRock High Yield Trust

 

 

Jan-05

 

 

 

($0.06833

)

 

 

 

($0.06833

)

 

 

$

 

 

 

$

 

 

 

 

 

Feb-05

 

 

 

($0.06833

)

 

 

 

($0.06833

)

 

 

$

 

 

 

$

 

 

 

 

 

Mar-05

 

 

 

($0.06833

)

 

 

 

($0.06833

)

 

 

$

 

 

 

$

 

 

 

 

 

Apr-05

 

 

 

($0.06833

)

 

 

 

($0.06833

)

 

 

$

 

 

 

$

 

 

 

 

 

May-05

 

 

 

($0.06833

)

 

 

 

($0.06833

)

 

 

$

 

 

 

$

 

 

 

 

 

Jun-05

 

 

 

($0.06833

)

 

 

 

($0.06833

)

 

 

$

 

 

 

$

 

 

 

 

 

Jul-05

 

 

 

($0.06833

)

 

 

 

($0.06833

)

 

 

$

 

 

 

$

 

 

 

 

 

Aug-05

 

 

 

($0.06833

)

 

 

 

($0.06833

)

 

 

$

 

 

 

$

 

 

 

 

 

Sep-05

 

 

 

($0.05530

)

 

 

 

($0.05530

)

 

 

$

 

 

 

$

 

 

 

 

 

Oct-05

 

 

 

($0.05530

)

 

 

 

($0.05530

)

 

 

$

 

 

 

$

 

 

BlackRock Core Bond Trust

 

 

Jan-05

 

 

 

($0.30790

)

 

 

 

($0.08750

)

 

 

($

0.22040

)

 

 

$

 

 

 

 

 

Sep-05

 

 

 

($0.12939

)

 

 

 

 $

 

 

 

($

0.12939

)

 

 

$

 

 

BlackRock Strategic Bond Trust

 

 

Jan-05

 

 

 

($0.13000

)

 

 

 

($0.07387

)

 

 

$

 

 

 

($

0.05613

)

 

 

 

 

Feb-05

 

 

 

($0.13000

)

 

 

 

($0.08424

)

 

 

$

 

 

 

($

0.04576

)

 

 

 

 

Mar-05

 

 

 

($0.11500

)

 

 

 

($0.08953

)

 

 

$

 

 

 

($

0.02547

)

 

 

 

 

Apr-05

 

 

 

($0.11500

)

 

 

 

($0.09282

)

 

 

$

 

 

 

($

0.02218

)

 

 

 

 

May-05

 

 

 

($0.11500

)

 

 

 

($0.09046

)

 

 

$

 

 

 

($

0.02454

)

 

 

 

 

Jun-05

 

 

 

($0.11500

)

 

 

 

($0.09198

)

 

 

$

 

 

 

($

0.02302

)

 

 

 

 

Jul-05

 

 

 

($0.10875

)

 

 

 

($0.08398

)

 

 

$

 

 

 

($

0.02477

)

 

 

 

 

Aug-05

 

 

 

($0.10875

)

 

 

 

($0.08152

)

 

 

$

 

 

 

($

0.02723

)

 

 

 

 

Sep-05

 

 

 

($0.10875

)

 

 

 

($0.08907

)

 

 

$

 

 

 

($

0.01968

)

 

 

 

 

Oct-05

 

 

 

($0.08800

)

 

 

 

($0.08764

)

 

 

$

 

 

 

($

0.00036

)

 

BlackRock Income Trust

 

 

Jan-05

 

 

 

($0.05104

)

 

 

 

($0.05104

)

 

 

$

 

 

 

$

 

 

 

 

 

Feb-05

 

 

 

($0.05104

)

 

 

 

($0.04314

)

 

 

$

 

 

 

($

0.00790

)

 

 

 

 

Mar-05

 

 

 

($0.05104

)

 

 

 

($0.02296

)

 

 

$

 

 

 

($

0.02808

)

 

 

 

 

Apr-05

 

 

 

($0.05104

)

 

 

 

($0.04072

)

 

 

$

 

 

 

($

0.01032

)

 

 

 

 

May-05

 

 

 

($0.05104

)

 

 

 

($0.03806

)

 

 

$

 

 

 

($

0.01298

)

 

 

 

 

Jun-05

 

 

 

($0.05104

)

 

 

 

($0.04484

)

 

 

$

 

 

 

($

0.00620

)

 

 

 

 

Jul-05

 

 

 

($0.03710

)

 

 

 

($0.03292

)

 

 

$

 

 

 

($

0.00418

)

 

 

 

 

Aug-05

 

 

 

($0.03710

)

 

 

 

($0.03373

)

 

 

$

 

 

 

($

0.00337

)

 

 

 

 

Sep-05

 

 

 

($0.03710

)

 

 

 

($0.03509

)

 

 

$

 

 

 

($

0.00201

)

 

BlackRock Income Opportunity Trust

 

 

Jan-05

 

 

 

($0.34910

)

 

 

 

($0.07000

)

 

 

($

0.27910

)

 

 

($

0.00000

)

 

 

 

 

Jul-05

 

 

 

($0.06190

)

 

 

 

($0.04976

)

 

 

($

0.01214

)

 

 

($

0.00000

)

 

BlackRock Limited Duration

 

 

Jan-05

 

 

 

($0.12500

)

 

 

 

($0.08054

)

 

 

($

0.04446

)

 

 

$

 

 

 

 

 

Jun-05

 

 

 

($0.11670

)

 

 

 

($0.01164

)

 

 

($

0.10506

)

 

 

$

 

 

BlackRock Broad Investment Grade Trust

 

 

Oct-05

 

 

 

$0.38380

 

 

 

 

$0.20624

 

 

 

$

0.17756

 

 

 

$

 

 

99


BlackRock Closed-End Funds

 

Directors/Trustees

Ralph L. Schlosstein, Chairman

Andrew F. Brimmer

Richard E. Cavanagh

Kent Dixon

Frank J. Fabozzi

R. Glenn Hubbard

Robert S. Kapito

James Clayburn La Force, Jr.

Walter F. Mondale

 

Officers

Robert S. Kapito, President

Henry Gabbay, Treasurer

Bartholomew Battista, Chief Compliance Officer

Anne Ackerley, Vice President

Jeff Gary, Vice President

James Kong, Assistant Treasurer

Vincent B. Tritto, Secretary

Brian P. Kindelan, Assistant Secretary

 

Investment Advisor

BlackRock Advisors, Inc.

100 Bellevue Parkway

Wilmington, DE 19809

(800) 227-7BFM

 

Sub-Advisor1

BlackRock Financial Management, Inc.

40 East 52nd Street

New York, NY 10022

 

Accounting Agent and Custodian

State Street Bank and Trust Company

2 Avenue de Lafayette

Boston, MA 02111

 


1           For Core Bond, Limited Duration and Strategic Bond.

 

 

Transfer Agent

EquiServe Trust Company, N.A.

c/o Computershare Investor Services

250 Royall Street

Canton, MA 02021

(800) 699-1BFM

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

4 Times Square

New York, NY 10036

 

Legal Counsel – Independent Trustees

Debevoise & Plimpton LLP

919 Third Avenue

New York, NY 10022

 

          This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change.

 

 

BlackRock Closed-End Funds

c/o BlackRock Advisors, Inc.

100 Bellevue Parkway

Wilmington, DE 19809

(800) 227-7BFM



The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact the Trusts at (800) 699-1BFM.

The Trusts have delegated to the Advisor the voting of proxies relating to their voting securities pursuant to the Advisor’s proxy voting policies and procedures. You may obtain a copy of these proxy voting policies and procedures, without charge, by calling (800) 699-1BFM. These policies and procedures are also available on the website of the Securities and Exchange Commission (the “Commission”) at http://www.sec.gov.

Information on how proxies relating to the Trusts’ voting securities were voted (if any) by the Advisor during the most recent 12-month period ended June 30th is available without charge, upon request, by calling (800) 699-1BFM or on the website of the Commission at http://www.sec.gov.

The Trusts file their complete schedule of portfolio holdings for the first and third quarters of their respective fiscal years with the Commission on Form N-Q. Each Trust’s Form N-Q will be available on the Commission’s website at http://www.sec.gov. Each Trust’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Each Trust’s Form N-Q may also be obtained, upon request, by calling (800) 699-1BFM.


 

 

 

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change.

 

(BLACKROCK LOGO)

 

 

 

CEF-ANN-3

 

 



Item 2. Code of Ethics.
(a)          The Registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

(b)           Not applicable.

(c)           The Registrant has not amended its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.

(d)           The Registrant has not granted a waiver or an implicit waiver from a provision of its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.

(e)           Not applicable.

(f)           The Registrant's Code of Ethics is attached as an Exhibit hereto.

Item 3. Audit Committee Financial Expert.
The Registrant's Board of Trustees has determined that it has three audit committee financial experts serving on its audit committee, each of whom is an "independent" Trustee: Dr. Andrew F. Brimmer, Kent Dixon and Frank Fabozzi. Under applicable securities laws, a person who is 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 that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services.
(a)           Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $32,235 for the fiscal year ended October 31, 2005 and $29,900 for the fiscal year ended October 31, 2004.

(b)           Audit-Related Fees. The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported above in Item 4(a) were $9,587 for the fiscal year ended October 31, 2005 and


$0 for the fiscal year ended October 31, 2004. The nature of these services was attest services not required by statute or regulation, overhead and out-of-pocket expenses.

(c)           Tax Fees. The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning were $7,500 for the fiscal year ended October 31, 2005 and $10,500 for the fiscal year ended October 31, 2004. The nature of these services was federal, state and local income and excise tax return preparation and related advice and planning and miscellaneous tax advice.

(d)           All Other Fees. There were no fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported above in Items 4(a) through (c).

(e)           Audit Committee Pre-Approval Policies and Procedures.
           
    (1) The Registrant has polices and procedures (the "Policy") for the pre-approval by the Registrant's Audit Committee of Audit, Audit-Related, Tax and Other Services (as each is defined in the Policy) provided by the Registrant’s independent auditor (the "Independent Auditor") to the Registrant and other "Covered Entities" (as defined below). The term of any such pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The amount of any such pre-approval is set forth in the appendices to the Policy (the "Service Pre-Approval Documents"). At its first meeting of each calendar year, the Audit Committee will approve or re-approve the Service Pre-Approval Documents for that year, together with any changes deemed necessary or desirable by the Audit Committee. The Audit Committee may, from time to time, modify the nature of the services pre-approved, the aggregate level of fees pre-approved or both.

               For the purposes of the Policy, "Covered Services" means (A) all engagements for audit and non-audit services to be provided by the Independent Auditor to the Registrant and (B) all engagements for non-audit services that directly impacted the operations and financial reporting or the Registrant to be provided by the Independent Auditor to any Covered Entity. "Covered Entities" means (1) BlackRock Advisors, Inc. (the “Advisor”) or (2) any entity controlling, controlled by or under common control with the Advisor that provides ongoing services to the Registrant.

               In the intervals between the scheduled meetings of the Audit Committee, the Audit Committee delegates pre-approval authority under this Policy to the Chairman of the Audit Committee (the "Chairman"). The Chairman shall report any pre-approval decisions under this Policy to the Audit Committee at its next scheduled meeting. At each scheduled meeting, the Audit Committee will review with the Independent Auditor the Covered Services pre-approved by the Chairman pursuant to delegated authority, if any, and the fees related thereto. Based on these reviews, the Audit Committee can modify, at its discretion, the pre-approval originally granted by the Chairman pursuant to delegated authority. This modification can be to the nature of services pre-approved, the aggregate level of fees approved, or both. Audit Committee may modify or withdraw this delegated authority at any time the Audit Committee determines that it is appropriate to do so.


               Fee levels for all Covered Services to be provided by the Independent Auditor and pre-approved under this Policy will be established annually by the Audit Committee and set forth in the Service Pre-Approval Documents. Any increase in pre-approved fee levels will require specific pre-approval by the Audit Committee (or the Chairman pursuant to delegated authority).

               The terms and fees of the annual Audit services engagement for the Registrant are subject to the specific pre-approval of the Audit Committee. The Audit Committee (or the Chairman pursuant to delegated authority) will approve, if necessary, any changes in terms, conditions or fees resulting from changes in audit scope, Registrant structure or other matters.

               In addition to the annual Audit services engagement specifically approved by the Audit Committee, any other Audit services for the Registrant not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the Audit Committee (or the Chairman pursuant to delegated authority).

               Audit-Related services are assurance and related services that are not required for the audit, but are reasonably related to the performance of the audit or review of the financial statements of the Registrant and, to the extent they are Covered Services, the other Covered Entities or that are traditionally performed by the Independent Auditor. Audit-Related services that are Covered Services and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the Audit Committee (or the Chairman pursuant to delegated authority).

               The Audit Committee believes that the Independent Auditor can provide Tax services to the Registrant and Covered Entities such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the Independent Auditor in connection with a transaction, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. Tax services that are Covered Services and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the Audit Committee (or the Chairman pursuant to delegated authority).

               All Other services that are covered and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the Audit Committee (or the Chairman pursuant to delegated authority).

               Requests or applications to provide Covered Services that require approval by the Audit Committee (or the Chairman pursuant to delegated authority) must be submitted to the Audit Committee or the Chairman, as the case may be, by both the Independent Auditor and the Chief Financial Officer of the Registrant or the respective Covered Entity, and must include a joint statement as to whether, in their view, (a) the request or application is consistent with the rules of the Securities and Exchange Commission ("SEC") on auditor independence and (b) the requested service is or is not a non-audit service prohibited by the SEC. A request or application submitted to the Chairman between scheduled meetings of the Audit Committee should include a discussion as to why approval is being sought prior to the next regularly scheduled meeting of the Audit Committee.


              (2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)           Not applicable.

(g)           The aggregate non-audit fees billed by the Registrant's accountant for services rendered to the Registrant, the Advisor (except for any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) or any entity controlling, controlled by, or under common control with the Advisor that provides ongoing services to the Registrant for each of the last two fiscal years were $1,341,450 for the fiscal year ended October 31, 2005 and $835,100 for the fiscal year ended October 31, 2004.

(h)           The Registrant's Audit Committee of the Board of Trustees has considered whether the provision of non-audit services that were rendered to the Registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.

Item 5. Audit Committee of Listed Registrants.
The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The Audit Committee of the Registrant is comprised of: Dr. Andrew F. Brimmer; Richard E. Cavanagh; Kent Dixon and Frank J. Fabozzi.

Item 6. Schedule of Investments.
The Registrant’s Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
The Registrant has delegated the voting of proxies relating to its voting securities to its investment advisor, BlackRock Advisors, Inc. (the "Advisor") and its sub-advisor, BlackRock Financial Management, Inc. (the "Sub-Advisor"). The Proxy Voting Policies and Procedures of the Advisor and Sub-Advisor (the "Proxy Voting Policies") are attached as an Exhibit 99.PROXYPOL hereto.

Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.


Item 9. Purchases of Equity Securities by Closed-End Management Companies and Affiliated Purchasers.
Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant’s Nominating Committee will consider nominees to the Board of Trustees recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations which include biographical information and sets forth the qualifications of the proposed nominee to the Registrant’s Secretary. There have been no material changes to these procedures.

Item 11. Controls and Procedures.
(a) The Registrant's principal executive officer and principal financial officer have evaluated the Registrant's disclosure controls and procedures within 90 days of this filing and have concluded, as of that date, that the Registrant’s disclosure controls and procedures were reasonably designed to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized, and reported within the required time periods and that information required to be disclosed by the Registrant in this Form N-CSR was accumulated and communicated to the Registrant’s management, including its principle executive and principle financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a -3(d)) that occurred during the Registrant's fourth fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Exhibits.

(a) (1) Code of Ethics attached as EX-99.CODE ETH.

(a) (2) Certifications of Principal Executive and Financial Officers pursuant to Rule 30a-2(a) under the 1940 Act attached as EX-99.CERT.

(b) Certification of Principal Executive and Financial Officers pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 furnished as EX-99.906CERT.

Proxy Voting Policies attached as EX-99.PROXYPOL.


SIGNATURES

          Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)           BlackRock Limited Duration Income Trust
 
   
By:   /s/ Henry Gabbay
 
Name: Henry Gabbay
Title:    Treasurer and Principal Financial Officer
Date:   January 9, 2006

          Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:   /s/ Robert S. Kapito  
 
Name: Robert S. Kapito
Title:    President and Principal Executive Officer
Date:   January 9, 2006
   
By:   /s/ Henry Gabbay
 
Name: Henry Gabbay
Title:    Treasurer and Principal Financial Officer
Date:   January 9, 2006