BLACKROCK CORE BOND TRUST

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust,


Common Stocks — 0.0%		Shares		Value
Oil, Gas & Consumable Fuels — 0.0%
Denbury Resources, Inc.			35,640	$	134,719



Asset-Backed Securities		Par (000)
Asset-Backed Securities — 12.6%
ALM VI Ltd., Series 2012-6A, Class B2R, 3.68%, 7/15/26 (a)(b)	USD		1,000		997,010
Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class D, 4.95%, 1/15/29 (a)(b)(c)			650		628,940
Apidos CDO, Series 2012-9AR, Class DR, 4.78%, 7/15/23 (a)(b)			1,400		1,388,934
Apidos CLO XIX, Series 2014-19A, Class D, 4.63%, 10/17/26 (a)(b)			1,000		991,375
Ares CLO Ltd., Series 2014-32A, Class C, 5.11%, 11/15/25 (a)(b)			1,250		1,250,478
Ares XXIII CLO Ltd., Series 2012-1AR (a)(b):
Class CR, 4.08%, 4/19/23			4,000		4,069,868
Class DR, 5.03%, 4/19/23			3,000		3,019,029
Ares XXVIII CLO Ltd., Series 2013-3A, Class D, 4.38%, 10/17/24 (a)(b)			1,000		975,228
Atlas Senior Loan Fund Ltd., Series 2016-7A, Class D, 4.95%, 11/30/28 (a)(b)			1,250		1,200,875
Atrium CDO Corp., Series 9A, Class D, 4.44%, 2/28/24 (a)(b)			1,500		1,482,136
Babson CLO Ltd., Series 2012-1X, Class B, 3.38%, 4/15/22 (a)			1,000		1,004,562
Battalion CLO VII Ltd., Series 2014-7A, Class C, 4.78%, 10/17/26 (a)(b)			1,000		922,728
Bowman Park CLO Ltd., Series 2014-1A, Class D2, 4.87%, 11/23/25 (a)(b)			3,000		2,884,183
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25			2,210		2,272,873
CIFC Funding Ltd. (a)(b):
Series 2012-1AR, Class B1R, 4.46%, 8/14/24			1,500		1,500,255
Series 2012-3A, Class B1R, 4.88%, 1/29/25 (a)(b)			2,500		2,500,000
Series 2013-IA, Class B, 3.69%, 4/16/25			1,000		1,000,163
Series 2014-4A, Class D, 4.28%, 10/17/26			2,000		1,901,306
Series 2015-1A, Class C, 3.88%, 1/22/27			1,000		999,902


Asset-Backed Securities		Par (000)		Value
Asset-Backed Securities (continued)
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.68%, 1/25/37 (a)	USD		298	$	288,574
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (b)			3,895		3,864,961
Dryden 34 Senior Loan Fund, Series 2014-34A, Class C, 3.68%, 10/15/26 (a)(b)			1,000		999,912
Flatiron CLO Ltd., Series 2011-1A, Class D, 4.48%, 1/15/23 (a)(b)			1,000		1,000,021
Ford Credit Floorplan Master Owner Trust, Series 2012-2:
Class B, 2.32%, 1/15/19			490		490,503
Class C, 2.86%, 1/15/19			210		210,344
Class D, 3.50%, 1/15/19			400		400,940
Galaxy XV CLO Ltd. (a)(b):
Series 2012-14A, Class DR, 5.38%, 11/15/26			1,000		1,000,000
Series 2013-15A, Class C, 3.48%, 4/15/25			1,000		999,915
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, 4.39%, 10/29/26			1,000		977,773
Highbridge Loan Management Ltd., Series 5A-2015, Class C1, 4.09%, 1/29/26 (a)(b)			4,000		3,999,913
Limerock CLO III LLC, Series 2014-3A, Class C, 4.48%, 10/20/26 (a)(b)			3,750		3,581,387
Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.76%, 8/15/22 (a)(b)			1,200		1,193,237
Madison Park Funding XV Ltd., Series 2014-15A, Class B1, 4.14%, 1/27/26 (a)(b)			1,800		1,800,747
Nelnet Student Loan Trust, Series 2006-1, Class A5, 1.03%, 8/23/27 (a)			858		852,078
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR, 5.13%, 11/14/27 (a)(b)			2,250		2,250,000
Oaktree EIF II Ltd., Series 2015-B1A, Class C, 4.01%, 2/15/26 (a)(b)			1,000		1,000,138
OCP CLO Ltd., Series 2012-2A, Class DR, 5.35%, 11/22/25 (a)(b)			1,000		989,000
Octagon Investment Partners XX Ltd., Series 2014-1A (a)(b):
Class C, 3.70%, 8/12/26			750		750,379
Class D, 4.55%, 8/12/26			1,000		964,712
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.55%, 11/14/26 (a)(b)			2,000		1,944,385


Asset-Backed Securities		Par (000)		Value
Asset-Backed Securities (continued)
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class C1, 4.13%, 11/25/25 (a)(b)	USD		2,000	$	2,000,753
OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 7/18/25 (b)			5,000		4,925,562
OZLM Funding III Ltd., Series 2013-3A (a)(b):
Class B, 3.98%, 1/22/25			1,500		1,500,000
Class C, 4.78%, 1/22/25			500		500,000
OZLM VII Ltd., Series 2014-7A, Class C, 4.48%, 7/17/26 (a)(b)			470		451,728
OZLM VIII Ltd., Series 2014-8A, Class C, 4.38%, 10/17/26 (a)(b)			1,750		1,688,750
Regatta V Funding Ltd., Series 2014-1A, Class C, 4.33%, 10/25/26 (a)(b)			2,000		1,899,073
Shackleton I CLO Ltd., Series 2012-1A, Class DR, 5.08%, 8/12/23 (a)(b)			1,200		1,200,000
SLM Private Credit Student Loan Trust, Series 2004-B, Class A2, 1.05%, 6/15/21 (a)			35		35,171
SLM Private Education Loan Trust (b):
Series 2012-A, Class A1, 1.94%, 8/15/25 (a)			45		44,818
Series 2012-A, Class A2, 3.83%, 1/17/45			690		710,916
Series 2014-A, Class B, 3.50%, 11/15/44			500		481,879
SMB Private Education Loan Trust, Series 2015-C, Class C, 4.50%, 9/17/46 (b)			5,900		5,656,895
Sound Point CLO IV Ltd., Series 2013-3A, Class D, 4.38%, 1/21/26 (a)(b)			700		676,654
Sound Point CLO VII Ltd., Series 2014-3A, Class D, 4.48%, 1/23/27 (a)(b)			1,250		1,206,250
Sound Point CLO XIV Ltd., Series 2016-3A, Class D, 4.73%, 1/23/29 (a)(b)			1,550		1,508,305
Steele Creek CLO Ltd., Series 2014-1A, Class C, 4.11%, 8/21/26 (a)(b)			2,500		2,500,000
Stewart Park CLO Ltd., Series 2015-1A, Class D, 4.33%, 4/15/26 (a)(b)			1,000		957,270
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32			753		750,245


Asset-Backed Securities		Par (000)		Value
Asset-Backed Securities (continued)
Venture XIX CLO Ltd., Series 2014-19A, Class C, 4.18%, 1/15/27 (a)(b)	USD		555	$	555,000
Voya CLO Ltd. (a)(b):
Series 2012-2AR, Class CR, 3.83%, 10/15/22			1,500		1,500,750
Series 2016-3A, Class C, 4.67%, 10/18/27			795		779,100
Series 2016-3A, Class D, 7.67%, 10/18/27			615		584,250
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22			2,360		2,402,569
York CLO Ltd., Series 2016-4A, Class D, 5.20%, 11/02/28 (a)(c)			1,500		1,427,250

					96,491,952
Interest Only Asset-Backed Securities — 0.1%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)			3,281		227,626
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b)			7,759		528,559

					756,185
Total Asset-Backed Securities — 12.7%					97,248,137


Corporate Bonds
Aerospace & Defense — 1.1%
Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (b)			520		406,900
Bombardier, Inc. (b):
7.50%, 3/15/18			12		12,888
5.50%, 9/15/18			475		507,395
8.75%, 12/01/21			160		158,800
6.00%, 10/15/22			84		73,710
6.13%, 1/15/23			218		188,025
7.50%, 3/15/25			346		307,559
Eaton Corp., 4.15%, 11/02/42			500		482,590
Harris Corp., 3.83%, 4/27/25			500		506,551
KLX, Inc., 5.88%, 12/01/22 (b)			361		369,123
Lockheed Martin Corp., 4.70%, 5/15/46			1,250		1,349,881
Moog, Inc., 5.25%, 12/01/22 (b)			180		183,150
TransDigm, Inc.:
5.50%, 10/15/20			211		216,539
6.00%, 7/15/22			950		978,500
6.50%, 7/15/24			198		205,178
6.38%, 6/15/26 (b)			304		309,320


Corporate Bonds		Par (000)		Value
Aerospace & Defense (continued)
United Technologies Corp., 6.13%, 7/15/38	USD		1,450	$	1,822,867

					8,078,976
Air Freight & Logistics — 0.3%
FedEx Corp., 4.75%, 11/15/45			1,250		1,277,180
XPO Logistics, Inc.:
5.75%, 6/15/21	EUR		100		110,896
6.50%, 6/15/22 (b)	USD		535		554,394
6.13%, 9/01/23 (b)			163		166,667

					2,109,137
Airlines — 2.1%
Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 9/15/24 (b)			1,863		1,802,694
American Airlines Pass-Through Trust:
Series 2013-2, Class A, 4.95%, 7/15/24 (d)			3,765		4,032,856
Series 2015-2, Class A, 4.00%, 3/22/29			1,465		1,508,463
Series 2015-2, Class AA, 3.60%, 3/22/29			1,465		1,468,181
Continental Airlines Pass-Through Trust:
Series 2010-1, Class B, 6.00%, 7/12/20			498		510,267
Series 2012-3, Class C, 6.13%, 4/29/18			520		539,500
United Airlines Pass-Through Trust:
Series 2013-1, Class A, 4.30%, 2/15/27			3,609		3,793,386
Series 2014-2, Class B, 4.63%, 3/03/24			2,487		2,539,465

					16,194,812
Auto Components — 0.3%
Allison Transmission, Inc., 5.00%, 10/01/24 (b)			199		200,492
CNH Industrial Finance Europe SA, 2.88%, 5/17/23	EUR		175		187,644
Delphi Automotive PLC, 4.40%, 10/01/46	USD		465		427,385
Faurecia, 3.63%, 6/15/23	EUR		100		107,835
Fiat Chrysler Finance Europe:
4.75%, 3/22/21			100		114,803
4.75%, 7/15/22			100		114,066
FTE Verwaltungs GmbH, 9.00%, 7/15/20			100		110,915
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19	USD		462		465,465


Corporate Bonds		Par (000)		Value
Auto Components (continued)
IHO Verwaltungs GmbH (e):
(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21	EUR		100	$	107,282
(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23			100		105,635
(4.13% Cash or 4.88% PIK), 4.13%, 9/15/21	USD		200		202,000
(4.50% Cash or 5.25% PIK), 4.50%, 9/15/23			200		191,694

					2,335,216
Automobiles — 0.9%
Ford Motor Co., 4.75%, 1/15/43 (d)			4,255		3,979,498
General Motors Co., 6.25%, 10/02/43			2,506		2,697,819

					6,677,317
Banks — 1.7%
Allied Irish Banks PLC, 4.13%, 11/26/25 (a)	EUR		100		103,600
Bankia SA, 4.00%, 5/22/24 (a)			200		210,164
Barclays PLC, 3.65%, 3/16/25	USD		4,320		4,118,403
CIT Group, Inc.:
5.50%, 2/15/19 (b)			206		217,459
5.38%, 5/15/20			410		433,575
Commerzbank AG:
7.75%, 3/16/21	EUR		100		124,551
4.00%, 3/23/26			28		29,232
Cooperatieve Rabobank UA, 3.95%, 11/09/22	USD		1,500		1,535,196
HSBC Holdings PLC, 6.10%, 1/14/42			610		758,956
Santander Holdings USA, Inc., 4.50%, 7/17/25			2,000		1,962,412
Santander UK Group Holdings PLC, 2.88%, 8/05/21			1,250		1,220,535
Wells Fargo & Co., 3.90%, 5/01/45			2,250		2,115,072

					12,829,155
Beverages — 0.6%
Anheuser-Busch InBev Finance, Inc., 4.90%, 2/01/46 (d)			4,250		4,547,134
Biotechnology — 0.4%
Amgen, Inc., 4.40%, 5/01/45			2,250		2,148,406
Gilead Sciences, Inc., 4.80%, 4/01/44			1,000		1,030,073
Senvion Holding GmbH, 6.63%, 11/15/20	EUR		100		110,773

					3,289,252
Building Materials — 0.0%
Dry Mix Solutions Investissements SAS, 3.95%, 6/15/21 (a)			100		105,985


Corporate Bonds		Par (000)		Value
Building Materials (continued)
Titan Global Finance PLC, 3.50%, 6/17/21	EUR		100	$	109,599

					215,584
Building Products — 0.4%
American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23 (b)	USD		293		300,325
Builders FirstSource, Inc., 5.63%, 9/01/24 (b)			54		54,270
Building Materials Corp. of America (b):
5.38%, 11/15/24			65		66,138
6.00%, 10/15/25			380		395,200
CPG Merger Sub LLC, 8.00%, 10/01/21 (b)			520		535,600
Louisiana-Pacific Corp., 4.88%, 9/15/24 (b)			61		59,246
Masonite International Corp., 5.63%, 3/15/23 (b)			200		203,500
Ply Gem Industries, Inc., 6.50%, 2/01/22			431		443,930
Standard Industries, Inc. (b):
5.13%, 2/15/21			29		30,160
5.50%, 2/15/23			138		141,795
USG Corp.:
8.75%, 1/15/18			300		316,500
5.88%, 11/01/21 (b)			50		52,203
5.50%, 3/01/25 (b)			180		184,743

					2,783,610
Capital Markets — 2.3%
CDP Financial, Inc., 5.60%, 11/25/39 (b)(d)			5,890		7,287,756
E*Trade Financial Corp., 4.63%, 9/15/23			149		151,315
Goldman Sachs Group, Inc., 3.75%, 5/22/25 (d)			8,965		9,025,433
Morgan Stanley, 4.00%, 7/23/25			905		927,140

					17,391,644
Chemicals — 0.7%
Air Liquide Finance SA, 3.50%, 9/27/46 (b)			360		327,290
Axalta Coating Systems LLC, 4.88%, 8/15/24 (b)			161		160,195
CF Industries, Inc.:
7.13%, 5/01/20			80		86,400
4.95%, 6/01/43			245		194,162
Chemours Co.:
6.63%, 5/15/23			127		125,412
7.00%, 5/15/25			44		43,340


Corporate Bonds		Par (000)		Value
Chemicals (continued)
Huntsman International LLC, 4.88%, 11/15/20	USD		101	$	103,778
Ineos Finance PLC, 4.00%, 5/01/23	EUR		100		108,105
INEOS Group Holdings SA, 5.63%, 8/01/24 (b)	USD		200		195,460
Inovyn Finance PLC, 6.25%, 5/15/21	EUR		100		111,284
Methanex Corp., 3.25%, 12/15/19	USD		1,650		1,613,071
Momentive Performance Materials, Inc., 3.88%, 10/24/21			670		626,450
NOVA Chemicals Corp., 5.25%, 8/01/23 (b)			88		88,242
Platform Specialty Products Corp. (b):
10.38%, 5/01/21			37		40,423
6.50%, 2/01/22			934		919,990
PQ Corp., 6.75%, 11/15/22 (b)			214		226,305
PSPC Escrow Corp., 6.00%, 2/01/23	EUR		100		102,969
Versum Materials, Inc., 5.50%, 9/30/24 (b)	USD		106		108,120
WR Grace & Co-Conn (b):
5.13%, 10/01/21			97		101,850
5.63%, 10/01/24			80		84,800

					5,367,646
Commercial Services & Supplies — 0.7%
ADS Waste Holdings, Inc., 8.25%, 10/01/20			166		172,848
ADT Corp.:
3.50%, 7/15/22			237		223,372
4.13%, 6/15/23			55		52,388
4.88%, 7/15/32 (b)			74		61,420
Advanced Disposal Services, Inc., 5.63%, 11/15/24 (b)			151		149,490
Aviation Capital Group Corp. (b):
4.63%, 1/31/18			1,300		1,335,061
7.13%, 10/15/20			1,800		2,094,642
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)			439		442,292
Iron Mountain, Inc.:
6.00%, 10/01/20 (b)			175		184,188
6.00%, 8/15/23			80		84,800
Mobile Mini, Inc., 5.88%, 7/01/24			299		309,465
Silk Bidco AS, 7.50%, 2/01/22	EUR		100		109,694


Corporate Bonds		Par (000)		Value
Commercial Services & Supplies (continued)
United Rentals North America, Inc.:
7.63%, 4/15/22	USD		31	$	32,783
5.75%, 11/15/24			140		144,900

					5,397,343
Communications Equipment — 0.4%
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29			975		1,021,312
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (b)			340		354,450
CommScope, Inc., 5.00%, 6/15/21 (b)			250		253,125
Nokia OYJ, 6.63%, 5/15/39			135		139,725
Zayo Group LLC/Zayo Capital, Inc.:
6.00%, 4/01/23			834		869,445
6.38%, 5/15/25			258		268,320

					2,906,377
Construction & Engineering — 0.6%
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b)			382		366,720
Engility Corp., 8.88%, 9/01/24 (b)			176		180,840
ITR Concession Co. LLC, 4.20%, 7/15/25 (b)			4,000		3,978,092

					4,525,652
Construction Materials — 0.3%
American Tire Distributors, Inc., 10.25%, 3/01/22 (b)			164		152,930
Beacon Roofing Supply, Inc., 6.38%, 10/01/23			313		332,563
HD Supply, Inc. (b):
5.25%, 12/15/21			790		833,450
5.75%, 4/15/24			667		682,007
LKQ Italia Bondco SpA, 3.88%, 4/01/24	EUR		157		172,636
PulteGroup, Inc.:
5.50%, 3/01/26	USD		133		131,836
6.00%, 2/15/35			27		25,988
Rexel SA, 3.50%, 6/15/23	EUR		100		107,972

					2,439,382
Consumer Finance — 2.0%
Ally Financial, Inc.:
6.25%, 12/01/17	USD		320		331,600
4.63%, 3/30/25			190		184,300
8.00%, 11/01/31			2,043		2,318,805
Capital One Financial Corp., 4.75%, 7/15/21 (d)			1,935		2,100,634
Corivas Campus Living USG LLC, 5.30%, 7/01/50			5,700		5,658,960
Ford Motor Credit Co. LLC:
8.13%, 1/15/20			1,530		1,767,213


Corporate Bonds		Par (000)		Value
Consumer Finance (continued)
Ford Motor Credit Co. LLC (continued):
4.25%, 9/20/22	USD		1,600	$	1,655,261
Navient Corp.:
5.00%, 10/26/20			180		182,025
6.63%, 7/26/21			104		108,550
5.50%, 1/25/23			75		71,250
7.25%, 9/25/23			173		175,162
6.13%, 3/25/24			59		55,829
5.88%, 10/25/24			56		51,800
5.63%, 8/01/33			101		81,810
OneMain Financial Holdings LLC (b):
6.75%, 12/15/19			101		102,767
7.25%, 12/15/21			78		78,195

					14,924,161
Containers & Packaging — 0.8%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
6.75%, 1/31/21 (b)			200		203,750
4.25%, 1/15/22	EUR		100		108,694
6.75%, 5/15/24			100		110,622
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. (b):
4.63%, 5/15/23	USD		271		267,443
7.25%, 5/15/24			1,475		1,541,375
Ball Corp., 5.00%, 3/15/22			271		285,228
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23			175		177,188
Crown European Holdings SA, 3.38%, 5/15/25	EUR		100		105,540
JH-Holding Finance SA, 8.25%, 12/01/22 (e)			100		113,807
Reynolds Group Issuer, Inc.:
5.75%, 10/15/20	USD		194		199,578
6.88%, 2/15/21			305		313,762
8.25%, 2/15/21			104		107,419
4.38%, 7/15/21 (a)(b)			438		447,307
5.13%, 7/15/23 (b)			363		366,630
7.00%, 7/15/24 (b)			418		441,251
Sappi Papier Holding GmbH, 4.00%, 4/01/23	EUR		100		110,092
Sealed Air Corp. (b):
4.88%, 12/01/22	USD		535		547,037
6.88%, 7/15/33			16		16,480
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (b)			278		280,085


Corporate Bonds		Par (000)		Value
Containers & Packaging (continued)
Verallia Packaging SASU, 5.13%, 8/01/22	EUR		100	$	110,489

					5,853,777
Diversified Consumer Services — 0.2%
APX Group, Inc.:
6.38%, 12/01/19	USD		56		57,400
8.75%, 12/01/20			75		73,500
7.88%, 12/01/22			86		91,805
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (b)			681		732,075
Service Corp. International, 4.50%, 11/15/20			410		418,302

					1,373,082
Diversified Financial Services — 3.7%
AerCap Ireland Capital Ltd / AerCap Global Aviation Trust, 3.95%, 2/01/22			750		759,375
Aircastle Ltd., 6.25%, 12/01/19			353		381,240
Bank of America Corp.:
5.63%, 7/01/20			2,200		2,423,810
3.30%, 1/11/23 (d)			6,000		6,002,238
Deutsche Bank AG, 4.25%, 10/14/21 (b)			1,100		1,083,232
FBM Finance, Inc., 8.25%, 8/15/21 (b)			80		82,800
FMR LLC, 4.95%, 2/01/33 (b)(d)			2,300		2,380,424
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22	GBP		100		128,561
General Electric Capital Corp., 6.15%, 8/07/37 (d)	USD		2,150		2,741,134
General Motors Financial Co., Inc., 4.25%, 5/15/23			807		809,901
IntercontinentalExchange Group, Inc., 4.00%, 10/15/23			470		493,678
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)			595		581,613
Mercury Bondco PLC, (8.25% Cash, 9.00% PIK), 8.25%, 5/30/21 (e)	EUR		100		109,429
Moody’s Corp., 4.50%, 9/01/22 (d)	USD		1,800		1,927,732
Northern Trust Corp., 3.95%, 10/30/25 (d)			8,000		8,411,096
UniCredit SpA:
6.95%, 10/31/22	EUR		140		163,113
5.75%, 10/28/25 (a)			107		116,468

					28,595,844


Corporate Bonds		Par (000)		Value
Diversified Telecommunication Services — 3.5%
AT&T, Inc. (d):
6.38%, 3/01/41	USD		520	$	597,398
5.15%, 3/15/42			2,400		2,373,730
4.75%, 5/15/46			2,710		2,531,189
CenturyLink, Inc.:
6.45%, 6/15/21			347		358,061
Series U, 7.65%, 3/15/42			99		83,804
Series Y, 7.50%, 4/01/24			108		111,498
Cincinnati Bell, Inc., 7.00%, 7/15/24 (b)			368		384,560
Consolidated Communications, Inc., 6.50%, 10/01/22			68		65,960
Frontier Communications Corp.:
7.13%, 3/15/19			115		119,312
7.13%, 1/15/23			50		43,375
7.63%, 4/15/24			205		176,812
6.88%, 1/15/25			915		741,150
11.00%, 9/15/25			250		250,625
Level 3 Financing, Inc.:
5.38%, 8/15/22			165		167,887
5.63%, 2/01/23			149		151,235
5.13%, 5/01/23			240		239,700
5.38%, 1/15/24			165		165,825
5.38%, 5/01/25			140		139,300
5.25%, 3/15/26 (b)			223		219,097
OTE PLC, 3.50%, 7/09/20	EUR		100		107,772
SBA Communications Corp., 4.88%, 9/01/24 (b)	USD		388		373,935
Telecom Italia Capital SA:
6.38%, 11/15/33			95		90,725
6.00%, 9/30/34			300		280,500
7.20%, 7/18/36			105		104,969
Telecom Italia SpA:
3.25%, 1/16/23	EUR		141		152,003
3.63%, 1/19/24			200		217,217
Verizon Communications, Inc.:
6.40%, 2/15/38	USD		6,879		8,189,236
6.55%, 9/15/43 (d)			6,751		8,414,500
Windstream Corp., 7.75%, 10/01/21			17		16,915
Windstream Services LLC, 7.50%, 6/01/22			53		50,069

					26,918,359
Electric Utilities — 5.8%
AES Corp., 4.88%, 5/15/23			210		203,700
Berkshire Hathaway Energy Co., 6.50%, 9/15/37 (d)			5,515		7,063,904
Black Hills Corp., 3.15%, 1/15/27			405		389,753
Cleveland Electric Illuminating Co., 5.95%, 12/15/36			434		480,551
CMS Energy Corp., 5.05%, 3/15/22 (d)			1,832		2,014,907


Corporate Bonds		Par (000)		Value
Electric Utilities (continued)
Duke Energy Carolinas LLC:
6.10%, 6/01/37	USD		640	$	788,607
6.00%, 1/15/38 (d)			1,675		2,084,432
4.25%, 12/15/41 (d)			750		762,289
Duke Energy Florida LLC, 6.40%, 6/15/38 (d)			770		1,003,766
E.ON International Finance BV, 6.65%, 4/30/38 (b)			3,100		3,636,306
Electricite de France SA, 5.60%, 1/27/40 (b)(d)			2,800		3,025,179
Florida Power Corp., 6.35%, 9/15/37 (d)			2,775		3,592,770
Jersey Central Power & Light Co., 7.35%, 2/01/19			490		538,680
Ohio Power Co., Series D, 6.60%, 3/01/33 (d)			3,000		3,662,493
PacifiCorp, 6.25%, 10/15/37 (d)			1,225		1,587,693
Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (d)			2,550		3,272,795
Southern California Edison Co.:
5.63%, 2/01/36			1,300		1,551,701
Series A, 5.95%, 2/01/38			2,175		2,765,212
Southern Co., 4.40%, 7/01/46			1,000		980,576
Virginia Electric & Power Co., Series A, 6.00%, 5/15/37			3,920		4,858,977

					44,264,291
Electrical Equipment — 0.0%
Anixter, Inc., 5.63%, 5/01/19			35		36,663
Areva SA, 4.88%, 9/23/24	EUR		50		52,860
Trionista TopCo GmbH, 6.88%, 4/30/21			110		122,704

					212,227
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC/CDW Finance Corp.:
6.00%, 8/15/22	USD		370		392,200
5.00%, 9/01/23			519		521,595
5.50%, 12/01/24			68		69,700

					983,495
Energy Equipment & Services — 0.5%
Ensco PLC, 4.50%, 10/01/24			74		59,200
Enterprise Products Operating LLC, 6.13%, 10/15/39 (d)			1,400		1,555,568
Gates Global LLC/Gates Global Co., 6.00%, 7/15/22 (b)			284		271,220
Genesis Energy LP/Genesis Energy Finance Corp.:
5.75%, 2/15/21			142		142,710
6.75%, 8/01/22			170		173,825
GrafTech International Ltd., 6.38%, 11/15/20			600		474,000


Corporate Bonds		Par (000)		Value
Energy Equipment & Services (continued)
Halliburton Co., 5.00%, 11/15/45	USD		500	$	510,040
Noble Holding International Ltd., 4.63%, 3/01/21			20		15,900
Transocean, Inc.:
6.00%, 3/15/18			120		120,750
7.38%, 4/15/18			20		20,400
5.55%, 10/15/22			444		391,830
9.00%, 7/15/23 (b)			139		140,738
Weatherford International Ltd., 9.88%, 2/15/24 (b)			76		78,280

					3,954,461
Environmental, Maintenance, & Security Service — 0.0%
Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18	EUR		100		108,406
Food & Staples Retailing — 0.9%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC (b):
6.63%, 6/15/24	USD		151		156,074
5.75%, 3/15/25			207		203,129
Casino Guichard Perrachon SA:
5.98%, 5/26/21	EUR		100		122,418
3.31%, 1/25/23			100		114,762
CVS Health Corp., 5.13%, 7/20/45	USD		2,000		2,194,180
Dollar Tree, Inc., 5.75%, 3/01/23			1,560		1,665,300
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24			42		44,205
Rite Aid Corp.:
6.75%, 6/15/21			258		271,949
6.13%, 4/01/23 (b)			864		923,530
7.70%, 2/15/27			241		297,635
Walgreens Boots Alliance, Inc., 4.80%, 11/18/44			1,000		1,001,287

					6,994,469
Food Products — 0.3%
Acosta, Inc., 7.75%, 10/01/22 (b)			318		263,145
Aramark Services, Inc.:
5.13%, 1/15/24 (b)			17		17,453
5.13%, 1/15/24			131		134,494
4.75%, 6/01/26 (b)			151		146,281
Darling Global Finance BV, 4.75%, 5/30/22	EUR		100		110,489
JBS USA LLC/JBS USA Finance, Inc. (b):
7.25%, 6/01/21	USD		30		30,900
5.88%, 7/15/24			92		91,540
5.75%, 6/15/25			316		309,680
Post Holdings, Inc. (b):
6.75%, 12/01/21			68		72,522
7.75%, 3/15/24			468		515,970


Corporate Bonds		Par (000)		Value
Food Products (continued)
Post Holdings, Inc. (b) (continued):
8.00%, 7/15/25	USD		277	$	311,016
5.00%, 8/15/26			27		25,549
Smithfield Foods, Inc., 5.88%, 8/01/21 (b)			338		351,097
TreeHouse Foods, Inc., 6.00%, 2/15/24 (b)			89		92,338
WhiteWave Foods Co., 5.38%, 10/01/22			119		131,198

					2,603,672
Health Care Equipment & Supplies — 0.3%
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (b)			405		338,175
DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b)			785		684,912
Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24 (b)			80		80,000
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%, 10/15/23 (b)			111		100,455
Medtronic, Inc., 4.50%, 3/15/42			750		766,517
Teleflex, Inc.:
3.88%, 8/01/17 (f)			50		120,250
5.25%, 6/15/24			170		172,338
4.88%, 6/01/26			39		38,610

					2,301,257
Health Care Providers & Services — 1.5%
Acadia Healthcare Co., Inc.:
5.63%, 2/15/23			226		222,610
6.50%, 3/01/24			41		40,795
Aetna, Inc.:
3.20%, 6/15/26			1,005		983,448
4.50%, 5/15/42			575		574,458
Alere, Inc., 6.38%, 7/01/23 (b)			150		151,313
Amsurg Corp., 5.63%, 7/15/22			553		564,751
Centene Corp.:
5.63%, 2/15/21			401		413,030
4.75%, 5/15/22			10		9,850
6.13%, 2/15/24			51		51,821
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18			101		98,475
8.00%, 11/15/19			48		37,800
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24			366		361,425
Envision Healthcare Corp., 5.13%, 7/01/22 (b)			365		359,525
HCA, Inc.:
3.75%, 3/15/19			264		269,940


Corporate Bonds		Par (000)		Value
Health Care Providers & Services (continued)
HCA, Inc. (continued):
6.50%, 2/15/20	USD		652	$	709,865
4.75%, 5/01/23			562		566,215
5.00%, 3/15/24			225		225,562
5.38%, 2/01/25			772		755,595
5.25%, 4/15/25			66		66,495
5.88%, 2/15/26			284		282,935
5.25%, 6/15/26			361		361,390
4.50%, 2/15/27			408		384,540
HealthSouth Corp.:
5.75%, 11/01/24			366		366,915
5.75%, 9/15/25			141		140,648
2.00%, 12/01/43 (f)			225		267,328
Hologic, Inc., 5.25%, 7/15/22 (b)			360		373,500
MEDNAX, Inc., 5.25%, 12/01/23 (b)			134		136,010
MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (b)			478		502,497
New Amethyst Corp., 6.25%, 12/01/24 (b)(c)			74		76,590
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (b)			207		206,224
Surgery Center Holdings, Inc., 8.88%, 4/15/21 (b)			48		50,160
Tenet Healthcare Corp.:
6.25%, 11/01/18			159		165,757
6.00%, 10/01/20			324		330,075
4.50%, 4/01/21			21		20,370
4.38%, 10/01/21			112		106,680
7.50%, 1/01/22 (b)(c)			93		95,616
8.13%, 4/01/22			472		431,880
6.75%, 6/15/23			501		428,355

					11,190,443
Hotels, Restaurants & Leisure — 2.5%
Boyd Gaming Corp., 6.88%, 5/15/23			172		182,750
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20			1,346		1,406,570
CPUK Finance Ltd., 7.00%, 2/28/42	GBP		100		132,058
ESH Hospitality, Inc., 5.25%, 5/01/25 (b)	USD		258		249,615
International Game Technology PLC, 4.75%, 2/15/23	EUR		100		112,779
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC (b):
5.00%, 6/01/24	USD		29		29,290
5.25%, 6/01/26			98		98,980


Corporate Bonds		Par (000)		Value
Hotels, Restaurants & Leisure (continued)
McDonald’s Corp., 3.70%, 1/30/26	USD		510	$	517,616
MGM Resorts International:
8.63%, 2/01/19			96		106,560
5.25%, 3/31/20			320		335,800
6.75%, 10/01/20			78		85,410
6.63%, 12/15/21			710		775,675
7.75%, 3/15/22			20		22,850
4.63%, 9/01/26			154		146,685
MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc., 5.63%, 5/01/24 (b)			906		949,035
New Red Finance, Inc., 6.00%, 4/01/22 (b)			640		667,200
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20	EUR		100		109,756
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/21	USD		230		233,450
Sabre GLBL, Inc. (b):
5.38%, 4/15/23			82		83,025
5.25%, 11/15/23			185		187,313
Scientific Games International, Inc.:
7.00%, 1/01/22 (b)			97		102,335
10.00%, 12/01/22			315		295,313
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)			434		447,345
Station Casinos LLC, 7.50%, 3/01/21			570		597,075
Unique Pub Finance Co. PLC:
Series A3, 6.54%, 3/30/21	GBP		2,494		3,352,568
Series A4, 5.66%, 6/30/27			1,105		1,450,226
Series M, 7.40%, 3/28/24			3,000		3,831,925
Series N, 6.46%, 3/30/32			2,390		2,572,921
Vue International Bidco PLC, 7.88%, 7/15/20			100		130,100
Yum! Brands, Inc., 3.88%, 11/01/23	USD		66		63,030

					19,275,255
Household Durables — 0.4%
CalAtlantic Group, Inc.:
8.38%, 1/15/21			53		61,613
5.38%, 10/01/22			2		2,040
5.25%, 6/01/26			5		4,850
Century Communities, Inc., 6.88%, 5/15/22			460		465,750
Lennar Corp.:
4.75%, 11/15/22			320		325,600
4.88%, 12/15/23			85		83,725
4.75%, 5/30/25			180		172,350
Newell Brands, Inc., 4.20%, 4/01/26			1,000		1,042,639


Corporate Bonds		Par (000)		Value
Household Durables (continued)
PulteGroup, Inc., 6.38%, 5/15/33	USD		330	$	330,825
Riverbed Technology, Inc., 8.88%, 3/01/23 (b)			155		161,587
Standard Pacific Corp., 5.88%, 11/15/24			15		15,413
Tempur Sealy International, Inc., 5.50%, 6/15/26			31		30,845
TRI Pointe Group, Inc.:
4.38%, 6/15/19			10		10,150
4.88%, 7/01/21			125		127,187
5.88%, 6/15/24			125		126,719

					2,961,293
Household Products — 0.1%
Prestige Brands, Inc., 6.38%, 3/01/24 (b)			109		113,905
Spectrum Brands, Inc.:
6.63%, 11/15/22			355		376,300
6.13%, 12/15/24			112		118,720
5.75%, 7/15/25			5		5,188

					614,113
Independent Power and Renewable Electricity Producers — 0.3%
Calpine Corp.:
6.00%, 1/15/22 (b)			69		72,018
5.88%, 1/15/24 (b)			194		202,972
5.50%, 2/01/24			5		4,775
Dynegy, Inc.:
6.75%, 11/01/19			470		474,700
7.38%, 11/01/22			151		143,450
7.63%, 11/01/24			80		73,600
8.00%, 1/15/25 (b)			14		12,880
NRG Energy, Inc.:
7.88%, 5/15/21			32		33,200
6.63%, 3/15/23			25		24,875
6.25%, 5/01/24			25		24,188
7.25%, 5/15/26 (b)			138		134,895
6.63%, 1/15/27 (b)			384		355,200
NRG Yield Operating LLC, 5.38%, 8/15/24			75		74,438
QEP Resources, Inc., 5.38%, 10/01/22			459		446,377

					2,077,568
Industrial Conglomerates — 0.5%
Cortes NP Acquisition Corp., 9.25%, 10/15/24 (b)			206		207,674
General Electric Co.:
6.75%, 3/15/32 (d)			2,500		3,287,907
6.88%, 1/10/39			135		188,317


Corporate Bonds		Par (000)		Value
Industrial Conglomerates (continued)
Smiths Group PLC, 3.63%, 10/12/22 (b)	USD		360	$	358,307

					4,042,205
Insurance — 2.5%
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25			1,495		1,508,874
American International Group, Inc., 3.75%, 7/10/25 (d)			3,380		3,396,298
Aon PLC:
3.88%, 12/15/25			1,445		1,478,228
4.60%, 6/14/44			500		493,333
Assicurazioni Generali SpA, 7.75%, 12/12/42 (a)	EUR		100		121,900
AXA SA, 5.25%, 4/16/40 (a)			500		587,073
Five Corners Funding Trust, 4.42%, 11/15/23 (b)(d)	USD		2,050		2,155,602
Hartford Financial Services Group, Inc., 5.13%, 4/15/22			1,860		2,053,193
HUB International Ltd. (b):
9.25%, 2/15/21			117		120,510
7.88%, 10/01/21			426		435,052
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (b)(d)			2,000		2,364,632
Lincoln National Corp., 3.35%, 3/09/25			1,045		1,034,509
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (a)	EUR		400		497,642
Prudential Financial, Inc. (d):
5.90%, 3/17/36	USD		500		584,437
5.70%, 12/14/36			1,625		1,874,267
TMF Group Holding BV, 9.88%, 12/01/19	EUR		100		111,218
Wayne Merger Sub LLC, 8.25%, 8/01/23 (b)	USD		286		289,575

					19,106,343
Internet Software & Services — 0.1%
Equinix, Inc.:
4.88%, 4/01/20			173		177,325
5.88%, 1/15/26			350		363,128
Netflix, Inc.:
5.50%, 2/15/22			8		8,560
5.75%, 3/01/24			251		265,433
5.88%, 2/15/25			11		11,771
4.38%, 11/15/26 (b)			79		76,927

					903,144
IT Services — 0.5%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)			155		158,875


Corporate Bonds		Par (000)		Value
IT Services (continued)
Fidelity National Information Services, Inc., 4.50%, 8/15/46	USD		1,000	$	930,831
First Data Corp. (b):
7.00%, 12/01/23			1,068		1,118,068
5.75%, 1/15/24			1,464		1,482,300
Western Digital Corp., 10.50%, 4/01/24 (b)			72		83,340

					3,773,414
Life Sciences Tools & Services — 0.1%
Thermo Fisher Scientific, Inc., 5.30%, 2/01/44			1,000		1,108,563
Machinery — 0.1%
Gardner Denver, Inc., 6.88%, 8/15/21 (b)			90		88,650
SPX FLOW, Inc. (b):
5.63%, 8/15/24			195		191,587
5.88%, 8/15/26			105		102,638
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22	EUR		100		112,042

					494,917
Marine — 0.3%
Nakilat, Inc., Series A, 6.07%, 12/31/33 (b)	USD		2,150		2,451,000
Media — 6.1%
21st Century Fox America, Inc., 7.63%, 11/30/28			385		495,569
Adria Bidco BV, 7.88%, 11/15/20	EUR		100		110,277
Altice Financing SA:
5.25%, 2/15/23			100		110,648
7.50%, 5/15/26 (b)	USD		200		202,750
Altice Luxembourg SA (b):
7.75%, 5/15/22			200		209,500
7.63%, 2/15/25			289		296,225
Altice US Finance I Corp. (b):
5.38%, 7/15/23			770		778,662
5.50%, 5/15/26			293		290,070
AMC Networks, Inc.:
4.75%, 12/15/22			111		111,139
5.00%, 4/01/24			191		191,478
Cablevision Systems Corp.:
8.63%, 9/15/17			76		79,040
7.75%, 4/15/18			311		326,939
8.00%, 4/15/20			325		349,375
CBS Radio, Inc., 7.25%, 11/01/24 (b)			149		156,542
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.25%, 9/30/22			280		290,500
5.13%, 5/01/23 (b)			359		367,751


Corporate Bonds		Par (000)		Value
Media (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. (continued):
5.88%, 4/01/24 (b)	USD		103	$	109,051
5.75%, 2/15/26 (b)			197		202,418
5.50%, 5/01/26 (b)			278		280,780
5.88%, 5/01/27 (b)			770		785,400
Cellnex Telecom SA, 2.38%, 1/16/24	EUR		100		103,421
Cequel Communications Holdings I LLC/Cequel Capital Corp. (b):
6.38%, 9/15/20	USD		100		102,000
5.13%, 12/15/21			464		457,559
7.75%, 7/15/25			960		1,027,200
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25 (b)			4,000		4,175,400
Clear Channel International BV, 8.75%, 12/15/20 (b)			284		296,780
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22			2,307		2,291,910
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (d)			2,600		3,522,033
Comcast Corp.:
6.45%, 3/15/37			790		1,010,390
4.60%, 8/15/45			2,000		2,073,816
Cox Communications, Inc. (b):
6.95%, 6/01/38			1,000		1,058,960
8.38%, 3/01/39 (d)			3,475		4,264,506
CSC Holdings LLC:
10.13%, 1/15/23 (b)			590		679,975
5.25%, 6/01/24			795		745,233
10.88%, 10/15/25 (b)			310		361,150
Discovery Communications LLC:
3.25%, 4/01/23			1,850		1,802,799
3.45%, 3/15/25			210		201,650
DISH DBS Corp.:
6.75%, 6/01/21			628		675,100
5.88%, 7/15/22			141		145,935
5.88%, 11/15/24			99		100,361
7.75%, 7/01/26			519		572,846
DISH Network Corp., 3.38%, 8/15/26 (b)(f)			175		195,563
eircom Finance DAC, 4.50%, 5/31/22	EUR		100		109,421
Hughes Satellite Systems Corp. (b):
5.25%, 8/01/26	USD		144		136,260
6.63%, 8/01/26			179		172,288
iHeartCommunications, Inc.:
9.00%, 12/15/19			185		145,688
9.00%, 3/01/21			9		6,638
10.63%, 3/15/23			961		713,542


Corporate Bonds		Par (000)		Value
Media (continued)
Intelsat Jackson Holdings SA:
7.25%, 4/01/19	USD		267	$	209,595
5.50%, 8/01/23			272		177,480
Interpublic Group of Cos., Inc., 3.75%, 2/15/23			2,000		2,024,424
LG Finance Co. Corp., 5.88%, 11/01/24 (b)			57		56,715
LGE HoldCo VI BV, 7.13%, 5/15/24	EUR		100		118,989
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 5/15/24 (b)	USD		61		60,085
MDC Partners, Inc., 6.50%, 5/01/24 (b)			251		215,546
Midcontinent Communications / Midcontinent Finance Corp. (b):
6.25%, 8/01/21			340		354,875
6.88%, 8/15/23			66		69,383
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)			117		118,170
National CineMedia LLC, 5.75%, 8/15/26			59		60,475
Nexstar Escrow Corp., 5.63%, 8/01/24 (b)			159		157,410
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (b)			515		525,300
Numericable Group SA, 5.38%, 5/15/22	EUR		106		116,782
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22	USD		55		57,063
5.63%, 2/15/24			160		164,400
SFR Group SA (b):
6.00%, 5/15/22			345		347,587
7.38%, 5/01/26			1,501		1,497,247
Sirius XM Radio, Inc. (b):
4.25%, 5/15/20			463		471,102
5.38%, 4/15/25			90		89,776
TCI Communications, Inc., 7.88%, 2/15/26 (d)			610		818,322
TEGNA, Inc. (b):
4.88%, 9/15/21			27		27,776
5.50%, 9/15/24			165		167,475
Telesat Canada/Telesat LLC, 8.88%, 11/15/24 (b)			115		117,444
Time Warner, Inc., 6.10%, 7/15/40			830		940,529
Tribune Media Co., 5.88%, 7/15/22			514		501,253


Corporate Bonds		Par (000)		Value
Media (continued)
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
4.00%, 1/15/25	EUR		100	$	107,675
3.50%, 1/15/27			100		101,746
Univision Communications, Inc. (b):
5.13%, 5/15/23	USD		951		916,526
5.13%, 2/15/25			390		369,525
UPCB Finance IV Ltd., 4.00%, 1/15/27	EUR		100		103,319
Virgin Media Finance PLC, 5.75%, 1/15/25 (b)	USD		515		509,850
Virgin Media Secured Finance PLC:
5.50%, 8/15/26 (b)			200		196,000
4.88%, 1/15/27	GBP		100		119,552
6.25%, 3/28/29			100		129,161
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)	USD		520		538,200
Wind Acquisition Finance SA:
7.00%, 4/23/21	EUR		120		131,315
7.38%, 4/23/21 (b)	USD		800		816,000
Ziggo Bond Finance BV, 5.88%, 1/15/25 (b)			260		255,450

					46,652,060
Metals & Mining — 1.6%
Alcoa, Inc.:
5.40%, 4/15/21			340		359,125
5.13%, 10/01/24			445		453,900
5.90%, 2/01/27			70		71,050
Anglo American Capital PLC:
4.45%, 9/27/20 (b)			100		102,250
4.13%, 4/15/21 (b)			200		200,500
4.13%, 9/27/22 (b)			200		200,500
3.25%, 4/03/23	EUR		100		108,655
ArcelorMittal:
7.25%, 2/25/22	USD		14		15,750
8.00%, 10/15/39			64		67,680
7.75%, 3/01/41			216		221,918
Constellium NV (b):
8.00%, 1/15/23			650		671,125
5.75%, 5/15/24			250		232,500
First Quantum Minerals Ltd., 7.00%, 2/15/21 (b)			290		285,650
Freeport-McMoRan, Inc.:
2.30%, 11/14/17			189		188,528
2.38%, 3/15/18			1,564		1,552,270
3.10%, 3/15/20			470		461,775
4.00%, 11/14/21			121		118,580
3.55%, 3/01/22			324		306,666
3.88%, 3/15/23			920		864,800
5.40%, 11/14/34			278		243,250
5.45%, 3/15/43			607		518,985


Corporate Bonds		Par (000)		Value
Metals & Mining (continued)
Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (b)	USD		115	$	125,350
Kaiser Aluminum Corp., 5.88%, 5/15/24			74		76,405
Novelis Corp. (b):
6.25%, 8/15/24			623		644,805
5.88%, 9/30/26			610		609,237
Rio Tinto Finance USA Ltd., 4.75%, 3/22/42			400		426,530
Steel Dynamics, Inc.:
5.13%, 10/01/21			550		573,375
5.25%, 4/15/23			345		357,938
5.50%, 10/01/24			48		50,760
Teck Resources Ltd.:
3.00%, 3/01/19			140		138,950
3.75%, 2/01/23			277		263,150
8.50%, 6/01/24 (b)			250		291,875
6.13%, 10/01/35			61		61,012
6.00%, 8/15/40			245		237,650
6.25%, 7/15/41			113		113,288
5.20%, 3/01/42			378		342,090
5.40%, 2/01/43			98		88,690
United States Steel Corp., 8.38%, 7/01/21 (b)			215		237,575
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)			266		275,975

					12,160,112
Multi-Utilities — 0.0%
NGL Energy Partners LP/NGL Energy Finance Corp.:
6.88%, 10/15/21			140		139,650
7.50%, 11/01/23 (b)			130		129,675

					269,325
Multiline Retail — 0.0%
Neiman Marcus Group Ltd., 8.00%, 10/15/21 (b)			430		337,550
Oil, Gas & Consumable Fuels — 6.6%
Anadarko Petroleum Corp., 5.55%, 3/15/26			1,500		1,640,457
Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 9/15/24 (b)			35		35,700
Antero Resources Corp., 5.63%, 6/01/23			26		26,488
Apache Corp., 3.25%, 4/15/22			2,000		2,010,918
California Resources Corp., 8.00%, 12/15/22 (b)			352		281,600
Callon Petroleum Co., 6.13%, 10/01/24 (b)			140		143,500


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Canadian Natural Resources Ltd., 3.90%, 2/01/25	USD		500	$	491,313
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23			525		535,500
Cenovus Energy, Inc.:
5.70%, 10/15/19			30		31,913
5.20%, 9/15/43			15		13,648
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (b)			278		296,070
Chesapeake Energy Corp.:
6.50%, 8/15/17			30		30,806
7.25%, 12/15/18			35		36,356
4.13%, 4/15/19 (a)			229		216,405
6.63%, 8/15/20			149		144,158
6.88%, 11/15/20			138		129,030
4.88%, 4/15/22			270		230,175
8.00%, 12/15/22 (b)			35		36,225
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36			685		771,237
CONSOL Energy, Inc.:
5.88%, 4/15/22			1,561		1,498,560
8.00%, 4/01/23			48		48,960
Continental Resources, Inc.:
5.00%, 9/15/22			74		73,815
4.50%, 4/15/23			118		114,755
3.80%, 6/01/24			277		256,225
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
6.00%, 12/15/20			25		25,438
6.13%, 3/01/22			115		116,150
6.25%, 4/01/23			20		20,300
CrownRock LP/CrownRock Finance, Inc. (b):
7.13%, 4/15/21			525		544,687
7.75%, 2/15/23			85		90,525
DCP Midstream LLC (b):
4.75%, 9/30/21			55		55,825
6.45%, 11/03/36			128		126,080
6.75%, 9/15/37			159		159,397
Denbury Resources, Inc., 9.00%, 5/15/21 (b)			501		519,787
Devon Energy Corp., 5.85%, 12/15/25			800		888,247
Encana Corp.:
3.90%, 11/15/21			49		48,435
5.15%, 11/15/41			131		113,825
Energy Transfer Equity LP:
5.88%, 1/15/24			544		557,600
5.50%, 6/01/27			251		244,725
Energy Transfer Partners LP:
4.05%, 3/15/25			500		483,294
4.75%, 1/15/26			1,250		1,259,312


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Enterprise Products Operating LLC, 3.70%, 2/15/26	USD		500	$	493,156
EOG Resources, Inc.:
4.15%, 1/15/26			1,000		1,040,237
5.10%, 1/15/36			200		216,058
EP Energy LLC/Everest Acquisition Finance, Inc., 8.00%, 11/29/24 (b)			98		100,940
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (b)			238		250,495
Genesis Energy LP/Genesis Energy Finance Corp., 5.63%, 6/15/24			55		53,625
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (b)			185		192,400
Gulfport Energy Corp.:
6.63%, 5/01/23			51		53,295
6.00%, 10/15/24 (b)			273		277,777
Halcon Resources Corp., 8.63%, 2/01/20 (b)			100		102,550
Hess Corp., 4.30%, 4/01/27			1,100		1,043,716
Hilcorp Energy I LP/Hilcorp Finance Co., 5.75%, 10/01/25 (b)			112		113,680
KeySpan Gas East Corp., 5.82%, 4/01/41 (b)			1,010		1,185,342
Kinder Morgan, Inc.:
4.30%, 6/01/25			1,000		1,012,581
5.05%, 2/15/46			1,750		1,607,678
Marathon Petroleum Corp., 6.50%, 3/01/41 (d)			2,049		2,073,035
Matador Resources Co., 6.88%, 4/15/23			270		286,200
MEG Energy Corp. (b):
6.50%, 3/15/21			560		504,000
6.38%, 1/30/23			15		13,238
7.00%, 3/31/24			655		571,487
MidAmerican Energy Co., 5.80%, 10/15/36 (d)			1,500		1,812,085
MidAmerican Energy Holdings Co., 5.95%, 5/15/37			1,750		2,132,651
Murphy Oil Corp., 6.88%, 8/15/24			177		186,292
NGPL PipeCo LLC (b):
7.12%, 12/15/17			1,719		1,783,462
7.77%, 12/15/37			207		216,315
Noble Energy, Inc., 5.63%, 5/01/21			309		320,636
Oasis Petroleum, Inc.:
6.50%, 11/01/21			272		274,720
6.88%, 3/15/22			245		252,350
6.88%, 1/15/23			70		71,750
ONEOK, Inc.:
4.25%, 2/01/22			45		43,988


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
ONEOK, Inc. (continued):
7.50%, 9/01/23	USD		213	$	241,090
Paramount Resources, Ltd., 6.88%, 6/30/23 (b)			590		620,975
Parsley Energy LLC/Parsley Finance Corp. (b):
7.50%, 2/15/22			367		389,020
6.25%, 6/01/24			122		126,270
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20			94		96,585
PDC Energy, Inc.:
7.75%, 10/15/22			137		144,535
6.13%, 9/15/24 (b)			120		123,000
Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 6/01/22			1,000		1,000,880
QEP Resources, Inc.:
6.88%, 3/01/21			105		108,150
5.25%, 5/01/23			73		70,810
Range Resources Corp. (b):
5.75%, 6/01/21			213		215,130
5.88%, 7/01/22			324		325,620
5.00%, 8/15/22			53		51,013
5.00%, 3/15/23			155		148,800
Resolute Energy Corp., 8.50%, 5/01/20			159		159,398
Rockies Express Pipeline LLC (b):
5.63%, 4/15/20			565		586,187
6.88%, 4/15/40			284		288,260
RSP Permian, Inc., 6.63%, 10/01/22			179		187,950
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21			948		1,004,880
6.25%, 3/15/22			896		965,440
5.63%, 4/15/23			1,037		1,083,665
5.88%, 6/30/26 (b)			86		90,838
5.00%, 3/15/27 (b)			32		31,600
Sanchez Energy Corp.:
7.75%, 6/15/21			322		305,900
6.13%, 1/15/23			603		527,625
Seven Generations Energy Ltd. (b):
8.25%, 5/15/20			88		93,610
6.75%, 5/01/23			42		44,153
SM Energy Co.:
6.13%, 11/15/22			109		109,273
5.00%, 1/15/24			10		9,425
5.63%, 6/01/25			285		273,600
6.75%, 9/15/26			93		95,558
Southwestern Energy Co.:
7.50%, 2/01/18			25		26,125
5.80%, 1/23/20			365		372,300
4.10%, 3/15/22			129		118,680
6.70%, 1/23/25			40		39,600


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Suncor Energy, Inc., 6.50%, 6/15/38	USD		1,000	$	1,224,633
Sunoco Logistics Partners Operations LP, 3.90%, 7/15/26			310		295,188
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (b):
5.50%, 9/15/24			276		273,240
5.13%, 2/01/25			52		51,318
5.38%, 2/01/27			32		31,600
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
6.38%, 8/01/22			60		61,800
5.25%, 5/01/23			10		9,950
6.75%, 3/15/24			50		53,000
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.13%, 10/15/21			26		27,203
TransCanada PipeLines Ltd., 4.63%, 3/01/34			500		528,373
Weatherford International LLC, 6.80%, 6/15/37			15		11,850
Weatherford International Ltd.:
4.50%, 4/15/22			65		56,347
6.50%, 8/01/36			50		38,500
7.00%, 3/15/38			55		43,725
5.95%, 4/15/42			52		38,490
Western Gas Partners LP, 5.38%, 6/01/21			1,425		1,521,427
Whiting Petroleum Corp.:
5.00%, 3/15/19			49		48,388
1.25%, 6/05/20 (f)			458		592,951
5.75%, 3/15/21			3		2,955
5.75%, 3/15/21 (f)			270		369,225
6.25%, 4/01/23 (f)			118		159,851
Williams Cos., Inc.:
3.70%, 1/15/23			38		35,815
4.55%, 6/24/24			81		78,975
5.75%, 6/24/44			521		492,345
Williams Partners LP:
3.60%, 3/15/22			600		593,060
4.00%, 9/15/25			750		723,574
WPX Energy, Inc.:
5.25%, 1/15/17			30		30,038
7.50%, 8/01/20			50		52,750
6.00%, 1/15/22			278		284,864
8.25%, 8/01/23			125		137,813
5.25%, 9/15/24			145		141,194

					50,719,567


Corporate Bonds		Par (000)		Value
Paper & Forest Products — 0.2%
International Paper Co., 6.00%, 11/15/41	USD		870	$	969,598
Pfleiderer GmbH, 7.88%, 8/01/19	EUR		100		109,972
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (b)	USD		180		171,900

					1,251,470
Pharmaceuticals — 2.1%
AbbVie, Inc.:
3.60%, 5/14/25			870		859,589
3.20%, 5/14/26			500		475,000
4.45%, 5/14/46			1,300		1,219,408
Actavis Funding SCS, 4.55%, 3/15/35			2,140		2,109,032
Actavis, Inc., 3.25%, 10/01/22			4,000		4,003,808
Baxalta, Inc., 5.25%, 6/23/45			500		528,269
DPx Holdings BV, 7.50%, 2/01/22 (b)			75		78,750
Endo Finance LLC, 5.75%, 1/15/22 (b)			95		85,619
Endo Finance LLC/Endo Finco, Inc. (b):
5.38%, 1/15/23			235		205,037
6.00%, 7/15/23			315		280,350
Forest Laboratories, Inc., 5.00%, 12/15/21 (b)			758		818,761
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22			200		206,000
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24 (b)			185		187,313
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (b)			795		818,914
Mylan NV, 3.95%, 6/15/26 (b)			750		704,488
NBTY, Inc., 7.63%, 5/15/21 (b)			407		401,404
Synlab Bondco PLC, 6.25%, 7/01/22	EUR		100		114,199
Teva Pharmaceutical Finance Netherlands III BV, 4.10%, 10/01/46	USD		500		433,253
Valeant Pharmaceuticals International, Inc. (b):
6.75%, 8/15/18			1,133		1,073,517
5.38%, 3/15/20			44		36,960
6.38%, 10/15/20			555		471,750
5.63%, 12/01/21			404		311,080
5.88%, 5/15/23			75		55,875
6.13%, 4/15/25			220		162,800

					15,641,176


Corporate Bonds		Par (000)		Value
Real Estate Investment Trusts (REITs) — 0.9%
ERP Operating LP, 4.50%, 6/01/45	USD		1,155	$	1,162,451
HCP, Inc., 4.00%, 6/01/25 (d)			2,000		1,984,662
Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24 (b)			97		95,060
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/01/26 (b)			137		131,178
Simon Property Group LP, 4.75%, 3/15/42			1,670		1,774,893
Ventas Realty LP, 4.13%, 1/15/26			870		890,999
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21			550		593,872

					6,633,115
Real Estate Management & Development — 0.7%
Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (b)(d)			4,600		3,955,646
Punch Taverns Finance B Ltd., Series A7, 5.27%, 3/30/24	GBP		63		72,374
Realogy Group LLC/Realogy Co-Issuer Corp. (b):
4.50%, 4/15/19	USD		120		123,000
5.25%, 12/01/21			281		287,322
4.88%, 6/01/23			1,002		961,920

					5,400,262
Road & Rail — 1.3%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
5.13%, 6/01/22 (b)			495		477,675
5.50%, 4/01/23			5		4,831
6.38%, 4/01/24 (b)			20		19,850
5.25%, 3/15/25 (b)			425		392,062
Avis Budget Finance PLC, 4.13%, 11/15/24	EUR		100		102,276
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 (d)	USD		1,890		2,272,447
CSX Corp., 4.75%, 5/30/42			350		359,163
Herc Rentals, Inc. (b):
7.50%, 6/01/22			118		121,688
7.75%, 6/01/24			8		8,220
Hertz Corp.:
5.88%, 10/15/20			460		448,500
5.50%, 10/15/24 (b)			179		155,954
Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (b)			5,000		5,300,000
United Rentals North America, Inc., 5.50%, 7/15/25			125		125,937

					9,788,603


Corporate Bonds		Par (000)		Value
Semiconductors & Semiconductor Equipment — 0.4%
Advanced Micro Devices, Inc., 7.50%, 8/15/22	USD		51	$	54,570
Analog Devices, Inc.:
3.90%, 12/15/25			470		482,790
3.50%, 12/05/26			345		342,813
Micron Technology, Inc. (b):
5.25%, 8/01/23			206		203,425
5.63%, 1/15/26			79		77,025
Microsemi Corp., 9.13%, 4/15/23 (b)			26		30,095
NXP BV/NXP Funding LLC (b):
4.13%, 6/15/20			420		436,800
4.13%, 6/01/21			278		289,815
3.88%, 9/01/22			200		205,000
5.75%, 3/15/23			260		274,950
ON Semiconductor Corp., Series B, 2.63%, 12/15/26 (f)			250		280,156
QUALCOMM, Inc., 4.65%, 5/20/35			250		263,461
Sensata Technologies BV, 5.00%, 10/01/25 (b)			350		344,750

					3,285,650
Software — 1.5%
ACI Worldwide, Inc., 6.38%, 8/15/20 (b)			320		328,000
BMC Software Finance, Inc., 8.13%, 7/15/21 (b)			292		262,800
Ensemble S Merger Sub, Inc., 9.00%, 9/30/23 (b)			210		221,025
Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.63%, 11/15/24 (b)			449		449,000
Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 8/01/22 (b)			31		26,738
Infor US, Inc., 6.50%, 5/15/22			741		761,377
Informatica LLC, 7.13%, 7/15/23 (b)			288		272,160
JDA Escrow LLC/JDA Bond Finance, Inc., 7.38%, 10/15/24 (b)			114		116,992
Microsoft Corp., 3.50%, 11/15/42 (d)			4,000		3,631,476
Nuance Communications, Inc. (b):
5.38%, 8/15/20			90		92,025
6.00%, 7/01/24			170		174,675
Oracle Corp., 5.38%, 7/15/40 (d)			3,025		3,471,629
PTC, Inc., 6.00%, 5/15/24			71		74,728
Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (b)			557		615,485
SS&C Technologies Holdings, Inc., 5.88%, 7/15/23			246		250,920
TIBCO Software, Inc., 11.38%, 12/01/21 (b)			238		227,885


Corporate Bonds		Par (000)		Value
Software (continued)
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 2/01/23	EUR		100	$	97,506

					11,074,421
Specialty Retail — 0.7%
Asbury Automotive Group, Inc., 6.00%, 12/15/24	USD		440		443,300
Group 1 Automotive, Inc., 5.00%, 6/01/22			430		419,250
Home Depot, Inc., 5.88%, 12/16/36			1,660		2,081,620
JC Penney Corp., Inc.:
6.38%, 10/15/36			74		60,310
7.40%, 4/01/37			151		133,635
L Brands, Inc., 6.88%, 11/01/35			311		311,000
Lowe’s Cos, Inc., 4.38%, 9/15/45			1,000		1,018,271
Penske Automotive Group, Inc.:
5.38%, 12/01/24			371		364,508
5.50%, 5/15/26			127		122,406
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23			180		187,200

					5,141,500
Technology Hardware, Storage & Peripherals — 0.7%
Apple, Inc., 4.65%, 2/23/46 (d)			2,400		2,540,093
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b):
4.42%, 6/15/21			90		92,609
7.13%, 6/15/24			308		336,480
6.02%, 6/15/26			110		115,722
8.35%, 7/15/46			95		111,396
Hewlett Packard Enterprise Co., 5.15%, 10/15/25 (b)			1,500		1,534,406
Western Digital Corp., 7.38%, 4/01/23 (b)			384		414,720

					5,145,426
Textiles, Apparel & Luxury Goods — 0.0%
BiSoho SAS, 5.88%, 5/01/23	EUR		100		112,998
Hanesbrands, Inc., 4.63%, 5/15/24 (b)	USD		36		35,910
Springs Industries, Inc., 6.25%, 6/01/21			36		36,979

					185,887
Thrifts & Mortgage Finance — 0.0%
Radian Group, Inc., 5.25%, 6/15/20			185		190,550
Tobacco — 1.6%
Altria Group, Inc.:
9.95%, 11/10/38			516		875,029
10.20%, 2/06/39			894		1,559,267


Corporate Bonds		Par (000)		Value
Tobacco (continued)
Altria Group, Inc. (continued):
5.38%, 1/31/44 (d)	USD		4,030	$	4,607,926
3.88%, 9/16/46			1,250		1,156,424
Reynolds American, Inc.:
4.45%, 6/12/25			635		672,717
7.00%, 8/04/41			1,000		1,179,741
5.85%, 8/15/45			1,500		1,769,787

					11,820,891
Transportation Infrastructure — 0.3%
CEVA Group PLC, 7.00%, 3/01/21 (b)			310		251,100
I 595 Express LLC, 3.31%, 12/31/31			1,358		1,328,935
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40%, 11/15/26 (b)			490		472,000
Transurban Finance Co., 4.13%, 2/02/26 (b)			580		587,703

					2,639,738
Utilities — 0.0%
ContourGlobal Power Holdings SA, 5.13%, 6/15/21	EUR		100		110,193
Wireless Telecommunication Services — 2.1%
Communications Sales & Leasing, Inc./CSL Capital LLC:
6.00%, 4/15/23 (b)	USD		46		47,725
8.25%, 10/15/23			652		684,600
Crown Castle Towers LLC, 6.11%, 1/15/40 (b)			3,155		3,463,875
Digicel Ltd., 6.00%, 4/15/21 (b)			1,550		1,346,376
GEO Group, Inc.:
5.13%, 4/01/23			265		250,425
6.00%, 4/15/26			42		40,320
Rogers Communications, Inc., 7.50%, 8/15/38			2,325		3,071,418
Sprint Capital Corp.:
6.90%, 5/01/19			140		145,950
6.88%, 11/15/28			954		917,653
8.75%, 3/15/32			110		115,500
Sprint Communications, Inc.:
9.00%, 11/15/18 (b)			1,445		1,587,694
7.00%, 8/15/20			380		394,250
Sprint Corp.:
7.25%, 9/15/21			240		246,000
7.88%, 9/15/23			681		703,132
7.13%, 6/15/24			731		726,892
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23 (b)			971		973,427


Corporate Bonds		Par (000)		Value
Wireless Telecommunication Services (continued)
T-Mobile USA, Inc.:
6.63%, 4/28/21	USD		490	$	511,437
6.73%, 4/28/22			130		135,831
6.00%, 3/01/23			250		261,875
6.84%, 4/28/23			40		42,450
6.50%, 1/15/24			240		256,423
6.38%, 3/01/25			37		39,544
6.50%, 1/15/26			138		149,040

					16,111,837
Total Corporate Bonds — 66.6%					508,733,329


Floating Rate Loan Interests (a)
Air Freight & Logistics — 0.0%
CEVA Group PLC, Synthetic LOC, 4.75%, 3/19/21			18		14,464
CEVA Intercompany BV, Dutch Term Loan, 5.50%, 3/19/21			19		14,922
CEVA Logistics Canada ULC, Canadian Term Loan, 5.50%, 3/19/21			3		2,226
CEVA Logistics US Holdings, Inc., Term Loan, 5.50%, 3/19/21			27		21,209

					52,821
Auto Components — 0.0%
Gates Global, Inc., Term Loan B, 6.50%, 7/06/21			273		271,858
Chemicals — 0.0%
Chemours Co., Term Loan B, 7.00%, 5/12/22			17		16,738
MacDermid, Inc., Term Loan B3, 5.00%, 6/07/20			103		103,033

					119,771
Commercial Services & Supplies — 0.0%
Brand Energy & Infrastructure Services, Inc., Term Loan B, 3.54%, 11/26/20			119		116,933
Diversified Consumer Services — 0.0%
Laureate Education, Inc., Term Loan B, 4.25%, 3/17/21			75		74,282
Electric Utilities — 0.1%
TEX Operations Co. LLC:
Exit Term Loan B, 4.25%, 8/04/23			272		274,628
Exit Term Loan C, 4.25%, 8/04/23			59		59,517

					334,145


Floating Rate Loan Interests (a)		Par (000)		Value
Energy Equipment & Services — 0.0%
Weatherford International Ltd., Term Loan, 3.75%, 7/13/20	USD		258	$	244,469
Health Care Equipment & Supplies — 0.1%
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22			204		201,755
Immucor, Inc., Refinancing Term Loan B2, 3.75%, 8/17/18			231		224,862

					426,617
Health Care Providers & Services — 0.1%
inVentiv Health, Inc., 2016 Term Loan B, 5.75%, 9/28/23			217		217,475
MPH Acquisition Holdings LLC, 2016 Term Loan B, 3.75%, 6/07/23			101		101,821
Vizient, Inc., 2016 Term Loan B, 3.75%, 2/13/23			68		68,694

					387,990
Hotels, Restaurants & Leisure — 0.2%
Amaya Holdings BV, 1st Lien Term Loan, 3.61%, 8/01/21			188		187,885
Caesars Entertainment Resort Properties LLC, Term Loan B, 5.00%, 10/11/20			1,372		1,379,358
Four Seasons Holdings, Inc., Term Loan B, 6.50%, 11/21/23			27		27,219

					1,594,462
Industrial Conglomerates — 0.1%
Vertiv Co., Term Loan B, 3.61%, 9/29/23			473		467,482
Insurance — 0.0%
Alliant Holdings I, Inc., Incremental Term Loan B2, 7.50%, 8/12/22			82		81,909
Machinery — 0.0%
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			55		49,115
Media — 0.1%
iHeartCommunications, Inc., Term Loan D, 6.50%, 1/30/19			211		163,584
Intelsat Jackson Holdings SA, Term Loan B2, 4.25%, 6/30/19			648		624,181

					787,765
Metals & Mining — 0.0%
FMG Resources August 2006 Property Ltd., Term Loan B, 6.50%, 6/30/19			183		182,767


Floating Rate Loan Interests (a)		Par (000)		Value
Oil, Gas & Consumable Fuels — 0.2%
California Resources Corp., Term Loan A, 4.75%, 10/01/19	USD		384	$	367,615
Chesapeake Energy Corp., Term Loan, 7.00%, 8/23/21			919		981,829
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			57		53,998

					1,403,442
Pharmaceuticals — 0.1%
DPx Holdings BV, 2014 Incremental Term Loan, 4.75%, 3/11/21			168		167,504
Jaguar Holding Co. II, 2015 Term Loan B, 7.25%, 8/18/22			91		91,636
NBTY, Inc., Term Loan B, 4.75%, 5/05/23			105		104,787
Valeant Pharmaceuticals International, Inc.:
Series A3 Tranche A, 9.25%, 10/20/18			51		51,093
Series D2 Term Loan B, 8.87%, 2/13/19			15		14,855
Series E Term Loan B, 5.25%, 8/05/20			62		61,326
Series F1 Term Loan B, 5.50%, 4/01/22			24		23,562

					514,763
Professional Services — 0.0%
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			179		177,743
2014 2nd Lien Term Loan, 4.25%, 7/25/22			36		33,802

					211,545
Semiconductors & Semiconductor Equipment — 0.0%
Avago Technologies Cayman Ltd., Term Loan B3, 5.00%, 2/01/23			127		128,652
Microsemi Corp., 2015 Term Loan B, 4.50%, 1/15/23			26		25,944

					154,596
Software — 0.3%
BMC Software Finance, Inc., Term Loan, 6.50%, 9/10/20			482		470,877
Infor US, Inc., Term Loan B5, 8.50%, 6/03/20			197		196,240
Informatica Corp., Term Loan, 5.25%, 8/05/22			108		105,440
Kronos Incorporated:
1st Lien Term Loan, 3.58%, 11/01/23			361		361,791


Floating Rate Loan Interests (a)		Par (000)		Value
Software (continued)
Kronos Incorporated (continued):
2nd Lien Term Loan, 3.75%, 10/04/24	USD		353	$	360,928
RP Crown Parent LLC, 2016 Term Loan B, 4.00%, 10/12/23			111		111,555
Tibco Software, Inc., Term Loan B, 5.00%, 12/04/20			358		356,489

					1,963,320
Specialty Retail — 0.0%
Leslie’s Poolmart, Inc., 2016 Term Loan, 7.36%, 8/16/23			26		26,304
Textiles, Apparel & Luxury Goods — 0.0%
Ascend Performance Materials LLC, Term Loan B, 5.25%, 8/12/22			179		178,037
J. Crew Group, Inc., Term Loan B, 7.25%, 3/05/21			79		50,909

					228,946
Total Floating Rate Loan Interests — 1.3%					9,695,302


Foreign Agency Obligations
Argentine Republic Government International Bond, 7.63%, 4/22/46 (b)			3,121		2,972,752
Cyprus Government International Bond, 4.63%, 2/03/20 (b)	EUR		1,210		1,384,191
Iceland Government International Bond, 5.88%, 5/11/22	USD		3,555		4,074,492
Italian Government International Bond, 5.38%, 6/15/33			2,925		3,224,915
Portugal Government International Bond, 5.13%, 10/15/24 (b)			5,870		5,663,787
Republic of Argentina, 7.50%, 4/22/26 (b)			3,875		3,913,750
Slovenia Government International Bond, 5.85%, 5/10/23 (b)			864		982,702
Total Foreign Agency Obligations — 2.9%					22,216,589


Municipal Bonds
City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:
Series EE, 5.50%, 6/15/43			930		1,048,622
Series GG, Build America Bonds, 5.72%, 6/15/42			1,390		1,772,194


Municipal Bonds		Par (000)			Value
City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution (continued):
Water & Sewer System, Series EE, 5.38%, 6/15/43	USD		770		$	864,194
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40			1,900			2,402,778
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40			2,535			3,240,161
Metropolitan Transportation Authority, RB, Build America Bonds, Series C, 7.34%, 11/15/39			1,295			1,895,401
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A, 7.06%, 4/01/57			2,000			2,276,560
New York State Dormitory Authority, RB, Build America Bonds:
5.63%, 3/15/39			1,100			1,347,159
5.60%, 3/15/40			1,900			2,351,364
Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29			780			975,312
State of California, GO, Build America Bonds, Various Purposes:
7.55%, 4/01/39			280			413,988
7.63%, 3/01/40			1,720			2,525,906
State of Illinois, GO, Pension, 5.10%, 6/01/33			2,000			1,790,960
University of California, RB, Build America Bonds, 5.95%, 5/15/45			885			1,088,718
Total Municipal Bonds — 3.1%						23,993,317


Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 0.7%
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37			814			717,246
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.55%, 4/01/18			—	(g)		—


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Countrywide Alternative Loan Trust:
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35	USD		1,456	$	1,354,508
Series 2006-OA21, Class A1, 0.75%, 3/20/47 (a)			987		681,320
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 3.02%, 7/27/36 (a)(b)			666		661,591
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 3.45%, 6/19/35 (a)			572		562,231
GSR Mortgage Loan Trust:
Series 2006-4F, Class 1A1, 5.00%, 5/25/36			106		99,325
Series 2007-4F, Class 3A1, 6.00%, 7/25/37			268		242,418
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36			94		76,971
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 3.03%, 5/25/36 (a)			753		617,980
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 1.31%, 5/25/47 (a)			248		217,270

					5,230,860
Commercial Mortgage-Backed Securities — 11.6%
Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 4/14/33 (a)(b)			4,170		4,168,726
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2007-2, Class A4, 5.80%, 4/10/49 (a)			688		688,952
Citigroup Commercial Mortgage Trust:
Series 2013-GC15, Class B, 5.28%, 9/10/46 (a)			7,183		7,993,810
Series 2016-P5, Class A4, 2.94%, 10/10/49			6,000		5,876,400
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48			1,748		1,746,815


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust:
Series 2008-LS1, Class A4B, 6.30%, 12/10/49 (a)	USD		967	$	988,892
Series 2013-300P, Class A1, 4.35%, 8/10/30 (b)			1,330		1,446,242
Series 2013-CR11, Class B, 5.33%, 10/10/46 (a)			7,000		7,758,861
Series 2013-LC6, Class B, 3.74%, 1/10/46			1,390		1,423,347
Series 2014-CR21, Class A3, 3.53%, 12/10/47			1,300		1,342,418
Series 2015-3BP, Class A, 3.18%, 2/10/35 (b)			7,570		7,623,712
Series 2015-CR22, Class C, 4.26%, 3/10/48 (a)			5,000		4,811,603
Series 2015-LC19, Class C, 4.40%, 2/10/48 (a)			3,500		3,519,338
Core Industrial Trust, Series 2015-TEXW, Class D, 3.98%, 2/10/34 (a)(b)			4,585		4,614,598
Credit Suisse Commercial Mortgage Trust, Series 2010-RR2, Class 2A, 6.13%, 9/15/39 (a)(b)			949		952,941
CSAIL Commercial Mortgage Trust, Series 2015-C1 (a):
Class B, 4.04%, 4/15/50			1,110		1,153,336
Class C, 4.44%, 4/15/50			1,000		1,005,625
Class D, 3.94%, 4/15/50 (b)			480		389,496
DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.89%, 9/10/49			2,485		2,430,584
DBRR Trust, Series 2011-C32, Class A3A, 5.89%, 6/17/49 (a)(b)			721		724,710
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.49%, 12/15/34 (a)(b)			6,170		6,155,344
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (b)			2,505		2,569,714
Hilton USA Trust, Series 2013- HLT, 4.41%, 11/05/30 (b)			18		17,852
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-LN2, Class A2, 5.12%, 7/15/41			29		28,959
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A, 2.95%, 10/06/38 (a)(b)			4,800		4,670,685


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.87%, 9/15/45 (a)	USD		2,076	$	2,132,525
Morgan Stanley Capital I Trust, Series 2014-CPT, Class G, 3.56%, 7/13/29 (a)(b)			3,200		3,073,100
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 6.17%, 2/15/51 (a)			2,984		3,003,485
Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A4, 3.54%, 5/15/48			3,205		3,295,191
WF-RBS Commercial Mortgage Trust, Series 2012-C8:
Class B, 4.31%, 8/15/45			1,395		1,476,879
Class C, 5.06%, 8/15/45 (a)			1,795		1,863,072

					88,947,212
Interest Only Collateralized Mortgage Obligations — 0.0%
GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)			994		10
Interest Only Commercial Mortgage-Backed Securities — 0.2%
Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 0.87%, 7/10/48 (a)			19,437		881,417
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA, 2.15%, 8/15/45 (a)(b)			9,938		741,305

					1,622,722
Total Non-Agency Mortgage-Backed Securities — 12.5%					95,800,804


Preferred Securities
Capital Trusts
Banks — 2.9%
Banco Bilbao Vizcaya Argentaria SA, 7.00% (a)(h)			200		195,807
Banco Santander SA, 6.25% (a)(h)			100		95,255
BNP Paribas SA, 7.20% (a)(b)(h)			2,000		2,210,000
Capital One Financial Corp., Series E, 5.55% (a)(h)			3,500		3,472,000
Citigroup, Inc. (a)(h):
Series M, 6.30%			4,000		3,965,000
Series P, 5.95%			2,100		2,063,250
Series Q, 5.95%			100		100,500
Series R, 6.13%			605		627,688
Credit Agricole SA (a)(b)(h):
6.63%			1,400		1,315,602
7.88%			1,000		986,270
Intesa Sanpaolo SpA, 7.00% (a)(h)			200		201,371


Preferred Securities		Par (000)		Value
Capital Trusts (continued)
Banks (continued)
Nordea Bank AB, 6.13% (a)(b)(h)	USD		2,960	$	2,849,000
Wells Fargo & Co. (a)(h):
Series S, 5.90%			3,390		3,407,798
Series U, 5.88%			430		443,369

					21,932,910
Capital Markets — 0.7%
Goldman Sachs Group, Inc., Series L, 5.70% (a)(h)			612		617,355
Morgan Stanley, Series H, 5.45% (a)(h)			2,627		2,574,460
State Street Capital Trust IV, 1.85%, 6/15/37 (a)			140		122,150
State Street Corp., Series F, 5.25% (a)(h)			2,000		2,037,500

					5,351,465
Chemicals — 0.0%
Lanxess AG, 4.50%, 12/06/76 (a)			50		52,280
Solvay Finance SA, 5.12% (a)(h)			100		111,560

					163,840
Diversified Financial Services — 5.0%
Bank of America Corp. (a)(h):
Series V, 5.13%			385		377,300
Series X, 6.25%			4,620		4,596,946
Bank of New York Mellon Corp. (a)(h):
Series D, 4.50% (d)			8,400		7,728,000
Series E, 4.95%			2,000		1,992,500
Barclays PLC, 7.88% (a)(h)			200		196,500
JPMorgan Chase & Co. (a)(h):
Series 1, 7.90%			7,000		7,148,750
Series Q, 5.15%			3,000		2,902,500
Series U, 6.13%			500		504,063
Series V, 5.00%			6,710		6,525,475
Macquarie Bank Ltd., 10.25%, 6/20/57 (a)			1,800		1,852,110
Royal Bank of Scotland Group PLC, 8.63% (a)(h)			200		196,750
Societe Generale SA (a)(b)(h):
6.00%			3,000		2,632,212
7.38%			200		192,500
7.88%			1,000		942,250

					37,787,856
Diversified Telecommunication Services — 0.0%
Telefonica Europe BV, 4.20% (a)(h)			200		211,228


Preferred Securities		Par (000)		Value
Capital Trusts (continued)
Electric Utilities — 0.6%
ComEd Financing III, 6.35%, 3/15/33	USD		300	$	309,163
Electricite de France SA, 5.25% (a)(b)(h)			4,200		3,983,700
Enel SpA (a):
5.00%, 1/15/75	EUR		100		110,489
7.75%, 9/10/75	GBP		100		134,869
Gas Natural Fenosa Finance BV, 4.13% (a)(h)	USD		100		104,754

					4,642,975
Industrial Conglomerates — 0.3%
General Electric Co., Series D, 5.00% (a)(h)			2,131		2,184,275
Insurance — 1.8%
Allstate Corp (a):
6.50%, 5/15/57			4,100		4,694,500
5.75%, 8/15/53			2,000		2,097,500
MetLife, Inc., 6.40%, 12/15/36			2,554		2,764,705
Voya Financial, Inc., 5.65%, 1/15/53 (a)			4,500		4,432,500

					13,989,205
Oil, Gas & Consumable Fuels — 0.0%
DCP Midstream LLC, 5.85%, 5/21/43 (a)(b)			30		25,500
Total Capital Trusts — 11.3%					86,289,254



Preferred Stocks		Shares
Banks — 1.3%
U.S. Bancorp, Series G, 6.00% (a)(h)			300,000		7,683,000
Wells Fargo & Co., 5.85% (a)(h)			75,000		1,875,000

					9,558,000
Capital Markets — 0.4%
Goldman Sachs Group, Inc., Series J, 5.50% (a)(f)(h)			92,000		2,311,960
SCE Trust III, 5.75% (a)(h)			25,314		658,417

					2,970,377
Thrifts & Mortgage Finance — 0.0%
Fannie Mae, Series S, 8.25% (a)(h)			10,000		82,200
Total Preferred Stocks — 1.7%					12,610,577


Preferred Securities		Shares			Value
Trust Preferred — 0.1%
Diversified Financial Services — 0.1%
Citigroup Capital XIII, 7.88%, 10/30/40			29,583		$	764,094
Total Preferred Securities — 13.1%						99,663,925



U.S. Government Sponsored Agency Securities		Par (000)
Agency Obligations — 1.5%
Fannie Mae, 5.63%, 7/15/37 (d)	USD		1,600			2,155,066
Federal Home Loan Bank (d):
5.25%, 12/09/22			1,375			1,615,309
5.37%, 9/09/24			2,175			2,624,692
Residual Funding Corp., 0.00%, 4/15/30			6,055			3,949,943
Resolution Funding Corp. (i):
0.00%, 7/15/18			525			515,445
0.00%, 10/15/18			525			508,995

						11,369,450
Collateralized Mortgage Obligations — 2.9%
Fannie Mae Mortgage-Backed Securities:
Series 1991-46, Class S, 2,385.21%, 5/25/21 (a)			—	(g)		1
Series 1991-87, Class S, 25.13%, 8/25/21 (a)			5			5,904
Series 2005-5, Class PK, 5.00%, 12/25/34			184			191,884
Series 2015-47, Class GL, 3.50%, 7/25/45			1,636			1,639,049
Series G-49, Class S, 974.04%, 12/25/21 (a)			—	(g)		38
Series G-17, Class S, 1,020.84%, 6/25/21 (a)			—	(g)		—
Series G-33, Class PV, 1,078.42%, 10/25/21			—	(g)		—
Series G-07, Class S, 1,078.67%, 3/25/21 (a)			—	(g)		238
Freddie Mac Mortgage-Backed Securities:
Series 0173, Class R, 9.00%, 11/15/21			—	(g)		—
Series 0173, Class RS, 10.06%, 11/15/21 (a)			—	(g)		2
Series 1057, Class J, 1,008.00%, 3/15/21			—	(g)		—
Series 0192, Class U, 1,009.03%, 2/15/22 (a)			—	(g)		—


U.S. Government Sponsored Agency Securities		Par (000)			Value
Collateralized Mortgage Obligations (continued)
Series 4350, Class DY, 4.00%, 6/15/44	USD		2,830		$	3,041,162
Series 4398, Class ZX, 4.00%, 9/15/54			8,368			8,743,789
Series 4480, Class ZX, 4.00%, 11/15/44			5,820			6,107,820
Series 4549, Class TZ, 4.00%, 11/15/45			2,550			2,668,271

						22,398,158
Commercial Mortgage-Backed Securities — 0.3%
Freddie Mac, Series K013, Class A2, 3.97%, 1/25/21 (a)			1,870			2,011,816
Interest Only Collateralized Mortgage Obligations — 2.2%
Fannie Mae Mortgage-Backed Securities:
Series 1997-50, Class SI, 1.20%, 4/25/23 (a)			45			1,236
Series 2012-96, Class DI, 4.00%, 2/25/27			6,549			563,630
Series 2012-M9, Class X1, 4.17%, 12/25/17 (a)			14,023			315,880
Series 2012-47, Class NI, 4.50%, 4/25/42			6,088			1,342,576
Series 089, Class 2, 8.00%, 10/25/18			—	(g)		2
Series 007, Class 2, 8.50%, 4/25/17			—	(g)		1
Series G92-05, Class H, 9.00%, 1/25/22			—	(g)		29
Series 094, Class 2, 9.50%, 8/25/21			—	(g)		40
Series 1990-136, Class S, 19.49%, 11/25/20 (a)			2			2
Series 1991-139, Class PT, 648.35%, 10/25/21			—	(g)		—
Series 1991-099, Class L, 930.00%, 8/25/21			—	(g)		—
Series 1990-123, Class M, 1,009.50%, 10/25/20			—	(g)		—
Series G-10, Class S, 1,043.54%, 5/25/21 (a)			—	(g)		1
Series G-12, Class S, 1,107.54%, 5/25/21 (a)			—	(g)		—
Freddie Mac Mortgage-Backed Securities:
Series K707, Class X1, 1.67%, 12/25/18 (a)			4,752			122,069
Series 2611, Class QI, 5.50%, 9/15/32			598			32,678


U.S. Government Sponsored Agency Securities		Par (000)			Value
Interest Only Collateralized Mortgage Obligations (continued)
Series 1254, Class Z, 8.50%, 4/15/22	USD		21		$	3,834
Series 1043, Class H, 42.58%, 2/15/21 (a)			1			2
Series 1054, Class I, 834.56%, 3/15/21 (a)			—	(g)		—
Series 0176, Class M, 1,010.00%, 7/15/21			—	(g)		—
Series 1056, Class KD, 1,084.50%, 3/15/21			—	(g)		—
Series 1148, Class E, 1,133.39%, 10/15/21 (a)			—	(g)		—
Ginnie Mae Mortgage-Backed Securities:
Series 2014-72, Class MQ, 4.00%, 2/20/44			8,858			9,322,528
Series 2009-78, Class SD, 5.64%, 9/20/32 (a)			6,293			1,112,546
Series 2009-116, Class KS, 5.93%, 12/16/39 (a)			2,408			376,026
Series 2011-52, Class NS, 6.13%, 4/16/41 (a)			17,418			3,323,761

						16,516,841
Mortgage-Backed Securities — 4.9%
Fannie Mae Mortgage-Backed Securities:
3.00%, 8/01/43 (d)			10,992			11,006,012
4.00%, 12/01/41 - 12/01/43			6,152			6,496,754
4.50%, 7/01/41 - 4/01/43			13,763			14,888,669
5.00%, 8/01/34			2,344			2,590,582
5.50%, 6/01/38			1,192			1,338,846
6.00%, 12/01/38			1,001			1,138,350
Freddie Mac Mortgage-Backed Securities, 6.00%, 4/1/17 - 12/1/18			36			37,245
Ginnie Mae Mortgage-Backed Securities:
5.50%, 8/15/33			58			65,433
8.00%, 7/15/24			—	(g)		228

						37,562,119
Principal Only Collateralized Mortgage Obligations — 0.0%
Fannie Mae Mortgage-Backed Securities (i):
Series 203, Class 1, 0.00%, 2/25/23			3			2,509
Series 1993-51, Class E, 0.00%, 2/25/23			9			8,434
Series 1993-70, Class A, 0.00%, 5/25/23			1			1,316
Series 0228, Class 1, 0.00%, 6/25/23			2			1,999

						14,258


U.S. Government Sponsored Agency Securities				Value
Total U.S. Government Sponsored Agency Securities — 11.8%				$	89,872,642



U.S. Treasury Obligations		Par (000)
U.S. Treasury Bonds (d):
3.00%, 11/15/44	USD		62,900		62,671,484
2.50%, 2/15/46			55,000		49,231,435
Total U.S. Treasury Obligations — 14.7%					111,902,919
Total Long-Term Investments (Cost — $1,046,848,761) — 138.7%					1,059,261,683



Short-Term Securities — 0.8%		Shares
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.25% (j)(k)			6,118,918		6,118,918
Total Short-Term Securities (Cost — $6,118,918)					6,118,918


	Value
Options Purchased (Cost — $6,198,193) — 0.7%	$	5,507,803
Total Investments Before Options Written (Cost — $1,059,165,872*) — 140.2%		1,070,888,404
Options Written (Premiums Received — $6,711,145) — (0.7)%		(5,364,445	)
Total Investments, Net of Options Written (Cost — $1,052,454,727) — 139.5%		1,065,523,959
Liabilities in Excess of Other Assets — (39.5)%		(301,473,619	)

Net Assets — 100.0%	$	764,050,340

As of November 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	1,058,996,468

Gross unrealized appreciation	$	44,675,437
Gross unrealized depreciation		(32,783,501	)

Net unrealized appreciation	$	11,891,936

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation methodologies are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation methodologies may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount, or face value, including accrued interest, for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

During the period ended November 30, 2016, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

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.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


Affiliate	Shares Held at August 31, 2016		Net Activity			Shares Held at November 30, 2016		Value at November 30, 2016		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		12,926,909		(12,926,909	)		—		—	$	49
BlackRock Liquidity Funds, T-Fund, Institutional Class		—		6,118,918			6,118,918	$	6,118,918		8,398
Total								$	6,118,918	$	8,447


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


AUD		Australian Dollar
CAD		Canadian Dollar
CHF		Swiss Franc
CLO		Collateralized Loan Obligation
EUR		Euro
GBP		British Pound
GO		General Obligation Bonds
JPY		Japanese Yen
LOC		Letter of Credit
MXN		Mexican Peso
NZD		New Zealand Dollar
OTC		Over-the-Counter
PIK		Payment-In-Kind
RB		Revenue Bonds
USD		U.S. Dollar
ZAR		South African Rand


Reverse Repurchase Agreements
Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements
Merrill Lynch, Pierce, Fenner & Smith, Inc.		0.22	%		6/02/15		Open	$	1,323,000	$	1,327,417	U.S. Government Sponsored Agency Securities	Open/Demand¹
Merrill Lynch, Pierce, Fenner & Smith, Inc.		0.22	%		6/02/15		Open		830,000		832,775	U.S. Government Sponsored Agency Securities	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.65	%		12/17/15		Open		950,950		956,942	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.65	%		12/17/15		Open		1,454,374		1,463,540	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.65	%		12/17/15		Open		1,104,688		1,111,649	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		1,448,563		1,457,550	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		4,725,000		4,754,316	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		2,036,475		2,049,110	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		1,909,860		1,921,710	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		1,713,750		1,724,383	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		3,131,250		3,150,678	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		1,228,500		1,236,122	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		2,028,510		2,041,096	Corporate Bonds	Open/Demand¹


Reverse Repurchase Agreements (continued)
Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements
RBC Capital Markets, LLC		0.64	%		12/17/15		Open	$	1,693,125	$	1,703,630	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		1,822,500		1,833,808	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		1,835,000		1,846,385	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		2,019,250		2,031,778	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		2,175,000		2,188,495	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		12/17/15		Open		2,002,725		2,015,151	Corporate Bonds	Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		12/18/15		Open		3,995,000		4,019,958	Corporate Bonds	Open/Demand¹
Deutsche Bank AG		0.50	%		4/22/16		Open		24,156,250		24,216,406	U.S. Treasury Obligations	Open/Demand¹
BNP Paribas Securities Corp.		0.46	%		5/03/16		Open		1,397,975		1,401,744	U.S. Government Sponsored Agency Securities	Open/Demand¹
BNP Paribas Securities Corp.		0.46	%		5/03/16		Open		850,025		852,317	U.S. Government Sponsored Agency Securities	Open/Demand¹
BNP Paribas Securities Corp.		0.46	%		5/03/16		Open		1,398,375		1,402,145	U.S. Government Sponsored Agency Securities	Open/Demand¹
BNP Paribas Securities Corp.		0.46	%		5/03/16		Open		871,500		873,850	U.S. Government Sponsored Agency Securities	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		5/18/16		Open		837,000		840,418	Corporate Bonds	Open/Demand¹
Nomura Securities International, Inc.		0.52	%		6/28/16		Open		31,762,500		31,836,939	U.S. Treasury Obligations	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		6/30/16		Open		2,859,500		2,867,329	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.95	%		9/14/16		Open		781,875		783,484	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.95	%		9/14/16		Open		1,026,025		1,028,137	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		9/14/16		Open		7,598,100		7,608,636	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		9/14/16		Open		8,371,240		8,382,848	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		09/14/16		Open		8,254,800		8,266,247	Corporate Bonds	Open/Demand¹
RBC Capital Markets, LLC		0.64	%		9/23/16		Open		5,880,000		5,886,795	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.80	%		10/14/16		Open		2,442,000		2,444,605	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.80	%		10/14/16		Open		606,450		607,097	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.80	%		10/14/16		Open		2,659,188		2,662,024	Corporate Bonds	Open/Demand¹


Reverse Repurchase Agreements (concluded)
Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements
RBC Capital Markets, LLC		0.64	%		10/18/16		Open	$	4,735,250	$	4,738,954	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/18/16		Open		4,749,375		4,753,090	Corporate Bonds		Open/Demand¹
BNP Paribas Securities Corp.		0.50	%		10/19/16		Open		69,207,500		69,242,373	U.S. Treasury Obligations		Open/Demand¹
Deutsche Bank AG		(2.00	)%		10/19/16		Open		247,756		247,192	Corporate Bonds		Open/Demand¹
HSBC Securities (USA), Inc.		0.70	%		10/20/16		Open		3,705,000		3,707,954	Corporate Bonds		Open/Demand¹
HSBC Securities (USA), Inc.		0.70	%		10/20/16		Open		4,318,000		4,321,442	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		2,610,000		2,611,902	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		3,380,000		3,382,464	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		3,529,500		3,532,073	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		2,386,250		2,387,989	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		3,635,250		3,637,900	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		3,346,875		3,349,315	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		7,141,925		7,147,131	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		3,073,000		3,075,240	Corporate Bonds		Open/Demand¹
RBC Capital Markets, LLC		0.64	%		10/20/16		Open		3,770,000		3,772,748	Corporate Bonds		Open/Demand¹
HSBC Securities (USA), Inc.		0.70	%		10/21/16		Open		7,991,000		7,996,904	Capital Trusts		Open/Demand¹
HSBC Securities (USA), Inc.		0.70	%		10/21/16		Open		4,921,000		4,924,636	Corporate Bonds		Open/Demand¹
HSBC Securities (USA), Inc.		0.70	%		10/26/16		Open		4,193,000		4,195,854	Corporate Bonds		Open/Demand¹
Barclays Capital, Inc.		(0.50	)%		11/09/16		Open		161,000		160,953	Corporate Bonds		Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		11/09/16		12/13/16		37,102,000		37,113,388	U.S. Government Sponsored Agency Securities		Up to 30 Days
Barclays Capital, Inc.		1.00	%		11/23/16		Open		1,005,125		1,005,293	Corporate Bonds		Open/Demand¹
Barclays Capital, Inc.		1.00	%		11/23/16		Open		751,781		751,907	Corporate Bonds		Open/Demand¹
Barclays Capital, Inc.		1.00	%		11/23/16		Open		4,862,500		4,863,310	Corporate Bonds		Open/Demand¹
Barclays Capital, Inc.		1.00	%		11/23/16		Open		558,125		558,218	Corporate Bonds		Open/Demand¹
Barclays Capital, Inc.		1.00	%		11/23/16		Open		982,781		982,945	Corporate Bonds		Open/Demand¹
Barclays Capital, Inc.		1.00	%		11/23/16		Open		2,992,500		2,992,999	Corporate Bonds		Open/Demand¹
Barclays Capital, Inc.		1.00	%		11/23/16		Open		1,060,438		1,060,614	Corporate Bonds		Open/Demand¹
Total								$	327,597,254	$	328,142,302

¹ Certain agreements have no stated maturity and can be terminated by either party at any time.


Futures Contracts
Contracts Long (Short)			Issue	Expiration		Notional Value			Unrealized Appreciation (Depreciation)
	(1	)	Euro BOBL		December 2016		USD	139,296	$	562
	(1	)	Euro Bund Future		December 2016		USD	170,699		3,391
	(39	)	2-Year U.S. Treasury Note		March 2017		USD	8,455,688		3,634
	530		5-Year U.S. Treasury Note		March 2017		USD	62,457,187		(157,363	)
	(504	)	10-Year U.S. Treasury Note		March 2017		USD	62,755,875		198,795
	16		10-Year U.S. Ultra Long Treasury Note		March 2017		USD	2,151,000		4,409
	180		90-Day Euro Dollar Future		March 2017		USD	44,532,000		(19,290	)
	(115	)	Euro-Schatz Future		March 2017		USD	13,670,975		(14,124	)
	(92	)	Long U.S. Treasury Bond		March 2017		USD	13,917,875		43,261
	26		Ultra Long U.S. Treasury Bond		March 2017		USD	4,196,563		(8,087	)
	(180	)	90-Day Euro Dollar Future		June 2017		USD	44,475,750		50,210
	Total								$	105,398


Forward Foreign Currency Exchange Contracts
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	51,867	EUR	47,000	Bank of America N.A.		12/05/16	$	2,050
USD	660,825	EUR	603,000	Goldman Sachs International		12/05/16		21,673
USD	8,833,051	EUR	8,060,000	UBS AG		12/05/16		289,833
USD	10,157,054	GBP	8,351,000	Royal Bank of Scotland PLC		12/05/16		(292,107	)
USD	926,796	GBP	762,000	Royal Bank of Scotland PLC		12/05/16		(26,654	)
EUR	1,805,000	USD	2,035,846	Citibank N.A.		12/08/16		(122,446	)
USD	1,898,263	EUR	1,790,000	Barclays Bank PLC		12/08/16		764
USD	2,006,418	EUR	1,805,000	Goldman Sachs International		12/08/16		93,018
AUD	2,600,000	CAD	2,662,231	BNP Paribas S.A.		12/15/16		(62,832	)
AUD	2,050,000	CAD	2,034,414	Citibank N.A.		12/15/16		(1,405	)
AUD	5,400,000	CAD	5,420,698	Citibank N.A.		12/15/16		(49,679	)
AUD	2,600,000	CAD	2,595,224	JPMorgan Chase Bank N.A.		12/15/16		(12,943	)
AUD	2,620,000	CAD	2,585,385	Royal Bank of Canada		12/15/16		9,146
CAD	2,059,161	AUD	2,050,000	Bank of America N.A.		12/15/16		19,830
CAD	2,674,761	AUD	2,720,000	JPMorgan Chase Bank N.A.		12/15/16		(16,421	)
CAD	5,350,436	AUD	5,220,000	JPMorgan Chase Bank N.A.		12/15/16		130,239
CAD	2,688,158	AUD	2,600,000	JPMorgan Chase Bank N.A.		12/15/16		82,136
CAD	2,709,040	AUD	2,680,000	Toronto-Dominion Bank		12/15/16		38,629
CAD	2,842,447	EUR	1,910,000	Bank of America N.A.		12/15/16		90,733
CHF	2,100,000	JPY	222,983,040	JPMorgan Chase Bank N.A.		12/15/16		116,947
EUR	3,710,000	CAD	5,352,818	UBS AG		12/15/16		(50,881	)
JPY	219,665,250	CHF	2,100,000	UBS AG		12/15/16		(145,966	)
CAD	2,675,000	JPY	202,552,872	Citibank N.A.		12/28/16		218,710
EUR	1,805,000	ZAR	27,925,509	Deutsche Bank AG		12/28/16		(57,553	)
EUR	1,805,000	ZAR	27,216,452	Goldman Sachs International		12/28/16		(7,447	)
EUR	1,805,000	ZAR	27,304,036	Northern Trust Co.		12/28/16		(13,636	)
GBP	1,910,000	USD	2,361,763	Goldman Sachs International		12/28/16		30,052
JPY	210,387,947	CAD	2,675,000	Citibank N.A.		12/28/16		(150,118	)
USD	2,000,448	GBP	1,600,000	Credit Suisse International		12/28/16		(3,167	)
USD	1,991,723	GBP	1,630,000	Royal Bank of Canada		12/28/16		(49,460	)
ZAR	27,675,505	EUR	1,805,000	Barclays Bank PLC		12/28/16		39,886


OTC Credit Default Swaps — Buy Protection
Issuer/Index	Pay Fixed Rate			Counterparty		Expiration Date		Notional Amount (000)			Value			Premiums Paid		Unrealized Depreciation
Australia & New Zealand Banking Group Ltd.		1.00	%		Deutsche Bank AG		9/20/17		USD	1	$	(4	)	$	3	$	(7	)
Westpac Banking Corp.		1.00	%		Deutsche Bank AG		9/20/17		USD	1		(3	)		2		(5	)
Total											$	(7	)	$	5	$	(12	)


OTC Credit Default Swaps — Sell Protection
Issuer/Index	Receive Fixed Rate			Counterparty	Expiration Date		Credit Rating¹		Notional Amount (000)²			Value			Premiums (Received)			Unrealized Appreciation (Depreciation)
MetLife, Inc.		1.00	%	Citibank N.A.		12/20/16		A-		USD	595	$	1,460		$	(484	)	$	1,944
MetLife, Inc.		1.00	%	Citibank N.A.		12/20/16		A-		USD	575		1,424			(509	)		1,933
Markit CMBX North America, Series 8		3.00	%	Barclays Bank PLC		10/17/57		NR		USD	5,000		(823,013	)		(527,167	)		(295,846	)
Markit CMBX North America, Series 8		3.00	%	Credit Suisse International		10/17/57		NR		USD	2,500		(411,507	)		(260,437	)		(151,070	)
Total												$	(1,231,636	)	$	(788,597	)	$	(443,039	)

¹ Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.
² The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	79,956,402	$	17,291,735	$	97,248,137
Common Stocks		—		134,719		—		134,719
Corporate Bonds		—		501,745,434		6,987,895		508,733,329
Floating Rate Loan Interests		—		9,283,329		411,973		9,695,302
Foreign Agency Obligations		—		22,216,589		—		22,216,589
Municipal Bonds		—		23,993,317		—		23,993,317
Non-Agency Mortgage-Backed Securities		—		95,800,804		—		95,800,804
Preferred Securities	$	13,374,671		86,289,254		—		99,663,925
U.S. Government Sponsored Agency Securities		—		89,872,640		2		89,872,642
U.S. Treasury Obligations		—		111,902,919		—		111,902,919
Short-Term Securities:
Money Market Funds		6,118,918		—		—		6,118,918
Options Purchased^:
Interest rate contracts		54,266		4,405,579		—		4,459,845
Foreign currency exchange contracts		—		1,047,958		—		1,047,958

Total	$	19,547,855	$	1,026,648,944	$	24,691,605	$	1,070,888,404


Schedule of Investments (concluded)		BlackRock Core Bond Trust (BHK)


	Asset-Backed Securities			Corporate Bonds			Floating Rate Loan Interests			Non-Agency Mortgage- Backed Securities		U.S. Government Sponsored Agency Securities		Total
Assets:
Opening balance, as of August 31, 2016	$	6,235,302		$	7,833,603		$	425,295			—	$	2	$	14,494,202
Transfers into Level 3¹		—			—			189,658			—		—		189,658
Transfers out of Level 3²		—			—			(176,542	)		—		—		(176,542	)
Accrued discounts/premiums		(45,572	)		—			1,438			—		—		(44,134	)
Net realized gain (loss)		(39,816	)		—			1,507			—		—		(38,309	)
Net change in unrealized appreciation (depreciation)³		122,279			(611,408	)		191			—		—		(488,938	)
Purchases		11,019,542			—			—			—		—		11,019,542
Sales		—			(234,300	)		(29,574	)		—		—		(263,874	)

Closing Balance, as of November 30, 2016	$	17,291,735		$	6,987,895		$	411,973			—	$	2		24,961,605

Net change in unrealized appreciation (depreciation) on investments still held at November 30, 2016	$	122,279		$	(611,408	)	$	191			—		—	$	(488,938	)

¹ As of August 31, 2016, the Trust used observable inputs in determining the value of certain investments. As of November 30, 2016, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.
² As of August 31, 2016, the Trust used significant unobservable inputs in determining the value of certain investments. As of November 30, 2016, the Trust used unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.
³ Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at November 30, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.


2(a) –		The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –		There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.


BlackRock Core Bond Trust

By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Core Bond Trust


By:		/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Core Bond Trust