N-CSR 1 d47808dncsr.htm BLACKROCK CREDIT ALLOCATION INCOME TRUST BLACKROCK CREDIT ALLOCATION INCOME TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21972

 

Name of Fund:   BlackRock Credit Allocation Income Trust (BTZ)

 

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Credit Allocation Income Trust, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 12/31/2020

Date of reporting period: 12/31/2020


Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.


 

LOGO

  DECEMBER 31, 2020

 

   2020 Annual Report

 

BlackRock Core Bond Trust (BHK)

BlackRock Corporate High Yield Fund, Inc. (HYT)

BlackRock Credit Allocation Income Trust (BTZ)

BlackRock Floating Rate Income Trust (BGT)

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Supplemental Information  (unaudited)

 

Section 19(a) Notices

BlackRock Core Bond Trust’s (BHK), BlackRock Corporate High Yield Fund, Inc.’s (HYT), BlackRock Credit Allocation Income Trust’s (BTZ) and BlackRock Floating Rate Income Trust’s (BGT) (collectively the “Trusts”, or individually a “Trust”) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

December 31, 2020

 

     Total Cumulative Distributions
for the Fiscal Period
   

% Breakdown of the Total Cumulative

Distributions for the Fiscal Period

 
Trust Name    

Net
Investment
Income
 
 
 
   

Net Realized
Capital Gains
Short-Term
 
 
 
   

Net Realized
Capital Gains

Long-Term

 
 

 

   
Return of
Capital
 
(a) 
   

Total Per
Common
Share
 
 
 
   

Net
Investment
Income
 
 
 
   

Net Realized
Capital Gains
Short-Term
 
 
 
   

Net Realized
Capital Gains
Long-Term
 
 
 
   
Return of
Capital
 
 
   

Total Per
Common
Share
 
 
 

BHK

  $ 0.755712     $ 0.069488     $     $     $ 0.825200       92     8             100

HYT

    0.817795                   0.117005       0.934800       87                   13       100  

BTZ

    0.862348                   0.144452       1.006800       86                   14       100  

BGT

    0.678138                   0.215262       0.893400       76                   24       100  

 

  (a) 

Each Trust estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Trust’s net asset value per share.

 

Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.

Section 19(b) Disclosure

On September 5, 2019, the Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees or Directors, as applicable (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, starting in October 2019, the Trusts currently distribute the following fixed amounts per share on a monthly basis:

 

     Amount Per  
Exchange Symbol   Common Share  

BHK

  $ 0.0746  

HYT

    0.0779  

BTZ

    0.0839  

BGT

    0.0647  

The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).

Shareholders should not draw any conclusions about each Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.

The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.

 

 

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The Markets in Review

Dear Shareholder,

The 12-month reporting period as of December 31, 2020 has been a time of sudden change in global financial markets, as the emergence and spread of the coronavirus (or “COVID-19”) led to a vast disruption in the global economy and financial markets. The threat from the coronavirus became increasingly apparent throughout February and March 2020, and countries around the world took economically disruptive countermeasures. Stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off, and unemployment claims spiked, causing a global recession and a sharp fall in equity prices.

After markets hit their lowest point of the reporting period in late March 2020, a steady recovery ensued, as businesses began to re-open and governments learned to adapt to life with the virus. Equity prices continued to rise throughout the summer, fed by strong fiscal and monetary support and improving economic indicators. Many equity indices neared or surpassed all-time highs late in the reporting period following a series of successful vaccine trials and passage of additional stimulus. In the United States, both large- and small-capitalization stocks posted a significant advance. International equities from developed economies grew at a more modest pace, lagging emerging market stocks, which rebounded sharply.

During the market downturn, the performance of different types of fixed-income securities initially diverged due to a reduced investor appetite for risk. U.S. Treasuries benefited from the risk-off environment, and posted solid returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) touched an all-time low. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and both investment-grade and high-yield bonds recovered to post positive returns.

Following the coronavirus outbreak, the Fed instituted two emergency interest rate cuts, pushing short-term interest rates, already low as the year began, close to zero. To stabilize credit markets, the Fed also implemented a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion is likely to accelerate as vaccination efforts get under way. The results of the U.S. elections also cleared the way for additional stimulus spending in 2021, which is likely to be a solid tailwind for economic growth. Inflation should increase as the expansion continues, but a shift in central bank policy means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the equity expansion.

Overall, we favor a positive stance toward risk, with an overweight in both equities and credit. We see U.S. and Asian equities benefiting from structural growth trends in tech, while emerging markets should be particularly helped by a vaccine-led economic expansion. In credit, rising inflation should provide tailwinds for inflation-protected bonds, and Euro area peripherals and Asian bonds also provide attractive opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of December 31,
2020
     6-Month   12-Month

U.S. large cap equities
(S&P 500® Index)

      22.16 %         18.40 %  

U.S. small cap equities
(Russell 2000® Index)

      37.85         19.96  

International equities
(MSCI Europe, Australasia, Far East Index)

      21.61         7.82  

Emerging market equities
(MSCI Emerging Markets Index)

      31.14         18.31  

3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index)

      0.07         0.67  

U.S. Treasury securities

(ICE BofA 10-Year U.S. Treasury Index)

      (1.87       10.58  

U.S. investment grade bonds
(Bloomberg Barclays U.S. Aggregate Bond Index)

      1.29         7.51  

Tax-exempt municipal bonds
(S&P Municipal Bond Index)

      2.92         4.95  

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)

      11.32         7.05  
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

 

T H I S  P A G E  I S  N O T  P A R T  O F  Y O U R  F U N D  R E P O R T

  3


Table of Contents

 

      Page  

Supplemental Information

     2  

The Markets in Review

     3  

Annual Report:

  

The Benefits and Risks of Leveraging

     5  

Derivative Financial Instruments

     5  

Trust Summary

     6  

Financial Statements:

  

Schedules of Investments

     18  

Statements of Assets and Liabilities

     124  

Statements of Operations

     126  

Statements of Changes in Net Assets

     127  

Statements of Cash Flows

     129  

Financial Highlights

     131  

Notes to Financial Statements

     135  

Report of Independent Registered Public Accounting Firm

     149  

Important Tax Information

     150  

Investment Objectives, Policies and Risks

     151  

Automatic Dividend Reinvestment Plan

     161  

Trustee and Officer Information

     162  

Additional Information

     165  

Glossary of Terms Used in this Report

     169  

 

 

4       


The Benefits and Risks of Leveraging

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Trust’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a Trust had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Trust’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Trust’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to each Trust’s investment adviser will be higher than if the Trusts did not use leverage.

Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under a reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

T H E  B E N E F I T S  A N D  R I S K S  O F  L E V E R A G I N G  /  D E R I V A T I V E  F I N A N C I A L  I N S T R U M E N T S

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Trust Summary  as of December 31, 2020    BlackRock Core Bond Trust (BHK)

 

Investment Objective

BlackRock Core Bond Trust’s (BHK) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its managed assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, U.S. government and agency securities and mortgage-related securities. The Trust may invest up to 25% of its total managed assets in bonds that at the time of investment are rated Ba/BB or below by Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings, Fitch Ratings (“Fitch”) or another nationally recognized rating agency or bonds that are unrated but judged to be of comparable quality by the investment adviser. The Trust may invest up to 10% of its managed assets in bonds issued in foreign currencies. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BHK

Initial Offering Date

  November 27, 2001

Current Distribution Rate on Closing Market Price as of December 31, 2020 ($16.30)(a)

  5.49%

Current Monthly Distribution per Common Share(b)

  $0.0746

Current Annualized Distribution per Common Share(b)

  $0.8952

Leverage as of December 31, 2020(c)

  25%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (c) 

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/20     12/31/19     Change     High     Low  

Market Price

    $  16.30       $  14.58       11.80     $16.43       $11.44  

Net Asset Value

    16.45       15.32       7.38       16.75       13.52  

Market Price and Net Asset Value History for the Past Five Years

 

LOGO

 

 

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Trust Summary  as of December 31, 2020 (continued)    BlackRock Core Bond Trust (BHK)

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

 

        Average Annual Total Returns      
     1 Year     3 Years     5 Years  

Trust at NAV(a)(b)

    13.24     9.45     9.52

Trust at Market Price(a)(b)

    17.90       11.20       11.38  

Reference Benchmark(c)

    10.51       7.22       7.05  

Bloomberg Barclays U.S. Long Government/Credit Index(d)

    16.12       9.80       9.35  

Bloomberg Barclays Intermediate Credit Index(e)

    7.08       5.46       4.74  

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(f)

    7.05       6.21       8.57  

Bloomberg Barclays CMBS, Eligible for U.S. Aggregate(g)

    8.11       5.67       4.73  

Bloomberg Barclays MBS Index(h)

    3.87       3.71       3.05  

Bloomberg Barclays ABS Index(i)

    4.52       3.60       2.87  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.

 

 

  (b) 

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 

 

  (c) 

The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Long Government/Credit Index (40%); Bloomberg Barclays Intermediate Credit Index (24%); Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (16%); Bloomberg Barclays CMBS, Eligible for U.S. Aggregate Index (8%); Bloomberg Barclays MBS Index (8%); and Bloomberg Barclays ABS Index (4%). The Reference Benchmark’s index content and weightings may have varied over past periods.

 

 

  (d) 

This unmanaged index is the long component of the Bloomberg Barclays U.S. Government/Credit Index. This unmanaged index includes publicly issued U.S. Treasury debt, U.S. government agency debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt.

 

 

  (e) 

This unmanaged index is the intermediate component of the Bloomberg Barclays U.S. Credit Index. The Bloomberg Barclays U.S. Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements.

 

 

  (f) 

An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 

 

  (g) 

This unmanaged index is the CMBS component of the Bloomberg Barclays U.S. Aggregate Index.

 

 

  (h) 

This unmanaged index is a market value-weighted index, which covers the mortgage-backed securities component of the Bloomberg Barclays U.S. Aggregate Bond Index. The unmanaged index is comprised of agency mortgage-backed pass-through securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year. The index includes reinvestment of income.

 

 

  (i) 

This unmanaged index is the asset-backed securities component of the Bloomberg Barclays U.S. Aggregate Index.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.

BHK is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Positive contributors to the Trust’s absolute performance over the period included its allocation to U.S. Treasuries, which benefited as interest rates declined over the period. Exposure to both investment grade and high yield corporate bonds also contributed positively as credit sentiment rebounded based on supportive policy after the market dislocation seen in the first quarter of 2020. Finally, returns for securitized assets including, 30-year pass-through mortgage-backed securities (“MBS”) and asset-backed securities (“ABS”) were also positive.

The principal detractors from the Trust’s absolute performance were its exposures to commercial mortgage-backed securities (“CMBS”), private investments and the Trust’s cash position.

Describe recent portfolio activity.

Over the reporting period, the Trust increased exposure to ABS, emerging market debt, non-dollar exposures, non-agency adjustable rate mortgages and collateralized mortgage obligations (“CMOs”). Over the same period, the Trust trimmed exposure to CMBS, 30-year MBS pass throughs, agency CMOs, and U.S. Treasuries.

Describe portfolio positioning at period end.

At period end, the Trust maintained a diversified exposure within non-government spread sectors, including investment grade corporate credit, high yield corporate credit, CMBS, ABS and emerging market debt. The Trust also held exposure to government-related sectors such as 30-year MBS pass-throughs, agency CMOs and U.S. agency securities.

 

 

T R U S T  S U M M A R Y

  7


Trust Summary  as of December 31, 2020 (continued)    BlackRock Core Bond Trust (BHK)

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Overview of the Trust’s Total Investments

 

PORTFOLIO ALLOCATION

Asset Type(a)   12/31/20     12/31/19  

Corporate Bonds

    48     43

U.S. Treasury Obligations

    22       15  

U.S. Government Sponsored Agency Securities

    9       20  

Asset-Backed Securities

    6       5  

Preferred Securities

    4       8  

Non-Agency Mortgage-Backed Securities

    4       3  

Foreign Agency Obligations

    3       2  

Municipal Bonds

    2       2  

Floating Rate Loan Interests

    2       2  

Other*

    (b)      (b) 

CREDIT QUALITY ALLOCATION

Credit Rating(a)(c)   12/31/20     12/31/19  

AAA/Aaa(d)

    6     1

AA/Aa

    31       2  

A

    12       15  

BBB/Baa

    25       51  

BB/Ba

    11       19  

B/B

          9  

B

    9        

CCC/Caa

    3       2  

CC

    1        

D

    (b)       

N/R

    2       1  
 

 

(a) 

Excludes short-term securities, options purchased and options written.

(b) 

Rounds to less than 1% of total investments.

(c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

(d) 

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

* 

Includes one or more investment categories that individually represents less than 1% of the Trust’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Trust Summary  as of December 31, 2020    BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Investment Objective

BlackRock Corporate High Yield Fund, Inc.’s (HYT) (the “Trust”) primary investment objective is to provide shareholders with current income. The Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing primarily in a diversified portfolio of fixed income securities which are rated at the time of investment to be below investment grade or, if unrated, are considered by the investment adviser to be of comparable quality. The Trust may invest directly in fixed income securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  HYT

Initial Offering Date

  May 30, 2003

Current Distribution Rate on Closing Market Price as of December 31, 2020 ($11.43)(a)

  8.18%

Current Monthly Distribution per Common Share(b)

  $0.0779

Current Annualized Distribution per Common Share(b)

  $0.9348

Leverage as of December 31, 2020(c)

  32%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (c) 

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/20     12/31/19     Change     High     Low  

Market Price

    $  11.43       $11.20       2.05%       $11.81       $6.26  

Net Asset Value

    11.95       11.91       0.34       12.07       8.25  

 

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T R U S T  S U M M A R Y

  9


Trust Summary  as of December 31, 2020 (continued)    BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

 

        Average Annual Total Returns      
     1 Year     3 Years         5 Years      

Trust at NAV(a)(b)

    9.57%       8.11%       10.74%  

Trust at Market Price(a)(b)

    11.45           10.40           12.04      

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(c)

    7.05           6.21           8.57      

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.

 
  (b) 

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An unmanaged index (the “Reference Benchmark”) comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.

HYT is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

High-yield bonds delivered strong returns in 2020. Although the market fell sharply in the first quarter of 2020 due to the emergence of COVID-19, the Fed responded by cutting short-term interest rates to zero and pledging to support the corporate bond market through direct purchases. The high-yield market rebounded quickly in response, and the rally carried through until year end due to the combination of better-than-expected economic growth and the approval of a coronavirus vaccine in November 2020.

The technology, wireless and automotive sectors were the leading contributors to the Trust’s absolute performance in 2020. By credit rating, BB and BBB rated debt made the largest contributions. The Trust had a tactical allocation to investment grade bonds, which also aided results.

The oil field services, finance and refining sectors were the largest detractors from absolute performance. From an asset allocation perspective, positions in preferred stocks detracted from returns. The Trust used derivatives—including credit default swaps and total return swaps—to manage its positioning. This aspect of its strategy was also a minor detractor.

Describe recent portfolio activity.

While the Trust’s key positioning themes remained broadly consistent, the investment adviser used tactical sector- and issuer-level positioning to take advantage of market opportunities. The investment adviser increased the portfolio’s allocation to investment grade-bonds. At the sector level, the Trust increased its allocation to independent energy issues.

Describe portfolio positioning at period end.

The Trust was underweight in BB rated issues and overweight in select CCCs. With that said, the Trust maintained an underweight in the highest-yielding portion of the market with the largest concentration of distressed assets. The Trust’s allocation to investment grade corporate bonds stood at about 13%. The investment adviser continued to invest a portion of the portfolio in floating rate loan interests, which it believed were attractively valued relative to high yield. These senior/secured assets, while experiencing a recovery, did not bounce back to the same extent as high-yield issues – indicating a possible value opportunity. The largest sector overweight positions included technology, cable/satellite and banking, while food & beverage, finance companies and retailers were the largest underweights.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

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Trust Summary  as of December 31, 2020 (continued)    BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Overview of the Trust’s Total Investments

 

PORTFOLIO ALLOCATION

Asset Type   12/31/20     12/31/19  

Corporate Bonds

    85     83

Floating Rate Loan Interests

    9       9  

Preferred Securities

    4       4  

Common Stocks

    1       3  

Investment Companies

    1        

Asset-Backed Securities

    (a)      1  

Warrants

    (a)       

CREDIT QUALITY ALLOCATION

Credit Rating(b)(c)   12/31/20     12/31/19  

BBB/Baa

    12     7

BB/Ba

    37       41  

B

    36       39  

CCC/Caa

    12       10  

N/R(d)

    3       3  
 

 

(a) 

Rounds to less than 1% of total investments.

(b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

(c) 

Excludes short-term securities and options purchased.

(d) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of December 31, 2020 and December 31, 2019, the market value of unrated securities deemed by the investment adviser to be investment grade each represents less than 1% of the Trust’s total investments.

 

 

T R U S T  S U M M A R Y

  11


Trust Summary  as of December 31, 2020    BlackRock Credit Allocation Income Trust (BTZ)

 

Investment Objective

BlackRock Credit Allocation Income Trust’s (BTZ) (the “Trust”) investment objective is to provide current income, current gains and capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as “junk” bonds), bank loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BTZ

Initial Offering Date

  December 27, 2006

Current Distribution Rate on Closing Market Price as of December 31, 2020 ($14.71)(a)

  6.84%

Current Monthly Distribution per Common Share(b)

  $0.0839

Current Annualized Distribution per Common Share(b)

  $1.0068

Leverage as of December 31, 2020(c)

  29%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (c) 

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/20     12/31/19     Change     High     Low  

Market Price

    $    14.71       $    13.98       5.22     $ 15.00       $  9.14  

Net Asset Value

    15.71       14.97       4.94       15.73       11.11  

Market Price and Net Asset Value History for the Past Five Years

 

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Trust Summary  as of December 31, 2020 (continued)    BlackRock Credit Allocation Income Trust (BTZ)

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

 

    Average Annual Total Returns  
     1 Year     3 Years     5 Years  

Trust at NAV(a)(b)

    12.78     9.29     9.82

Trust at Market Price(a)(b)

    13.07       10.62       10.75  

Reference Benchmark(c)

    8.80       6.78       7.29  

Bloomberg Barclays U.S. Credit Index(d)

    9.35       6.80       6.44  

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(e)

    7.05       6.21       8.57  

Bloomberg Barclays USD Capital Securities Index(f)

    9.74       7.40       7.39  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.

 
  (b) 

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Credit Index (50.36%), the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (29.93%), and the Bloomberg Barclays USD Capital Securities Index (19.71%).

 
  (d) 

This unmanaged index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets.

 
  (e) 

An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 
  (f) 

This unmanaged index tracks fixed-rate, investment grade capital securities denominated in USD.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.

BTZ is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Exposure to global credit markets broadly added to performance over the period as spreads tightened and yields declined. Positive contributors to performance included allocations to U.S. investment grade and high yield corporate bonds, capital securities, European investment grade and high yield corporate bonds, emerging market debt, floating rate loan interests and collateralized loan obligations (“CLOs”). Positioning with respect to portfolio duration and corresponding interest rate sensitivity also contributed.

Detractors were limited over the period, as both risk and defensive assets performed well, although strategies to manage risk weighed on performance.

In addition to employing leverage, the Trust used derivatives as part of its investment strategy, including forward contracts to manage foreign currency exposure of non-U.S. positions back to U.S. dollars and interest rate futures to adjust duration positioning tactically as needed. The use of derivatives over the 12-month period had a positive impact on performance, as the use of leverage to gain access to credit sectors outweighed strategies to other holdings within the portfolio.

Describe recent portfolio activity.

The Trust increased leverage over the period. The Trust reduced exposure to U.S. investment grade corporate bonds while increasing allocations to U.S. high yield corporate bonds and non-U.S. credit markets including Europe and Asia.

Describe portfolio positioning at period end.

The Trust was positioned constructively with respect to risk assets given the potential for further stimulus, the continued rebound in growth and the global demand for yield, all of which should be supportive of credit markets. With this backdrop, the Trust maintained core allocations to U.S. high yield corporate bonds, U.S. investment grade corporate bonds and capital securities, with exposure to CLOs and non-U.S. credit markets as well.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

T R U S T  S U M M A R Y

  13


Trust Summary  as of December 31, 2020 (continued)    BlackRock Credit Allocation Income Trust (BTZ)

 

Overview of the Trust’s Total Investments

 

PORTFOLIO ALLOCATION

Asset Type   12/31/20     12/31/19  

Corporate Bonds

    79     75

Preferred Securities

    14       17  

Asset-Backed Securities

    5       5  

Foreign Agency Obligations

    1       2  

Municipal Bonds

    1       1  

Other*

    (a)      (a) 

CREDIT QUALITY ALLOCATION

Credit Rating(b)(c)   12/31/20     12/31/19  

AAA/Aaa(d)

    1     1

AA/Aa

    2       2  

A

    10       15  

BBB/Baa

    50       51  

BB/Ba

    23       19  

B/B

          9  

B

    11        

CCC/Caa

    3       2  

N/R(e)

    (a)      1  
 
(a) 

Rounds to less than 1% of total investments.

(b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

(c) 

Excludes short-term securities, options purchased and options written.

(d) 

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

(e) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of December 31, 2020, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trust’s total investments.

* 

Includes one or more investment categories that individually represents less than 1% of the Trust’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Trust Summary  as of December 31, 2020    BlackRock Floating Rate Income Trust (BGT)

 

Investment Objective

BlackRock Floating Rate Income Trust’s (BGT) (the “Trust”) primary investment objective is to provide a high level of current income. The Trust’s secondary investment objective is to seek the preservation of capital to the extent consistent with its primary objective of high current income. The Trust seeks to achieve its investment objectives by investing primarily, under normal conditions, at least 80% of its assets in floating and variable rate instruments of U.S. and non-U.S. issuers, including a substantial portion of its assets in senior secured floating rate loans made to corporate and other business entities. Under normal market conditions, the Trust expects that the average effective duration of its portfolio will be no more than 1.5 years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BGT

Initial Offering Date

  August 30, 2004

Current Distribution Rate on Closing Market Price as of December 31, 2020 ($11.79)(a)

  6.59%

Current Monthly Distribution per Common Share(b)

  $0.0647

Current Annualized Distribution per Common Share(b)

  $0.7764

Leverage as of December 31, 2020(c)

  30%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (c) 

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/20     12/31/19     Change     High     Low  

Market Price

  $ 11.79     $ 12.87       (8.39 )%      $13.30       $7.20  

Net Asset Value

    13.40       14.10       (4.96     14.21       9.85  

Market Price and Net Asset Value History for the Past Five Years

 

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T R U S T  S U M M A R Y

  15


Trust Summary  as of December 31, 2020 (continued)    BlackRock Floating Rate Income Trust (BGT)

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

 

    Average Annual Total Returns  
     1 Year     3 Years     5 Years  

Trust at NAV(a)(b)

    2.83     4.58     5.80

Trust at Market Price(a)(b)

    (0.88     1.23       5.15  

S&P/LSTA Leveraged Loan Index(c)

    3.12       4.01       5.24  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.

 
  (b) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An unmanaged market value-weighted index (the “Reference Benchmark”) designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.

BGT is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

After falling sharply in the first calendar quarter of 2020 due to the emergence of COVID-19, the floating rate loan interest (“bank loan”) market recovered to finish 2020 with positive returns. As was the case with other credit-oriented segments of the bond market, loans were helped by the combination of aggressive fiscal and monetary stimulus, better-than-expected economic conditions in the second half of the year, and the approval of a coronavirus vaccine in early November 2020.

From an asset allocation perspective, the Trust’s core exposure to bank loans and tactical allocations to investment grade and high yield corporate bonds contributed to performance. By sector, the largest contributors included technology, cable/satellite and automotive. With respect to credit tiers, the Trust’s B rated positions were the leading contributors to absolute returns, followed by CCCs and BBBs.

At the sector level, the largest detractors from performance included energy, lodging and aerospace/defense. By rating class, BB rated issues were the sole detractor.

Describe recent portfolio activity.

The investment adviser increased the Trust’s allocation to high yield and investment grade bonds throughout the year due to the supportive technicals and attractive relative values in these areas. The investment adviser’s credit rating views remained relatively consistent over the past several quarters, focusing on higher-quality B rated issues and avoiding the more volatile, stressed CCC category. The investment adviser tactically managed the Trust’s sector positioning, although it placed a greater focus on individual security selection later in the period. The Trust continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.

Describe portfolio positioning at period end.

The Trust remained predominately invested in bank loans, with the rest primarily invested in high-yield and investment-grade corporates. By credit rating, B rated loans were the Trust’s largest position, and it had a much smaller weighting in the higher-risk CCC rated segment. Within the single B category, the investment adviser remained focused on higher-quality B+ and B rated debt, with less of an emphasis on securities rated B-.

The investment adviser’s core sector views stayed largely intact. Some of the Trust’s largest sector positions were technology companies, particularly in the enterprise software business. Health care, cable/satellite and building materials were also areas where the investment adviser identified compelling risk-reward opportunities. The investment adviser slightly increased the portfolio’s allocation to sectors with above-average sensitivity to COVID-19 during the second half of the year by participating in new issues in the gaming and airline categories. The investment adviser maintained a lower allocation to energy and the consumer cyclical sectors, such as retailers and leisure, on the belief that these market segments continued to face significant headwinds.

Additionally, the Trust had a bias toward larger loan tranches, as well as to loan/bond capital structures over the loan-only segment. The Trust remained underweight in the 2017 and 2018 vintages, arguably a period with more aggressive lending standards and weaker protections for loan holders.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

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Trust Summary  as of December 31, 2020 (continued)    BlackRock Floating Rate Income Trust (BGT)

 

Overview of the Trust’s Total Investments

 

PORTFOLIO ALLOCATION

Asset Type(a)   12/31/20     12/31/19  

Floating Rate Loan Interests

    93     94

Corporate Bonds

    5       1  

Investment Companies

    2       5  

Other*

    (b)      (b) 

CREDIT QUALITY ALLOCATION

Credit Rating(c)(d)   12/31/20     12/31/19  

AAA/Aaa(e)

       

BBB/Baa

    6       8  

BB/Ba

    19       28  

B

    67       57  

CCC/Caa

    6       2  

N/R(f)

    2       5  
 
(a) 

Excludes short-term securities.

(b) 

Rounds to less than 1% of total investments.

(c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

(d) 

Excludes common stocks, warrants, short-term securities, options purchased and options written.

(e) 

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

(f) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of December 31, 2020, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trust’s total investments.

* 

Includes one or more investment categories that individually represents less than 1% of the Trust’s total investments. Please refer to the Schedule of Investments for details.

 

 

T R U S T  S U M M A R Y

  17


Schedule of Investments

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Asset-Backed Securities

     

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 2.94%, 07/15/27(a)(b)

    USD       2,080     $        2,063,323  

Anchorage Capital CLO Ltd.(a)(b)

     

Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.20%), 3.42%, 10/13/30

      720       710,223  

Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.00%), 3.22%, 07/28/28

      1,000       980,827  

Battalion CLO X Ltd., Series 2016-10A, Class CR, (3 mo. LIBOR US + 3.45%), 3.66%, 01/24/29(a)(b)

      1,000       995,639  

Benefit Street Partners CLO X Ltd.,
Series 2016-10A, Class CR, (3 mo. LIBOR US + 3.50%), 3.74%,
01/15/29(a)(b)

      815       805,605  

BlueMountain CLO XXVI Ltd.,
Series 2019-26A, Class E, (3 mo. LIBOR US + 7.70%), 7.92%,
10/20/32(a)(b)

      250       250,709  

Bowman Park CLO Ltd.,
Series 2014-1A, Class D2R,
(3 mo. LIBOR US + 3.35%),
3.56%, 11/23/25(a)(b)

      3,000       2,999,940  

Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.35%), 3.57%, 08/14/30(a)(b)

      1,000       939,874  

CarVal CLO II Ltd.(a)(b)

     

Series 2019-1A, Class D, (3 mo. LIBOR US + 4.15%), 4.37%, 04/20/32

      500       502,482  

Series 2019-1A, Class E, (3 mo. LIBOR US + 6.75%), 6.97%, 04/20/32

      400       392,556  

CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.66%, 07/20/32(a)(b)

      500       489,486  

CarVal CLO Ltd., Series 2018-1A,
Class E, 6.00%, 07/16/31(a)(b)

      500       430,017  

Cifc Funding Ltd., Series 2014-4RA,
Class A1A, (3 mo. LIBOR US + 1.13%), 1.35%, 10/17/30(a)(b)

      1,000       998,289  

CIFC Funding Ltd.(a)(b)

     

Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 1.33%, 01/22/31

      1,000       997,531  

Series 2015-5A, Class A1R, (3 mo. LIBOR US + 0.86%), 1.07%, 10/25/27

      977       971,038  

Series 2020-1A, Class D, (3 mo. LIBOR US + 4.00%), 4.24%, 07/15/32

      500       501,432  

Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.01%, 02/15/29(b)

      2,000       2,044,819  

Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 2.87%, 04/18/31(a)(b)

      1,250       1,220,449  

Dryden 75 CLO Ltd., Series 2019-75A, Class CR, (3 mo. LIBOR US + 2.40%), 2.64%, 07/15/30(a)(b)

      500       500,354  

Dryden XXVIII Senior Loan Fund,
Series 2013-28A, Class B1LR, (3 mo. LIBOR US + 3.15%), 3.37%, 08/15/30(a)(b)

      1,000       979,430  

Eaton Vance Clo Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.25%), 1.47%, 01/20/30(a)(b)

      1,000       996,167  

Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 7.24%, 10/15/32(a)(b)

      1,500       1,493,571  

Elmwood CLO V Ltd., Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 3.03%, 07/24/31(a)(b)

      500       502,440  

Fairstone Financial Issuance Trust I, Series 2020-1A, Class C, 5.16%, 10/20/39(b)

    CAD       170       132,996  

Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, (3 mo. LIBOR US + 2.40%),
2.62%, 11/15/26(a)(b)

    USD       805       785,573  
Security          Par
(000)
    Value  

Asset-Backed Securities (continued)

 

Goldentree Loan Management US Clo 7 Ltd., Series 2020-7A, Class D, (3 mo. LIBOR US + 2.98%), 3.20%, 04/20/31(a)(b)

    USD       625     $           628,060  

Highbridge Loan Management, Series 3A-2014, Class CR, (3 mo. LIBOR US + 3.60%), 3.82%, 07/18/29(a)(b)

      1,000       962,429  

Lending Funding Trust, Series 2020-2A, Class C, 4.30%, 04/21/31(b)

      240       243,765  

Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 3.82%, 10/20/26(a)(b)

      3,750       3,732,973  

Litigation Fee Residual Funding Trust, 4.00%, 10/30/27

      1,308       1,286,514  

Long Beach Mortgage Loan Trust,
Series 2006-8, Class 2A4, (1 mo. LIBOR US + 0.24%), 0.39%, 09/25/36(a)

      6,982       2,907,245  

Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 6.62%, 01/20/29(a)(b)

      250       243,277  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2007- HE5, Class A2D, (1 mo. LIBOR US + 0.34%), 0.49%, 03/25/37(a)

      5,939       3,122,824  

Neuberger Berman CLO XV, Series 2013-15A, Class DR, (3 mo. LIBOR US + 3.05%), 3.29%, 10/15/29(a)(b)

      1,000       967,753  

Neuberger Berman Loan Advisers CLO Ltd., Series 2020-37A, Class C, (3 mo. LIBOR US + 2.50%), 2.72%, 07/20/31(a)(b)

      1,162       1,164,451  

OCP CLO Ltd.(a)(b)

     

Series 2015-9A, Class BR, 1.99%, 07/15/27

      250       246,650  

Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.26%), 1.50%, 07/15/30

      1,000       999,998  

Series 2020-19A, Class C, (3 mo. LIBOR US + 2.95%), 3.27%, 07/20/31

      250       249,838  

Series 2020-19A, Class D, (3 mo. LIBOR US + 4.47%), 4.79%, 07/20/31

      250       249,176  

Octagon Investment Partners XXII Ltd., Series 2014- 1A, Class DRR, (3 mo. LIBOR US + 2.75%), 2.97%, 01/22/30(a)(b)

      500       478,199  

OHA Credit Partners VII Ltd., Series 2012-7A, Class DR, (3 mo. LIBOR US + 4.20%), 4.42%, 11/20/27(a)(b)

      1,160       1,153,615  

OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 7.36%, 01/21/30(a)(b)

      595       595,188  

OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.84%, 05/14/32(b)

      2,000       2,109,338  

OZLM Funding III Ltd., Series 2013-3A, Class BRR, (3 mo. LIBOR US + 2.70%), 2.92%, 01/22/29(a)(b)

      1,500       1,491,966  

OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 3.37%, 10/17/29(a)(b)

      875       852,074  

OZLM XIV Ltd., Series 2015-14A,
Class CR, (3 mo. LIBOR US + 3.00%), 3.24%, 01/15/29(a)(b)

      1,000       969,708  

OZLM XXI Ltd., Series 2017-21A, Class C, (3 mo. LIBOR US + 2.67%), 2.89%, 01/20/31(a)(b)

      1,000       948,107  

Palmer Square CLO Ltd., Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 2.97%, 07/20/30(a)(b)

      250       245,929  

Palmer Square Loan Funding Ltd.(a)(b) Series 2018-5A, Class D, (3 mo. LIBOR US + 4.25%), 4.47%, 01/20/27

      1,000       877,346  
 

 

 

18  

2 0 2 0  B L A C K R O C K  A N N U A L  R E P O R T  T O  S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Asset-Backed Securities (continued)

 

Palmer Square Loan Funding Ltd.(a)(b) (continued)

 

Series 2019-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.47%, 04/20/27

    USD       750     $           733,898  

Series 2019-3A, Class B, (3 mo. LIBOR US + 2.10%), 2.32%, 08/20/27

      1,750       1,699,641  

Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 3.62%, 08/20/27

      750       736,813  

Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), 3.46%, 10/24/27

      250       249,942  

Regatta VI Funding Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 5.00%), 5.22%, 07/20/28(a)(b)

      250       239,041  

Republic Finance Issuance Trust,
Series 2020-A, Class C, 4.05%, 11/20/30(b)

      240       243,568  

Rockford Tower CLO Ltd., Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.89%, 04/15/29(a)(b)

      1,750       1,675,316  

SLM Private Education Loan Trust, Series 2014-A, Class B, 3.50%, 11/15/44(b)

      500       506,042  

Sound Point Clo XIV Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 3.85%), 4.06%, 01/23/29(a)(b)

      1,550       1,550,030  

Sterling Coofs Trust(b)(c)

     

Series 2004-1, Class A, 2.36%, 04/15/29

      1,504       15,040  

Series 2004-2, Class Note, 2.08%, 03/30/30

      1,282       12,819  

Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2, 3.45%, 02/25/32

      205       197,305  

TCI-Flatiron CLO Ltd., Series 2016-1A, Class DR, 4.02%, 07/17/28(a)(b)

      635       631,159  

TICP CLO V Ltd., Series 2016-5A,
Class ER, (3 mo. LIBOR US + 5.75%), 5.97%, 07/17/31(a)(b)

      537       523,973  

TICP CLO X Ltd., Series 2018-10A, Class E, (3 mo. LIBOR US + 5.50%), 5.72%, 04/20/31(a)(b)

      250       240,729  

TRESTLES CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 3.65%), 3.86%, 07/25/29(a)(b)

      250       249,970  

Voya CLO Ltd.(a)(b)

     

Series 2017-3A, Class C, (3 mo. LIBOR US + 3.55%), 3.77%, 07/20/30

      1,000       981,043  

Series 2018-2A, Class A2, 1.49%, 07/15/31

      1,000       996,323  

Series 2019-3A, Class C, (3 mo. LIBOR US + 2.60%), 2.82%, 10/17/32

      1,500       1,482,596  

Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 3.47%, 07/20/28(a)(b)

      1,185       1,179,309  

York Clo Ltd., Series 2016-2A, Class DR, (3 mo. LIBOR US + 3.15%), 3.37%, 04/20/32(a)(b)

      1,500       1,450,947  

York CLO Ltd., Series 2016-1A,
Class DR, (3 mo. LIBOR US + 3.60%), 3.82%, 10/20/29(a)(b)

      1,750       1,750,824  
   

 

 

 

Total Asset-Backed Securities — 7.6%
(Cost: $67,201,027)

 

    67,757,521  
     

 

 

 
            Shares         

Common Stocks

     
Energy Equipment & Services — 0.0%  

Pioneer Energy Services Corp.(c)

      542       21,047  
     

 

 

 

Total Common Stocks — 0.0%
(Cost: $7,225)

        21,047  
     

 

 

 
Security          Par
(000)
    Value  

Corporate Bonds

     
Advertising Agencies — 0.2%                  

Interpublic Group of Cos., Inc., 3.75%, 02/15/23

    USD       2,000     $        2,136,750  
     

 

 

 
Aerospace & Defense — 1.8%                  

Amsted Industries, Inc., 5.63%, 07/01/27(b)

      95       100,938  

Bombardier, Inc.(b)

     

8.75%, 12/01/21

      489       508,560  

5.75%, 03/15/22

      62       63,257  

6.00%, 10/15/22

      6       5,890  

6.13%, 01/15/23

      204       199,410  

7.50%, 12/01/24

      82       78,660  

7.50%, 03/15/25

      25       23,188  

7.88%, 04/15/27

      448       411,909  

Eaton Corp., 4.15%, 11/02/42

      500       633,512  

F-Brasile SpA/F-Brasile US LLC,
Series XR, 7.38%, 08/15/26(b)

      200       194,000  

General Electric Co.

     

6.15%, 08/07/37

      2,150       2,963,896  

6.88%, 01/10/39

      135       198,731  

Howmet Aerospace, Inc., 5.13%, 10/01/24

      9       9,907  

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b)

      371       389,086  

Lockheed Martin Corp., 4.09%, 09/15/52

      1,410       1,866,383  

Moog, Inc., 4.25%, 12/15/27(b)

      89       92,338  

Rolls-Royce PLC, 5.75%, 10/15/27(b)

      200       221,500  

Signature Aviation US Holdings, Inc.(b)

     

5.38%, 05/01/26

      72       73,800  

4.00%, 03/01/28

      211       212,403  

Smiths Group PLC, 3.63%, 10/12/22(b)

      360       377,222  

Spirit AeroSystems, Inc., 5.50%, 01/15/25(b)

      121       127,643  

TransDigm, Inc.

     

8.00%, 12/15/25(b)

      468       517,280  

6.25%, 03/15/26(b)

      3,574       3,806,310  

6.38%, 06/15/26

      131       135,585  

Triumph Group, Inc., 8.88%, 06/01/24(b)

      685       751,788  

United Technologies Corp., 6.13%, 07/15/38

      1,450       2,148,686  
     

 

 

 
        16,111,882  
Airlines — 1.0%                  

American Airlines Pass-Through Trust

     

Series 2013-2, Class A, 4.95%, 07/15/24

      2,106       2,006,656  

Series 2015-2, Class A, 4.00%, 03/22/29

      1,181       1,096,496  

Series 2015-2, Class AA, 3.60%, 03/22/29

      1,180       1,161,803  

Avianca Holdings SA, (3 mo. LIBOR US + 10.50% Cash or 12.00% PIK), 10.74%, 11/10/21(a)(b)(d)

      86       79,980  

Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b)

      90       98,236  

Gol Finance SA, 7.00%, 01/31/25(b)

      200       179,312  

Latam Finance Ltd., 6.88%, 04/11/24(b)(e)(f)

      257       129,142  

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b)

      801       861,075  

United Airlines Pass-Through Trust

     

Series 2016-1, Class A, 5.88%, 10/15/27

      610       658,930  

Series A, Class A, 4.30%, 02/15/27

      2,811       2,839,263  
     

 

 

 
        9,110,893  
Auto Components — 0.4%                  

Aptiv PLC, 4.40%, 10/01/46

      465       500,033  

Clarios Global LP, 6.75%, 05/15/25(b)

      171       184,253  
 

 

 

S C H E D U L E  O F  I N V E S T M E N T S

  19


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Auto Components (continued)                  

Clarios Global LP/Clarios US Finance Co.

     

4.38%, 05/15/26

    EUR       100     $           126,551  

6.25%, 05/15/26(b)

    USD       732       785,070  

8.50%, 05/15/27(b)

      1,413       1,535,096  

Dealer Tire LLC/DT Issuer LLC,
8.00%, 02/01/28(b)

      227       239,015  

ZF Finance GmbH

     

3.00%, 09/21/25

    EUR       100       126,135  

3.75%, 09/21/28

      100       131,022  
     

 

 

 
        3,627,175  
Automobiles — 1.3%                  

Allison Transmission, Inc.(b)

     

5.88%, 06/01/29

    USD       413       456,365  

3.75%, 01/30/31

      207       211,787  

Asbury Automotive Group, Inc.

     

4.50%, 03/01/28

      86       89,655  

4.75%, 03/01/30

      84       90,090  

FCE Bank PLC, 1.62%, 05/11/23

    EUR       100       122,228  

Ford Motor Co.

     

4.35%, 12/08/26

    USD       7       7,455  

4.75%, 01/15/43

      2,000       2,040,000  

5.29%, 12/08/46

      19       19,855  

Ford Motor Credit Co. LLC

     

5.88%, 08/02/21

      300       307,050  

2.98%, 08/03/22

      245       249,091  

3.35%, 11/01/22

      314       319,495  

3.81%, 01/09/24

      400       410,000  

4.06%, 11/01/24

      200       210,114  

5.13%, 06/16/25

      330       358,809  

4.13%, 08/04/25

      279       292,601  

4.39%, 01/08/26

      400       419,872  

General Motors Co.

     

6.80%, 10/01/27

      357       458,785  

5.00%, 10/01/28

      41       48,785  

6.25%, 10/02/43

      2,506       3,380,518  

General Motors Financial Co., Inc.

     

4.25%, 05/15/23

      807       869,762  

5.65%, 01/17/29

      45       55,759  

Group 1 Automotive, Inc.,
4.00%, 08/15/28(b)

      108       111,324  

Ken Garff Automotive LLC, 4.88%, 09/15/28(b)

      82       85,280  

Navistar International Corp., 6.63%, 11/01/25(b)

      174       182,291  

Nissan Motor Co. Ltd., 4.81%, 09/17/30(b)

      206       231,959  

Penske Automotive Group, Inc.

     

3.50%, 09/01/25

      45       45,731  

5.50%, 05/15/26

      22       22,852  

Tesla, Inc., 5.30%, 08/15/25(b)

      282       293,985  

Wabash National Corp.,
5.50%, 10/01/25(b)

      176       179,520  
     

 

 

 
        11,571,018  
Banks — 1.8%                  

Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25

    EUR       100       125,243  

Banco Bilbao Vizcaya Argentaria SA, (5 year USD Swap + 3.87%), 6.13%(a)(g)

    USD       2,200       2,317,260  

Bancolombia SA, (5 year CMT + 2.94%), 4.63%, 12/18/29(a)

      200       210,000  

Bank Leumi Le-Israel BM, (5 year CMT + 1.63%), 3.28%, 01/29/31(a)(b)

      281       288,815  

Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25

      200       203,188  
Security          Par
(000)
    Value  
Banks (continued)                  

Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70%(a)(g)

    USD       250     $           253,906  

CIT Group, Inc., 5.00%, 08/01/23

      124       135,470  

Commerzbank AG, (5 year EUR Swap + 4.35%), 4.00%, 12/05/30(a)

    EUR       100       133,384  

Cooperatieve Rabobank UA, 3.95%, 11/09/22

    USD       1,500       1,592,461  

Emirates NBD Bank PJSC, (6 year USD Swap + 3.66%), 6.13%(a)(g)

      250       266,250  

Intesa Sanpaolo SpA, 5.02%, 06/26/24(b)

      3,151       3,447,440  

Itau Unibanco Holding SA,
5.13%, 05/13/23(b)

      200       213,437  

Santander Holdings USA, Inc.,
4.50%, 07/17/25

      2,000       2,269,120  

Santander UK Group Holdings PLC,
2.88%, 08/05/21 .

      1,250       1,267,507  

Standard Chartered PLC, (5 year USD ICE Swap + 1.97%), 4.87%, 03/15/33(a)(b)

      500       563,253  

Unione di Banche Italiane SpA, (5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a)

    EUR       100       136,468  

Wells Fargo & Co., 3.90%, 05/01/45

    USD       2,250       2,812,442  
     

 

 

 
        16,235,644  
Beverages — 1.1%                  

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46

      4,600       5,981,061  

ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(d)

      501       534,817  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

     

5.25%, 04/30/25(b)

      244       257,420  

4.75%, 07/15/27

    GBP       100       141,708  

5.25%, 08/15/27(b)

    USD       442       464,016  

Ball Corp., 5.25%, 07/01/25

      12       13,695  

Central American Bottling Corp., 5.75%, 01/31/27(b)

      222       235,181  

Crown Cork & Seal Co., Inc., 7.38%, 12/15/26

      23       28,003  

Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b)

      431       439,504  

Silgan Holdings, Inc., 4.13%, 02/01/28

      7       7,271  

Trivium Packaging Finance BV

     

3.75%, 08/15/26

    EUR       100       125,463  

5.50%, 08/15/26(b)

    USD       628       664,110  

8.50%, 08/15/27(b)

      738       808,110  
     

 

 

 
        9,700,359  
Biotechnology — 0.6%                  

Amgen, Inc., 4.40%, 05/01/45

      2,250       2,887,799  

Baxalta, Inc., 5.25%, 06/23/45

      500       684,805  

Emergent BioSolutions, Inc., 3.88%, 08/15/28(b)

      51       52,811  

Gilead Sciences, Inc., 4.80%, 04/01/44

      1,000       1,319,645  
     

 

 

 
        4,945,060  
Building Materials — 0.3%                  

Boise Cascade Co., 4.88%, 07/01/30(b)

      92       99,590  

Cemex SAB de CV, 5.45%, 11/19/29

      200       219,750  

Cornerstone Building Brands, Inc., 6.13%, 01/15/29(b)

      359       381,437  

CP Atlas Buyer, Inc., 7.00%, 12/01/28(b)

      62       64,480  

Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(b)

      429       461,175  

Griffon Corp., 5.75%, 03/01/28

      59       62,392  

Jeld-Wen, Inc.(b)

     

6.25%, 05/15/25

      98       105,840  

4.63%, 12/15/25

      37       37,759  

4.88%, 12/15/27

      11       11,632  

Masonite International Corp.(b)
5.75%, 09/15/26

      52       54,340  
 

 

 

20  

2 0 2 0  B L A C K R O C K  A N N U A L  R E P O R T  T O  S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Building Materials (continued)  

Masonite International Corp.(b) (continued)

     

5.38%, 02/01/28

    USD       17     $           18,254  

Norbord, Inc., 6.25%, 04/15/23(b)

      111       120,435  

SRM Escrow Issuer LLC, 6.00%,
11/01/28(b)

      282       294,734  

Standard Industries, Inc.(b)

     

5.00%, 02/15/27

      119       124,355  

4.75%, 01/15/28

      54       56,835  

4.38%, 07/15/30

      272       290,967  

3.38%, 01/15/31

      417       419,085  

Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b)

      117       122,850  
     

 

 

 
        2,945,910  
Building Products — 0.6%                  

Advanced Drainage Systems, Inc., 5.00%, 09/30/27(b)

      248       260,494  

Home Depot, Inc., 5.88%, 12/16/36

      1,660       2,516,805  

LBM Acquisition LLC, 6.25%, 01/15/29(b)

      133       137,323  

Lowe’s Cos., Inc., 4.38%, 09/15/45

      1,000       1,255,850  

Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%,
09/30/26(b)

      259       274,473  

SRS Distribution, Inc., 8.25%, 07/01/26(b)

      371       394,187  

White Cap Buyer LLC, 6.88%, 10/15/28(b)

      267       284,689  
     

 

 

 
        5,123,821  
Capital Markets — 1.8%                  

Charles Schwab Corp., (10 year CMT + 3.08%), 4.00%(a)(g)

      2,195       2,310,238  

FMR LLC, 4.95%, 02/01/33(b)

      2,300       3,094,849  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

     

4.75%, 09/15/24

      112       116,340  

6.38%, 12/15/25

      83       85,864  

6.25%, 05/15/26

      57       60,357  

5.25%, 05/15/27

      232       248,704  

Intercorp Peru Ltd., 3.88%, 08/15/29(b)

      200       207,250  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(d)

    EUR       100       124,303  

NFP Corp., 6.88%, 08/15/28(b)

    USD       149       159,084  

Northern Trust Corp., 3.95%, 10/30/25

      8,000       9,233,265  

Owl Rock Capital Corp., 5.25%, 04/15/24

      56       60,607  

Raymond James Financial, Inc., 4.95%, 07/15/46

      400       548,179  

RP Escrow Issuer LLC, 5.25%, 12/15/25(b)

      104       108,686  
     

 

 

 
        16,357,726  
Chemicals — 0.7%                  

Air Liquide Finance SA, 3.50%, 09/27/46(b)

      360       438,098  

Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(b)(d)

      297       298,783  

Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(b)

      1,112       1,131,460  

Axalta Coating Systems LLC, 3.38%, 02/15/29(b)

      198       198,000  

Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b)

      150       159,563  

Blue Cube Spinco LLC

     

9.75%, 10/15/23

      22       22,605  

10.00%, 10/15/25

      162       171,518  

Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b)

      219       244,253  

Element Solutions, Inc., 3.88%, 09/01/28(b)

      793       815,799  

Equate Petrochemical BV, 4.25%,
11/03/26(b)

      206       229,239  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(b)

      101       104,030  
Security          Par
(000)
    Value  
Chemicals (continued)                  

HB Fuller Co., 4.25%, 10/15/28

    USD       66     $           67,650  

Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b)

      226       248,600  

Ingevity Corp., 3.88%, 11/01/28(b)

      57       57,428  

Minerals Technologies, Inc., 5.00%,
07/01/28(b)

      114       119,290  

Monitchem HoldCo 3 SA, 5.25%, 03/15/25

    EUR       100       126,459  

NOVA Chemicals Corp., 4.88%, 06/01/24(b)

    USD       41       42,691  

Orbia Advance Corp. SAB de CV(b)

     

4.00%, 10/04/27

      200       220,812  

5.50%, 01/15/48

      200       240,562  

PQ Corp., 5.75%, 12/15/25(b)

      309       317,111  

Valvoline, Inc., 3.63%, 06/15/31(b)(h)

      1       1,026  

Vedanta Resources Finance II PLC, 9.25%, 04/23/26

      200       148,000  

WESCO Distribution, Inc.(b)

     

7.13%, 06/15/25

      339       372,842  

7.25%, 06/15/28

      417       474,250  

WR Grace & Co-Conn(b)

     

5.63%, 10/01/24

      21       22,654  

4.88%, 06/15/27

      128       135,747  

Yingde Gases Investment Ltd., 6.25%, 01/19/23

      200       206,125  
     

 

 

 
        6,614,595  
Commercial Services & Supplies — 0.2%                  

ADT Security Corp., 4.88%, 07/15/32(b)

      333       360,889  

APX Group, Inc.

     

7.88%, 12/01/22

      80       80,200  

8.50%, 11/01/24

      82       86,100  

ASGN, Inc., 4.63%, 05/15/28(b)

      62       64,480  

Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(b)

      50       52,256  

Herc Holdings, Inc., 5.50%, 07/15/27(b)

      222       235,320  

Intertrust Group BV, 3.38%, 11/15/25

    EUR       100       124,580  

Prime Security Services Borrower LLC/Prime

     

Finance, Inc.(b)

     

5.25%, 04/15/24

    USD       49       52,308  

5.75%, 04/15/26

      78       85,410  

3.38%, 08/31/27

      175       173,687  

6.25%, 01/15/28

      10       10,736  

United Rentals North America, Inc.

     

3.88%, 11/15/27

      53       55,517  

4.88%, 01/15/28

      55       58,575  

5.25%, 01/15/30

      40       44,400  

4.00%, 07/15/30

      28       29,470  
     

 

 

 
        1,513,928  
Communications Equipment — 0.3%                  

Avaya, Inc., 6.13%, 09/15/28(b)

      445       475,376  

CommScope Technologies LLC(b)

     

6.00%, 06/15/25

      243       248,467  

5.00%, 03/15/27

      276       271,860  

CommScope, Inc.(b)

     

5.50%, 03/01/24

      349       359,819  

6.00%, 03/01/26

      158       166,469  

8.25%, 03/01/27

      27       28,823  

7.13%, 07/01/28

      24       25,560  

Nokia OYJ

     

4.38%, 06/12/27

      31       33,809  

6.63%, 05/15/39

      88       112,403  
 

 

 

S C H E D U L E  O F  I N V E S T M E N T S

  21


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Communications Equipment (continued)  

ViaSat, Inc.(b)

     

5.63%, 04/15/27

    USD       263     $           276,150  

6.50%, 07/15/28

      434       469,679  
     

 

 

 
        2,468,415  
Construction & Engineering — 0.5%                  

frontdoor, Inc., 6.75%, 08/15/26(b)

      135       143,944  

ITR Concession Co. LLC, 4.20%,
07/15/25(b)

      4,000       4,403,760  

KBR, Inc., 4.75%, 09/30/28(b)

      124       129,270  

SPIE SA, 2.63%, 06/18/26

    EUR       100       127,784  
     

 

 

 
        4,804,758  
Construction Materials(b) — 0.3%                  

American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28

    USD       75       77,625  

Core & Main LP, 6.13%, 08/15/25

      1,089       1,125,754  

H&E Equipment Services, Inc., 3.88%, 12/15/28

      85       85,909  

IAA, Inc., 5.50%, 06/15/27

      56       59,360  

KAR Auction Services, Inc., 5.13%, 06/01/25

      97       99,816  

Picasso Finance Sub, Inc., 6.13%, 06/15/25

      338       361,660  

Williams Scotsman International, Inc., 4.63%, 08/15/28

      162       167,670  

Winnebago Industries, Inc., 6.25%, 07/15/28

      92       98,900  

Wolverine Escrow LLC

     

8.50%, 11/15/24

      164       156,461  

9.00%, 11/15/26

      145       137,250  
     

 

 

 
        2,370,405  
Consumer Discretionary — 0.1%                  

Carnival Corp., 9.88%, 08/01/27(b)

      116       133,400  

Nielsen Finance LLC/Nielsen Finance
Co.(b)

     

5.63%, 10/01/28

      318       345,523  

5.88%, 10/01/30

      160       181,000  

Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26

    EUR       100       127,980  
     

 

 

 
        787,903  
Consumer Finance — 1.0%                  

Capital One Financial Corp., 4.75%, 07/15/21

    USD       1,935       1,980,147  

Moody’s Corp., 4.50%, 09/01/22

      1,800       1,901,372  

MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b)

      486       477,641  

Muthoot Finance Ltd.

     

6.13%, 10/31/22(b)

      247       258,424  

4.40%, 09/02/23

      200       203,625  

Navient Corp.

     

7.25%, 09/25/23

      46       50,415  

6.13%, 03/25/24

      67       71,522  

5.88%, 10/25/24

      39       41,437  

5.00%, 03/15/27

      173       174,514  

OneMain Finance Corp.

     

6.88%, 03/15/25

      68       78,965  

7.13%, 03/15/26

      248       293,260  

6.63%, 01/15/28

      141       167,437  

5.38%, 11/15/29

      78       87,750  

4.00%, 09/15/30

      91       94,423  

Refinitiv US Holdings, Inc.(b)

     

4.50%, 05/15/26

    EUR       245       314,644  

6.25%, 05/15/26

    USD       143       152,652  

8.25%, 11/15/26

      544       593,640  

Sabre GLBL, Inc.(b)

     

5.25%, 11/15/23

      29       29,363  

9.25%, 04/15/25

      153       182,070  
Security          Par
(000)
    Value  
Consumer Finance (continued)                  

Sabre GLBL, Inc.(b) (continued)

     

7.38%, 09/01/25

    USD       168     $           182,280  

Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b)

      191       198,640  

Verscend Escrow Corp., 9.75%, 08/15/26(b)

      1,279       1,386,116  

WEX, Inc., 4.75%, 02/01/23(b)

      123       123,154  
     

 

 

 
        9,043,491  
Containers & Packaging — 0.3%                  

Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30

    .       200       225,625  

Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26

      136       149,892  

Graphic Packaging International LLC(b)

     

4.75%, 07/15/27

      53       58,698  

3.50%, 03/15/28

      45       46,631  

Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(b)

    .       108       110,970  

International Paper Co., 6.00%, 11/15/41

      870       1,274,235  

Intertape Polymer Group, Inc., 7.00%, 10/15/26(b)

      119       126,201  

LABL Escrow Issuer LLC(b)

     

6.75%, 07/15/26

      166       179,773  

10.50%, 07/15/27

      234       263,543  

Suzano Austria GmbH, 3.75%, 01/15/31

      80       84,800  
     

 

 

 
        2,520,368  
Diversified Consumer Services — 0.4%                  

Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)

     

6.63%, 07/15/26

      1,442       1,537,605  

9.75%, 07/15/27

      315       343,350  

Ascend Learning LLC, 6.88%, 08/01/25

      461       474,009  

Garda World Security Corp.(b)

     

4.63%, 02/15/27

      191       192,910  

9.50%, 11/01/27

      128       141,760  

Graham Holdings Co., 5.75%, 06/01/26(b)

      27       28,350  

Laureate Education, Inc., 8.25%, 05/01/25(b)

      50       53,000  

Service Corp. International, 3.38%, 08/15/30

      62       64,493  

Sotheby’s, 7.38%, 10/15/27(b)

      265       283,881  
     

 

 

 
        3,119,358  
Diversified Financial Services — 3.3%                  

Ally Financial, Inc., 8.00%, 11/01/31

      810       1,188,975  

Arrow Global Finance PLC, 5.13%, 09/15/24

    GBP       100       136,187  

ASG Finance Designated Activity Co., 7.88%, 12/03/24(b)

    USD       200       172,500  

Bank of America Corp., 3.25%, 10/21/27

      4,000       4,476,371  

Barclays PLC, 3.65%, 03/16/25

      4,320       4,752,587  

Central Garden & Pet Co., 4.13%, 10/15/30

      127       132,397  

Citigroup, Inc., (5 year CMT + 3.60%), 4.00%(a)(g)

      105       107,756  

Credit Agricole SA, (5 year USD Swap + 4.90%), 7.88%(a)(b)(g)

      1,000       1,135,000  

Credit Suisse Group AG, (5 year CMT + 3.55%), 4.50%(a)(b)(g)

      200       200,980  

Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(d)

      209       186,820  

Goldman Sachs Group, Inc. 3.75%, 05/22/25

      8,965       10,065,458  

Series R, (5 year CMT + 3.22%),
4.95%(a)(g)

      465       491,933  

HSBC Holdings PLC, 6.10%, 01/14/42

      610       929,228  

Intercontinental Exchange, Inc., 4.00%, 10/15/23

      470       515,610  

Intrum AB, 3.00%, 09/15/27

    EUR       100       117,095  
 

 

 

22  

2 0 2 0  B L A C K R O C K  A N N U A L  R E P O R T  T O  S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Diversified Financial Services (continued)  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b)

     

5.25%, 03/15/22

    USD       17     $             17,085  

4.25%, 02/01/27

      212       208,290  

Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75%(a)(g)

      595       667,144  

Manappuram Finance Ltd., 5.90%, 01/13/23

      200       206,687  

Morgan Stanley

     

4.00%, 07/23/25

      905       1,035,656  

3.13%, 07/27/26

      2,000       2,235,533  

Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b)

      200       207,875  

Spectrum Brands, Inc.(b)

     

5.00%, 10/01/29

      79       84,838  

5.50%, 07/15/30

      104       112,060  
     

 

 

 
        29,384,065  
Diversified Telecommunication Services — 4.2%  

AT&T, Inc.

     

6.10%, 07/15/40

      830       1,160,015  

6.38%, 03/01/41

      520       763,378  

5.15%, 03/15/42

      2,400       3,047,816  

4.75%, 05/15/46

      2,710       3,342,812  

Axtel SAB de CV, 6.38%, 11/14/24(b)

      200       208,437  

CenturyLink, Inc.

     

5.13%, 12/15/26(b)

      552       582,890  

4.00%, 02/15/27(b)

      121       124,933  

4.50%, 01/15/29(b)

      419       426,332  

Series P, 7.60%, 09/15/39

      243       295,245  

Series U, 7.65%, 03/15/42

      315       381,150  

Series W, 6.75%, 12/01/23

      74       82,418  

Series Y, 7.50%, 04/01/24

      219       248,017  

Cincinnati Bell, Inc.(b)

     

7.00%, 07/15/24

      144       149,760  

8.00%, 10/15/25

      45       47,981  

Consolidated Communications, Inc., 6.50%, 10/01/28(b)

      468       500,760  

Frontier Communications Corp.(b)

     

5.88%, 10/15/27

      311       336,269  

5.00%, 05/01/28

      561       584,842  

6.75%, 05/01/29

      279       298,530  

Level 3 Financing, Inc.(b)

     

4.25%, 07/01/28

      334       343,185  

3.63%, 01/15/29

      287       286,282  

Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(d)

      153       162,897  

SoftBank Group Corp.

     

4.00%, 04/20/23

    EUR       100       127,333  

5.00%, 04/15/28

      100       136,031  

Sprint Capital Corp.

     

6.88%, 11/15/28

    USD       792       1,044,236  

8.75%, 03/15/32

      359       568,432  

Switch Ltd., 3.75%, 09/15/28(b)

      213       216,195  

Telecom Italia Capital SA

     

6.38%, 11/15/33

      131       161,130  

6.00%, 09/30/34

      337       410,496  

7.20%, 07/18/36

      60       80,950  

7.72%, 06/04/38

      199       276,610  
Security          Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Telecom Italia SpA

     

5.30%, 05/30/24(b)

    USD       200     $           217,500  

3.00%, 09/30/25

    EUR       100       129,987  

Verizon Communications, Inc.

     

6.40%, 02/15/38

    USD       5,700       7,763,161  

6.55%, 09/15/43

      6,751       10,851,310  

Zayo Group Holdings, Inc.(b)

     

4.00%, 03/01/27

      562       563,405  

6.13%, 03/01/28

      848       896,760  
     

 

 

 
        36,817,485  
Electric Utilities — 3.4%                  

Cleveland Electric Illuminating Co., 5.95%, 12/15/36

      434       530,359  

Duke Energy Carolinas LLC

     

6.10%, 06/01/37

      640       947,697  

6.00%, 01/15/38

      1,675       2,511,814  

4.25%, 12/15/41

      750       955,292  

Duke Energy Florida LLC

     

6.35%, 09/15/37

      2,775       4,236,587  

6.40%, 06/15/38

      770       1,194,279  

E.ON International Finance BV, 6.65%, 04/30/38(b)

      3,100       4,623,165  

Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b)

      201       215,133  

Energuate Trust, 5.88%, 05/03/27(b)

      201       212,181  

FirstEnergy Corp.

     

2.65%, 03/01/30

      17       17,054  

Series B, 3.90%, 07/15/27

      64       70,547  

Series B, 2.25%, 09/01/30

      14       13,542  

Series C, 4.85%, 07/15/47

      314       390,771  

Series C, 3.40%, 03/01/50

      127       121,645  

FirstEnergy Transmission LLC(b)

     

5.45%, 07/15/44

      200       253,773  

4.55%, 04/01/49

      96       112,112  

NextEra Energy Operating Partners LP(b)

     

4.25%, 07/15/24

      10       10,700  

4.25%, 09/15/24

      3       3,210  

Ohio Power Co., Series D, 6.60%, 03/01/33

      3,000       4,225,507  

PacifiCorp, 6.25%, 10/15/37

      1,225       1,829,474  

PG&E Corp., 5.25%, 07/01/30

      229       251,900  

Pike Corp., 5.50%, 09/01/28(b)

      113       119,356  

Southern California Edison Co., 5.63%, 02/01/36

      1,300       1,657,248  

Virginia Electric & Power Co., Series A, 6.00%, 05/15/37

      3,920       5,738,614  
     

 

 

 
        30,241,960  
Electrical Equipment(b) — 0.0%                  

Gates Global LLC/Gates Corp., 6.25%, 01/15/26

      212       222,600  

GrafTech Finance, Inc., 4.63%, 12/15/28

      91       92,024  
     

 

 

 
        314,624  
Electronic Equipment, Instruments & Components — 0.4%  

BWX Technologies, Inc.(b)

     

5.38%, 07/15/26

      136       141,270  

4.13%, 06/30/28

      169       175,971  

CDW LLC/CDW Finance Corp., 3.25%, 02/15/29

      266       271,240  

Corning, Inc., 4.38%, 11/15/57

      2,000       2,501,091  

Energizer Holdings, Inc.(b)

     

4.75%, 06/15/28

      172       181,030  

4.38%, 03/31/29

      13       13,462  
 

 

 

S C H E D U L E  O F  I N V E S T M E N T S

  23


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Electronic Equipment, Instruments & Components (continued)  

Itron, Inc., 5.00%, 01/15/26(b)

    USD       18     $ 18,383  

Xerox Corp., 4.80%, 03/01/35

      122       122,915  
     

 

 

 
               3,425,362  
Energy Equipment & Services — 0.3%  

Anton Oilfield Services Group/Hong Kong, 7.50%, 12/02/22

      200       173,000  

Archrock Partners LP/Archrock Partners Finance Corp.(b)

     

6.88%, 04/01/27

      227       244,309  

6.25%, 04/01/28

      164       170,717  

ChampionX Corp., 6.38%, 05/01/26

      146       147,460  

Halliburton Co., 5.00%, 11/15/45

      500       594,387  

Pioneer Energy Services Corp.(b)(c)(d)

     

(11.00% Cash), 11.00%, 05/15/25

      220       176,147  

(5.00% PIK), 5.00%, 11/15/25

      156       84,042  

USA Compression Partners LP/USA Compression Finance Corp.

     

6.88%, 04/01/26

      237       247,665  

6.88%, 09/01/27

      372       397,140  
     

 

 

 
        2,234,867  
Environmental, Maintenance, & Security Service — 0.2%  

Clean Harbors, Inc., 5.13%, 07/15/29(b)

      109       119,083  

Covanta Holding Corp., 5.00%, 09/01/30

      60       64,196  

GFL Environmental, Inc.(b)

     

4.25%, 06/01/25

      98       101,675  

3.75%, 08/01/25

      177       181,425  

5.13%, 12/15/26

      361       384,014  

8.50%, 05/01/27

      140       155,400  

4.00%, 08/01/28

      225       226,687  

3.50%, 09/01/28

      216       219,915  

Stericycle Inc., 3.88%, 01/15/29(b)

      108       110,970  

Tervita Corp., 11.00%, 12/01/25(b)

      75       80,703  

Waste Pro USA, Inc., 5.50%, 02/15/26(b)

      318       325,155  
     

 

 

 
        1,969,223  
Equity Real Estate Investment Trusts (REITs) — 1.3%  

ERP Operating LP, 4.50%, 06/01/45

      1,155       1,522,748  

Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b)

      182       187,639  

Healthpeak Properties, Inc., 4.00%, 06/01/25

      2,000       2,269,655  

Iron Mountain, Inc.(b)

     

5.25%, 03/15/28

      77       81,257  

4.88%, 09/15/29

      20       21,100  

5.25%, 07/15/30

      420       453,600  

5.63%, 07/15/32

      355       391,388  

LMIRT Capital Pte Ltd., 7.25%, 06/19/24

      250       249,844  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.

     

5.63%, 05/01/24

      335       363,860  

4.63%, 06/15/25(b)

      256       274,176  

4.50%, 09/01/26

      277       298,024  

5.75%, 02/01/27

      16       17,950  

4.50%, 01/15/28

      205       218,095  

3.88%, 02/15/29(b)

      284       290,390  

MPT Operating Partnership LP/MPT Finance Corp.

     

5.00%, 10/15/27

      58       61,698  

4.63%, 08/01/29

      376       401,850  

3.50%, 03/15/31

      308       318,010  

RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27

      477       493,695  
Security          Par
(000)
    Value  
Equity Real Estate Investment Trusts (REITs) (continued)  

Simon Property Group LP, 4.75%, 03/15/42

    USD       1,670     $ 2,043,309  

Starwood Property Trust, Inc., 5.00%, 12/15/21

      77       78,291  

Trust Fibra Uno, 6.95%, 01/30/44

      476       581,761  

Ventas Realty LP, 4.13%, 01/15/26

      870       1,000,779  
     

 

 

 
             11,619,119  
Food & Staples Retailing — 0.8%  

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b)

     

3.25%, 03/15/26

      200       203,000  

7.50%, 03/15/26

      65       72,738  

4.63%, 01/15/27

      324       344,655  

5.88%, 02/15/28

      219       238,314  

4.88%, 02/15/30

      144       158,671  

Cydsa SAB de CV, 6.25%, 10/04/27(b)

      319       335,747  

Grupo KUO SAB de CV, 5.75%, 07/07/27(b)

      200       210,437  

Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24

      200       208,313  

Kraft Heinz Foods Co.

     

4.25%, 03/01/31(b)

      749       835,178  

5.00%, 07/15/35

      85       103,041  

6.88%, 01/26/39

      160       221,705  

4.63%, 10/01/39(b)

      53       59,177  

6.50%, 02/09/40

      110       148,688  

5.00%, 06/04/42

      86       100,902  

5.20%, 07/15/45

      95       112,960  

4.38%, 06/01/46

      252       272,650  

4.88%, 10/01/49(b)

      706       823,636  

5.50%, 06/01/50(b)

      842       1,060,712  

Lamb Weston Holdings, Inc., 4.88%, 05/15/28(b)

      143       159,624  

Post Holdings, Inc., 4.63%, 04/15/30(b)

      223       234,587  

Walgreens Boots Alliance, Inc., 4.80%, 11/18/44

      1,000       1,135,857  
     

 

 

 
        7,040,592  
Food Products — 0.3%  

Aramark Services, Inc.

     

5.00%, 04/01/25(b)

      138       142,140  

6.38%, 05/01/25(b)

      164       175,275  

4.75%, 06/01/26

      154       158,535  

5.00%, 02/01/28(b)

      163       171,761  

Chobani LLC/Chobani Finance Corp., Inc.(b)

     

7.50%, 04/15/25

      262       274,733  

4.63%, 11/15/28

      181       183,715  

Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), 5.95%(a)(b)(g)

      200       214,625  

JBS USA LUX SA/JBS USA Finance, Inc.(b)

     

5.75%, 06/15/25

      307       316,747  

6.75%, 02/15/28

      93       104,073  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 04/15/29(b)

      86       100,113  

MHP Lux SA, 6.25%, 09/19/29(b)

      400       408,125  

Minerva Luxembourg SA, 6.50%,
09/20/26(b)

      200       209,688  

Simmons Foods, Inc., 7.75%, 01/15/24(b)

      157       163,476  
     

 

 

 
        2,623,006  
Health Care Equipment & Supplies — 0.4%  

Avantor Funding, Inc., 4.63%, 07/15/28(b)

      641       677,857  

Hologic, Inc.(b)

     

4.63%, 02/01/28

      51       54,124  

3.25%, 02/15/29

      109       110,908  
 

 

 

24  

2 0 2 0  B L A C K R O C K  A N N U A L  R E P O R T  T O  S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Health Care Equipment & Supplies (continued)  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA(b)

     

7.38%, 06/01/25

    USD       400     $ 426,000  

7.25%, 02/01/28

      822       867,210  

Thermo Fisher Scientific, Inc., 5.30%, 02/01/44

      1,000              1,453,058  
     

 

 

 
        3,589,157  
Health Care Providers & Services — 1.6%  

Acadia Healthcare Co., Inc.(b)

     

5.50%, 07/01/28

      138       148,219  

5.00%, 04/15/29

      114       121,695  

AdaptHealth LLC, 6.13%, 08/01/28(b)

      98       105,228  

Aetna, Inc., 4.50%, 05/15/42

      575       708,359  

AHP Health Partners, Inc., 9.75%, 07/15/26(b)

      351       387,416  

Anthem, Inc., 4.38%, 12/01/47

      1,000       1,288,922  

Centene Corp.

     

5.38%, 08/15/26(b)

      154       162,663  

4.25%, 12/15/27

      264       279,840  

4.63%, 12/15/29

      733       813,784  

3.00%, 10/15/30

      207       219,399  

CHS/Community Health Systems, Inc.(b)

     

8.63%, 01/15/24

      354       369,045  

6.63%, 02/15/25

      248       261,015  

8.00%, 03/15/26

      1,137       1,225,117  

5.63%, 03/15/27

      548       589,237  

6.00%, 01/15/29

      402       434,265  

Encompass Health Corp., 4.63%, 04/01/31

      68       72,760  

HCA, Inc.

     

5.38%, 02/01/25

      225       253,019  

5.63%, 09/01/28

      200       236,000  

5.88%, 02/01/29

      126       151,638  

3.50%, 09/01/30

      409       434,594  

5.50%, 06/15/47

      850       1,135,354  

Legacy LifePoint Health LLC(b)

     

6.75%, 04/15/25

      130       139,595  

4.38%, 02/15/27

      65       65,081  

LifePoint Health, Inc., 5.38%, 01/15/29(b)

      101       100,783  

Molina Healthcare, Inc.(b)

     

4.38%, 06/15/28

      62       65,255  

3.88%, 11/15/30

      156       167,310  

Northwell Healthcare, Inc., 4.26%, 11/01/47

      725       869,841  

Providence Service Corp., 5.88%, 11/15/25(b)

      48       50,760  

RegionalCare Hospital Partners Holdings,

     

Inc./LifePoint Health, Inc., 9.75%,
12/01/26(b)

      68       74,800  

Surgery Center Holdings, Inc.(b)

     

6.75%, 07/01/25

      378       384,615  

10.00%, 04/15/27

      275       303,875  

Teleflex, Inc., 4.25%, 06/01/28(b)

      226       239,560  

Tenet Healthcare Corp.(b)

     

4.63%, 09/01/24

      98       101,185  

7.50%, 04/01/25

      119       130,008  

4.88%, 01/01/26

      720       753,199  

6.25%, 02/01/27

      40       42,400  

5.13%, 11/01/27

      478       506,082  

4.63%, 06/15/28

      55       57,613  

6.13%, 10/01/28

      290       302,174  
     

 

 

 
        13,751,705  
Health Care Technology — 0.2%  

Catalent Pharma Solutions, Inc. 4.88%, 01/15/26(b)

      49       49,980  
Security          Par
(000)
    Value  
Health Care Technology (continued)  

Catalent Pharma Solutions, Inc. (continued)

     

2.38%, 03/01/28

    EUR       100     $ 122,426  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(b)

    USD       518       528,360  

Charles River Laboratories International, Inc.(b)

     

5.50%, 04/01/26

      11       11,521  

4.25%, 05/01/28

      67       70,183  

IQVIA, Inc.(b)

     

5.00%, 10/15/26

      280       292,600  

5.00%, 05/15/27

      266       282,765  

Mednax, Inc.(b)

     

5.25%, 12/01/23

      107       108,316  

6.25%, 01/15/27

      169       181,246  

Syneos Health, Inc., 3.63%, 01/15/29(b)

      311       311,860  

Synlab Bondco PLC, (3 mo. EURIBOR + 4.75%), 4.75%, 07/01/25(a)

    EUR       100       124,578  
     

 

 

 
               2,083,835  
Hotels, Restaurants & Leisure — 2.0%  

1011778 BC ULC/New Red Finance, Inc.(b)

     

5.75%, 04/15/25

    USD       82       87,740  

3.88%, 01/15/28

      204       207,217  

4.38%, 01/15/28

      351       361,530  

3.50%, 02/15/29

      65       64,919  

4.00%, 10/15/30

      39       39,524  

Boyd Gaming Corp.

     

8.63%, 06/01/25(b)

      65       72,292  

6.38%, 04/01/26

      99       102,842  

6.00%, 08/15/26

      68       70,550  

4.75%, 12/01/27

      121       125,689  

Boyne USA, Inc., 7.25%, 05/01/25(b)

      120       125,850  

Caesars Entertainment, Inc.(b)

     

6.25%, 07/01/25

      986       1,050,090  

8.13%, 07/01/27

      816       903,330  

Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b)

      205       217,213  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b)

      379       395,107  

Churchill Downs, Inc.(b)

     

5.50%, 04/01/27

      357       377,974  

4.75%, 01/15/28

      243       255,757  

Corvias Campus Living USG LLC, 5.30%, 07/01/50(c)

      5,663       4,128,877  

Fortune Star BVI Ltd.

     

5.95%, 01/29/23

      200       205,250  

6.75%, 07/02/23

      250       263,047  

5.95%, 10/19/25

      200       209,250  

GLP Capital LP/GLP Financing II, Inc.

     

5.25%, 06/01/25

      223       250,893  

5.38%, 04/15/26

      98       112,472  

Golden Nugget, Inc., 6.75%, 10/15/24(b)

      696       691,003  

Hilton Domestic Operating Co., Inc.

     

5.38%, 05/01/25(b)

      123       130,688  

5.13%, 05/01/26

      11       11,358  

5.75%, 05/01/28(b)

      148       160,950  

4.88%, 01/15/30

      444       485,070  

4.00%, 05/01/31(b)

      274       289,100  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27

      44       46,571  

Las Vegas Sands Corp. 2.90%, 06/25/25

      35       36,625  
 

 

 

S C H E D U L E  O F  I N V E S T M E N T S

  25


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Las Vegas Sands Corp. (continued)

     

3.50%, 08/18/26

    USD       31     $           33,173  

3.90%, 08/08/29

      29       31,188  

Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26

      24       25,080  

McDonald’s Corp., 3.70%, 02/15/42

      1,750       2,052,315  

Melco Resorts Finance Ltd., 5.25%, 04/26/26

      250       261,250  

MGM China Holdings Ltd., 5.88%, 05/15/26

      250       263,410  

MGM Resorts International

     

7.75%, 03/15/22

      19       20,235  

6.00%, 03/15/23

      71       76,236  

Powdr Corp., 6.00%, 08/01/25(b)

      142       149,455  

Scientific Games International, Inc.

     

8.63%, 07/01/25(b)

      136       148,920  

5.00%, 10/15/25(b)

      319       329,173  

3.38%, 02/15/26

    EUR       100       121,096  

8.25%, 03/15/26(b)

    USD       203       218,753  

7.00%, 05/15/28(b)

      100       107,521  

7.25%, 11/15/29(b)

      96       105,360  

Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b)

      508       548,640  

Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25

    GBP       100       138,459  

Studio City Finance Ltd., 7.25%, 02/11/24

    USD       250       260,156  

Vail Resorts, Inc., 6.25%, 05/15/25(b)

      105       112,088  

Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b)

      104       108,061  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b)

      125       128,844  

Wynn Macau Ltd.

     

4.88%, 10/01/24

      200       202,875  

5.50%, 10/01/27

      200       206,875  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)

     

7.75%, 04/15/25

      163       176,651  

5.13%, 10/01/29

      493       516,417  

Yum! Brands, Inc.

     

7.75%, 04/01/25(b)

      12       13,290  

4.75%, 01/15/30(b)

      20       21,930  

3.63%, 03/15/31

      85       85,921  

5.35%, 11/01/43

      44       49,720  
     

 

 

 
        17,991,870  
Household Durables — 0.3%  

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.(b)

     

6.25%, 09/15/27

      90       95,737  

4.88%, 02/15/30

      202       208,817  

CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b)

      158       168,862  

Controladora Mabe SA de CV, 5.60%, 10/23/28(b)

      215       253,431  

K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b)

      206       216,300  

Lennar Corp.

     

4.75%, 05/30/25

      2       2,285  

5.25%, 06/01/26

      38       45,030  

Mattamy Group Corp., 4.63%, 03/01/30(b)

      159       168,540  

MDC Holdings, Inc., 6.00%, 01/15/43

      126       168,909  

Meritage Homes Corp., 5.13%, 06/06/27

      35       39,113  

NCR Corp.(b)

     

5.75%, 09/01/27

      108       114,750  

5.00%, 10/01/28

      73       77,015  

6.13%, 09/01/29

      57       63,127  

5.25%, 10/01/30

      74       79,365  

PulteGroup, Inc.

     

5.00%, 01/15/27

      16       18,880  
Security          Par
(000)
    Value  
Household Durables (continued)  

PulteGroup, Inc. (continued)

     

7.88%, 06/15/32

    USD       14     $ 20,948  

6.38%, 05/15/33

      216                 295,942  

6.00%, 02/15/35

      27       36,712  

Taylor Morrison Communities, Inc.(b)

     

5.88%, 06/15/27

      119       134,865  

5.13%, 08/01/30

      100       112,000  

Tempur Sealy International, Inc., 5.50%, 06/15/26

      67       69,727  

Toll Brothers Finance Corp., 4.35%, 02/15/28

      8       8,880  

TRI Pointe Group, Inc., 5.25%, 06/01/27

      28       30,450  
     

 

 

 
        2,429,685  
Household Products(b) — 0.0%  

ACCO Brands Corp., 5.25%, 12/15/24

      59       60,621  

Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26

      48       50,074  
     

 

 

 
        110,695  
Independent Power and Renewable Electricity Producers — 0.4%  

Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24

      200       221,187  

Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24 .

      200       212,875  

Calpine Corp.(b)

     

5.25%, 06/01/26

      10       10,345  

4.50%, 02/15/28

      130       135,200  

5.13%, 03/15/28

      879       924,682  

4.63%, 02/01/29

      180       185,090  

5.00%, 02/01/31

      235       245,575  

3.75%, 03/01/31

      160       158,453  

Clearway Energy Operating LLC, 4.75%, 03/15/28(b)

      84       90,090  

ENN Clean Energy International Investment Ltd., 7.50%, 02/27/21

      200       200,500  

Greenko Dutch BV, 5.25%, 07/24/24

      200       207,500  

Greenko Mauritius Ltd., 6.25%, 02/21/23

      200       207,500  

Greenko Solar Mauritius Ltd., 5.95%, 07/29/26

      200       215,188  

NRG Energy, Inc.(b)

     

5.25%, 06/15/29

      137       150,700  

3.63%, 02/15/31

      264       271,603  

ReNew Power Synthetic, 6.67%, 03/12/24

      200       210,938  

TerraForm Power Operating LLC, 4.75%, 01/15/30(b)

      121       129,470  
     

 

 

 
        3,776,896  
Insurance — 2.7%  

Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(b)

      9       9,528  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)

     

4.25%, 10/15/27

      749       765,853  

6.75%, 10/15/27

      1,126       1,204,820  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25

      1,495       1,623,882  

Allstate Corp., (3 mo. LIBOR US + 2.12%), 6.50%, 05/15/67(a)

      4,100       5,564,889  

AmWINS Group, Inc., 7.75%, 07/01/26(b)

      89       95,577  

Aon PLC

     

3.88%, 12/15/25

      1,445       1,647,385  

4.60%, 06/14/44

      500       665,376  

Asahi Mutual Life Insurance Co., (5 year USD Swap + 4.59%), 6.50%(a)(g)

      333       357,317  

Assicurazioni Generali SpA, (3 mo. EURIBOR + 5.35%), 5.50%, 10/27/47(a)

    EUR       100       150,294  

AssuredPartners, Inc., 5.63%, 01/15/29(b)

    USD       177       184,744  

Five Corners Funding Trust, 4.42%, 11/15/23(b)

      2,050       2,273,910  
 

 

 

26  

2 0 2 0  B L A C K R O C K  A N N U A L  R E P O R T  T O  S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Insurance (continued)  

GTCR AP Finance, Inc., 8.00%,
05/15/27(b)

    USD       171     $ 185,697  

HUB International Ltd., 7.00%, 05/01/26(b)

      848       886,830  

Liberty Mutual Group, Inc., 6.50%, 05/01/42(b)

      2,000              2,881,200  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, (3 mo. EURIBOR + 3.50%), 6.00%, 05/26/41(a)

    EUR       400       499,787  

Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%,
10/18/32(a)(b)

    USD       720       787,413  

Prudential Financial, Inc.

     

5.90%, 03/17/36

      500       671,440  

5.70%, 12/14/36

      1,625       2,355,063  

Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(b)

      700       875,324  

Unipol Gruppo SpA, 3.25%, 09/23/30

    EUR       100       129,283  
     

 

 

 
        23,815,612  
Interactive Media & Services — 0.2%  

21Vianet Group, Inc., 7.88%, 10/15/21

    USD       200       204,000  

Arches Buyer, Inc., 4.25%, 06/01/28(b)

      73       73,927  

Cablevision Lightpath LLC(b)

     

3.88%, 09/15/27

      220       221,375  

5.63%, 09/15/28

      419       438,379  

Netflix, Inc.

     

5.88%, 11/15/28

      216       258,930  

5.38%, 11/15/29(b)

      363       427,886  

3.63%, 06/15/30

    EUR       100       138,692  

Twitter, Inc., 3.88%, 12/15/27(b)

    USD       64       68,160  
     

 

 

 
        1,831,349  
Internet Software & Services(b) — 0.2%  

Expedia Group, Inc., 6.25%, 05/01/25

      408       472,913  

Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27

      27       28,418  

Match Group Holdings II LLC

     

4.63%, 06/01/28

      9       9,433  

4.13%, 08/01/30

      57       59,280  

Uber Technologies, Inc.

     

7.50%, 05/15/25

      492       531,468  

8.00%, 11/01/26

      197       215,000  

7.50%, 09/15/27

      437       480,700  

6.25%, 01/15/28

      133       144,637  
     

 

 

 
        1,941,849  
IT Services — 0.6%  

Austin BidCo, Inc., 7.13%, 12/15/28(b)

      48       50,100  

Banff Merger Sub, Inc., 9.75%, 09/01/26(b)

      1,054       1,138,478  

Booz Allen Hamilton, Inc., 3.88%, 09/01/28(b)

      241       248,230  

Camelot Finance SA, 4.50%, 11/01/26(b)

      207       216,056  

Castle U.S. Holding Corp., 9.50%, 02/15/28(b)

      202       202,000  

Dun & Bradstreet Corp.(b)

     

6.88%, 08/15/26

      269       289,175  

10.25%, 02/15/27

      131       147,703  

Fair Isaac Corp., 4.00%, 06/15/28(b)

      107       112,618  

Fidelity National Information Services, Inc., 4.50%, 08/15/46

      1,000       1,278,417  

Gartner, Inc.(b)

     

4.50%, 07/01/28

      199       209,945  

3.75%, 10/01/30

      167       175,978  

Presidio Holdings, Inc., 4.88%, 02/01/27(b)

      205       217,460  

Rackspace Technology Global, Inc., 5.38%, 12/01/28(b)

      284       297,547  

Science Applications International Corp., 4.88%, 04/01/28(b)

      173       183,380  
Security          Par
(000)
    Value  
IT Services (continued)  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp.(b)

     

5.75%, 06/01/25

    USD       168     $ 178,500  

6.75%, 06/01/25

      575       594,291  
     

 

 

 
               5,539,878  
Leisure Products — 0.1%  

Mattel, Inc.

     

6.75%, 12/31/25(b)

      298       314,530  

5.88%, 12/15/27(b)

      77       85,566  

6.20%, 10/01/40

      86       100,405  

5.45%, 11/01/41

      139       152,949  
     

 

 

 
        653,450  
Machinery — 0.2%  

ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(b)

      71       72,243  

Colfax Corp., 6.38%, 02/15/26(b)

      105       112,088  

Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(d)

      226       245,775  

Platin 1426 GmbH, 5.38%, 06/15/23

    EUR       100       121,360  

RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(b)

    USD       114       116,137  

Stevens Holding Co., Inc., 6.13%,
10/01/26(b)

      90       97,200  

Terex Corp., 5.63%, 02/01/25(b)

      147       151,428  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(b)

      434       451,360  

Vertical Holdco GmbH, 7.63%, 07/15/28(b)

      200       218,000  

Vertical Midco GmbH, 4.38%, 07/15/27

    EUR       100       128,548  

Vertical US Newco, Inc., 5.25%, 07/15/27(b)

    USD       266       281,960  
     

 

 

 
        1,996,099  
Media — 5.0%  

Altice Financing SA

     

7.50%, 05/15/26(b)

      402       424,231  

3.00%, 01/15/28

    EUR       100       117,453  

5.00%, 01/15/28(b)

    USD       239       244,888  

Altice France Holding SA(b)

     

10.50%, 05/15/27

      1,088       1,221,280  

6.00%, 02/15/28

      257       260,212  

AMC Networks, Inc.

     

5.00%, 04/01/24

      2       2,033  

4.75%, 08/01/25

      135       139,414  

Block Communications, Inc., 4.88%, 03/01/28(b)

      87       89,610  

Cable One, Inc., 4.00%, 11/15/30(b)

      165       171,394  

CCO Holdings LLC/CCO Holdings Capital Corp.(b)

     

5.88%, 05/01/27

      18       18,698  

5.00%, 02/01/28

      189       199,867  

5.38%, 06/01/29

      155       169,919  

4.75%, 03/01/30

      132       142,428  

4.50%, 08/15/30

      607       644,179  

4.25%, 02/01/31

      575       605,969  

4.50%, 05/01/32

      858       916,104  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25

      4,700       5,458,805  

Clear Channel International BV, 6.63%, 08/01/25(b)

      256       270,080  

Clear Channel Worldwide Holdings, Inc.

     

9.25%, 02/15/24

      395       399,937  

5.13%, 08/15/27(b)

      993       1,002,930  

Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22

      2,600       3,042,799  

Comcast Corp. 6.45%, 03/15/37

      790       1,216,156  
 

 

 

S C H E D U L E  O F  I N V E S T M E N T S

  27


Schedule of Investments  (continued)

December 31, 2020

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)  

Comcast Corp. (continued)

     

4.60%, 08/15/45

    USD       2,000     $ 2,701,671  

4.70%, 10/15/48

      3,000       4,191,404  

Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b)

      1,293              1,392,820  

CSC Holdings LLC

     

5.25%, 06/01/24

      166       179,678  

5.75%, 01/15/30(b)

      443       485,639  

4.13%, 12/01/30(b)

      201       210,166  

4.63%, 12/01/30(b)

      897       936,244  

3.38%, 02/15/31(b)

      200       196,250  

Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(b)

      366       297,375  

Discovery Communications LLC

     

3.25%, 04/01/23

      1,850       1,947,753  

3.45%, 03/15/25

      210       230,498  

DISH DBS Corp.

     

6.75%, 06/01/21

      443       451,953