UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-10543

 

Name of Fund: BlackRock Core Bond Trust (BHK)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 11/30/2011

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments November 30, 2011 (Unaudited)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities — 5.0%

 

 

 

 

 

 

 

321 Henderson Receivables I LLC,
Series 2010-3A, Class A, 3.82%,
12/15/48 (a)

 

USD

829

 

$

831,015

 

AmeriCredit Automobile
Receivables Trust, Series 2011-
5, Class C, 3.44%, 10/08/17

 

 

400

 

 

400,610

 

Citibank Omni Master Trust, Series
2009-A17, Class A17, 4.90%,
11/15/18 (a)

 

 

730

 

 

794,692

 

Countrywide Asset-Backed
Certificates, Series 2006-13,
Class 3AV2, 0.44%, 1/25/37 (b)

 

 

1,200

 

 

754,025

 

Credit Acceptance Auto Loan Trust,
Series 2010-1, Class B, 3.63%,
10/15/18 (a)

 

 

1,980

 

 

1,980,596

 

DT Auto Owner Trust (a):

 

 

 

 

 

 

 

Series 2011-2A, Class C,
3.05%, 2/16/16

 

 

1,500

 

 

1,495,617

 

Series 2011-3A, Class C,
4.03%, 2/15/17

 

 

255

 

 

255,000

 

Globaldrive BV, Series 2008-2,
Class A, 4.00%, 10/20/16

 

EUR

285

 

 

385,834

 

Home Equity Asset Trust, Series
2007-2, Class 2A1, 0.37%,
7/25/37 (b)

 

USD

147

 

 

143,581

 

Nelnet Student Loan Trust, Series
2006-1, Class A5, 0.61%,
8/23/27 (b)

 

 

1,060

 

 

985,021

 

SLM Student Loan Trust (b):

 

 

 

 

 

 

 

Series 2004-B, Class A2,
0.55%, 6/15/21

 

 

223

 

 

214,234

 

Series 2008-5, Class A3,
1.72%, 1/25/18

 

 

515

 

 

523,121

 

Series 2008-5, Class A4,
2.12%, 7/25/23

 

 

2,000

 

 

2,052,324

 

Santander Consumer Acquired
Receivables Trust (a):

 

 

 

 

 

 

 

Series 2011-S1A, Class B,
1.66%, 8/15/16

 

 

637

 

 

631,335

 

Series 2011-S1A, Class C,
2.01%, 8/15/16

 

 

474

 

 

466,348

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities (concluded)

 

 

 

 

 

 

 

Santander Consumer Acquired
Receivables Trust (a) (concluded):

 

 

 

 

 

 

 

Series 2011-S1A, Class D,
3.15%, 8/15/16

 

USD

489

 

$

485,007

 

Series 2011-WO, Class C,
3.19%, 10/15/15

 

 

580

 

 

585,162

 

Santander Drive Auto Receivables Trust:

 

 

 

 

 

 

 

Series 2010-2, Class B,
2.24%, 12/15/14

 

 

860

 

 

858,382

 

Series 2010-2, Class C,
3.89%, 7/17/17

 

 

1,010

 

 

1,028,570

 

Series 2010-B, Class B,
2.10%, 9/15/14 (a)

 

 

700

 

 

699,246

 

Series 2010-B, Class C,
3.02%, 10/17/16 (a)

 

 

740

 

 

733,133

 

Series 2011-S1A, Class B,
1.48%, 5/15/17 (a)

 

 

406

 

 

402,095

 

Series 2011-S1A, Class D,
3.10%, 5/15/17 (a)

 

 

442

 

 

440,419

 

Series 2011-S2A, Class C,
2.86%, 6/15/17 (a)

 

 

1,045

 

 

1,034,462

 

Small Business Administration, Class 1:

 

 

 

 

 

 

 

Series 2003-P10B, 5.14%,
8/10/13

 

 

266

 

 

279,187

 

Series 2004-P10B, 4.75%,
8/10/14

 

 

184

 

 

195,064

 

 

 

 

 

 

 

18,654,080

 

Interest Only Asset-Backed Securities — 0.2%

 

 

 

 

 

 

 

Sterling Bank Trust, Series 2004-2,
Class Note, 2.08%, 3/30/30 (a)

 

 

4,200

 

 

326,813

 

Sterling Coofs Trust, Series 1,
2.36%, 4/15/29

 

 

6,510

 

 

510,611

 

 

 

 

 

 

 

837,424

 

Total Asset-Backed Securities – 5.2%

 

 

 

 

 

19,491,504

 

 

 

 

 

 

 

 

 

 

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

AUD

Australian Dollar

CAD

Canadian Dollar

CNY

Chinese Renminbi

EUR

Euro

Fannie

 

Mae

Federal National Mortgage Association

FKA

Formerly Known As

Freddie

Federal Home Loan Mortgage

Mac

Corporation

Ginnie

Government National Mortgage

Mae

Association

JPY

Japanese Yen

LIBOR

London Interbank Offered Rate

NOK

Norwegian Krone

NZD

New Zealand Dollar

RB

Revenue Bonds

SEK

Swedish Krona

SGD

Singapore Dollar

TBA

To Be Announced

USD

US Dollar

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions,
Inc. (c)

 

 

135

 

$

1

 

Total Common Stocks – 0.0%

 

 

 

 

 

1

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15

 

USD

1,125

 

 

1,258,382

 

6.13%, 7/15/38

 

 

700

 

 

870,088

 

 

 

 

 

 

 

2,128,470

 

Airlines — 0.3%

 

 

 

 

 

 

 

Continental Airlines, Inc., Series
2010-1-B, 6.00%, 1/12/19

 

 

700

 

 

644,000

 

United Air Lines, Inc., 12.75%,
7/15/12

 

 

334

 

 

347,263

 

 

 

 

 

 

 

991,263

 

Auto Components — 0.1%

 

 

 

 

 

 

 

BorgWarner, Inc., 4.63%, 9/15/20

 

 

265

 

 

277,744

 

Beverages — 0.1%

 

 

 

 

 

 

 

Crown European Holdings SA,
7.13%, 8/15/18 (a)

 

EUR

355

 

 

477,013

 

Building Products — 0.1%

 

 

 

 

 

 

 

Momentive Performance Materials,
Inc., 11.50%, 12/01/16

 

USD

510

 

 

364,650

 

Capital Markets — 5.5%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%,
12/31/13 (d)

 

 

720

 

 

723,456

 

CDP Financial, Inc. (a):

 

 

 

 

 

 

 

3.00%, 11/25/14

 

 

1,005

 

 

1,046,036

 

5.60%, 11/25/39

 

 

2,935

 

 

3,556,712

 

Credit Suisse AG:

 

 

 

 

 

 

 

2.60%, 5/27/16 (a)

 

 

570

 

 

567,199

 

5.40%, 1/14/20 (e)

 

 

1,795

 

 

1,639,144

 

E*Trade Financial Corp., 12.50%,
11/30/17 (f)

 

 

1,570

 

 

1,774,100

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

3.70%, 8/01/15

 

 

400

 

 

385,986

 

3.63%, 2/07/16 (e)

 

 

4,869

 

 

4,583,716

 

5.38%, 3/15/20

 

 

1,220

 

 

1,150,946

 

Morgan Stanley:

 

 

 

 

 

 

 

2.95%, 5/14/13 (b)

 

 

1,890

 

 

1,867,029

 

4.20%, 11/20/14

 

 

490

 

 

465,919

 

4.00%, 7/24/15

 

 

410

 

 

375,337

 

6.25%, 8/28/17

 

 

1,930

 

 

1,831,535

 

5.63%, 9/23/19

 

 

630

 

 

550,294

 

5.50%, 7/28/21

 

 

360

 

 

314,060

 

 

 

 

 

 

 

20,831,469

 

Chemicals — 0.4%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%,
2/01/15

 

 

250

 

 

242,188

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

The Dow Chemical Co., 4.13%,
11/15/21

 

USD

350

 

$

346,753

 

Huntsman International LLC, 6.88%,
11/15/13 (a)

 

EUR

435

 

 

584,509

 

LyondellBasell Industries NV, 6.00%,
11/15/21 (a)

 

USD

240

 

 

244,800

 

 

 

 

 

 

 

1,418,250

 

Commercial Banks — 5.4%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/15

 

 

60

 

 

60,000

 

7.00%, 5/02/16 (a)

 

 

90

 

 

88,875

 

7.00%, 5/01/17

 

 

333

 

 

329,175

 

7.00%, 5/02/17 (a)

 

 

355

 

 

349,675

 

DEPFA ACS Bank, 5.13%, 3/16/37
(a)

 

 

3,775

 

 

2,640,877

 

DnB NOR Boligkreditt (a):

 

 

 

 

 

 

 

2.10%, 10/14/16

 

 

4,020

 

 

4,070,081

 

2.90%, 3/29/17

 

 

2,600

 

 

2,688,881

 

Eksportfinans ASA, 5.50%, 6/26/17

 

 

950

 

 

787,600

 

HSBC Bank Brasil SA - Banco
Multiplo, 4.00%, 5/11/16 (a)

 

 

1,400

 

 

1,382,500

 

HSBC Bank Plc, 3.10%, 5/24/16 (a)

 

 

700

 

 

696,982

 

HSBC Holdings PLC, 6.10%,
1/14/42

 

 

305

 

 

320,492

 

Sparebanken 1 Boligkreditt (a):

 

 

 

 

 

 

 

1.25%, 10/25/14

 

 

1,580

 

 

1,579,997

 

2.63%, 5/27/17

 

 

1,675

 

 

1,712,101

 

Wachovia Corp., 5.25%, 8/01/14

 

 

3,425

 

 

3,615,848

 

 

 

 

 

 

 

20,323,084

 

Commercial Services & Supplies — 0.1%

 

 

 

 

 

 

 

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

 

 

18

 

 

18,450

 

AWAS Aviation Capital Ltd., 7.00%,
10/17/16 (a)

 

 

136

 

 

135,600

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

320

 

 

320,000

 

 

 

 

 

 

 

474,050

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

150

 

 

191,477

 

Construction Materials — 0.1%

 

 

 

 

 

 

 

Inversiones CMPC SA, 4.75%,
1/19/18 (a)

 

USD

220

 

 

227,615

 

Lafarge SA, 7.13%, 7/15/36

 

 

165

 

 

141,101

 

 

 

 

 

 

 

368,716

 

Consumer Finance — 0.4%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.15%, 1/13/12 (b)

 

 

125

 

 

125,188

 

7.80%, 6/01/12

 

 

340

 

 

350,263

 

SLM Corp.:

 

 

 

 

 

 

 

6.25%, 1/25/16

 

 

661

 

 

628,524

 

Series A, 0.72%, 1/27/14 (b)

 

 

550

 

 

498,669

 

 

 

 

 

 

 

1,602,644

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging — 0.6%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc,
7.38%, 10/15/17 (a)

 

EUR

425

 

$

549,657

 

Pregis Corp., 12.38%, 10/15/13

 

USD

165

 

 

153,450

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

725

 

 

993,666

 

7.75%, 11/15/19

 

 

410

 

 

556,426

 

 

 

 

 

 

 

2,253,199

 

Diversified Financial Services — 7.4%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

USD

1,500

 

 

1,518,750

 

6.25%, 12/01/17

 

 

160

 

 

147,022

 

8.00%, 3/15/20

 

 

560

 

 

552,300

 

Capital One Financial Corp.:

 

 

 

 

 

 

 

3.15%, 7/15/16

 

 

2,100

 

 

2,094,240

 

4.75%, 7/15/21

 

 

960

 

 

980,774

 

Citigroup, Inc.:

 

 

 

 

 

 

 

5.00%, 9/15/14

 

 

285

 

 

285,139

 

4.59%, 12/15/15

 

 

6,390

 

 

6,402,256

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

6.15%, 8/07/37

 

 

4,150

 

 

4,148,498

 

6.88%, 1/10/39

 

 

135

 

 

150,086

 

JPMorgan Chase & Co. (e):

 

 

 

 

 

 

 

3.70%, 1/20/15

 

 

3,425

 

 

3,494,483

 

6.30%, 4/23/19

 

 

2,000

 

 

2,210,690

 

JPMorgan Chase Bank NA, Series
BKNT, 6.00%, 10/01/17

 

 

2,050

 

 

2,193,471

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

8.75%, 10/15/16 (g)

 

EUR

550

 

 

724,254

 

7.88%, 8/15/19

 

USD

660

 

 

663,300

 

6.88%, 2/15/21

 

 

1,215

 

 

1,160,325

 

WMG Acquisition Corp. (a):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

160

 

 

168,000

 

11.50%, 10/01/18

 

 

785

 

 

773,225

 

 

 

 

 

 

 

27,666,813

 

Diversified Telecommunication Services — 3.3%

 

 

 

 

 

 

 

Level 3 Escrow, Inc., 8.13%,
7/01/19 (a)

 

 

348

 

 

328,860

 

Level 3 Financing, Inc., 8.75%,
2/15/17

 

 

239

 

 

237,805

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,200

 

 

1,207,500

 

Series B, 7.50%, 2/15/14

 

 

290

 

 

291,813

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14

 

 

1,075

 

 

996,413

 

6.00%, 9/30/34

 

 

1,550

 

 

1,097,608

 

Telefonica Emisiones SAU, 7.05%,
6/20/36

 

 

1,975

 

 

1,775,071

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

3.50%, 11/01/21

 

 

500

 

 

497,503

 

6.40%, 2/15/38

 

 

3,483

 

 

4,166,218

 

8.95%, 3/01/39

 

 

900

 

 

1,380,987

 

Verizon New Jersey, Inc., 5.88%,
1/17/12

 

 

335

 

 

336,806

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Telecommunication Services (concluded)

 

 

 

 

 

 

 

Windstream Corp., 7.88%,
11/01/17

 

USD

40

 

$

41,800

 

 

 

 

 

 

 

12,358,384

 

Electric Utilities — 6.4%

 

 

 

 

 

 

 

Alabama Power Co.:

 

 

 

 

 

 

 

3.95%, 6/01/21

 

 

460

 

 

497,038

 

6.00%, 3/01/39 (e)

 

 

1,275

 

 

1,659,610

 

Cleveland Electric Illuminating Co.:

 

 

 

 

 

 

 

8.88%, 11/15/18

 

 

121

 

 

162,378

 

5.95%, 12/15/36

 

 

217

 

 

225,898

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

397,020

 

6.00%, 1/15/38

 

 

825

 

 

1,052,598

 

EDF SA, 5.60%, 1/27/40 (a)

 

 

1,400

 

 

1,421,430

 

E.ON International Finance BV,
6.65%, 4/30/38 (a)

 

 

1,525

 

 

1,946,838

 

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

 

 

950

 

 

1,072,265

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37 (e)

 

 

1,325

 

 

1,747,610

 

6.40%, 6/15/38

 

 

430

 

 

572,726

 

Hydro-Quebec:

 

 

 

 

 

 

 

9.40%, 2/01/21

 

 

390

 

 

583,722

 

8.40%, 1/15/22

 

 

730

 

 

1,050,172

 

8.05%, 7/07/24

 

 

1,900

 

 

2,806,045

 

Jersey Central Power & Light Co.,
7.35%, 2/01/19

 

 

245

 

 

308,301

 

PacifiCorp., 6.25%, 10/15/37

 

 

575

 

 

728,656

 

Public Service Co. of Colorado,
6.25%, 9/01/37 (e)

 

 

1,200

 

 

1,609,650

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

625

 

 

776,633

 

Series 08-A, 5.95%, 2/01/38

 

 

1,075

 

 

1,393,845

 

The Tokyo Electric Power Co., Inc.,
4.50%, 3/24/14

 

EUR

750

 

 

856,609

 

The Toledo Edison Co., 6.15%,
5/15/37

 

USD

350

 

 

411,402

 

Trans-Allegheny Interstate Line Co.,
4.00%, 1/15/15 (a)

 

 

250

 

 

262,270

 

Virginia Electric and Power Co.,
Series A, 6.00%, 5/15/37 (e)

 

 

2,000

 

 

2,525,694

 

 

 

 

 

 

 

24,068,410

 

Energy Equipment & Services — 2.3%

 

 

 

 

 

 

 

Calfrac Holdings LP, 7.50%,
12/01/20 (a)

 

 

565

 

 

545,225

 

Ensco Plc:

 

 

 

 

 

 

 

3.25%, 3/15/16

 

 

160

 

 

162,853

 

4.70%, 3/15/21

 

 

1,745

 

 

1,771,121

 

Exterran Holdings, Inc., 7.25%,
12/01/18 (a)

 

 

475

 

 

451,250

 

Frac Tech Services LLC, 7.63%,
11/15/18 (a)

 

 

1,110

 

 

1,118,325

 

Peabody Energy Corp., 6.25%,
11/15/21 (a)

 

 

3,845

 

 

3,873,838

 

Pride International, Inc., 6.88%,
8/15/20

 

 

230

 

 

264,992

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services (concluded)

 

 

 

 

 

 

 

Transocean, Inc., 6.38%, 12/15/21

 

USD

615

 

$

614,668

 

 

 

 

 

 

 

8,802,272

 

Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,900

 

 

2,396,267

 

6.20%, 4/15/38

 

 

850

 

 

1,047,140

 

 

 

 

 

 

 

3,443,407

 

Food Products — 1.0%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%,
12/15/18

 

 

335

 

 

368,500

 

Kraft Foods, Inc., 5.38%, 2/10/20

 

 

2,550

 

 

2,831,872

 

Sara Lee Corp., 4.10%, 9/15/20

 

 

500

 

 

501,072

 

 

 

 

 

 

 

3,701,444

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

810

 

 

763,425

 

7.75%, 4/15/18

 

 

735

 

 

589,838

 

ExamWorks Group, Inc., 9.00%,
7/15/19 (a)

 

 

150

 

 

133,875

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

385

 

 

389,331

 

 

 

 

 

 

 

1,876,469

 

Health Care Providers & Services — 2.5%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP,
7.75%, 2/15/19

 

 

175

 

 

165,375

 

ConvaTec Healthcare E SA, 7.38%,
12/15/17 (a)

 

EUR

494

 

 

627,279

 

Fresenius Medical Care US Finance,
Inc., 6.50%, 9/15/18 (a)

 

USD

152

 

 

157,700

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20

 

 

2,115

 

 

2,104,425

 

7.88%, 2/15/20

 

 

135

 

 

142,088

 

7.50%, 2/15/22

 

 

1,020

 

 

1,004,700

 

Health Management Associates,
Inc., 7.38%, 1/15/20 (a)

 

 

580

 

 

583,625

 

IASIS Healthcare LLC, 8.38%,
5/15/19 (a)

 

 

1,000

 

 

832,500

 

INC Research LLC, 11.50%,
7/15/19 (a)

 

 

545

 

 

490,500

 

inVentiv Health, Inc., 10.00%,
8/15/18 (a)

 

 

400

 

 

379,000

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

805

 

 

848,269

 

Symbion, Inc., 8.00%, 6/15/16 (a)

 

 

455

 

 

420,875

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

200

 

 

225,000

 

8.88%, 7/01/19

 

 

1,150

 

 

1,253,500

 

UnitedHealth Group, Inc., 3.38%,
11/15/21

 

 

160

 

 

158,727

 

 

 

 

 

 

 

9,393,563

 

Health Care Technology — 0.7%

 

 

 

 

 

 

 

Amgen, Inc.:

 

 

 

 

 

 

 

3.88%, 11/15/21

 

 

1,500

 

 

1,478,645

 

5.15%, 11/15/41

 

 

750

 

 

723,143

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Technology (concluded)

 

 

 

 

 

 

 

Boston Scientific Corp., 6.25%,
11/15/15

 

USD

531

 

$

586,328

 

 

 

 

 

 

 

2,788,116

 

Hotels, Restaurants & Leisure — 0.2%

 

 

 

 

 

 

 

El Dorado Resorts LLC, 8.63%,
6/15/19 (a)

 

 

180

 

 

158,850

 

MGM Resorts International, 11.13%,
11/15/17

 

 

265

 

 

296,469

 

Yum! Brands, Inc.:

 

 

 

 

 

 

 

6.25%, 4/15/16

 

 

265

 

 

299,903

 

5.30%, 9/15/19

 

 

175

 

 

194,765

 

 

 

 

 

 

 

949,987

 

Household Durables — 0.9%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%,
10/15/17

 

 

1,050

 

 

1,092,000

 

Standard Pacific Corp., 10.75%,
9/15/16

 

 

2,100

 

 

2,142,000

 

 

 

 

 

 

 

3,234,000

 

Household Products — 0.1%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (a)

 

EUR

190

 

 

227,220

 

IT Services — 0.9%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

USD

605

 

 

568,700

 

8.25%, 1/15/21

 

 

80

 

 

69,200

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

1,080

 

 

1,063,800

 

7.63%, 11/15/20

 

 

1,730

 

 

1,712,700

 

 

 

 

 

 

 

3,414,400

 

Independent Power Producers & Energy Traders — 1.1%

 

 

 

 

 

 

 

Energy Future Holdings Corp.,
10.00%, 1/15/20

 

 

1,520

 

 

1,558,000

 

Energy Future Intermediate Holding
Co. LLC, 10.00%, 12/01/20

 

 

652

 

 

671,560

 

NRG Energy, Inc., 7.63%, 1/15/18

 

 

2,110

 

 

2,078,350

 

 

 

 

 

 

 

4,307,910

 

Industrial Conglomerates — 0.7%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

690

 

 

729,675

 

13.50%, 12/01/15

 

 

1,940

 

 

2,071,368

 

 

 

 

 

 

 

2,801,043

 

Insurance — 2.2%

 

 

 

 

 

 

 

American International Group, Inc.,
5.45%, 5/18/17

 

 

800

 

 

758,266

 

CNO Financial Group, Inc., 9.00%,
1/15/18 (a)

 

 

478

 

 

501,900

 

Fairfax Financial Holdings, Ltd.,
5.80%, 5/15/21 (a)

 

 

820

 

 

754,382

 

Hartford Financial Services Group,
Inc., 6.00%, 1/15/19

 

 

345

 

 

345,368

 

Hartford Life Global Funding Trusts,
0.53%, 6/16/14 (b)

 

 

425

 

 

416,338

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Insurance (concluded)

 

 

 

 

 

 

 

Lincoln National Corp., 6.25%,
2/15/20

 

USD

630

 

$

668,017

 

MPL 2 Acquisition Canco, Inc.,
9.88%, 8/15/18 (a)

 

 

340

 

 

299,200

 

Manulife Financial Corp., 3.40%,
9/17/15

 

 

1,630

 

 

1,610,104

 

Metropolitan Life Global Funding I,
5.13%, 6/10/14 (a)

 

 

775

 

 

832,152

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

250

 

 

286,863

 

5.38%, 6/21/20

 

 

250

 

 

258,733

 

4.50%, 11/15/20

 

 

450

 

 

437,395

 

5.70%, 12/14/36

 

 

675

 

 

628,963

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

474,524

 

 

 

 

 

 

 

8,272,205

 

Life Sciences Tools & Services — 0.0%

 

 

 

 

 

 

 

Life Technologies Corp., 5.00%,
1/15/21

 

 

105

 

 

108,804

 

Machinery — 0.3%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%,
11/15/14

 

 

310

 

 

195,300

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (h)

 

 

810

 

 

863,663

 

8.25%, 11/01/21

 

 

14

 

 

14,595

 

 

 

 

 

 

 

1,073,558

 

Marine — 0.3%

 

 

 

 

 

 

 

Nakilat, Inc., Series A, 6.07%,
12/31/33 (a)

 

 

1,050

 

 

1,139,250

 

Media — 8.9%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%,
7/15/21 (a)

 

 

320

 

 

338,400

 

Affinion Group, Inc., 7.88%,
12/15/18

 

 

1,045

 

 

869,963

 

CBS Corp.:

 

 

 

 

 

 

 

4.63%, 5/15/18

 

 

810

 

 

833,390

 

8.88%, 5/15/19

 

 

325

 

 

415,036

 

5.75%, 4/15/20

 

 

250

 

 

274,299

 

CCH II LLC, 13.50%, 11/30/16

 

 

2,300

 

 

2,651,183

 

Cengage Learning Acquisitions, Inc.
(FKA Thompson Learning),
10.50%, 1/15/15 (a)

 

 

330

 

 

239,250

 

Clear Channel Communications, Inc.,
9.00%, 3/01/21

 

 

975

 

 

804,375

 

Clear Channel Worldwide Holdings,
Inc., Series B, 9.25%, 12/15/17

 

 

2,172

 

 

2,286,030

 

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

 

 

600

 

 

831,229

 

Comcast Corp., 6.45%, 3/15/37

 

 

790

 

 

896,217

 

Cox Communications, Inc., 8.38%,
3/01/39 (a)

 

 

905

 

 

1,192,702

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

945

 

 

965,597

 

Loan Close 3, 4.00%, 8/15/18

 

 

1,080

 

 

1,103,955

 

Shares Loan, 4.00%, 8/15/18

 

 

1,114

 

 

1,138,566

 

DIRECTV Holdings LLC, 3.13%,
2/15/16

 

 

1,380

 

 

1,400,115

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Gray Television, Inc., 10.50%,
6/29/15

 

USD

1,055

 

$

981,150

 

Intelsat Luxemburg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

490

 

 

509,600

 

11.50%, 2/04/17 (f)

 

 

415

 

 

380,763

 

Interactive Data Corp., 10.25%,
8/01/18

 

 

1,330

 

 

1,423,100

 

NBC Universal Media LLC:

 

 

 

 

 

 

 

5.15%, 4/30/20

 

 

1,983

 

 

2,145,780

 

4.38%, 4/01/21

 

 

1,015

 

 

1,038,766

 

News America, Inc.:

 

 

 

 

 

 

 

4.50%, 2/15/21

 

 

40

 

 

40,297

 

7.63%, 11/30/28

 

 

385

 

 

456,926

 

The New York Times Co., 6.63%,
12/15/16

 

 

1,800

 

 

1,818,000

 

TCI Communications, Inc., 7.88%,
2/15/26

 

 

610

 

 

783,773

 

Time Warner Cable, Inc.:

 

 

 

 

 

 

 

7.30%, 7/01/38

 

 

930

 

 

1,113,218

 

5.88%, 11/15/40

 

 

465

 

 

476,986

 

5.50%, 9/01/41

 

 

920

 

 

914,334

 

Time Warner, Inc.:

 

 

 

 

 

 

 

4.70%, 1/15/21

 

 

350

 

 

367,448

 

6.10%, 7/15/40

 

 

215

 

 

233,735

 

Unitymedia Hessen GmbH & Co. KG
(FKA UPC Germany GmbH), 8.13%,
12/01/17 (a)

 

 

2,370

 

 

2,447,025

 

Virgin Media Secured Finance Plc,
6.50%, 1/15/18

 

 

525

 

 

553,875

 

Ziggo Finance BV, 6.13%, 11/15/17
(a)

 

EUR

1,135

 

 

1,486,971

 

 

 

 

 

 

 

33,412,054

 

Metals & Mining — 3.8%

 

 

 

 

 

 

 

Alcoa, Inc., 5.40%, 4/15/21

 

USD

1,450

 

 

1,381,276

 

AngloGold Ashanti Holdings Plc,
5.38%, 4/15/20

 

 

320

 

 

312,719

 

Barrick Gold Corp., 2.90%, 5/30/16

 

 

2,331

 

 

2,374,904

 

Barrick North America Finance LLC,
4.40%, 5/30/21

 

 

15

 

 

15,687

 

Cliffs Natural Resources, Inc.:

 

 

 

 

 

 

 

4.80%, 10/01/20

 

 

240

 

 

234,586

 

4.88%, 4/01/21

 

 

690

 

 

672,555

 

Corporacion Nacional del Cobre de
Chile, 3.75%, 11/04/20 (a)

 

 

259

 

 

258,994

 

Falconbridge Ltd., 6.20%, 6/15/35

 

 

1,250

 

 

1,228,422

 

Joy Global, Inc., 5.13%, 10/15/21

 

 

225

 

 

237,739

 

New World Resources NV, 7.88%,
5/01/18

 

EUR

215

 

 

265,784

 

Newcrest Finance Pty, Ltd., 4.45%,
11/15/21 (a)

 

USD

515

 

 

504,052

 

Novelis, Inc., 8.75%, 12/15/20

 

 

4,120

 

 

4,346,600

 

Teck Resources Ltd., 5.38%,
10/01/15

 

 

2,359

 

 

2,568,342

 

 

 

 

 

 

 

14,401,660

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Multiline Retail — 0.3%

 

 

 

 

 

 

 

Macy’s Retail Holdings, Inc.:

 

 

 

 

 

 

 

5.90%, 12/01/16

 

USD

800

 

$

888,968

 

7.45%, 7/15/17

 

 

150

 

 

176,150

 

 

 

 

 

 

 

1,065,118

 

Oil, Gas & Consumable Fuels — 8.8%

 

 

 

 

 

 

 

Anadarko Petroleum Corp.:

 

 

 

 

 

 

 

5.95%, 9/15/16

 

 

1,916

 

 

2,142,755

 

6.38%, 9/15/17

 

 

924

 

 

1,059,006

 

Arch Coal, Inc., 7.25%, 10/01/20

 

 

805

 

 

788,900

 

BP Capital Markets Plc, 3.13%,
10/01/15

 

 

330

 

 

340,586

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

40

 

 

43,800

 

Burlington Resources Finance Co.,
7.40%, 12/01/31

 

 

875

 

 

1,218,440

 

Cenovus Energy, Inc., 6.75%,
11/15/39

 

 

750

 

 

942,173

 

Chesapeake Energy Corp., 6.63%,
8/15/20

 

 

191

 

 

197,685

 

ConocoPhillips Canada Funding Co.,
5.95%, 10/15/36

 

 

535

 

 

642,005

 

Constellation Energy Group, Inc.,
7.60%, 4/01/32

 

 

200

 

 

244,210

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

130

 

 

138,450

 

Devon Energy Corp., 7.95%,
4/15/32

 

 

625

 

 

854,627

 

El Paso Pipeline Partners Operating
Co. LLC, 6.50%, 4/01/20

 

 

240

 

 

263,900

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

670

 

 

756,943

 

6.63%, 8/15/37

 

 

700

 

 

813,797

 

Energy XXI Gulf Coast, Inc., 9.25%,
12/15/17

 

 

540

 

 

553,500

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

6.13%, 10/15/39

 

 

700

 

 

747,148

 

Series L, 6.30%, 9/15/17

 

 

575

 

 

668,183

 

KeySpan Gas East Corp., 5.82%,
4/01/41 (a)

 

 

505

 

 

604,256

 

Kinder Morgan Energy Partners LP:

 

 

 

 

 

 

 

5.95%, 2/15/18

 

 

1,300

 

 

1,451,376

 

6.55%, 9/15/40

 

 

110

 

 

118,676

 

6.38%, 3/01/41

 

 

150

 

 

162,238

 

Marathon Petroleum Corp., 6.50%,
3/01/41

 

 

997

 

 

1,087,717

 

MidAmerican Energy Co., 5.80%,
10/15/36

 

 

700

 

 

813,079

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

936,662

 

6.50%, 9/15/37

 

 

1,900

 

 

2,377,238

 

Nexen, Inc., 7.50%, 7/30/39

 

 

1,000

 

 

1,139,930

 

Niska Gas Storage US LLC, 8.88%,
3/15/18

 

 

695

 

 

677,625

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

3.88%, 1/27/16

 

 

1,340

 

 

1,360,012

 

5.88%, 3/01/18

 

 

75

 

 

79,628

 

5.75%, 1/20/20

 

 

1,725

 

 

1,790,578

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Premier Oil, 5.00%, 5/10/18

 

USD

1,900

 

$

1,966,500

 

Range Resources Corp., 5.75%,
6/01/21

 

 

935

 

 

998,112

 

Rockies Express Pipeline LLC (a):

 

 

 

 

 

 

 

3.90%, 4/15/15

 

 

804

 

 

791,433

 

6.85%, 7/15/18

 

 

206

 

 

210,692

 

Suncor Energy, Inc., 6.10%,
6/01/18

 

 

1,750

 

 

2,048,594

 

Western Gas Partners LP, 5.38%,
6/01/21

 

 

710

 

 

712,875

 

Williams Partners LP, 4.13%,
11/15/20

 

 

980

 

 

987,647

 

Woodside Finance, Ltd., 4.60%,
5/10/21 (a)

 

 

205

 

 

209,402

 

 

 

 

 

 

 

32,940,378

 

Paper & Forest Products — 0.8%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

185

 

 

198,875

 

8.00%, 4/01/20

 

 

210

 

 

221,025

 

Clearwater Paper Corp., 10.63%,
6/15/16

 

 

620

 

 

688,200

 

International Paper Co.:

 

 

 

 

 

 

 

4.75%, 2/15/22

 

 

420

 

 

426,023

 

6.00%, 11/15/41

 

 

310

 

 

313,772

 

NewPage Corp., 11.38%, 12/31/14
(c)(e)(i)

 

 

430

 

 

299,925

 

Verso Paper Holdings LLC, 11.50%,
7/01/14

 

 

670

 

 

683,400

 

 

 

 

 

 

 

2,831,220

 

Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%,
8/01/19 (a)

 

EUR

200

 

 

268,740

 

Endo Pharmaceuticals Holdings,
Inc., 7.00%, 7/15/19 (a)

 

USD

245

 

 

251,125

 

Jaguar Holding Co. II / Jaguar Merger
Sub, Inc., 9.50%, 12/01/19 (a)(j)

 

 

620

 

 

623,100

 

Teva Pharmaceutical Finance IV BV,
3.65%, 11/10/21

 

 

1,000

 

 

982,792

 

 

 

 

 

 

 

2,125,757

 

Real Estate Investment Trusts (REITs) — 0.3%

 

 

 

 

 

 

 

Ventas Realty LP / Ventas Capital
Corp., 4.75%, 6/01/21

 

 

275

 

 

264,427

 

Vornado Realty LP, 5.00%, 1/15/22

 

 

785

 

 

781,436

 

 

 

 

 

 

 

1,045,863

 

Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp., 7.88%, 2/15/19 (a)

 

 

434

 

 

373,240

 

WEA Finance LLC, 4.63%, 5/10/21
(a)

 

 

305

 

 

292,705

 

 

 

 

 

 

 

665,945

 

Road & Rail — 0.6%

 

 

 

 

 

 

 

Burlington Northern Santa Fe LLC,
5.75%, 5/01/40

 

 

950

 

 

1,074,351

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

6


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

Florida East Coast Railway Corp.,
8.13%, 2/01/17

 

USD

490

 

$

488,163

 

The Hertz Corp., 7.38%, 1/15/21

 

 

650

 

 

643,500

 

 

 

 

 

 

 

2,206,014

 

Semiconductors & Semiconductor Equipment — 0.1%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17 (a)

 

 

390

 

 

397,800

 

Software — 0.2%

 

 

 

 

 

 

 

Oracle Corp., 5.38%, 7/15/40 (a)

 

 

775

 

 

891,429

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

Home Depot, Inc., 5.88%, 12/16/36

 

 

830

 

 

962,905

 

QVC, Inc. (a):

 

 

 

 

 

 

 

7.50%, 10/01/19

 

 

35

 

 

37,187

 

7.38%, 10/15/20

 

 

35

 

 

37,188

 

 

 

 

 

 

 

1,037,280

 

Thrifts & Mortgage Finance — 0.5%

 

 

 

 

 

 

 

Northern Rock Plc, 5.63%, 6/22/17
(a)

 

 

290

 

 

306,001

 

Radian Group, Inc.:

 

 

 

 

 

 

 

5.63%, 2/15/13

 

 

1,400

 

 

854,000

 

5.38%, 6/15/15

 

 

1,400

 

 

602,000

 

 

 

 

 

 

 

1,762,001

 

Wireless Telecommunication Services — 1.8%

 

 

 

 

 

 

 

America Movil SAB de CV, 2.38%,
9/08/16

 

 

795

 

 

776,418

 

Crown Castle Towers LLC, 6.11%,
1/15/40 (a)

 

 

1,560

 

 

1,734,104

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15 (f)

 

 

560

 

 

551,600

 

8.25%, 9/01/17

 

 

150

 

 

147,750

 

MetroPCS Wireless, Inc., 6.63%,
11/15/20

 

 

960

 

 

837,600

 

Rogers Communications, Inc.,
7.50%, 8/15/38

 

 

1,150

 

 

1,504,684

 

SBA Tower Trust, 5.10%, 4/15/17
(a)

 

 

360

 

 

378,000

 

Sprint Capital Corp., 6.88%,
11/15/28

 

 

645

 

 

449,887

 

Sprint Nextel Corp., 9.00%,
11/15/18 (a)

 

 

550

 

 

554,125

 

 

 

 

 

 

 

6,934,168

 

Total Corporate Bonds – 72.7%

 

 

 

 

 

273,045,971

 

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 

Hellenic Republic Government Bond,
4.60%, 9/20/40

 

EUR

160

 

 

49,470

 

Italy Buoni Poliennali Del Tesoro,
4.75%, 9/15/16

 

 

3,070

 

 

3,682,008

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

Par
(000)

 

Value

 

Italy Government International Bond,
5.38%, 6/15/33

 

USD

455

 

$

367,268

 

Kreditanstalt fuer Wiederaufbau:

 

 

 

 

 

 

 

1.38%, 7/15/13 (k)

 

 

660

 

 

666,281

 

2.00%, 6/01/16

 

 

595

 

 

614,579

 

Mexico Government International Bond:

 

 

 

 

 

 

 

5.63%, 1/15/17

 

 

370

 

 

418,655

 

5.13%, 1/15/20

 

 

145

 

 

162,255

 

Poland Government International
Bond, 5.13%, 4/21/21

 

 

705

 

 

697,950

 

Total Foreign Agency Obligations – 1.8%

 

 

 

 

 

6,658,466

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 4.9%

 

 

 

 

 

 

 

Banc of America Funding Corp.,
Series 2007-2, Class 1A2, 6.00%,
3/25/37

 

 

1,100

 

 

825,878

 

Bear Stearns Adjustable Rate
Mortgage Trust, Series 2004-8,
Class 14A1, 5.39%, 11/25/34 (b)

 

 

405

 

 

348,677

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

Series 2005-64CB, Class
1A15, 5.50%, 12/25/35

 

 

1,551

 

 

1,120,440

 

Series 2006-0A21, Class A1,
0.44%, 3/20/47 (b)

 

 

831

 

 

383,284

 

Series 2006-41CB, Class 1A4,
5.75%, 1/25/37

 

 

764

 

 

503,098

 

Series 2007-HY4, Class 4A1,
5.33%, 6/25/47 (b)

 

 

919

 

 

570,752

 

Countrywide Home Loan Mortgage Pass-
Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5, Class 2A1,
0.46%, 4/25/46 (b)

 

 

343

 

 

171,702

 

Series 2007-10, Class A22,
6.00%, 7/25/37

 

 

704

 

 

537,987

 

Credit Suisse Mortgage Capital
Certificates:

 

 

 

 

 

 

 

Series 2006-C3, Class AM,
5.81%, 6/15/38 (b)

 

 

1,000

 

 

975,442

 

Series 2006-C5, Class AM,
5.34%, 12/15/39

 

 

1,750

 

 

1,518,853

 

Series 2007-1, Class 5A14,
6.00%, 2/25/37

 

 

549

 

 

425,074

 

Series 2010-RR2, Class 2A,
5.79%, 9/15/39 (a)(b)

 

 

1,010

 

 

1,117,681

 

Series 2011-2R, Class 2A1,
2.73%, 7/27/36 (a)(b)

 

 

1,450

 

 

1,409,252

 

CS First Boston Mortgage Securities
Corp., Series 2005-12, Class 6A1,
6.00%, 1/25/36

 

 

869

 

 

564,417

 

Deutsche ALT-A Securities, Inc.
Alternate Loan Trust, Series 2006-
0A1, Class A1, 0.46%, 2/25/47(b)

 

 

263

 

 

145,663

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

7


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

GMAC Mortgage Corp. Loan Trust,
Series 2005-AR3, Class 5A1,
5.12%, 6/19/35 (b)

 

USD

1,291

 

$

1,198,441

 

GSR Mortgage Loan Trust:

 

 

 

 

 

 

 

Series 2006-4F, Class 1A1,
5.00%, 5/25/36

 

 

689

 

 

573,737

 

Series 2007-4F, Class 3A1,
6.00%, 7/25/37

 

 

809

 

 

693,987

 

Homebanc Mortgage Trust, Series
2006-2, Class A1, 0.44%,
12/25/36 (b)

 

 

660

 

 

397,910

 

IndyMac IMJA Mortgage Loan Trust,
Series 2007-A1, Class A4, 6.00%,
8/25/37

 

 

1,011

 

 

824,440

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

Series 2006-S3, Class 1A12,
6.50%, 8/25/36

 

 

476

 

 

454,005

 

Series 2007-S1, Class 2A22,
5.75%, 3/25/37

 

 

513

 

 

407,311

 

Merrill Lynch Mortgage Investors,
Inc., Series 2006-A3, Class 3A1,
2.77%, 5/25/36 (b)

 

 

718

 

 

434,004

 

Residential Funding Mortgage
Securities I, Series 2007-S6, Class
1A16, 6.00%, 6/25/37

 

 

476

 

 

361,540

 

Structured Asset Securities Corp.,
Series 2002-AL1, Class A2,
3.45%, 2/25/32

 

 

1,454

 

 

1,326,195

 

Wells Fargo Mortgage-Backed Securities
Trust:

 

 

 

 

 

 

 

Series 2006-3, Class A9,
5.50%, 3/25/36

 

 

330

 

 

321,461

 

Series 2006-9, Class 1A29,
6.00%, 8/25/36

 

 

295

 

 

292,855

 

Series 2007-10, Class 1A21,
6.00%, 7/25/37

 

 

64

 

 

60,875

 

Series 2007-8, Class 2A9,
6.00%, 7/25/37

 

 

405

 

 

385,062

 

 

 

 

 

 

 

18,350,023

 

Commercial Mortgage-Backed Securities — 10.3%

 

 

 

 

 

 

 

Banc of America Commercial Mortgage,
Inc.:

 

 

 

 

 

 

 

Series 2006-4, Class AM,
5.68%, 7/10/46

 

 

250

 

 

241,808

 

Series 2007-1, Class A4,
5.45%, 1/15/49

 

 

500

 

 

532,778

 

Series 2007-2, Class A4,
5.63%, 4/10/49 (b)

 

 

750

 

 

789,820

 

Bear Stearns Commercial Mortgage
Securities, Series 2005-PWR9,
Class A4A, 4.87%, 9/11/42

 

 

800

 

 

867,729

 

Citigroup Commercial Mortgage
Trust, Series 2008-C7, Class A4,
6.07%, 12/10/49 (b)

 

 

1,370

 

 

1,501,845

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

Par
(000)

 

Value

 

Commercial Mortgage-Backed Securities (continued)

 

 

 

 

 

 

 

Citigroup/Deutsche Bank
Commercial Mortgage Trust,
Series 2006-CD3, Class AM,
5.65%, 10/15/48

 

USD

1,093

 

$

1,010,719

 

Commercial Mortgage Pass-Through
Certificates, Series 2006-C7, Class
AM, 5.78%, 6/10/46 (b)

 

 

1,750

 

 

1,729,749

 

Credit Suisse First Boston Mortgage
Securities Corp., Series 2005-C3,
Class AJ, 4.77%, 7/15/37

 

 

705

 

 

630,312

 

DBRR Trust, Series 2011-C32, Class
A3A, 5.74%, 6/25/49 (b)

 

 

365

 

 

393,744

 

Extended Stay America Trust, Series
2010-ESHA (a):

 

 

 

 

 

 

 

Class A, 2.95%, 11/05/27

 

 

491

 

 

492,107

 

Class B, 4.22%, 11/05/27

 

 

2,000

 

 

1,997,754

 

Class C, 4.86%, 11/05/27

 

 

740

 

 

739,173

 

Class D, 5.50%, 11/05/27

 

 

550

 

 

547,495

 

GMAC Commercial Mortgage
Securities, Inc., Series 2002-C3,
Class A2, 4.93%, 7/10/39

 

 

2,350

 

 

2,396,788

 

GS Mortgage Securities Corp. II (b):

 

 

 

 

 

 

 

Series 2007-GG10, Class A4,
5.79%, 8/10/45

 

 

60

 

 

63,651

 

Series 2010-C2, Class C,
5.23%, 12/10/43 (a)

 

 

900

 

 

803,951

 

Greenwich Capital Commercial
Funding Corp., Series 2007-GG9,
Class A4, 5.44%, 3/10/39

 

 

2,190

 

 

2,311,819

 

JPMorgan Chase Commercial Mortgage
Securities Corp.:

 

 

 

 

 

 

 

Series 2004-CB8, Class A1A,
4.16%, 1/12/39 (a)

 

 

2,314

 

 

2,377,226

 

Series 2004-CBX, Class A4,
4.53%, 1/12/37

 

 

822

 

 

821,100

 

Series 2004-LN2, Class A2,
5.12%, 7/15/41

 

 

820

 

 

869,406

 

Series 2006-CB14, Class AM,
5.45%, 12/12/44 (b)

 

 

330

 

 

319,222

 

Series 2006-CB16, Class AJ,
5.62%, 5/12/45

 

 

730

 

 

543,689

 

LB-UBS Commercial Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-C8, Class C,
4.93%, 12/15/39

 

 

1,385

 

 

1,387,530

 

Series 2007-C6, Class A4,
5.86%, 7/15/40

 

 

1,761

 

 

1,885,022

 

Series 2007-C7, Class A3,
5.87%, 9/15/45

 

 

1,460

 

 

1,563,508

 

Merrill Lynch Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-BPC1, Class A3,
4.47%, 10/12/41

 

 

522

 

 

526,466

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

8


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

Par
(000)

 

Value

 

Commercial Mortgage-Backed Securities (concluded)

 

 

 

 

 

 

 

Merrill Lynch Mortgage Trust(b)
(concluded):

 

 

 

 

 

 

 

Series 2004-KEY2, Class A4,
4.86%, 8/12/39

 

USD

1,000

 

$

1,059,538

 

Morgan Stanley Capital I, Series
2004-HQ4, Class A7, 4.97%,
4/14/40

 

 

1,000

 

 

1,054,106

 

Morgan Stanley Reremic Trust,
Series 2011-IO, Class A, 2.50%,
3/23/51 (a)

 

 

407

 

 

406,393

 

Wachovia Bank Commercial Mortgage
Trust:

 

 

 

 

 

 

 

Series 2006-C28, Class A2,
5.50%, 10/15/48

 

 

6,287

 

 

6,333,653

 

Series 2007-C33, Class A4,
5.90%, 2/15/51 (b)

 

 

2,185

 

 

2,317,330

 

 

 

 

 

 

 

38,515,431

 

Total Non-Agency Mortgage-Backed Securities – 15.2%

 

 

 

 

 

56,865,454

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (l)

 

Beneficial
Interest
(000)

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International,
Inc.

 

 

2

 

 

191

 

Total Other Interests – 0.0%

 

 

 

 

 

191

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

 

 

 

Capital Markets — 0.2%

 

 

 

 

 

 

 

Credit Suisse Guernsey Ltd., 5.86%
(b)(m)

 

USD

1,004

 

 

783,120

 

State Street Capital Trust IV, 1.35%,
6/15/37 (b)

 

 

70

 

 

47,700

 

 

 

 

 

 

 

830,820

 

Commercial Banks — 0.5%

 

 

 

 

 

 

 

ABN AMRO North America Holding
Preferred Capital Repackaging
Trust I, 6.52% (a)(b)(m)

 

 

1,350

 

 

992,250

 

Barclays Bank Plc, 5.93% (a)(b)(m)

 

 

250

 

 

176,250

 

Fifth Third Capital Trust IV, 6.50%,
4/15/67 (b)

 

 

505

 

 

487,325

 

JPMorgan Chase Capital XXV, Series
Y, 6.80%, 10/01/37

 

 

210

 

 

209,163

 

 

 

 

 

 

 

1,864,988

 

 

 

 

 

 

 

 

 

Preferred Securities

 

Par
(000)

 

Value

 

Capital Trusts

 

 

 

 

 

 

 

Consumer Finance — 0.1%

 

 

 

 

 

 

 

Capital One Capital VI, 8.88%,
5/15/40

 

USD

315

 

$

316,749

 

 

 

 

 

 

 

316,749

 

Insurance — 1.0%

 

 

 

 

 

 

 

American International Group, Inc.,
8.18%, 5/15/68 (b)

 

 

115

 

 

101,487

 

The Allstate Corp., 6.50%, 5/15/67
(b)

 

 

1,950

 

 

1,735,500

 

Lincoln National Corp., 6.05%,
4/20/67 (b)

 

 

675

 

 

550,125

 

Metlife Capital Trust IV, 7.88%,
12/15/67 (a)

 

 

120

 

 

122,400

 

Swiss Re Capital I LP, 6.85%
(a)(b)(m)

 

 

1,060

 

 

921,539

 

XL Group Plc, Series E, 6.50% (b)(m)

 

 

465

 

 

360,375

 

 

 

 

 

 

 

3,791,426

 

Total Capital Trusts – 1.8%

 

 

 

 

 

6,803,983

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Commercial Banks — 0.1%

 

 

 

 

 

 

 

Citigroup Capital XIII, 7.88%, (b)

 

 

14,773

 

 

379,223

 

 

 

 

 

 

 

379,223

 

Total Preferred Securities – 1.9%

 

 

 

 

 

7,183,206

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

 

 

 

East Bay Municipal Utility District, RB,
Build America Bonds, 5.87%, 6/01/40

 

USD

950

 

 

1,151,495

 

Indianapolis Local Public Improvement
Bond Bank, RB, Build America Bonds,
6.12%, 1/15/40

 

 

1,275

 

 

1,589,938

 

Metropolitan Transportation Authority, RB,
Build America Bonds, 7.34%, 11/15/39

 

 

625

 

 

866,300

 

New York City Municipal Water Finance
Authority:

 

 

 

 

 

 

 

RB, 5.72%, 6/15/42

 

 

700

 

 

821,947

 

RB, Second General
Resolution-Series EE,
5.50%, 6/15/43

 

 

465

 

 

507,882

 

RB, Build America Bonds,
Second General Resolution,
Series EE, 5.38%, 6/15/43

 

 

385

 

 

414,830

 

New York State Dormitory Authority:

 

 

 

 

 

 

 

5.63%, 3/15/39

 

 

550

 

 

640,189

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

9


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 

New York State Dormitory Authority, RB,
Build America Bonds (concluded):

 

 

 

 

 

 

 

5.60%, 3/15/40

 

USD

950

 

$

1,106,085

 

Port Authority of New York & New Jersey,
RB, Consolidated, 159th Series, 6.04%,
12/01/29

 

 

385

 

 

462,951

 

University of California, RB, Build America
Bonds, 5.95%, 5/15/45

 

 

445

 

 

502,694

 

Total Taxable Municipal Bonds – 2.2%

 

 

 

 

 

8,064,311

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored
Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 3.3%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

6.12%, 10/09/19 (e)(n)

 

 

7,055

 

 

5,363,550

 

5.63%, 7/15/37 (o)

 

 

775

 

 

1,036,755

 

Federal Home Loan Banks (e):

 

 

 

 

 

 

 

5.25%, 12/09/22

 

 

675

 

 

826,409

 

5.37%, 9/09/24

 

 

1,075

 

 

1,343,774

 

Resolution Funding Corp. (n):

 

 

 

 

 

 

 

6.39%, 7/15/18

 

 

525

 

 

465,447

 

6.39%, 10/15/18

 

 

525

 

 

461,466

 

Tennessee Valley Authority, 5.25%,
9/15/39 (e)

 

 

2,355

 

 

2,932,022

 

 

 

 

 

 

 

12,429,423

 

Collateralized Mortgage Obligations — 0.7%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities, Series 2005-5, Class
PK, 5.00%, 12/25/34

 

 

781

 

 

848,959

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2825, Class VP, 5.50%,
6/15/15

 

 

677

 

 

729,024

 

Series K013, Class A2, 3.97%,
1/25/21 (b)

 

 

940

 

 

1,016,631

 

 

 

 

 

 

 

2,594,614

 

Federal Deposit Insurance Corporation Guaranteed — 0.1%

 

 

 

 

 

 

 

General Electric Capital Corp.,
2.13%, 12/21/12

 

 

515

 

 

525,919

 

Interest Only Collateralized Mortgage Obligations — 0.1%

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2579, Class HI, 5.00%,
8/15/17

 

 

313

 

 

9,484

 

Series 2611, Class QI, 5.50%,
9/15/32

 

 

1,936

 

 

253,754

 

 

 

 

 

 

 

263,238

 

Mortgage-Backed Securities — 9.8%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

3.50%, 12/12/11 (p)

 

 

2,300

 

 

2,345,641

 

4.00% - 4.00%, 12/12/11(p)

 

 

8,600

 

 

8,994,780

 

4.50%, 12/01/41 (p)

 

 

10,800

 

 

11,419,313

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored
Agency Securities

 

Par
(000)

 

Value

 

Mortgage-Backed Securities (concluded)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities
(concluded):

 

 

 

 

 

 

 

5.00% - 5.00%, 12/12/11(p)

 

USD

3,900

 

$

4,190,359

 

5.50% - 5.50%, 12/12/11(p)

 

 

6,100

 

 

6,621,234

 

6.00% - 6.00%, 4/01/35(e)

 

 

1,889

 

 

2,097,221

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 1/12/12 (p)

 

 

100

 

 

105,156

 

5.00%, 12/12/11 (p)

 

 

100

 

 

106,922

 

6.00% - 6.00%, 12/01/18

 

 

785

 

 

857,456

 

Ginnie Mae Mortgage-Backed
Securities, 5.50%, 8/15/33

 

 

86

 

 

97,241

 

 

 

 

 

 

 

36,835,323

 

Total US Government Sponsored Agency Securities – 14.0%

 

 

 

 

 

52,648,517

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 

US Treasury Bonds:

 

 

 

 

 

 

 

8.13%, 8/15/21 (e)

 

 

1,550

 

 

2,398,383

 

6.25%, 8/15/23 (e)

 

 

5,720

 

 

8,058,050

 

3.50%, 2/15/39

 

 

330

 

 

359,442

 

4.25%, 5/15/39 (e)

 

 

6,045

 

 

7,454,241

 

4.38%, 5/15/40 (e)

 

 

6,375

 

 

8,026,520

 

4.75%, 2/15/41 (e)

 

 

1,630

 

 

2,177,069

 

4.38%, 5/15/41 (e)

 

 

800

 

 

1,009,500

 

3.75%, 8/15/41 (e)

 

 

28,275

 

 

32,171,634

 

3.13%, 11/15/41

 

 

2,170

 

 

2,196,107

 

US Treasury Inflation Indexed Bonds,
2.13%, 2/15/41

 

 

3,776

 

 

5,061,362

 

US Treasury Notes:

 

 

 

 

 

 

 

0.63%, 1/31/13 (o)

 

 

200

 

 

201,031

 

0.50%, 8/15/14 (e)

 

 

1,040

 

 

1,043,900

 

0.38%, 11/15/14 (e)

 

 

7,825

 

 

7,821,941

 

2.50%, 4/30/15 (e)

 

 

965

 

 

1,030,062

 

1.00%, 10/31/16 (e)

 

 

1,125

 

 

1,128,868

 

0.88%, 11/30/16 (e)

 

 

2,800

 

 

2,789,282

 

2.25%, 7/31/18 (e)

 

 

2,495

 

 

2,623,647

 

2.63%, 8/15/20 (e)

 

 

1,105

 

 

1,172,249

 

2.13%, 8/15/21 (e)

 

 

9,763

 

 

9,829,359

 

2.00%, 11/15/21 (e)

 

 

4,775

 

 

4,745,156

 

Total US Treasury Obligations – 27.0%

 

 

 

 

 

101,297,803

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

10


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Warrants (q)

 

Shares

 

Value

 

Media — 0.0%

 

 

 

 

 

 

 

Cumulus Media, Inc.
(Expires 3/26/19)

 

 

30,393

 

$

87,774

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc. (Expires 9/29/17)

 

 

90

 

 

1

 

Total Warrants – 0.0%

 

 

 

 

 

87,775

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Long-Term Investments
(Cost – $515,687,326) – 140.0%

 

 

 

 

 

525,343,199

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bond Agreements

 

Par
(000)

 

 

 

 

Credit Suisse Securities (USA) LLC,
0.04%, Open1

 

USD

385,962

 

 

385,962

 

Total Borrowed Bond Agreements – 0.1%

 

 

 

 

 

385,962

 

 

Money Market Funds

 

Shares

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.13% (r)(s)

 

 

2,008,562

 

 

2,008,562

 

Total Money Market Funds – 0.5%

 

 

 

 

 

2,008,562

 

Total Short-Term Securities
(Cost – $2,394,524) – 0.6%

 

 

 

 

 

2,394,524

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Call Options — 0.0%

 

 

 

 

 

 

 

10-Year US Treasury Note, Strike
Price USD 133, Expires 1/27/12

 

 

85

 

 

27,891

 

Exchange-Traded Put Options — 0.0%

 

 

 

 

 

 

 

Eurodollar 1-year Mid-Curve Options:

 

 

 

 

 

 

 

Strike Price USD 99, Expires
1/13/12

 

 

100

 

 

6,875

 

Strike Price USD 99, Expires
3/16/12

 

 

221

 

 

30,387

 

USD Put Option, Strike Price USD
125, Expires 12/23/11

 

 

14

 

 

1,094

 

 

 

 

 

 

 

38,356

 

 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount (000)

 

Value

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

EUR Call Option, Strike Price USD
1.45, Expires 2/17/12, Broker
Citibank NA

 

EUR

7,850

 

$

45,462

 

USD Call Option:

 

 

 

 

 

 

 

Strike Price USD 0.92, Expires
1/09/12, Broker Deutsche Bank
AG

 

USD

2,590

 

 

6,294

 

Strike Price USD 0.92, Expires
1/09/12, Broker Deutsche Bank
AG

 

 

2,590

 

 

6,294

 

Strike Price USD 81, Expires
1/13/12, Broker Citibank NA

 

 

3,550

 

 

8,839

 

Strike Price USD 79.50, Expires
2/07/12, Broker Deutsche Bank
AG

 

 

3,840

 

 

29,530

 

 

 

 

 

 

 

96,419

 

Over-the-Counter Call Swaptions — 0.1%

 

 

 

 

 

 

 

Receive a fixed rate of 1.76% and
pay a floating rate based on 3-
month LIBOR, Expires 1/26/12,
Broker Deutsche Bank AG

 

 

9,300

 

 

197,970

 

Receive a fixed rate of 1.80% and
pay a floating rate based on 3-
month LIBOR, Expires 6/11/12,
Broker Bank of America NA

 

 

2,000

 

 

18,399

 

Receive a fixed rate of 3.15% and
pay a floating rate based on 3-
month LIBOR, Expires 6/11/12,
Broker Deutsche Bank AG

 

 

1,400

 

 

110,710

 

 

 

 

 

 

 

327,079

 

Over-the-Counter Put Options — 0.1%

 

 

 

 

 

 

 

EUR Put Option:

 

 

 

 

 

 

 

Strike Price USD 1.28, Expires
1/03/12

 

EUR

2,925

 

 

18,276

 

Strike Price USD 1.28, Expires
1/03/12

 

 

2,925

 

 

18,276

 

Strike Price USD 1.35, Expires
2/03/12

 

 

8,813

 

 

322,677

 

 

 

 

 

 

 

359,229

 

Over-the-Counter Put Swaptions — 0.1%

 

 

 

 

 

 

 

Pay a fixed rate of 2.85% and receive
a floating rate based on 3-month
LIBOR, Expires 1/13/12, Broker
Bank of America NA

 

USD

4,800

 

 

6,138

 

Pay a fixed rate of 1.76% and receive
a floating rate based on 3-month
LIBOR, Expires 1/26/12, Broker
Deutsche Bank AG

 

 

9,300

 

 

233

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

11


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount (000)

 

Value

 

Over-the-Counter Put Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 2.50% and receive
a floating rate based on 3-month
LIBOR, Expires 1/26/12, Broker
Deutsche Bank AG

 

USD

4,500

 

$

4

 

Pay a fixed rate of 2.70% and receive
a floating rate based on 3-month
LIBOR, Expires 1/27/12, Broker
Citibank NA

 

 

8,900

 

 

35,692

 

Pay a fixed rate of 3.50% and receive
a floating rate based on a 3-month
LIBOR, Expires 11/08/12, Broker
Citibank NA

 

 

4,000

 

 

223,577

 

 

 

 


 

 

265,644

 

Total Options Purchased
(Cost – $1,347,612) – 0.3%

 

 


 

 

1,114,618

 

Total Investments Before Borrowed Bonds, TBA
Sale Commitments and Options Written
(Cost – $519,043,500) – 140.9%

 

 

 

 

$

528,852,341

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

Par
(000)

 

 

 


US Treasury Notes, 1.00%,
10/31/16

 

 

1,510

 

 

(1,515,191

)

Total Borrowed Bonds
(Proceeds – $1,516,862) – (0.4)%

 

 


 

 

(1,515,191

)

 

 

 


 

 


 

 

 

 

 

 

 

 

 

TBA Sale Commitments (p)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

3.50%, 12/12/11

 

 

1,600

 

 

(1,631,750

)

6.00%, 12/12/11

 

 

8,500

 

 

(9,316,797

)

Total TBA Sale Commitments
(Proceeds – $10,938,828) – (2.9)%

 

 


 

 

(10,948,547

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Exchange-Traded Call Options — 0.0%

 

 

 

 

 

 

 

Eurodollar 1-Year Mid-Curve Options,
Strike Price USD 98.63, Expires
12/16/11

 

 

80

 

 

(6,500

)

 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

USD Call Option, Strike Price USD
0.92, Expires 1/09/12, Broker
Citibank NA

 

USD

5,180

 

$

(12,587

)

Over-the-Counter Call Swaptions — (0.2)%

 

 

 

 

 

 

 

Pay a fixed rate of 3.85% and receive
a floating rate based on 3-month
LIBOR, Expires 12/12/11, Broker
UBS AG

 

 

1,200

 

 

(179,462

)

Pay a fixed rate of 3.00% and receive
a floating rate based on 3-month
LIBOR, Expires 12/29/11, Broker
UBS AG

 

 

2,300

 

 

(160,980

)

Pay a fixed rate of 2.08% and receive
a floating rate based on 3-month
LIBOR, Expires 2/07/12, Broker
Goldman Sachs Bank USA

 

 

9,300

 

 

(256,662

)

Pay a fixed rate of 2.65% and receive
a floating rate based on 3-month
LIBOR, Expires 6/11/12, Broker
Deutsche Bank AG

 

 

1,400

 

 

(62,189

)

Pay a fixed rate of 2.90% and receive
a floating rate based on 3-month
LIBOR, Expires 6/11/12, Broker
Deutsche Bank AG

 

 

1,400

 

 

(85,084

)

 

 

 

 

 

 

(744,377

)

Over-the-Counter Put Options — (0.1)%

 

 

 

 

 

 

 

EUR Put Option:

 

 

 

 

 

 

 

Strike Price USD 1.28, Expires
1/03/12, Broker Goldman
Sachs Bank USA

 

EUR

2,925

 

 

(18,276

)

Strike Price USD 1.28, Expires
1/03/12, Broker Royal Bank of
Scotland Plc

 

 

2,925

 

 

(18,276

)

Strike Price USD 1.30, Expires
2/03/12, Broker Deutsche Bank
AG

 

 

8,813

 

 

(168,976

)

 

 

 

 

 

 

(205,528

)

Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 1.15% and
pay a floating rate based on 3-month
LIBOR, Expires 11/30/11, Broker
Bank of America NA

 

USD

5,900

 

 

(1

)

Receive a fixed rate of 3.75% and
pay a floating rate based on 3-month
LIBOR, Expires 11/30/11, Broker
Bank of America NA

 

 

2,300

 

 

—

 

Receive a fixed rate of 3.95% and
pay a floating rate based on 3-month
LIBOR, Expires 11/30/11, Broker
Citibank NA

 

 

4,600

 

 

(1

)

Receive a fixed rate of 3.85% and
pay a floating rate based on 3-month
LIBOR, Expires 12/12/11, Broker
UBS AG

 

 

1,200

 

 

—

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

12


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Put Swaptions (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 4.00% and
pay a floating rate based on 3-
month LIBOR, Expires 12/29/11,
Broker UBS AG

 

USD

2,300

 

$

—

 

Receive a fixed rate of 2.08% and
pay a floating rate based on 3-
month LIBOR, Expires 2/07/12,
Broker Goldman Sachs Bank USA

 

 

9,300

 

 

(129

)

 

 

 

 

 

 

(131

)

Total Options Written
(Premiums Received – $700,009) – (0.3)%

 

 

 

 

 

(969,123

)

Total Investments, Net of TBA Sale Commitments,
Outstanding Options Written and Borrowed Bonds -
137.3%

 

 

 

 

 

515,419,480

 

Liabilities in Excess of Other Assets – (37.3)%

 

 

 

 

 

(139,995,564

)

Net Assets – 100.0%

 

 

 

 

$

375,423,916

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of November 30, 2011, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

Aggregate cost

 

$

519,737,924

 

Gross unrealized appreciation

 

$

23,821,348

 

Gross unrealized depreciation

 

 

(14,706,931

)

Net unrealized appreciation

 

$

9,114,417

 

 

 

(a)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(e)

All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(f)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(g)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(h)

Convertible security.

 

 

(i)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(j)

When-issued security. Unsettled when-issued transactions were as follows:

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

JPMorgan Securities, Inc.

 

$

623,100

 

$

3,100

 

 

 

(k)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(l)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(m)

Security is perpetual in nature and has no stated maturity date.

 

 

(n)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(o)

All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

 

 

(p)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows:

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Credit Suisse Securities (USA) LLC

 

$

16,770,906

 

$

30,500

 

Deutsche Bank Securities, Inc.

 

$

11,743,922

 

$

7,524

 

Goldman Sachs & Co.

 

$

4,410,796

 

$

(636

)

JPMorgan Securities, Inc.

 

$

106,922

 

$

(78

)

Nomura Securities

 

$

(10,948,547

)

$

(9,719

)

UBS Securities

 

$

750,859

 

$

1,859

 

 

 

(q)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(r)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
August 31,
2011

 

Net
Activity

 

Shares
Held at
November 30,
2011

 

Income

 

 

BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class

 

 

4,711,687

 

 

(2,703,125

)

 

2,008,562

 

$

1,560

 

 

 

(s)

Represents the current yield as of report date.

 

 

•

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.


 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

13


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

 

•

Reverse repurchase agreements outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date1

 

Net Closing
Amount

 

Face
Amount

 

Deutsche Bank, NA

 

 

0.35%

 

 

7/18/11

 

 

Open

 

$

8,461,716

 

$

8,448,000

 

Deutsche Bank, NA

 

 

0.35%

 

 

7/19/11

 

 

Open

 

 

4,349,874

 

 

4,342,865

 

BNP Paribas Securities
Corp.

 

 

0.20%

 

 

10/11/11

 

 

Open

 

 

1,166,306

 

 

1,165,775

 

Barclays Capital, Inc.

 

 

0.07%

 

 

10/12/11

 

 

Open

 

 

8,009,261

 

 

8,008,000

 

Barclays Capital, Inc.

 

 

0.11%

 

 

10/12/11

 

 

Open

 

 

1,341,394

 

 

1,341,063

 

Barclays Capital, Inc.

 

 

0.10%

 

 

10/25/11

 

 

Open

 

 

2,586,889

 

 

2,586,400

 

UBS Securities LLC

 

 

0.35%

 

 

10/25/11

 

 

Open

 

 

3,350,151

 

 

3,347,938

 

BOA Merrill Lynch

 

 

0.08%

 

 

11/09/11

 

 

Open

 

 

12,553,166

 

 

12,551,688

 

Deutsche Bank, NA

 

 

0.12%

 

 

11/10/11

 

 

Open

 

 

2,645,158

 

 

2,644,700

 

BNP Paribas Securities
Corp.

 

 

0.14%

 

 

11/14/11

 

 

Open

 

 

1,045,395

 

 

1,045,200

 

Deutsche Bank, NA

 

 

0.20%

 

 

11/14/11

 

 

Open

 

 

2,180,706

 

 

2,180,125

 

Deutsche Bank, NA

 

 

(5.50)%

 

 

11/14/11

 

 

Open

 

 

277,450

 

 

279,500

 

Barclays Capital, Inc.

 

 

0.17%

 

 

11/16/11

 

 

Open

 

 

5,168,910

 

 

5,167,788

 

BNP Paribas Securities
Corp.

 

 

0.14%

 

 

11/16/11

 

 

Open

 

 

2,042,915

 

 

2,042,550

 

Credit Suisse Securities
(USA) LLC

 

 

0.23%

 

 

11/16/11

 

 

12/12/11

 

 

2,024,295

 

 

2,023,946

 

Credit Suisse Securities
(USA) LLC

 

 

0.35%

 

 

11/16/11

 

 

Open

 

 

1,699,278

 

 

1,698,519

 

BOA Merrill Lynch

 

 

0.12%

 

 

11/17/11

 

 

Open

 

 

845,564

 

 

845,438

 

Credit Suisse Securities
(USA) LLC

 

 

0.13%

 

 

11/29/11

 

 

Open

 

 

2,449,292

 

 

2,449,000

 

Credit Suisse Securities
(USA) LLC

 

 

0.17%

 

 

11/29/11

 

 

Open

 

 

2,991,316

 

 

2,990,850

 

BNP Paribas Securities
Corp.

 

 

0.10%

 

 

11/30/11

 

 

12/1/11

 

 

33,046,590

 

 

33,046,406

 

BNP Paribas Securities
Corp.

 

 

0.13%

 

 

11/30/11

 

 

12/1/11

 

 

7,531,179

 

 

7,531,125

 

Credit Suisse Securities
(USA) LLC

 

 

0.00%

 

 

11/30/11

 

 

12/1/11

 

 

7,825,000

 

 

7,825,000

 

Credit Suisse Securities
(USA) LLC

 

 

0.01%

 

 

11/30/11

 

 

12/1/11

 

 

3,584,477

 

 

3,584,475

 

Credit Suisse Securities
(USA) LLC

 

 

0.12%

 

 

11/30/11

 

 

12/1/11

 

 

9,180,061

 

 

9,180,000

 

Total

 

 

 

 

 

 

 

 

 

 

$

126,356,343

 

$

126,326,351

 


 

 

 

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

 

 

•

Financial futures contracts purchased as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5

 

German Euro-Bond Future

 

Eurex

 

December 2011

 

$

899,069

 

$

(19,013

)

 

 

 

 

 

London International

 

 

 

 

 

 

 

 

 

 

108

 

Euro-Bond Future

 

Financial Futures and
Options

 

March 2012

 

$

35,913,460

 

 

60,307

 

 

259

 

30-Year US Treasury Bond

 

Chicago Board of Trade

 

March 2012

 

$

36,616,125

 

 

(469,143

)

 

54

 

5-Year US Treasury Note

 

Chicago Board of Trade

 

March 2012

 

$

6,622,594

 

 

(2,321

)

 

160

 

90-Day Euro Dollar

 

Chicago Mercantile

 

December 2014

 

$

39,378,000

 

 

24,391

 

 

160

 

90-Day Euro Dollar

 

Chicago Mercantile

 

March 2015

 

$

39,308,000

 

 

30,480

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

(375,299

)

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

14


 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

 

•

Financial futures contracts sold as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

352

 

Euro-Schatz Future

 

Eurex

 

December 2011

 

$

52,127,372

 

$

(284,779

)

59

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

December 2011

 

$

14,671,456

 

 

10,532

 

1

 

Japanese Yen Future

 

Chicago Mercantile

 

December 2011

 

$

161,238

 

 

1,097

 

7

 

30-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

December 2011

 

$

991,375

 

 

1,299

 

55

 

2-Year US Treasury Note

 

Chicago Board of Trade

 

December 2011

 

$

12,121,484

 

 

(547

)

121

 

5-Year US Treasury Note

 

Chicago Board of Trade

 

December 2011

 

$

14,883,945

 

 

3,963

 

386

 

10-Year US Treasury Note

 

Chicago Board of Trade

 

March 2012

 

$

49,926,688

 

 

19,290

 

95

 

Ultra Long US Treasury Bond

 

Chicago Board of Trade

 

March 2012

 

$

14,766,563

 

 

351,616

 

32

 

2-Year US Treasury Note

 

Chicago Board of Trade

 

March 2012

 

$

7,056,000

 

 

(4,561

)

Total

 

 

 

 

 

 

 

 

 

 

$

97,910

 

 

 

•

Foreign currency exchange contracts as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Purchased

 

       Currency Sold

 

Counterparty

 

Settlement Date

 

Unrealized Appreciation
(Depreciation)

 

CAD

 

600,000

 

EUR

 

436,297

 

Citibank NA

 

12/02/11

 

$

1,005

 

CAD

 

150,000

 

EUR

 

107,621

 

Deutsche Bank AG

 

12/02/11

 

 

1,225

 

EUR

 

398,074

 

CAD

 

550,000

 

Deutsche Bank AG

 

12/02/11

 

 

(2,174

)

EUR

 

143,960

 

CAD

 

200,000

 

UBS AG

 

12/02/11

 

 

(1,325

)

EUR

 

925,000

 

USD

 

1,245,045

 

Citibank NA

 

12/02/11

 

 

(2,123

)

EUR

 

200,000

 

USD

 

275,028

 

Royal Bank of Scotland Plc

 

12/02/11

 

 

(6,288

)

NOK

 

1,775,000

 

USD

 

310,361

 

Citibank NA

 

12/02/11

 

 

(3,042

)

NOK

 

850,000

 

USD

 

153,722

 

UBS AG

 

12/02/11

 

 

(6,555

)

NZD

 

175,000

 

USD

 

136,176

 

Citibank NA

 

12/02/11

 

 

472

 

NZD

 

350,000

 

USD

 

283,121

 

Deutsche Bank AG

 

12/02/11

 

 

(9,824

)

SEK

 

2,750,000

 

USD

 

409,292

 

Citibank NA

 

12/02/11

 

 

(2,911

)

SGD

 

257,979

 

USD

 

200,000

 

Citibank NA

 

12/02/11

 

 

1,287

 

SGD

 

291,597

 

USD

 

225,000

 

Deutsche Bank AG

 

12/02/11

 

 

2,517

 

USD

 

237,339

 

EUR

 

175,000

 

Citibank NA

 

12/02/11

 

 

2,192

 

USD

 

1,064,437

 

EUR

 

800,000

 

Royal Bank of Scotland Plc

 

12/02/11

 

 

(10,523

)

USD

 

208,697

 

EUR

 

150,000

 

UBS AG

 

12/02/11

 

 

7,142

 

USD

 

157,535

 

NOK

 

925,000

 

Citibank NA

 

12/02/11

 

 

(2,617

)

USD

 

307,069

 

NOK

 

1,700,000

 

Royal Bank of Scotland Plc

 

12/02/11

 

 

12,735

 

USD

 

280,352

 

NZD

 

350,000

 

Citibank NA

 

12/02/11

 

 

7,055

 

USD

 

130,927

 

NZD

 

175,000

 

Royal Bank of Scotland Plc

 

12/02/11

 

 

(5,721

)

USD

 

277,511

 

SEK

 

1,900,000

 

Citibank NA

 

12/02/11

 

 

(3,261

)

USD

 

128,272

 

SEK

 

850,000

 

Deutsche Bank AG

 

12/02/11

 

 

2,664

 

USD

 

200,000

 

SGD

 

255,146

 

Citibank NA

 

12/02/11

 

 

924

 

USD

 

225,000

 

SGD

 

293,006

 

Royal Bank of Scotland Plc

 

12/02/11

 

 

(3,616

)

EUR

 

1,180,000

 

USD

 

1,643,203

 

Royal Bank of Scotland Plc

 

12/05/11

 

 

(57,591

)

EUR

 

1,220,000

 

USD

 

1,653,145

 

Citibank NA

 

12/14/11

 

 

(13,640

)

USD

 

3,312,815

 

EUR

 

2,440,000

 

Citibank NA

 

12/14/11

 

 

33,804

 

NOK

 

19,370,000

 

SEK

 

22,699,412

 

Goldman Sachs Capital
Markets LP

 

1/09/12

 

 

(160

)

NOK

 

19,370,000

 

SEK

 

22,654,184

 

UBS AG

 

1/09/12

 

 

3,176

 

SEK

 

13,265,307

 

NOK

 

11,300,000

 

Citibank NA

 

1/09/12

 

 

1,790

 

SEK

 

12,811,866

 

NOK

 

10,895,000

 

Deutsche Bank AG

 

1/09/12

 

 

3,349

 

SEK

 

6,638,778

 

NOK

 

5,650,000

 

Goldman Sachs Capital
Markets LP

 

1/09/12

 

 

1,347

 

SEK

 

12,788,551

 

NOK

 

10,895,000

 

UBS AG

 

1/09/12

 

 

1,629

 

AUD

 

200,000

 

CAD

 

208,869

 

UBS AG

 

1/18/12

 

 

5

 

CAD

 

206,917

 

AUD

 

200,000

 

Royal Bank of Scotland Plc

 

1/18/12

 

 

(961

)

USD

 

28,842

 

JPY

 

2,210,000

 

Royal Bank of Scotland Plc

 

1/18/12

 

 

314

 

EUR

 

1,125,000

 

USD

 

1,515,120

 

Deutsche Bank AG

 

1/25/12

 

 

(2,721

)

EUR

 

900,000

 

USD

 

1,200,018

 

Royal Bank of Scotland Plc

 

1/25/12

 

 

9,901

 

USD

 

11,581,804

 

EUR

 

8,444,000

 

Citibank NA

 

1/25/12

 

 

230,077

 

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

15


 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Purchased

 

Currency Sold

 

Counterparty

 

Settlement Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

 

4,778,854

 

EUR

 

3,514,000

 

Royal Bank of Scotland Plc

 

1/25/12

 

$

54,793

 

CNY

 

5,940,000

 

USD

 

940,245

 

Goldman Sachs Capital
Markets LP

 

2/15/12

 

 

(8,627

)

USD

 

932,642

 

CNY

 

5,940,000

 

HSBC Bank USA

 

2/15/12

 

 

1,024

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

236,747

 

 

 

•

Credit default swaps on single-name issues - buy protection outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

Radian Group, Inc.

 

5.00%

 

Citibank NA

 

3/20/13

 

$

1,400

 

$

561,516

 

Radian Group, Inc.

 

5.00%

 

Citibank NA

 

6/20/15

 

$

1,400

 

 

648,362

 

The New York Times

 

1.00%

 

Barclays Bank Plc

 

12/20/16

 

$

1,800

 

 

65,961

 

Co.

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

1,275,839

 

 

 

•

Credit default swaps on single-name issues - sold protection outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 

Aviva USA Corp.

 

1.00%

 

Deutsche Bank AG

 

5/25/12

 

A+

 

$

1,150

 

$

(1,353

)

Assured Guaranty

 

5.00%

 

Citibank NA

 

12/20/14

 

AA-

 

$

150

 

 

(6,370

)

Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assured Guaranty

 

5.00%

 

Citibank NA

 

12/20/14

 

AA-

 

$

4

 

 

(128

)

Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assured Guaranty

 

5.00%

 

Citibank NA

 

3/20/15

 

AA-

 

$

15

 

 

(492

)

Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MetLife, Inc.

 

1.00%

 

Credit Suisse Securities (USA)

 

9/20/16

 

A-

 

$

535

 

 

(7,432

)

 

 

 

 

LLC

 

 

 

 

 

 

 

 

 

 

 

MetLife, Inc.

 

1.00%

 

Deutsche Bank AG

 

9/20/16

 

A-

 

$

730

 

 

(15,641

)

MetLife, Inc.

 

1.00%

 

Goldman Sachs International

 

9/20/16

 

A-

 

$

500

 

 

(11,797

)

MetLife, Inc.

 

1.00%

 

Morgan Stanley & Co., Inc.

 

9/20/16

 

A-

 

$

900

 

 

(20,689

)

MetLife, Inc.

 

1.00%

 

Morgan Stanley Capital Services,

 

9/20/16

 

A-

 

$

275

 

 

(8,673

)

 

 

 

 

Inc.

 

 

 

 

 

 

 

 

 

 

 

Prudential Financial,

 

1.00%

 

Morgan Stanley Capital Services,

 

9/20/16

 

A

 

$

405

 

 

(3,239

)

Inc.

 

 

 

Inc.

 

 

 

 

 

 

 

 

 

 

 

Assured Guaranty

 

5.00%

 

Citibank NA

 

12/20/16

 

AA-

 

$

224

 

 

(7,047

)

Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MetLife, Inc.

 

1.00%

 

Citibank NA

 

12/20/16

 

A-

 

$

1,825

 

 

(62,486

)

MetLife, Inc.

 

1.00%

 

Citibank NA

 

12/20/16

 

A-

 

$

285

 

 

(7,991

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(153,338

)

1          Using Standard & Poor’s rating.

2          The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

16


 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

 

•

Credit default swaps on traded indexes - buy protection outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

 

Dow Jones CDX
Emerging Markets
Series 14

 

5.00%

 

Morgan Stanley Capital Services, Inc.

 

12/20/15

 

$

990

 

$

18,692

 

 

Dow Jones CDX North
America Investment
Grade Series 16

 

1.00%

 

Credit Suisse Securities (USA) LLC

 

6/20/16

 

$

388

 

 

538

 

 

Dow Jones CDX North
America Investment
Grade Series 16

 

1.00%

 

JPMorgan Chase Bank NA

 

6/20/16

 

$

22

 

 

77

 

 

Dow Jones CDX North
America Investment
Grade Index Series 16

 

1.00%

 

Morgan Stanley Capital Services, Inc.

 

6/20/16

 

$

1,480

 

 

(6,299

)

 

Dow Jones CDX North
America Investment
Grade Index Series 17

 

1.00%

 

Credit Suisse Securities (USA) LLC

 

12/20/16

 

$

2,490

 

 

(12,825

)

 

Total

 

 

 

 

 

 

 

 

 

 

$

183

 

 

 

•

Credit default swaps on traded indexes - sold protection outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

 

Markit CMBX North
America AAA Index 3

 

0.08%

 

Morgan Stanley & Co., Inc.

 

12/13/49

 

AAA

 

$

525

 

$

5,055

 

 

Markit CMBX North
America AAA Index 4

 

0.35%

 

Morgan Stanley & Co., Inc.

 

2/17/51

 

AAA

 

$

525

 

 

1,657

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

6,712

 

 

 

 

 

1          Using Standard &Poor’s rating.

 

 

 

 

2          The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

 

 

 

•

Interest rate swaps outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

 

1.44% (a)

 

3-month LIBOR

 

Citibank NA

 

9/13/13

 

$

38,810

 

$

49,193

 

 

1.22% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

10/06/16

 

$

4,750

 

 

11,314

 

 

3.27% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

5/16/21

 

$

910

 

 

(89,162

)

 

3.86% (a)

 

3-month LIBOR

 

JP Morgan Chase & Co.

 

5/23/21

 

$

1,400

 

 

155,628

 

 

2.57% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

8/08/21

 

$

500

 

 

17,729

 

 

2.56% (b)

 

3-month LIBOR

 

UBS AG

 

8/10/21

 

$

1,000

 

 

(34,318

)

 

2.35% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

8/12/21

 

$

1,800

 

 

28,385

 

 

2.15% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

9/08/21

 

$

500

 

 

(1,589

)

 

1.91% (a)

 

3-month LIBOR

 

Bank of America NA

 

9/26/21

 

$

300

 

 

(7,588

)

 

2.18% (a)

 

3-month LIBOR

 

Bank of America NA

 

10/06/21

 

$

1,880

 

 

(45,164

)

 

2.15% (b)

 

3-month LIBOR

 

Morgan Stanley & Co., Inc.

 

11/23/21

 

$

900

 

 

4,724

 

 

2.79% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

10/11/41

 

$

400

 

 

(4,190

)

 

2.87% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

10/13/41

 

$

500

 

 

(13,728

)

 

2.94% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

10/14/41

 

$

500

 

 

20,491

 

 

2.58% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

11/11/41

 

$

350

 

 

25,124

 

 

2.68% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

11/18/41

 

$

745

 

 

33,388

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

150,237

 

 

 

(a)

Pays floating interest rate and receives fixed rate.

 

 

(b)

Pays fixed interest rate and receives floating rate.

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

17


 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:


 

 

 

 

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of November 30, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:
Long-Term

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

$

—

 

 

13,435,062

 

$

6,056,442

 

$

19,491,504

 

Common Stocks

 

 

—

 

 

1

 

 

—

 

 

1

 

Corporate Bonds

 

 

—

 

 

267,871,354

 

 

5,174,617

 

 

273,045,971

 

Foreign Agency
Obligations

 

 

—

 

 

6,658,466

 

 

—

 

 

6,658,466

 

Non-Agency
Mortgage-Backed
Securities

 

 

—

 

 

56,471,710

 

 

393,744

 

 

56,865,454

 

Other Interests

 

 

—

 

 

—

 

 

191

 

 

191

 

Preferred
Securities

 

$

379,223

 

 

6,803,983

 

 

—

 

 

7,183,206

 

Taxable
Municipal
Bonds

 

 

—

 

 

8,064,311

 

 

—

 

 

8,064,311

 

US Government
Sponsored
Agency
Securities

 

 

—

 

 

52,648,517

 

 

—

 

 

52,648,517

 

US Treasury
Obligations

 

 

—

 

 

101,297,803

 

 

—

 

 

101,297,803

 

Warrants

 

 

—

 

 

87,774

 

 

1

 

 

87,775

 

Short-Term
Securities

 

 

2,008,562

 

 

385,962

 

 

—

 

 

2,394,524

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed
Bonds

 

 

—

 

 

(1,515,191

)

 

—

 

 

(1,515,191

)

TBA Sale
Commitments

 

 

—

 

 

(10,948,547

)

 

—

 

 

(10,948,547

)

Total

 

$

2,387,785

 

$

501,261,205

 

$

11,624,995

 

$

515,273,985

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

$

1,301,858

 

 

—

 

$

1,301,858

 

Equity contracts

 

$

568,128

 

 

1,049,465

 

 

—

 

 

1,617,593

 

Foreign currency
exchange
contracts

 

 

—

 

 

380,427

 

 

—

 

 

380,427

 

Interest rate
contracts

 

 

—

 

 

345,976

 

 

—

 

 

345,976

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

 

(171,109

)

$

(1,353

)

 

(172,462

)

Equity contracts

 

 

(786,864

)

 

(962,623

)

 

—

 

 

(1,749,487

)

Foreign currency
exchange
contracts

 

 

—

 

 

(143,680

)

 

—

 

 

(143,680

)

Interest rate
contracts

 

 

—

 

 

(195,739

)

 

—

 

 

(195,739

)

Total

 

$

(218,736

)

$

1,604,575

 

$

(1,353

)

$

1,384,486

 

 

 

1

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

18


 

 

 

Schedule of Investments (concluded)

BlackRock Core Bond Trust (BHK)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-
Backed
Securities

 

Corporate
Bonds

 

Non-Agency
Mortgage-
Backed
Securities

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

6,120,404

 

$

5,241,392

 

$

1,960,957

 

$

191

 

$

102,281

 

$

77,670

 

$

13,502,895

 

Accrued discounts/premiums

 

 

(49,904

)

 

190

 

 

4,269

 

 

—

 

 

 

 

 

—

 

 

(45,445

)

Net realized gain (loss)

 

 

48

 

 

17,863

 

 

40,566

 

 

—

 

 

120,330

 

 

—

 

 

178,807

 

Net change in unrealized appreciation/depreciation2

 

 

3,286

 

 

(32,828

)

 

20,295

 

 

—

 

 

(102,281

)

 

—

 

 

(111,528

)

Purchases

 

 

254,980

 

 

—

 

 

394,428

 

 

—

 

 

—

 

 

—

 

 

649,408

 

Sales

 

 

(272,372

)

 

(52,000

)

 

(1,674,101

)

 

—

 

 

(120,330

)

 

—

 

 

(2,118,803

)

Transfers in3

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

Transfers out3

 

 

 

 

 

 

 

 

(352,670

)

 

 

 

 

 

 

 

(77,669

)

 

(430,339

)

Balance, as of November 30, 2011

 

$

6,056,442

 

$

5,174,617

 

$

393,744

 

$

191

 

$

—

 

$

1

 

$

11,624,995

 

 

 

2

The change in unrealized appreciation/depreciation on securities still held on November 30, 2011 was (14,773).

 

3

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

 

 

A reconciliation of Level 3 investments and derivatives is presented when the Trust had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.

The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Balance, as of August 31, 2011

 

$

(941

)

Accrued discounts/premiums

 

 

1,845

 

Net realized gain (loss)

 

 

—

 

Net change in unrealized appreciation/depreciation4

 

 

(412

)

Purchases

 

 

—

 

Issuances5

 

 

—

 

Sales

 

 

—

 

Settlements6

 

 

(1,845

)

Transfers in7

 

 

—

 

Transfers out7

 

 

—

 

 

 

 

—

 

Balance, as of November 30, 2011

 

$

(1,353

)

 

 

4

The change in unrealized appreciation/depreciation on securities still held on November 30, 2011 was $(412).

 

5

Issuances represent upfront cash received on certain derivative financial instruments.

 

6

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

7

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.

 

 

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUST

NOVEMBER 30, 2011

19

Item 2 –

Controls and Procedures

 

 

2(a) –

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

 

 

2(b) –

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

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

 

BlackRock Core Bond Trust
   

 

 By: /s/ John M. Perlowski

 

 

 

John M. Perlowski

 

 

Chief Executive Officer (principal executive officer) of

 

 

BlackRock Core Bond Trust

 

 

 

Date: January 23, 2012

 

 

 

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

 

 

 

 By: /s/ John M. Perlowski

 

 

 

John M. Perlowski

 

 

Chief Executive Officer (principal executive officer) of

 

 

BlackRock Core Bond Trust

 

 

 

Date: January 23, 2012

 

 

 

 By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock Core Bond Trust

 

 

 

 

Date: January 23, 2012