BlackRock Core Bond Trust

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: 08/31/2019

Date of reporting period: 11/30/2018

 


Item 1 – Schedule of Investments

 


Schedule of Investments  (unaudited) 

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Asset-Backed Securities — 8.3%

 

Asset-Backed Securities — 8.3%  

AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US + 3.25%),
5.72%, 07/20/26(a)(b)

    USD       795     $ 795,332  

ALM Loan Funding, 5.14%, 07/15/26(a)(c)

      1,000       993,525  

ALM VI Ltd., Series 2012-6A, Class BR3, 4.19%, 07/15/26(a)(c)

      1,000       989,278  

ALM XII Ltd., Series 2015-12A, Class C1R2,
5.09%, 04/16/27(a)(c)

      545       540,863  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, 5.14%, 07/15/27(a)(c)

      2,080       2,045,294  

Anchorage Capital CLO Ltd.(a):

     

Series 2013-1A, Class CR,
5.64%, 10/13/30(c)

      1,000       1,002,056  

Series 2016-8A, Class DR,
5.51%, 07/28/28(c)

      1,000       998,552  

Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%), 6.44%, 01/15/29(b)

      650       654,411  

Battalion CLO X Ltd., Series 2016-10A, Class C, (3 mo. LIBOR US + 4.25%),
6.74%, 01/24/29(a)(b)

      1,000       1,006,040  

Bowman Park CLO Ltd., Series 2014-1A, Class D2R, (3 mo. LIBOR US + 3.35%), 6.03%, 11/23/25(a)(b)

      3,000       3,004,685  

Burnham Park Clo Ltd., Series 2016-1A, Class ER, 7.87%, 10/20/29(a)(c)(e)

      1,000       1,000,000  

Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, (1 mo. LIBOR US + 0.15%), 2.46%, 01/25/37(b)

      121       120,015  

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44(a)

      3,774       3,768,982  

Dryden 41 Senior Loan Fund, Series 2015-41A, Class AR, 3.41%, 04/15/31(a)(c)(d)

      2,550       2,529,981  

Dryden 64 CLO Ltd., Series 2018-64A, Class D, 5.09%, 04/18/31(a)(c)

      1,250       1,238,576  

Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (3 mo. LIBOR US + 3.15%), 5.77%, 08/15/30(a)(b)

      1,000       1,001,257  

Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, 5.02%, 11/15/26(a)(c)

      805       801,982  

Highbridge Loan Management, Series 3A-2014, Class CR, (3 mo. LIBOR US + 3.60%), 6.04%, 07/18/29(a)(b)

      1,000       1,005,818  

Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%),
6.07%, 10/20/26(a)(b)

      3,750       3,758,664  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.71%, 01/27/26(a)(b)

      1,800       1,802,507  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

Nelnet Student Loan Trust, Series 2006-1, Class A5, (3 mo. LIBOR US + 0.11%),
2.76%, 08/23/27(b)

    USD       380     $ 378,513  

Neuberger Berman CLO XV, Series 2013-15A, Class DR, 5.49%, 10/15/29(a)(c)

      1,000       993,491  

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, (3 mo. LIBOR US + 3.65%), 6.26%, 11/14/26(a)(b)

      2,000       2,005,500  

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR,
5.22%, 01/22/30(a)(c)

      500       495,248  

OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 9.62%, 01/21/30(a)(b)

      595       600,949  

OHA Loan Funding Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.75%), 6.22%, 01/20/28(a)(b)

      2,500       2,515,082  

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 07/18/25(a)

      5,000       5,004,832  

OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.00%), 5.44%, 01/22/29(a)(b)

      1,500       1,505,232  

OZLM VIII Ltd., Series 2014-8A, Class CRR,
5.61%, 11/17/29(a)(c)

      1,750       1,750,000  

OZLM XIV Ltd., Series 2015-14A, Class CR,
5.44%, 01/15/29(a)(c)

      1,000       994,126  

OZLM XXI, Series 2017-21A, Class C,
5.14%, 01/20/31(a)(c)

      1,000       975,242  

Palmer Square Loan Funding Ltd., Series 2018-5A, Class D, 1.00%, 01/20/27(a)(c)(d)

      1,000       965,000  

Regatta VI Funding Ltd., Series 2016-1A, Class ER, 7.47%, 07/20/28(a)(c)

      250       240,891  

Rockford Tower CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 5.69%, 04/15/29(a)(b)

      1,750       1,756,221  

Shackleton CLO Ltd., Series 2013-3A, Class DR,
5.46%, 07/15/30(a)(c)

      500       495,157  

SLM Private Education Loan Trust (a):

     

Series 2012-A, Class A2, 3.83%, 01/17/45

      144       144,725  

Series 2014-A, Class B, 3.50%, 11/15/44

      500       497,233  

Sound Point CLO XII Ltd., Series 2016-2A, Class D,
(3 mo. LIBOR US + 4.25%),
6.72%, 10/20/28(a)(b)

      465       463,504  

Sound Point CLO XIV Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 3.85%),
6.33%, 01/23/29(a)(b)

      1,550       1,558,846  
 

 

 

     1  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

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

    USD       456     $ 449,183  

Voya CLO Ltd., Series 2017-3A, Class C, (3 mo. LIBOR US + 3.55%),
6.02%, 07/20/30(a)(b)

      1,000       1,006,338  

Wellfleet CLO Ltd., Series 2015-1A, Class DR, 5.27%, 10/20/27(a)(c)

      2,000       1,991,704  

Westcott Park CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 4.35%), 6.82%, 07/20/28(a)(b)

      685       692,120  

York CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%),
6.07%, 10/20/29(a)(b)

      1,750       1,748,786  

York CLO-4 Ltd., Series 2016-2A, Class D, (3 mo. LIBOR US + 4.10%),

6.57%, 01/20/30(a)(b)

      1,500       1,519,018  
     

 

 

 
        59,804,759  
Interest Only Asset-Backed Securities — 0.0%        

Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 03/30/30(a)(e)

      2,012       100,089  

Sterling Coofs Trust, Series 2004-1,
Class A, 2.36%, 04/15/29(e)

      2,574       112,758  
     

 

 

 
        212,847  
     

 

 

 

Total Asset-Backed Securities — 8.3%
(Cost — $60,150,985)

        60,017,606  
     

 

 

 

Corporate Bonds — 65.9%

     
Aerospace & Defense — 1.2%                  

Arconic, Inc.:

 

   

5.40%, 04/15/21

 

    235       238,290  

5.13%, 10/01/24

 

    606       587,820  

5.90%, 02/01/27

 

    43       41,280  

BBA US Holdings, Inc., 5.38%, 05/01/26(a)

 

    194       187,695  

Bombardier, Inc.(a):

 

   

7.75%, 03/15/20

 

    122       124,287  

8.75%, 12/01/21

 

    423       436,219  

5.75%, 03/15/22

 

    59       56,050  

6.00%, 10/15/22

 

    13       12,319  

6.13%, 01/15/23

 

    546       518,700  

7.50%, 12/01/24

 

    471       448,039  

7.50%, 03/15/25

 

    589       559,550  

7.45%, 05/01/34

 

    100       87,000  

Eaton Corp., 4.15%, 11/02/42

 

    500       454,408  

KLX, Inc., 5.88%, 12/01/22(a)

 

    595       612,478  

Koppers, Inc., 6.00%, 02/15/25(a)

 

    98       87,710  
Security   Par
(000)
    Value  
Aerospace & Defense (continued)                  

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

    USD       211     $ 217,330  

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

      1,410       1,277,927  

Pioneer Holdings LLC/Pioneer Finance Corp., 9.00%, 11/01/22(a)

      94       95,880  

TransDigm UK Holdings PLC,
6.88%, 05/15/26(a)

      200       197,500  

TransDigm, Inc.:

     

6.00%, 07/15/22

      246       246,000  

6.50%, 07/15/24

      191       191,477  

6.50%, 05/15/25

      104       103,610  

6.38%, 06/15/26

      266       259,653  

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

      1,450       1,649,200  
     

 

 

 
        8,690,422  
Air Freight & Logistics — 0.2%                  

FedEx Corp., 4.75%, 11/15/45

      1,250       1,171,491  

XPO Logistics, Inc., 6.50%, 06/15/22(a)

      64       65,120  
     

 

 

 
        1,236,611  
Airlines — 2.1%                  

Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 09/15/24(a)

      1,556       1,518,859  

American Airlines Pass-Through Trust:

     

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

      3,139       3,205,991  

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

      1,323       1,290,813  

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

      1,322       1,275,070  

Series 2017-1, Class B, 4.95%, 08/15/26

      1,689       1,713,332  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd.,
8.38%, 05/10/20

      302       300,868  

Continental Airlines Pass-Through Trust, Series 2010-1, Class B, 6.00%, 07/12/20

      157       156,887  

Latam Finance Ltd., 6.88%, 04/11/24(a)

      257       253,788  

Mexico City Airport Trust, 5.50%, 07/31/47(a)

      260       194,350  

United Airlines Pass-Through Trust:

     

Series 2013-1, Class A, 4.30%, 02/15/27

      3,210       3,216,487  

Series 2014-2, Class B, 4.63%, 03/03/24

      1,976       1,978,618  
     

 

 

 
        15,105,063  
Auto Components — 0.2%                  

Aptiv PLC, 4.40%, 10/01/46

      465       395,384  
 

 

 

2   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Auto Components (continued)                  

Fiat Chrysler Finance Europe, 4.75%, 07/15/22

    EUR       100     $ 124,531  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

6.25%, 02/01/22

    USD       118       119,918  

6.75%, 02/01/24

      112       112,700  

6.38%, 12/15/25

      200       197,500  

IHO Verwaltungs GmbH(g):

     

(2.75% Cash or 3.50% PIK),
2.75%, 09/15/21

    EUR       100       112,644  

(3.25% Cash or 4.00% PIK),
3.25%, 09/15/23

      100       110,256  

(4.50% Cash or 5.25% PIK),
4.50%, 09/15/23(a)

    USD       205       190,650  

Tesla, Inc., 5.30%, 08/15/25(a)(f)

      273       235,804  

Volvo Car AB, 2.00%, 01/24/25

    EUR       100       105,593  
     

 

 

 
        1,704,980  
Automobiles — 0.5%                  

Ford Motor Co., 4.75%, 01/15/43(f)

    USD       2,000       1,505,495  

General Motors Co., 6.25%, 10/02/43

      2,506       2,294,782  
     

 

 

 
        3,800,277  
Banks — 1.9%                  

Allied Irish Banks PLC(5 year EUR Swap + 3.95%), 4.13%, 11/26/25(h)

    EUR       100       116,063  

Banco BPM SpA, 2.75%, 07/27/20

      100       113,458  

Banco Inbursa SA Institucion de Banca Multiple, 4.13%, 06/06/24(a)

    USD       255       236,750  

Bank of Ireland Group PLC, 3.13%, 09/19/27(c)

    GBP       100       120,145  

Barclays PLC:

     

4.38%, 09/11/24

    USD       550       510,625  

3.65%, 03/16/25

      4,320       3,967,082  

BBVA Bancomer SA, 6.75%, 09/30/22(a)

      236       244,262  

CaixaBank SA(5 year EUR Swap + 3.35%), 3.50%, 02/15/27(h)

    EUR       100       116,474  

CIT Group, Inc.:

     

5.00%, 08/01/23

    USD       237       237,593  

5.25%, 03/07/25

      268       269,286  

6.13%, 03/09/28

      120       123,000  

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

      1,500       1,482,678  

HSBC Holdings PLC, 6.10%, 01/14/42

      610       698,026  

Promerica Financial Corp., 9.70%, 05/14/24(a)

      200       207,100  

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

      2,000       1,936,288  

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

      1,250       1,201,358  

Standard Chartered PLC, 4.87%, 03/15/33(a)(c)

      500       472,871  
Security   Par
(000)
    Value  
Banks (continued)                  

Wells Fargo & Co., 3.90%, 05/01/45(f)

    USD       2,250     $ 1,999,183  
     

 

 

 
        14,052,242  
Beverages — 0.7%                  

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

      4,600       4,276,014  

BWAY Holding Co., 4.75%, 04/15/24

    EUR       100       109,288  

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

    USD       222       218,115  

OI European Group BV, 4.00%, 03/15/23(a)

      111       103,785  
     

 

 

 
        4,707,202  
Biotechnology — 0.5%                  

Amgen, Inc., 4.40%, 05/01/45

      2,250       2,060,172  

Baxalta, Inc., 5.25%, 06/23/45

      500       491,907  

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

      1,000       973,742  
     

 

 

 
        3,525,821  
Building Materials — 0.0%                  

Jeld-Wen, Inc., 4.63%, 12/15/25(a)

      93       83,235  
     

 

 

 
Building Products — 0.1%                  

CPG Merger Sub LLC, 8.00%, 10/01/21(a)

      218       215,820  

Jeld-Wen, Inc., 4.88%, 12/15/27(a)

      21       18,323  

Masonite International Corp.(a):

     

5.63%, 03/15/23

      127       126,682  

5.75%, 09/15/26

      96       90,600  

PGT Escrow Issuer, Inc., 6.75%, 08/01/26(a)

      64       64,640  

Standard Industries, Inc.(a):

     

5.38%, 11/15/24

      19       18,050  

6.00%, 10/15/25

      115       112,125  

USG Corp., 4.88%, 06/01/27(a)

      208       208,260  
     

 

 

 
        854,500  
Building: Roofing, Wallboard & Plumbing — 0.0%        

Quintiles IMS, Inc., 4.88%, 05/15/23(a)

      74       73,722  
     

 

 

 
Cable Television Services — 0.0%                  

CB Escrow Corp., 8.00%, 10/15/25(a)

      127       112,395  
     

 

 

 
Capital Markets — 2.9%                  

Blackstone CQP Holdco LP(a):

     

6.50%, 03/20/21

      1,375       1,333,880  

6.00%, 08/18/21

      224       223,699  

CDP Financial, Inc., 5.60%, 11/25/39(a)

      5,890       7,204,496  

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

      8,965       8,560,659  

Intertrust Group BV, 3.38%, 11/15/25

    EUR       100       111,985  

Lions Gate Capital Holdings LLC,
5.88%, 11/01/24(a)

    USD       57       57,427  
 

 

 

     3  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Capital Markets (continued)                  

Morgan Stanley:

     

4.00%, 07/23/25

    USD       905     $ 885,942  

3.13%, 07/27/26(f)

      2,000       1,827,961  

NFP Corp., 6.88%, 07/15/25(a)

      62       58,745  

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

      400       381,139  

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

      114       112,575  

SURA Asset Management SA,
4.38%, 04/11/27(a)

      259       240,549  
     

 

 

 
        20,999,057  
Chemicals — 0.9%                  

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

      360       310,004  

Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(a)(g)

      210       203,700  

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

      600       576,000  

Axalta Coating Systems LLC,
4.88%, 08/15/24(a)

      311       301,110  

Blue Cube Spinco, Inc.:

     

9.75%, 10/15/23

      244       273,021  

10.00%, 10/15/25

      183       209,077  

CF Industries, Inc., 4.95%, 06/01/43

      32       24,780  

Chemours Co.:

     

6.63%, 05/15/23

      95       96,425  

7.00%, 05/15/25

      186       188,325  

5.38%, 05/15/27

      324       292,410  

Cydsa SAB de CV, 6.25%, 10/04/27(a)

      319       287,901  

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

      96       91,920  

Hexion, Inc., 10.38%, 02/01/22(a)

      74       61,605  

INEOS Finance PLC, 4.00%, 05/01/23

    EUR       100       114,329  

Mexichem SAB de CV(a):

     

4.00%, 10/04/27

    USD       200       172,250  

5.50%, 01/15/48

      200       166,500  

Momentive Performance Materials, Inc., 3.88%, 10/24/21

      227       243,174  

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

      163       151,590  

Olin Corp.:

     

5.13%, 09/15/27

      101       94,844  

5.00%, 02/01/30

      82       72,980  

Platform Specialty Products Corp.(a):

     

6.50%, 02/01/22

      1,311       1,335,581  

5.88%, 12/01/25

      614       598,650  

PQ Corp.(a):

     

6.75%, 11/15/22

      262       271,825  

5.75%, 12/15/25

      319       298,067  

PSPC Escrow Corp., 6.00%, 02/01/23

    EUR       100       116,472  
Security   Par
(000)
    Value  
Chemicals (continued)                  

Versum Materials, Inc., 5.50%, 09/30/24(a)

    USD       43     $ 42,463  

WR Grace & Co-Conn, 5.63%, 10/01/24(a)

      130       131,586  
     

 

 

 
        6,726,589  
Commercial Services & Supplies — 0.7%                  

ADT Corp.:

     

6.25%, 10/15/21

      86       88,903  

3.50%, 07/15/22

      163       152,609  

4.13%, 06/15/23

      165       153,862  

4.88%, 07/15/32(a)

      301       237,790  

Advanced Disposal Services, Inc.,
5.63%, 11/15/24(a)

      115       112,412  

Aviation Capital Group Corp., 7.13%, 10/15/20(a)

      1,800       1,893,386  

Avolon Holdings Funding Ltd.,
5.13%, 10/01/23(a)

      233       232,126  

Booz Allen Hamilton, Inc., 5.13%, 05/01/25(a)

      82       79,540  

Core & Main LP, 6.13%, 08/15/25(a)

      246       224,475  

Fortress Transportation & Infrastructure Investors LLC(a):

     

6.75%, 03/15/22

      43       43,697  

6.50%, 10/01/25

      46       44,505  

GFL Environmental, Inc., 5.38%, 03/01/23(a)

      92       84,180  

Harland Clarke Holdings Corp.,
8.38%, 08/15/22(a)

      284       262,700  

Iron Mountain, Inc., 6.00%, 08/15/23

      130       132,600  

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

      135       126,225  

Mobile Mini, Inc., 5.88%, 07/01/24

      298       299,487  

Park Aerospace Holdings Ltd.(a):

     

3.63%, 03/15/21

      166       161,850  

5.25%, 08/15/22

      157       157,000  

5.50%, 02/15/24

      17       17,104  

Ritchie Bros Auctioneers, Inc.,
5.38%, 01/15/25(a)

      181       177,606  

United Rentals North America, Inc.:

     

5.75%, 11/15/24

      46       45,713  

5.50%, 07/15/25

      125       121,641  

5.50%, 05/15/27

      301       284,069  
     

 

 

 
        5,133,480  
Communications Equipment — 0.3%                  

CommScope Technologies LLC, 5.00%, 03/15/27(a)

      179       147,451  

CommScope, Inc.(a):

     

5.00%, 06/15/21

      80       79,320  

5.50%, 06/15/24

      154       142,050  
 

 

 

4   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Communications Equipment (continued)                  

Nokia OYJ:

     

4.38%, 06/12/27

    USD       31     $ 28,956  

6.63%, 05/15/39

      295       304,233  

Zayo Group LLC/Zayo Capital, Inc.:

     

6.00%, 04/01/23

      700       696,500  

6.38%, 05/15/25

      30       29,437  

5.75%, 01/15/27(a)

      471       449,805  
     

 

 

 
        1,877,752  
Construction & Engineering — 0.7%  

Aeropuertos Argentina 2000 SA, 6.88%, 02/01/27(a)

      370       344,562  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(a)

      370       359,362  

Brand Industrial Services, Inc., 8.50%, 07/15/25(a)

      154       135,905  

Engility Corp., 8.88%, 09/01/24

      176       189,860  

frontdoor, Inc., 6.75%, 08/15/26(a)

      158       152,470  

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

      4,000       3,630,736  

Pisces Midco, Inc., 8.00%, 04/15/26(a)

      56       53,200  

SPIE SA, 3.13%, 03/22/24

    EUR       100       110,750  

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

    USD       132       124,080  

Tutor Perini Corp., 6.88%, 05/01/25(a)

      109       104,640  

Weekley Homes LLC/Weekley Finance Corp., 6.63%, 08/15/25

      51       47,303  
     

 

 

 
        5,252,868  
Construction Materials — 0.3%  

American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26(a)

      103       99,781  

HD Supply, Inc., 5.38%, 10/15/26(a)

      1,087       1,049,281  

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

      192       189,842  

New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(a)

      108       111,240  

PulteGroup, Inc., 6.00%, 02/15/35

      27       24,191  

Rexel SA, 3.50%, 06/15/23

    EUR       100       115,474  

Williams Scotsman International, Inc.(a):

     

7.88%, 12/15/22

    USD       78       78,780  

6.88%, 08/15/23

      112       110,040  
     

 

 

 
        1,778,629  
Consumer Discretionary — 0.1%  

Blitz F18-674 GmbH, 6.00%, 07/30/26

    EUR       100       110,449  

Nielsen Co. Luxembourg Sarl,
5.00%, 02/01/25(a)

    USD       54       52,650  

Staples, Inc., 8.50%, 09/15/25(a)

      204       180,540  

Viking Cruises Ltd.(a):

     

6.25%, 05/15/25

      88       87,120  
Security   Par
(000)
    Value  
Consumer Discretionary (continued)  

Viking Cruises Ltd.(a) (continued):

     

5.88%, 09/15/27

    USD       567     $ 532,980  
     

 

 

 
        963,739  
Consumer Finance — 1.9%  

Ally Financial, Inc.:

     

5.13%, 09/30/24

      284       287,635  

8.00%, 11/01/31

      935       1,091,799  

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

      1,935       1,979,718  

Corvias Campus Living USG LLC, 26.86%, 07/01/50(e)

      5,694       5,503,923  

Credivalores-Crediservicios SAS, 9.75%, 07/27/22(a)

      200       182,500  

Ford Motor Credit Co. LLC, 8.13%, 01/15/20

      1,530       1,593,681  

Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(g)

    EUR       110       118,304  

Navient Corp.:

     

5.00%, 10/26/20

    USD       180       178,200  

6.63%, 07/26/21

      99       99,990  

6.50%, 06/15/22

      159       159,596  

5.50%, 01/25/23

      170       160,225  

7.25%, 09/25/23

      93       93,465  

5.88%, 10/25/24

      29       26,028  

6.75%, 06/25/25

      65       60,288  

6.75%, 06/15/26

      127       114,935  

5.63%, 08/01/33

      101       75,245  

Refinitiv US Holdings, Inc.:

     

4.50%, 05/15/26

    EUR       100       111,795  

4.50%, 05/15/26(a)

      245       273,898  

6.25%, 05/15/26(a)

    USD       149       147,044  

8.25%, 11/15/26(a)

      381       362,903  

Springleaf Finance Corp.:

     

6.13%, 05/15/22

      50       50,000  

5.63%, 03/15/23

      6       5,775  

6.88%, 03/15/25

      112       105,420  

7.13%, 03/15/26

      239       224,660  

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

      391       376,337  
     

 

 

 
        13,383,364  
Containers & Packaging — 0.5%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

     

4.63%, 05/15/23(a)

      471       458,047  

7.25%, 05/15/24(a)

      481       485,810  

4.75%, 07/15/27

    GBP       100       118,322  

BWAY Holding Co., 5.50%, 04/15/24(a)

    USD       503       481,622  

Crown Americas LLC/Crown Americas Capital Corp.:

     

4.75%, 02/01/26(a)

      300       289,140  

4.25%, 09/30/26

      139       129,270  
 

 

 

     5  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Containers & Packaging (continued)  

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

    USD   72     $ 72,180  

Mercer International, Inc.:

   

7.75%, 12/01/22

    29       30,015  

6.50%, 02/01/24

    76       75,620  

5.50%, 01/15/26

    38       34,580  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(a):

   

5.13%, 07/15/23

    154       150,343  

7.00%, 07/15/24

    472       470,820  

Sappi Papier Holding GmbH, 4.00%, 04/01/23

    EUR   100       115,220  

Sealed Air Corp., 4.88%, 12/01/22(a)

    USD   265       264,006  

Silgan Holdings, Inc., 3.25%, 03/15/25

    EUR   100       113,710  

Smurfit Kappa Acquisitions ULC, 2.88%, 01/15/26

    100       113,669  

Suzano Austria GmbH, 6.00%, 01/15/29(a)

    USD   517       522,170  
   

 

 

 
      3,924,544  
Diversified Consumer Services — 0.3%  

APX Group, Inc.:

   

8.75%, 12/01/20

    179       171,393  

7.88%, 12/01/22

    106       103,549  

Ascend Learning LLC, 6.88%, 08/01/25(a)

    190       184,300  

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

    124       125,550  

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

    193       206,027  

Matthews International Corp.,
5.25%, 12/01/25(a)

    44       40,920  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(a)

    627       664,620  

ServiceMaster Co. LLC, 5.13%, 11/15/24(a)

    201       193,463  

Verisure Holding AB, 3.50%, 05/15/23

    EUR   100       111,760  
   

 

 

 
      1,801,582  
Diversified Financial Services — 3.8%  

Ally Financial, Inc., 4.63%, 05/19/22

    USD   76       76,000  

Banca IFIS SpA, 4.50%, 10/17/27(c)

    EUR  100       90,199  

Bank of America Corp.:

   

5.63%, 07/01/20

    USD  2,200       2,271,750  

3.25%, 10/21/27(f)

    4,000       3,673,644  

Controladora Mabe SA de C.V., 5.60%, 10/23/28(a)

    215       200,756  

Docuformas SAPI de C.V., 9.25%, 10/11/22(a)

    200       175,000  

FMR LLC, 4.95%, 02/01/33(a)

    2,300       2,428,811  
Security
  Par
(000)
    Value  
Diversified Financial Services (continued)  

FS Energy & Power Fund, 7.50%, 08/15/23(a)

    USD   156     $ 152,880  

General Electric Co., 6.15%, 08/07/37

    2,150       2,054,340  

General Motors Financial Co., Inc., 4.25%, 05/15/23

    807       786,458  

Gilex Holding Sarl, 8.50%, 05/02/23(a)

    182       184,867  

HSBC Holdings PLC,(c)(i)

    375       353,775  

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

    470       478,295  

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

    3,151       2,763,193  

Intrum AB, 2.75%, 07/15/22

    EUR   100       105,003  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 04/01/20(a)

    USD   595       597,231  

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

    EUR   100       109,248  

Moody’s Corp., 4.50%, 09/01/22

    USD   1,800       1,839,454  

MSCI, Inc., 5.25%, 11/15/24(a)

    75       75,188  

Northern Trust Corp., 3.95%, 10/30/25(f)

    8,000       8,041,460  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(a)

    323       305,235  

Travelport Corporate Finance PLC, 6.00%, 03/15/26(a)

    123       121,155  

UniCredit SpA(5 year EUR Swap + 4.10%),
5.75%, 10/28/25 (h)

    EUR   107       123,419  

Vantiv LLC/Vanity Issuer Corp.(a):

   

3.88%, 11/15/25

    GBP   100       121,914  

4.38%, 11/15/25

    USD   200       186,250  

WMG Acquisition Corp., 5.50%, 04/15/26(a)

    84       81,480  
   

 

 

 
      27,397,005  
Diversified Telecommunication Services — 3.5%  

AT&T, Inc.(f):

   

6.38%, 03/01/41

    520       540,965  

5.15%, 03/15/42

    2,400       2,198,018  

4.75%, 05/15/46

    2,710       2,332,526  

CenturyLink, Inc.:

   

5.63%, 04/01/25

    56       52,360  

Series P, 7.60%, 09/15/39

    7       5,810  

Series S, 6.45%, 06/15/21

    268       274,030  

Series U, 7.65%, 03/15/42

    230       191,141  

Series W, 6.75%, 12/01/23(f)

    213       213,532  

Series Y, 7.50%, 04/01/24

    295       302,744  

Cincinnati Bell, Inc., 7.00%, 07/15/24(a)

    201       176,252  

Embarq Corp., 8.00%, 06/01/36

    277       260,034  

Frontier Communications Corp.:

   

7.13%, 03/15/19

    220       219,725  

10.50%, 09/15/22

    133       106,400  

11.00%, 09/15/25

    763       537,915  
 

 

 

6   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

Level 3 Financing, Inc.:

   

5.38%, 08/15/22

    USD   127     $ 126,683  

5.63%, 02/01/23

    189       188,906  

5.13%, 05/01/23

    95       93,931  

5.38%, 01/15/24

    114       111,890  

5.38%, 05/01/25

    123       119,771  

5.25%, 03/15/26

    683       659,436  

OTE PLC, 3.50%, 07/09/20

    EUR   100       116,460  

SoftBank Group Corp.:

   

(5 year USD ICE Swap + 4.85%), 6.88%(h)(i)

    USD   215       181,785  

4.00%, 04/20/23

    EUR   100       116,201  

Telecom Italia Capital SA:

   

6.38%, 11/15/33

    USD   124       110,360  

6.00%, 09/30/34

    255       218,025  

7.72%, 06/04/38

    48       47,040  

Verizon Communications, Inc.(f):

   

6.40%, 02/15/38

    6,879       7,867,964  

6.55%, 09/15/43

    6,751       7,790,828  
   

 

 

 
      25,160,732  
Electric Utilities — 5.9%  

AES Corp., 5.50%, 04/15/25

    59       59,443  

Berkshire Hathaway Energy Co., 6.50%, 09/15/37

    5,515       6,699,415  

Celeo Redes Operacion Chile SA, 5.20%, 06/22/47(a)

    299       280,632  

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

    434       479,005  

CMS Energy Corp., 5.05%, 03/15/22

    1,832       1,912,840  

Duke Energy Carolinas LLC:

   

6.10%, 06/01/37

    640       743,308  

6.00%, 01/15/38

    1,675       1,987,727  

4.25%, 12/15/41

    750       721,445  

Duke Energy Florida LLC, 6.40%, 06/15/38

    770       956,525  

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

    3,100       3,555,781  

Electricite de France SA, 5.60%, 01/27/40(a)(f)

    2,800       2,846,539  

Energuate Trust, 5.88%, 05/03/27(a)

    201       188,942  

Eskom Holdings SOC Ltd., 6.35%, 08/10/28(a)

    401       379,546  

Florida Power Corp., 6.35%, 09/15/37

    2,775       3,460,910  

Jersey Central Power & Light Co., 7.35%, 02/01/19

    490       493,468  

NextEra Energy Operating Partners LP(a):

   

4.25%, 09/15/24

    58       54,665  

4.50%, 09/15/27

    7       6,423  

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

    3,000       3,730,140  

PacifiCorp, 6.25%, 10/15/37

    1,225       1,497,546  
Security   Par
(000)
    Value  
Electric Utilities (continued)  

Pampa Energia SA, 7.50%, 01/24/27(a)

    USD   367     $ 320,211  

Public Service Co. of Colorado, Series 17, 6.25%, 09/01/37(f)

    2,550       3,188,930  

Southern California Edison Co.:

   

5.63%, 02/01/36(f)

    1,300       1,348,109  

Series A, 5.95%, 02/01/38

    2,175       2,330,809  

Southern Co., 4.40%, 07/01/46

    1,000       901,048  

Talen Energy Supply LLC, 6.50%, 06/01/25

    125       90,312  

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

    3,920       4,547,816  
   

 

 

 
      42,781,535  
Electrical Equipment — 0.0%  

Orano SA, 4.88%, 09/23/24

    EUR   50       57,879  
   

 

 

 
Electronic Equipment, Instruments & Components — 0.3%  

CDW LLC/CDW Finance Corp.:

   

5.50%, 12/01/24

    USD   258       258,000  

5.00%, 09/01/25

    436       425,100  

Corning, Inc., 4.38%, 11/15/57

    2,000       1,613,905  

Energizer Gamma Acquisition, Inc., 6.38%, 07/15/26(a)

    29       27,260  

Itron, Inc., 5.00%, 01/15/26(a)

    18       16,751  
   

 

 

 
      2,341,016  
Energy Equipment & Services — 0.7%  

Calfrac Holdings LP, 8.50%, 06/15/26(a)

    101       83,578  

CSI Compressco LP/CSI Compressco Finance, Inc., 7.50%, 04/01/25(a)

    254       248,285  

Ensco PLC:

   

5.20%, 03/15/25

    206       154,113  

7.75%, 02/01/26

    84       69,300  

Enterprise Products Operating LLC, 6.13%, 10/15/39

    1,400       1,517,574  

Gates Global LLC/Gates Global Co., 6.00%, 07/15/22(a)

    563       560,185  

Halliburton Co., 5.00%, 11/15/45

    500       480,951  

McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.63%, 05/01/24(a)

    35       30,013  

Oceaneering International, Inc., 4.65%, 11/15/24

    28       24,605  

Pattern Energy Group, Inc., 5.88%, 02/01/24(a)

    250       243,125  

Pioneer Energy Services Corp., 6.13%, 03/15/22

    133       106,067  

Precision Drilling Corp., 6.50%, 12/15/21

    38       37,963  

SESI LLC, 7.75%, 09/15/24

    140       124,950  

Transocean, Inc.:

   

5.80%, 10/15/22

    275       253,000  

9.00%, 07/15/23(a)

    386       395,650  

7.50%, 01/15/26(a)

    100       93,000  
 

 

 

     7  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security
  Par
(000)
    Value  
Energy Equipment & Services (continued)  

Trinidad Drilling Ltd.,
6.63%, 02/15/25(a)

    USD   169     $ 170,082  

USA Compression Partners LP/USA Compression Finance Corp.,
6.88%, 04/01/26(a)

    198       193,297  

Weatherford International Ltd.:

   

7.75%, 06/15/21

    262       214,840  

6.50%, 08/01/36

    75       42,750  

5.95%, 04/15/42

    95       53,200  
   

 

 

 
      5,096,528  
Environmental, Maintenance, & Security Service — 0.1%  

Hulk Finance Corp., 7.00%, 06/01/26(a)

    92       82,340  

Tervita Escrow Corp., 7.63%, 12/01/21(a)

    237       232,260  

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

    80       73,600  
   

 

 

 
      388,200  
Equity Real Estate Investment Trusts (REITs) — 1.2%  

ERP Operating LP, 4.50%, 06/01/45

    1,155       1,117,512  

Five Point Operating Co. LP/Five Point Capital Corp.,
7.88%, 11/15/25(a)

    102       100,342  

GEO Group, Inc.:

   

5.13%, 04/01/23

    105       94,762  

5.88%, 10/15/24

    128       115,200  

6.00%, 04/15/26

    20       17,750  

HCP, Inc., 4.00%, 06/01/25(f)

    2,000       1,940,588  

Hilton Domestic Operating Co., Inc.:

   

4.25%, 09/01/24

    127       121,114  

5.13%, 05/01/26(a)

    304       297,160  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25

    18       17,370  

iStar, Inc.:

   

4.63%, 09/15/20

    25       24,781  

6.00%, 04/01/22

    48       47,354  

5.25%, 09/15/22

    17       16,235  

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

   

5.63%, 05/01/24

    829       837,166  

4.50%, 09/01/26

    360       331,891  

4.50%, 01/15/28

    225       198,562  

MPT Operating Partnership LP/MPT Finance Corp.:

   

6.38%, 03/01/24

    26       26,910  

5.50%, 05/01/24

    30       30,225  

5.00%, 10/15/27

    335       318,250  

NH Hotel Group SA, 3.75%, 10/01/23

    EUR   128       147,995  

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

    USD   1,670       1,665,512  
Security
  Par
(000)
    Value  
Equity Real Estate Investment Trusts (REITs) (continued)  

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

    USD    115     $ 114,842  

Trust F/1401, 6.95%, 01/30/44

    476       446,255  

Ventas Realty LP, 4.13%, 01/15/26

    870       850,703  

VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23

    100       108,859  
   

 

 

 
      8,987,338  
Food & Staples Retailing — 0.2%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

   

6.63%, 06/15/24

    59       56,861  

5.75%, 03/15/25

    68       60,690  

Casino Guichard Perrachon SA, 4.56%, 01/25/23

    EUR   100       105,575  

Rite Aid Corp., 6.13%, 04/01/23(a)

    USD   66       56,760  

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

    1,000       917,741  
   

 

 

 
      1,197,627  
Food Products — 0.5%  

Aramark Services, Inc.:

   

5.00%, 04/01/25(a)

    95       94,546  

4.75%, 06/01/26

    151       143,828  

5.00%, 02/01/28(a)

    230       218,500  

Arcor SAIC, 6.00%, 07/06/23(a)

    228       213,517  

Chobani LLC/Chobani Finance Corp., Inc.,
7.50%, 04/15/25(a)

    146       119,720  

JBS USA LUX SA/JBS USA Finance, Inc.(a):

   

5.88%, 07/15/24

    344       337,980  

5.75%, 06/15/25

    742       717,885  

6.75%, 02/15/28

    223       216,310  

MARB BondCo PLC, 7.00%, 03/15/24

    200       188,750  

Marfrig Holdings Europe BV, 8.00%, 06/08/23(a)

    222       223,942  

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

    222       202,298  

Post Holdings, Inc.(a):

   

5.50%, 03/01/25

    230       219,362  

5.75%, 03/01/27

    258       241,875  

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

    123       125,460  
   

 

 

 
      3,263,973  
Health Care Equipment & Supplies — 0.4%  

Avantor, Inc.(a):

   

6.00%, 10/01/24

    983       974,399  

9.00%, 10/01/25

    394       399,417  

DJO Finance LLC/DJO Finance Corp., 8.13%, 06/15/21(a)

    506       524,975  

Immucor, Inc., 11.13%, 02/15/22(a)

    60       61,200  
 

 

 

8   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

Mallinckrodt International Finance SA/Mallinckrodt CB LLC(a):

     

5.75%, 08/01/22

    USD       47     $ 42,841  

5.63%, 10/15/23

      71       60,705  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(a)

      923       888,387  

Teleflex, Inc., 5.25%, 06/15/24

      170       170,850  
     

 

 

 
        3,122,774  
Health Care Providers & Services — 1.5%  

Acadia Healthcare Co., Inc.:

     

5.63%, 02/15/23

      96       94,400  

6.50%, 03/01/24

      316       309,680  

Aetna, Inc., 4.50%, 05/15/42

      575       523,336  

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

      84       83,790  

Centene Corp.:

     

6.13%, 02/15/24

      359       373,324  

5.38%, 06/01/26(a)

      1,032       1,038,450  

CHS/Community Health Systems, Inc., 8.63%, 01/15/24(a)

      252       256,095  

DaVita, Inc., 5.13%, 07/15/24

      142       136,497  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(a)(g)

      125       124,844  

Encompass Health Corp., 5.75%, 11/01/24

      26       25,870  

HCA, Inc.:

     

4.75%, 05/01/23

      12       12,000  

5.00%, 03/15/24

      570       571,425  

5.38%, 02/01/25

      84       84,525  

5.25%, 04/15/25

      886       894,860  

5.25%, 06/15/26

      323       325,422  

5.38%, 09/01/26

      301       297,990  

5.63%, 09/01/28

      248       243,970  

5.50%, 06/15/47

      760       731,500  

MEDNAX, Inc.,
5.25%, 12/01/23(a)

      90       88,875  

Molina Healthcare, Inc.,
4.88%, 06/15/25(a)

      71       66,918  

MPH Acquisition Holdings LLC, 7.13%, 06/01/24(a)

      273       272,317  

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

      725       662,572  

NVA Holdings, Inc., 6.88%, 04/01/26(a)

      133       126,849  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(a)(g)

      608       604,960  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23(a)

      123       128,304  

Sotera Health Holdings LLC,
6.50%, 05/15/23(a)

      137       134,945  

Surgery Center Holdings, Inc.(a):

     

8.88%, 04/15/21

      98       99,470  

6.75%, 07/01/25(f)

      183       169,504  
Security     Par
(000)
    Value  
Health Care Providers & Services (continued)  

Team Health Holdings, Inc.,
6.38%, 02/01/25(a)(f)

    USD       267     $ 220,275  

Tenet Healthcare Corp.:

     

7.50%, 01/01/22(a)

      118       122,425  

8.13%, 04/01/22

      822       854,880  

6.75%, 06/15/23

      105       103,687  

4.63%, 07/15/24

      744       709,590  

Vizient, Inc., 10.38%, 03/01/24(a)

      228       247,950  

WellCare Health Plans, Inc.:

     

5.25%, 04/01/25

      93       92,186  

5.38%, 08/15/26(a)

      189       187,617  
     

 

 

 
        11,021,302  
Health Care Technology — 0.0%  

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

      146       141,072  

IQVIA, Inc., 3.25%, 03/15/25(a)

    EUR       100       111,508  
     

 

 

 
        252,580  
Hotels, Restaurants & Leisure — 2.0%  

1011778 BC ULC/New Red Finance, Inc., 5.00%, 10/15/25(a)

    USD       1,098       1,032,340  

Arcos Dorados Holdings, Inc.,
5.88%, 04/04/27(a)

      257       235,502  

Boyd Gaming Corp., 6.00%, 08/15/26

      116       112,230  

Boyne USA, Inc., 7.25%, 05/01/25(a)

      57       59,280  

Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(a)

      119       109,182  

Churchill Downs, Inc., 4.75%, 01/15/28(a)

      48       43,680  

CPUK Finance Ltd., 4.25%, 02/28/47

    GBP       100       124,765  

Eldorado Resorts, Inc.:

     

6.00%, 04/01/25

    USD       67       65,325  

6.00%, 09/15/26(a)

      70       67,725  

ESH Hospitality, Inc., 5.25%, 05/01/25(a)

      142       135,787  

GLP Capital LP/GLP Financing II, Inc.:

     

5.38%, 11/01/23

      90       91,209  

5.25%, 06/01/25

      36       35,766  

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

      328       322,260  

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

      2       1,908  

International Game Technology PLC, 4.75%, 02/15/23

    EUR       100       120,201  

IRB Holding Corp., 6.75%, 02/15/26(a)

    USD       50       46,125  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a):

     

5.25%, 06/01/26

      73       71,585  

4.75%, 06/01/27

      88       82,482  
 

 

     9  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

Melco Resorts Finance Ltd.,
4.88%, 06/06/25(a)

    USD       250     $ 221,979  

MGM Resorts International:

     

6.63%, 12/15/21

      674       706,015  

7.75%, 03/15/22

      221       237,575  

4.63%, 09/01/26

      12       10,905  

New Red Finance, Inc., 4.25%, 05/15/24(a)

      171       161,595  

Sabre GLBL, Inc.(a):

     

5.38%, 04/15/23

      62       61,690  

5.25%, 11/15/23

      133       132,002  

Scientific Games International, Inc.:

     

10.00%, 12/01/22

      305       316,026  

5.00%, 10/15/25(a)

      320       299,568  

3.38%, 02/15/26

    EUR       100       105,002  

Six Flags Entertainment Corp., 4.88%, 07/31/24(a)

    USD       294       281,505  

Stars Group Holdings BV/Stars Group US Co-Borrower LLC, 7.00%, 07/15/26(a)

      108       107,595  

Station Casinos LLC,
5.00%, 10/01/25(a)

      79       72,186  

Unique Pub Finance Co. PLC:

     

Series A3, 6.54%, 03/30/21

    GBP       1,473       1,951,549  

Series A4, 5.66%, 06/30/27

      979       1,360,147  

Series M, 7.40%, 03/28/24

      3,000       4,178,780  

Series N, 6.46%, 03/30/32

      821       994,135  

Vue International Bidco PLC, 7.88%, 07/15/20

      100       127,384  

Wyndham Destinations, Inc.:

     

5.40%, 04/01/24

    USD       6       5,860  

5.75%, 04/01/27

      44       40,594  

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(a)

      76       73,150  

Wynn Macau Ltd., 5.50%, 10/01/27(a)

      400       354,000  

Yum! Brands, Inc.:

     

3.88%, 11/01/23

      27       25,650  

5.35%, 11/01/43

      4       3,450  
     

 

 

 
        14,585,694  
Household Durables — 0.3%  

Algeco Scotsman Global Finance PLC, 8.00%, 02/15/23(a)

      600       588,000  

Century Communities, Inc., 6.88%, 05/15/22

      289       289,578  

K Hovnanian Enterprises, Inc., 10.00%, 07/15/22(a)

      143       132,275  

Lennar Corp.:

     

6.25%, 12/15/21

      196       202,370  

4.88%, 12/15/23

      85       83,087  

4.75%, 05/30/25

      90       85,387  

5.25%, 06/01/26

      38       36,385  
Security     Par
(000)
    Value  
Household Durables (continued)  

Lennar Corp. (continued):

     

4.75%, 11/29/27

    USD       185     $ 170,200  

Mattamy Group Corp.(a):

     

6.88%, 12/15/23

      94       90,240  

6.50%, 10/01/25

      96       90,120  

MDC Holdings, Inc., 6.00%, 01/15/43

      72       55,890  

Meritage Homes Corp., 5.13%, 06/06/27

      52       45,760  

PulteGroup, Inc., 6.38%, 05/15/33

      216       198,180  

Tempur Sealy International, Inc.:

     

5.63%, 10/15/23

      2       1,965  

5.50%, 06/15/26

      67       63,148  

TRI Pointe Group, Inc.:

     

4.88%, 07/01/21

      73       70,445  

5.25%, 06/01/27

      28       22,750  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.38%, 06/15/19

      10       9,947  
     

 

 

 
        2,235,727  
Household Products — 0.0%  

ACCO Brands Corp., 5.25%, 12/15/24(a)

      59       54,427  
     

 

 

 
Independent Power and Renewable Electricity Producers — 0.5%  

AES Corp.:

     

6.00%, 05/15/26

      240       247,200  

5.13%, 09/01/27

      200       197,000  

Calpine Corp.:

     

5.38%, 01/15/23

      249       235,928  

5.88%, 01/15/24(a)

      120       120,000  

5.75%, 01/15/25

      100       92,000  

5.25%, 06/01/26(a)

      581       540,330  

Clearway Energy Operating LLC:

     

5.38%, 08/15/24

      144       136,440  

5.75%, 10/15/25(a)

      121       116,463  

Colbun SA, 3.95%, 10/11/27(a)

      200       182,335  

Genneia SA, 8.75%, 01/20/22(a)

      370       345,950  

NRG Energy, Inc.:

     

6.63%, 01/15/27

      681       693,714  

5.75%, 01/15/28

      42       40,950  

TerraForm Power Operating LLC(a):

     

4.25%, 01/31/23

      63       59,850  

6.63%, 06/15/25(j)

      15       15,450  

5.00%, 01/31/28

      128       114,598  

Vistra Energy Corp., 7.63%, 11/01/24

      76       80,750  
     

 

 

 
        3,218,958  
Industrial Conglomerates — 0.2%  

Apergy Corp., 6.38%, 05/01/26(a)

      72       71,280  

BWX Technologies, Inc., 5.38%, 07/15/26(a)

      109       105,730  

General Electric Co., 6.88%, 01/10/39

      135       138,102  

Smiths Group PLC, 3.63%, 10/12/22(a)

      360       355,079  
 

 

10   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Industrial Conglomerates (continued)  

Vertiv Group Corp., 9.25%, 10/15/24(a)

    USD       390     $ 378,300  
   

 

 

 
        1,048,491  
Insurance — 2.6%  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 8.25%, 08/01/23(a)

      645       655,888  

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

      1,495       1,446,008  

American International Group, Inc., 3.75%, 07/10/25

      3,380       3,194,864  

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

      114       113,430  

Aon PLC:

     

3.88%, 12/15/25

      1,445       1,408,797  

4.60%, 06/14/44

      500       460,787  

Assicurazioni Generali SpA(3 mo. Euribor + 7.11%), 7.75%, 12/12/42(h)

    EUR       100       127,936  

AssuredPartners, Inc., 7.00%, 08/15/25(a)

    USD       10       9,438  

AXA SA(3 mo. Euribor + 3.05%), 5.25%, 04/16/40(h)

    EUR       500       597,741  

Caisse Nationale de Reassurance Mutuelle Agricole Groupama, 6.00%, 01/23/27

      100       126,908  

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

    USD       2,050       2,086,409  

Hartford Financial Services Group, Inc., 5.13%, 04/15/22

      1,860       1,938,434  

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

      240       228,600  

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

      2,000       2,331,366  

Muenchener Rueckversicherungs AG(3 mo. Euribor + 3.50%), 6.00%, 05/26/41(h)

    EUR       400       506,573  

Nationstar Mortgage Holdings, Inc.(a):

     

8.13%, 07/15/23

    USD       164       165,640  

9.13%, 07/15/26

      111       112,318  

Nationwide Building Society,
4.13%, 10/18/32(a)(c)

      720       630,999  

Prudential Financial, Inc.:

     

5.90%, 03/17/36

      500       553,878  

5.70%, 12/14/36(f)

      1,625       1,780,767  

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

      700       656,486  
Security   Par
(000)
    Value  
Insurance (continued)  

USIS Merger Sub, Inc., 6.88%, 05/01/25(a)

    USD       41     $ 38,950  
   

 

 

 
        19,172,217  
Internet Software & Services — 0.2%  

Equinix, Inc.:

     

2.88%, 03/15/24(d)

    EUR       100       113,736  

5.88%, 01/15/26

    USD       591       599,865  

Netflix, Inc.:

     

4.38%, 11/15/26

      149       137,098  

5.88%, 11/15/28(a)

      255       251,405  

Rackspace Hosting, Inc., 8.63%, 11/15/24(a)(f)

      99       83,655  

Symantec Corp., 5.00%, 04/15/25(a)

      124       119,999  

Uber Technologies, Inc., 7.50%, 11/01/23(a)

      74       72,335  

United Group BV, 4.38%, 07/01/22

    EUR       126       141,515  
   

 

 

 
        1,519,608  
IT Services — 0.6%  

Banff Merger Sub, Inc.:

     

8.38%, 09/01/26

      100       109,791  

9.75%, 09/01/26(a)

    USD       767       721,939  

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

      1,000       892,610  

First Data Corp.(a):

     

7.00%, 12/01/23

      491       508,185  

5.00%, 01/15/24

      220       216,964  

5.75%, 01/15/24

      1,236       1,240,635  

Gartner, Inc., 5.13%, 04/01/25(a)

      209       206,126  

InterXion Holding NV, 4.75%, 06/15/25

    EUR       100       116,552  

WEX, Inc., 4.75%, 02/01/23(a)

    USD       105       103,708  
   

 

 

 
        4,116,510  
Leisure Products — 0.0%  

Mattel, Inc.:

     

6.75%, 12/31/25(a)

      232       218,660  

6.20%, 10/01/40

      48       37,680  

5.45%, 11/01/41

      28       21,840  
   

 

 

 
        278,180  
Life Sciences Tools & Services — 0.2%  

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

      1,000       1,064,649  
   

 

 

 
Machinery — 0.2%  

Mueller Water Products, Inc.,
5.50%, 06/15/26(a)

      102       100,980  

Platin 1426 GmbH, 5.38%, 06/15/23

    EUR       100       106,197  

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

    USD       390       370,012  

SPX FLOW, Inc.(a):

     

5.63%, 08/15/24

      103       99,395  
 

 

 

     11  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Machinery (continued)  

SPX FLOW, Inc.(a) (continued):

     

5.88%, 08/15/26

    USD       75     $ 71,625  

Terex Corp., 5.63%, 02/01/25(a)

      365       335,910  

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

      384       314,880  

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

      176       156,640  
   

 

 

 
        1,555,639  
Media — 5.6%  

21st Century Fox America, Inc.,
7.63%, 11/30/28

      385       489,505  

Altice Financing SA(a):

     

6.63%, 02/15/23

      200       197,500  

7.50%, 05/15/26

      392       368,480  

Altice France SA(a):

     

7.38%, 05/01/26

      906       869,760  

8.13%, 02/01/27

      512       501,760  

Altice Luxembourg SA, 7.75%, 05/15/22(a)(f)

      642       611,505  

AMC Networks, Inc., 4.75%, 08/01/25

      180       167,407  

Cablevision SA, 6.50%, 06/15/21(a)

      222       216,173  

Cablevision Systems Corp., 8.00%, 04/15/20

      325       338,000  

CBS Radio, Inc., 7.25%, 11/01/24(a)

      10       9,575  

CCO Holdings LLC/CCO Holdings Capital Corp.(a):

     

5.13%, 05/01/23

      73       72,544  

5.13%, 05/01/27

      1,273       1,206,167  

5.00%, 02/01/28

      598       556,887  

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

      4,700       4,667,629  

Clear Channel International BV,
8.75%, 12/15/20(a)

      317       324,132  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      1,581       1,598,488  

Series B, 7.63%, 03/15/20

      443       442,446  

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

      2,600       3,147,677  

Comcast Corp.:

     

6.45%, 03/15/37

      790       924,157  

4.60%, 08/15/45

      2,000       1,923,832  

4.70%, 10/15/48

      3,000       2,921,141  

CSC Holdings LLC:

     

6.75%, 11/15/21

      137       143,508  

10.13%, 01/15/23(a)

      990       1,071,774  

5.38%, 07/15/23(a)

      340       337,450  

5.25%, 06/01/24

      418       397,100  

7.75%, 07/15/25(a)

      360       377,093  

6.63%, 10/15/25(a)

      200       207,976  
Security   Par
(000)
    Value  
Media (continued)  

CSC Holdings LLC (continued):

     

10.88%, 10/15/25(a)

    USD       964     $ 1,111,010  

5.50%, 05/15/26(a)

      759       735,044  

7.50%, 04/01/28(a)

      342       352,253  

Series 144S, 5.13%, 12/15/21(a)

      321       319,796  

Discovery Communications LLC:

     

3.25%, 04/01/23

      1,850       1,776,402  

3.45%, 03/15/25

      210       195,606  

DISH DBS Corp.:

     

6.75%, 06/01/21

      425       431,906  

5.88%, 07/15/22

      619       590,371  

5.00%, 03/15/23

      284       248,500  

5.88%, 11/15/24

      36       30,600  

DKT Finance ApS, 7.00%, 06/17/23

    EUR       142       170,998  

eircom Finance DAC, 4.50%, 05/31/22

      100       115,078  

Gray Escrow, Inc., 7.00%, 05/15/27(a)

    USD       144       146,174  

Hughes Satellite Systems Corp.:

     

7.63%, 06/15/21

      64       66,941  

5.25%, 08/01/26

      214       199,555  

Inmarsat Finance PLC, 4.88%, 05/15/22(a)

      200       192,500  

Intelsat Jackson Holdings SA:

     

5.50%, 08/01/23

      440       388,300  

8.50%, 10/15/24(a)

      635       628,713  

9.75%, 07/15/25(a)

      608       627,760  

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

      2,000       1,982,150  

Level 3 Parent LLC, 5.75%, 12/01/22

      222       222,000  

MDC Partners, Inc., 6.50%, 05/01/24(a)

      228       193,800  

Meredith Corp., 6.88%, 02/01/26(a)

      110       112,475  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 08/15/23(a)

      148       153,180  

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 04/15/22(a)

      238       232,740  

Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(a)

      104       98,540  

Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(a)

      43       40,205  

Sirius XM Radio, Inc., 5.00%, 08/01/27(a)

      162       152,280  

TCI Communications, Inc., 7.88%, 02/15/26(f)

      610       740,672  

TEGNA, Inc., 5.50%, 09/15/24(a)

      45       45,113  

Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(a)

      200       183,000  

Telenet Finance VI Luxembourg SCA,
4.88%, 07/15/27

    EUR       90       109,051  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24(a)

    USD       167       178,273  

Time Warner, Inc., 6.10%, 07/15/40

      830       838,321  

Tribune Media Co., 5.88%, 07/15/22

      186       188,325  
 

 

 

12   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Media (continued)  

Univision Communications, Inc.(a):

     

5.13%, 05/15/23

    USD       182     $ 170,398  

5.13%, 02/15/25

      52       47,430  

UPCB Finance IV Ltd., 4.00%, 01/15/27

    EUR       90       104,419  

Viacom, Inc., 5.85%, 09/01/43

    USD       645       639,451  

Videotron Ltd., 5.13%, 04/15/27(a)

      222       210,345  

Virgin Media Finance PLC, 5.75%, 01/15/25(a)

      515       489,250  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24

    GBP       100       123,123  

Virgin Media Secured Finance PLC:

     

5.25%, 01/15/26(a)

    USD       303       283,684  

4.88%, 01/15/27

    GBP       100       121,755  

Ziggo Bond Co. BV:

     

7.13%, 05/15/24

    EUR       100       119,363  

5.88%, 01/15/25(a)

    USD       260       237,089  

Ziggo BV, 5.50%, 01/15/27(a)

      150       139,688  
   

 

 

 
        40,573,293  
Metals & Mining — 1.0%  

Alcoa Nederland Holding BV,
6.13%, 05/15/28(a)

      200       195,000  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(a)

      121       123,420  

Cleveland-Cliffs, Inc., 4.88%, 01/15/24(a)

      131       122,485  

Constellium NV(a):

     

5.75%, 05/15/24

      1,082       1,011,670  

5.88%, 02/15/26

      269       244,118  

Freeport-McMoRan, Inc.:

     

4.00%, 11/14/21

      121       117,824  

3.55%, 03/01/22

      430       409,037  

3.88%, 03/15/23

      898       836,262  

4.55%, 11/14/24

      100       92,875  

5.40%, 11/14/34

      245       205,800  

5.45%, 03/15/43

      738       603,315  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(a)

      389       389,972  

Joseph T Ryerson & Son, Inc.,
11.00%, 05/15/22(a)

      115       122,475  

Novelis Corp.(a):

     

6.25%, 08/15/24

      500       495,000  

5.88%, 09/30/26

      322       300,265  

Rio Tinto Finance USA PLC, 4.75%, 03/22/42

      400       410,823  

Steel Dynamics, Inc.:

     

5.25%, 04/15/23

      40       39,950  

5.50%, 10/01/24

      48       47,880  

4.13%, 09/15/25

      142       130,995  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.,
7.50%, 06/15/25(a)

      193       189,623  
Security   Par
(000)
    Value  
Metals & Mining (continued)  

Teck Resources Ltd.:

     

5.20%, 03/01/42

    USD       312     $ 274,984  

5.40%, 02/01/43

      96       85,440  

United States Steel Corp.:

     

6.88%, 08/15/25

      120       113,336  

6.25%, 03/15/26

      146       133,498  

Vale Overseas Ltd., 6.25%, 08/10/26

      237       252,998  

VM Holdings SA, 5.38%, 05/04/27(a)

      299       287,788  
   

 

 

 
        7,236,833  
Multi-Utilities — 0.0%  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(a)

      187       184,195  
   

 

 

 
Offshore Drilling & Other Services — 0.0%  

Entegris, Inc., 4.63%, 02/10/26(a)

      135       124,928  
   

 

 

 
Oil, Gas & Consumable Fuels — 7.1%  

Anadarko Petroleum Corp., 5.55%, 03/15/26

      1,500       1,555,626  

Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25%, 12/01/27

      250       232,844  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24

      35       34,132  

Antero Resources Corp.:

     

5.13%, 12/01/22

      52       50,960  

5.63%, 06/01/23

      71       70,468  

5.00%, 03/01/25

      266       252,700  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(a):

     

10.00%, 04/01/22

      90       95,175  

7.00%, 11/01/26

      120       112,500  

Berry Petroleum Co. LLC, 7.00%, 02/15/26(a)

      175       166,246  

Bruin E&P Partners LLC, 8.88%, 08/01/23(a)

      277       257,610  

California Resources Corp., 8.00%, 12/15/22(a)

      281       215,316  

Callon Petroleum Co.:

     

6.13%, 10/01/24

      144       138,960  

Series WI, 6.38%, 07/01/26

      46       44,275  

Carrizo Oil & Gas, Inc.:

     

6.25%, 04/15/23

      133       126,682  

8.25%, 07/15/25

      169       171,957  

Cenovus Energy, Inc., 4.25%, 04/15/27

      400       356,613  

Chaparral Energy, Inc., 8.75%, 07/15/23(a)

      164       154,980  

Cheniere Corpus Christi Holdings LLC:

     

7.00%, 06/30/24

      378       407,295  

5.88%, 03/31/25

      179       184,370  

5.13%, 06/30/27

      360       348,750  

Cheniere Energy Partners LP, Series WI, 5.25%, 10/01/25

      70       68,163  
 

 

 

     13  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Chesapeake Energy Corp.:

     

6.63%, 08/15/20

    USD       92     $ 92,230  

4.88%, 04/15/22

      14       13,020  

7.00%, 10/01/24

      464       431,520  

8.00%, 01/15/25

      139       133,787  

7.50%, 10/01/26

      104       96,460  

8.00%, 06/15/27

      403       382,850  

Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 07/20/23(a)

      370       242,905  

Citgo Holding, Inc., 10.75%, 02/15/20(a)

      95       98,088  

CNX Resources Corp., 5.88%, 04/15/22

      1,099       1,075,646  

Comstock Escrow Corp., 9.75%, 08/15/26(a)

      125       113,750  

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

      685       781,611  

ConocoPhillips Co., 6.50%, 02/01/39

      600       732,174  

CONSOL Energy, Inc., 11.00%, 11/15/25(a)

      286       319,605  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(a)

      183       172,935  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 04/01/23

      20       19,850  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(a)

      525       490,875  

DCP Midstream Operating LP:

     

4.75%, 09/30/21(a)

      55       54,863  

5.38%, 07/15/25

      56       56,070  

6.45%, 11/03/36(a)

      145       145,000  

6.75%, 09/15/37(a)

      211       212,582  

DEA Finance SA, 7.50%, 10/15/22

    EUR       100       118,598  

Denbury Resources, Inc.(a):

     

9.25%, 03/31/22

    USD       248       247,380  

7.50%, 02/15/24

      80       70,700  

Devon Energy Corp., 5.85%, 12/15/25

      1,000       1,045,305  

Diamond Offshore Drilling, Inc.:

     

7.88%, 08/15/25

      112       99,960  

5.70%, 10/15/39

      18       11,520  

4.88%, 11/01/43

      164       96,760  

Diamondback Energy, Inc.:

     

4.75%, 11/01/24

      183       177,739  

4.75%, 11/01/24(a)

      18       17,483  

5.38%, 05/31/25

      145       143,369  

Enbridge, Inc., 6.25%, 03/01/78(c)(d)

      1,935       1,717,505  

Endeavor Energy Resources LP/EER Finance, Inc.(a):

     

5.50%, 01/30/26

      201       206,527  

5.75%, 01/30/28

      136       139,740  

Energy Transfer Partners LP:

     

4.75%, 01/15/26

      1,250       1,211,563  

4.05%, 03/15/25

      500       470,797  

5.30%, 04/15/47

      540       469,115  
Security     Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

EnLink Midstream Partners LP:

     

4.40%, 04/01/24

    USD       144     $ 137,377  

4.15%, 06/01/25

      14       12,671  

4.85%, 07/15/26

      130       118,665  

5.05%, 04/01/45

      45       34,210  

5.45%, 06/01/47

      125       99,707  

Ensco Jersey Finance Ltd., 3.00%, 01/31/24(k)

      458       361,111  

Ensco PLC, 5.75%, 10/01/44

      2       1,230  

EOG Resources, Inc., 5.10%, 01/15/36

      200       213,753  

EP Energy LLC/Everest Acquisition Finance, Inc.:

     

9.38%, 05/01/20

      6       5,580  

9.38%, 05/01/24(a)

      277       152,350  

7.75%, 05/15/26(a)

      298       286,825  

Extraction Oil & Gas, Inc.(a):

     

7.38%, 05/15/24

      63       55,440  

5.63%, 02/01/26

      279       217,620  

Frontera Energy Corp., 9.70%, 06/25/23(a)

      384       387,840  

Genesis Energy LP/Genesis Energy Finance Corp.:

     

6.50%, 10/01/25

      59       53,395  

6.25%, 05/15/26

      112       98,560  

GNL Quintero SA, 4.63%, 07/31/29(a)

      200       191,500  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(a)

      396       364,320  

Gulfport Energy Corp.:

     

6.63%, 05/01/23

      100       97,000  

6.38%, 01/15/26

      12       10,710  

Halcon Resources Corp., 6.75%, 02/15/25

      254       194,945  

Hess Corp., 4.30%, 04/01/27

      1,100       1,005,473  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26(a)

      158       153,260  

Impulsora Pipeline LLC, 26.86%, 12/31/42(e)

      1,800       1,758,644  

Jagged Peak Energy LLC, 5.88%, 05/01/26(a)

      10       9,575  

KeySpan Gas East Corp., 5.82%, 04/01/41(a)(f)

      1,010       1,162,730  

Kinder Morgan, Inc.:

     

4.30%, 06/01/25

      1,750       1,708,990  

5.05%, 02/15/46

      1,750       1,573,285  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(a)

      67       64,823  

Marathon Petroleum Corp., 6.50%, 03/01/41(f)

      2,049       2,231,248  
 

 

 

14   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Matador Resources Co., 5.88%, 09/15/26(a)

    USD       267     $ 253,650  

MEG Energy Corp.(a):

     

6.38%, 01/30/23

      78       72,735  

6.50%, 01/15/25

      304       310,080  

MidAmerican Energy Co., 5.80%, 10/15/36(f)

      1,500       1,758,826  

MidAmerican Energy Holdings Co.,
5.95%, 05/15/37

      1,750       2,028,350  

Nabors Industries, Inc., 5.75%, 02/01/25

      110       89,237  

New Enterprise Stone & Lime Co., Inc.,
6.25%, 03/15/26(a)

      53       48,893  

Newfield Exploration Co., 5.38%, 01/01/26

      122       121,542  

NGPL PipeCo LLC(a):

     

4.88%, 08/15/27

      165       157,575  

7.77%, 12/15/37

      227       261,050  

Noble Holding International Ltd.:

     

7.75%, 01/15/24

      138       120,750  

7.88%, 02/01/26(a)

      533       497,022  

5.25%, 03/15/42

      84       53,760  

Northern Oil and Gas, Inc., (8.75% Cash or 1.00% PIK), 9.50%, 05/15/23(a)(g)

      173       169,972  

Pacific Drilling First Lien Escrow Issuer Ltd., 8.38%, 10/01/23

      426       419,610  

Parsley Energy LLC/Parsley Finance Corp.(a):

     

6.25%, 06/01/24

      48       47,880  

5.38%, 01/15/25

      144       137,880  

5.25%, 08/15/25

      52       49,140  

5.63%, 10/15/27

      263       249,850  

PBF Holding Co. LLC/ PBF Finance Corp., 7.25%, 06/15/25

      143       141,927  

PDC Energy, Inc.:

     

1.13%, 09/15/21(k)

      548       503,770  

6.13%, 09/15/24

      24       23,040  

5.75%, 05/15/26

      103       96,048  

Petrobras Global Finance BV:

     

5.30%, 01/27/25

      208       196,227  

8.75%, 05/23/26

      222       249,306  

6.00%, 01/27/28

      239       224,457  

Petroleos Mexicanos:

     

5.38%, 03/13/22

      27       26,405  

6.50%, 03/13/27

      148       138,454  

5.35%, 02/12/28(a)

      35       30,163  

QEP Resources, Inc.:

     

6.88%, 03/01/21

      26       27,268  

5.38%, 10/01/22

      315       313,425  

5.25%, 05/01/23

      10       9,550  

5.63%, 03/01/26

      333       305,111  

Range Resources Corp.:

     

5.88%, 07/01/22

      148       146,150  

5.00%, 03/15/23

      33       31,123  
Security     Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Range Resources Corp. (continued):

     

4.88%, 05/15/25

    USD       116     $ 104,980  

Resolute Energy Corp., 8.50%, 05/01/20

      279       281,232  

Rowan Cos., Inc., 4.88%, 06/01/22

      148       133,200  

Sabine Pass Liquefaction LLC, 5.88%, 06/30/26

      1,750       1,842,159  

Sanchez Energy Corp.:

     

7.75%, 06/15/21

      811       237,217  

7.25%, 02/15/23(a)

      84       71,820  

SESI LLC, 7.13%, 12/15/21

      60       56,700  

Seven Generations Energy Ltd.(a):

     

6.88%, 06/30/23

      197       197,000  

5.38%, 09/30/25

      28       26,040  

SM Energy Co.:

     

5.00%, 01/15/24

      144       133,740  

5.63%, 06/01/25(f)

      160       146,800  

6.75%, 09/15/26

      20       19,200  

6.63%, 01/15/27

      15       14,325  

Southwestern Energy Co.:

     

6.20%, 01/23/25

      148       141,895  

7.50%, 04/01/26

      79       79,593  

7.75%, 10/01/27

      224       226,509  

Suncor Energy, Inc., 6.50%, 06/15/38

      1,000       1,136,522  

Sunoco Logistics Partners Operations LP, 3.90%, 07/15/26

      310       283,032  

Sunoco LP/Sunoco Finance Corp.:

     

4.88%, 01/15/23

      197       192,075  

5.50%, 02/15/26

      64       60,960  

5.88%, 03/15/28

      4       3,785  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(a):

     

4.75%, 10/01/23

      15       14,813  

5.50%, 09/15/24

      238       238,595  

5.50%, 01/15/28

      620       609,150  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

     

5.25%, 05/01/23

      103       102,742  

5.13%, 02/01/25

      32       30,880  

5.88%, 04/15/26(a)

      296       294,520  

5.00%, 01/15/28

      163       150,646  

TransCanada PipeLines Ltd., 4.63%, 03/01/34

      500       469,665  

Transocean Guardian Ltd., 5.88%, 01/15/24(a)

      105       102,375  

Transocean Pontus Ltd., 6.13%, 08/01/25(a)

      125       121,875  

Transocean, Inc., 7.25%, 11/01/25(a)

      192       177,600  

Transportadora de Gas del Sur SA, 6.75%, 05/02/25(a)

      249       232,815  

UGI International LLC, 3.25%, 11/01/25

    EUR       100       113,776  

Vantage Drilling International, 9.25%, 11/15/23(a)

    USD       80       79,800  
 

 

 

     15  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security  

Par
(000)

    Value  
Oil, Gas & Consumable Fuels (continued)  

W&T Offshore, Inc., 2018 Term Loan,
9.75%, 11/01/23(a)

    USD       74     $ 66,970  

Western Gas Partners LP, 5.38%, 06/01/21

      1,425       1,461,454  

Whiting Petroleum Corp., 6.63%, 01/15/26

      74       71,225  

WildHorse Resource Development Corp., 6.88%, 02/01/25

      120       117,000  

Williams Cos., Inc.:

     

3.90%, 01/15/25

      1,150       1,109,673  

4.00%, 09/15/25

      750       721,017  

WPX Energy, Inc.:

     

8.25%, 08/01/23

      49       53,533  

5.25%, 09/15/24

      75       71,250  

YPF SA, 8.50%, 07/28/25

      316       298,383  
   

 

 

 
        51,127,108  
Paper & Forest Products — 0.1%  

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

      870       906,638  

Norbord, Inc., 6.25%, 04/15/23(a)

      111       111,139  
   

 

 

 
        1,017,777  
Pharmaceuticals — 2.3%  

AbbVie, Inc.:

     

3.60%, 05/14/25

      870       829,913  

3.20%, 05/14/26

      500       459,531  

4.45%, 05/14/46

      2,095       1,799,206  

Allergan Funding SCS:

     

3.80%, 03/15/25

      3,250       3,119,546  

4.55%, 03/15/35

      2,140       1,987,717  

Allergan Sales LLC, 5.00%, 12/15/21(a)

      758       777,575  

Bausch Health Cos., Inc.:

     

5.63%, 12/01/21(a)

      261       260,674  

6.50%, 03/15/22(a)

      56       57,738  

5.50%, 03/01/23(a)

      317       306,301  

4.50%, 05/15/23

    EUR       176       195,265  

5.88%, 05/15/23(a)

    USD       1,023       996,146  

7.00%, 03/15/24(a)

      475       496,969  

6.13%, 04/15/25(a)

      332       311,648  

5.50%, 11/01/25(a)

      527       517,778  

9.00%, 12/15/25(a)

      20       21,100  

Charles River Laboratories International, Inc., 5.50%, 04/01/26(a)

      91       91,000  

CVS Health Corp.:

     

5.13%, 07/20/45

      700       680,503  

5.05%, 03/25/48

      1,221       1,185,176  

Elanco Animal Health, Inc.(a):

     

4.27%, 08/28/23

      79       78,402  

4.90%, 08/28/28

      85       85,504  

Endo Finance LLC/Endo Finco, Inc.,
5.38%, 01/15/23(a)

      62       50,995  
Security  

Par
(000)

    Value  
Pharmaceuticals (continued)  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(a)

    USD       690     $ 683,962  

MEDNAX, Inc., 6.25%, 01/15/27(a)

      52       51,792  

Mylan NV, 3.95%, 06/15/26

      750       688,520  

Rossini Sarl, 6.75%, 10/30/25

    EUR       112       126,833  

Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.,
7.50%, 10/01/24(a)

    USD       108       113,400  

Synlab Bondco PLC, 6.25%, 07/01/22

    EUR       100       116,049  

Valeant Pharmaceuticals International,
8.50%, 01/31/27(a)

    USD       523       541,305  

Valeant Pharmaceuticals International, Inc., 9.25%, 04/01/26(a)

      67       71,334  
   

 

 

 
        16,701,882  
Real Estate Management & Development — 0.7%  

ADLER Real Estate AG:

     

2.13%, 02/06/24

    EUR       100       107,099  

3.00%, 04/27/26

      100       107,440  

Greystar Real Estate Partners LLC,
5.75%, 12/01/25(a)

    USD       124       117,800  

Howard Hughes Corp., 5.38%, 03/15/25(a)

      103       97,593  

Newmark Group, Inc., 6.13%, 11/15/23(a)

      64       62,891  

Northwest Florida Timber Finance LLC,
4.75%, 03/04/29(a)(f)

      4,600       4,174,500  

Residomo SRO, 3.38%, 10/15/24

    EUR       100       112,010  
   

 

 

 
        4,779,333  
Road & Rail — 1.2%  

Avis Budget Finance PLC, 4.75%, 01/30/26

      100       108,540  

Burlington Northern Santa Fe LLC,
5.75%, 05/01/40

    USD       1,890       2,143,199  

CMA CGM SA, 5.25%, 01/15/25

    EUR       100       94,416  

CSX Corp., 4.75%, 05/30/42

    USD       350       343,637  

Flexi-Van Leasing, Inc., 10.00%, 02/15/23(a)

      122       100,345  

Herc Rentals, Inc.(a):

     

7.50%, 06/01/22

      170       178,075  

7.75%, 06/01/24

      72       76,091  

Hertz Corp., 7.63%, 06/01/22(a)

      183       179,798  

Hertz Holdings Netherlands BV,
5.50%, 03/30/23

    EUR       100       112,627  

Lima Metro Line 2 Finance Ltd.,
5.88%, 07/05/34(a)

    USD       5,000       4,975,050  

Loxam SAS, 3.50%, 05/03/23

    EUR       100       114,356  

United Rentals North America, Inc.:

     

4.63%, 10/15/25

    USD       117       108,336  

5.88%, 09/15/26

      109       105,866  
 

 

 

16   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security  

Par
(000)

    Value  
Road & Rail (continued)  

United Rentals North America, Inc. (continued):

 

   

4.88%, 01/15/28

    USD       55     $ 49,603  
   

 

 

 
        8,689,939  
Semiconductors & Semiconductor Equipment — 0.7%  

Advanced Micro Devices, Inc.,
7.50%, 08/15/22

      51       55,526  

Analog Devices, Inc., 3.90%, 12/15/25

      470       458,057  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27

      2,850       2,564,442  

Microchip Technology, Inc., 1.63%, 02/15/25(k)

      351       512,652  

ON Semiconductor Corp., 1.00%, 12/01/20(k)

      383       456,340  

Qorvo, Inc., 5.50%, 07/15/26(a)

      368       356,960  

QUALCOMM, Inc., 4.65%, 05/20/35

      250       239,699  

Sensata Technologies BV, 5.00%, 10/01/25(a)

      305       293,563  
   

 

 

 
        4,937,239  
Software — 1.9%  

ACI Worldwide, Inc., 5.75%, 08/15/26(a)

      353       350,353  

CA, Inc., 3.60%, 08/15/22

      705       691,801  

CDK Global, Inc., 4.88%, 06/01/27

      448       417,760  

Citrix Systems, Inc., 0.50%, 04/15/19(k)

      99       148,790  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(a)

      572       617,760  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 05/01/21(a)(g)

      240       239,400  

Infor US, Inc., 6.50%, 05/15/22

      1,463       1,455,685  

Informatica LLC, 7.13%, 07/15/23(a)

      549       550,372  

Microsoft Corp., 3.50%, 11/15/42(f)

      4,000       3,587,579  

Nuance Communications, Inc.:

     

6.00%, 07/01/24

      77       76,615  

5.63%, 12/15/26

      163       156,529  

Oracle Corp., 5.38%, 07/15/40(f)

      3,025       3,346,993  

PTC, Inc., 6.00%, 05/15/24

      125       128,438  

RP Crown Parent LLC, 7.38%, 10/15/24(a)

      295       299,056  

Solera LLC/Solera Finance, Inc.,
10.50%, 03/01/24(a)

      1,107       1,192,792  

Sophia LP/Sophia Finance, Inc.,
9.00%, 09/30/23(a)

      210       216,300  
Security  

Par
(000)

    Value  
Software (continued)  

TIBCO Software, Inc., 11.38%, 12/01/21(a)

    USD       478     $ 506,082  
   

 

 

 
        13,982,305  
Specialty Retail — 0.5%  

Asbury Automotive Group, Inc.,
6.00%, 12/15/24

      159       154,826  

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

      176       166,760  

Group 1 Automotive, Inc.:

     

5.00%, 06/01/22

      110       107,250  

5.25%, 12/15/23(a)

      13       12,578  

Hexion, Inc., 6.63%, 04/15/20

      43       35,529  

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

      1,660       1,937,172  

L Brands, Inc.:

     

6.88%, 11/01/35

      215       182,078  

6.75%, 07/01/36

      49       40,792  

Lowe’s Cos, Inc., 4.38%, 09/15/45

      1,000       946,110  

Penske Automotive Group, Inc.,
5.50%, 05/15/26

      22       20,350  

PVH Corp., 3.13%, 12/15/27

    EUR       100       108,072  
   

 

 

 
        3,711,517  
Technology Hardware, Storage & Peripherals — 0.7%  

Apple, Inc., 4.65%, 02/23/46

    USD       2,400       2,446,000  

Dell International LLC/EMC Corp.(a):

     

4.42%, 06/15/21

      20       20,010  

7.13%, 06/15/24

      338       353,278  

6.02%, 06/15/26

      110       111,201  

8.35%, 07/15/46

      45       49,603  

Hewlett Packard Enterprise Co.,
4.90%, 10/15/25

      1,500       1,505,243  

Western Digital Corp., 4.75%, 02/15/26

      674       616,710  
   

 

 

 
        5,102,045  
Textiles, Apparel & Luxury Goods — 0.0%  

SMCP Group SAS, 5.88%, 05/01/23

    EUR       49       57,221  
   

 

 

 
Thrifts & Mortgage Finance — 0.0%  

Jerrold Finco PLC, 6.25%, 09/15/21

    GBP       100       126,890  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(a):

     

5.25%, 03/15/22

    USD       17       16,830  

5.25%, 10/01/25

      139       126,490  
   

 

 

 
        270,210  
Tobacco — 1.4%  

Altria Group, Inc.:

     

9.95%, 11/10/38

      516       784,463  

10.20%, 02/06/39

      894       1,374,216  

5.38%, 01/31/44

      4,030       3,969,051  

3.88%, 09/16/46

      1,250       1,004,784  
 

 

 

     17  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security  

Par
(000)

    Value  
Tobacco (continued)  

Reynolds American, Inc.:

     

4.45%, 06/12/25

    USD       635     $ 617,078  

7.00%, 08/04/41

      1,000       1,088,564  

5.85%, 08/15/45

      1,500       1,449,639  
   

 

 

 
        10,287,795  
Transportation Infrastructure — 0.2%  

I 595 Express LLC, 26.86%, 12/31/31(e)

      850       791,248  

Rumo Luxembourg Sarl, 7.38%, 02/09/24(a)

      370       381,470  

Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(a)

      580       568,879  
   

 

 

 
        1,741,597  
Utilities — 0.2%  

AES Argentina Generacion SA,
7.75%, 02/02/24(a)

      370       315,806  

AES Panama SRL, 6.00%, 06/25/22(a)

      228       230,565  

ContourGlobal Power Holdings SA,
3.38%, 08/01/23

    EUR       100       108,104  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA,
9.63%, 07/27/23(a)

    USD       370       311,729  

Stoneway Capital Corp., 10.00%, 03/01/27(a)

      511       458,368  

Vistra Operations Co. LLC,
5.50%, 09/01/26(a)

      293       288,239  
   

 

 

 
        1,712,811  
Wireless Telecommunication Services — 1.4%  

Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24(a)

      1,550       1,569,700  

CoreCivic, Inc., 4.75%, 10/15/27

      120       101,400  

CyrusOne LP/CyrusOne Finance Corp., 5.38%, 03/15/27

      45       44,100  

Frontier Communications Corp.,
8.50%, 04/01/26(a)

      218       197,850  

Matterhorn Telecom SA(3 mo. Euribor + 3.25%), 3.25%, 02/01/23(b)

    EUR       14       16,068  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(a)

    USD       152       136,800  

Rogers Communications, Inc.,
7.50%, 08/15/38

      2,325       2,970,533  

SBA Communications Corp., 4.88%, 09/01/24

      754       731,493  

Sprint Capital Corp.:

     

6.90%, 05/01/19

      140       141,575  

8.75%, 03/15/32

      345       374,756  

Sprint Corp.:

     

7.88%, 09/15/23

      684       719,705  
Security  

Par
(000)

    Value  
Wireless Telecommunication Services (continued)  

Sprint Corp. (continued):

     

7.13%, 06/15/24

    USD       974     $ 988,610  

7.63%, 02/15/25

      132       135,795  

7.63%, 03/01/26

      644       660,100  

T-Mobile USA, Inc.:

     

6.38%, 03/01/25

      205       210,894  

5.13%, 04/15/25

      126       125,055  

6.50%, 01/15/26

      42       43,575  

4.50%, 02/01/26

      426       399,780  

4.75%, 02/01/28

      231       213,919  

Wind Tre SpA, 3.13%, 01/20/25

    EUR       100       100,757  
   

 

 

 
        9,882,465  
   

 

 

 

Total Corporate Bonds — 65.9%
(Cost — $486,574,657)

 

    477,827,156  
   

 

 

 

Floating Rate Loan Interests(b) — 2.4%

 

Aerospace & Defense — 0.0%

 

Atlantic Aviation FBO, Inc., 2018 Term
Loan B, 1.00%, 11/29/25(b)(e)(l)

    USD       80       79,800  

Sequa Mezzanine Holdings LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 11.52%, 04/28/22(b)(e)

      40       38,500  
   

 

 

 
        118,300  
Chemicals — 0.1%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.39%, 01/31/24(b)

      284       281,968  

Invictus US LLC, 2nd Lien Term Loan,
(2 mo. LIBOR + 6.75%), 9.25%, 03/25/26(b)

      42       41,842  

Messer Industries LLC, 2018 USD Term Loan, 1.00%, 10/01/25(b)(l)

      416       409,502  
   

 

 

 
        733,312  
Commercial Services & Supplies — 0.2%  

Asurion LLC, 2017 2nd Lien Term Loan,
(1 mo. LIBOR + 6.50%), 8.84%, 08/04/25(b)

      261       265,784  

GFL Environmental, Inc., 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.39%, 05/30/25(b)

      408       396,527  

Verscend Holding Corp., 2018 Term Loan B,
(1 mo. LIBOR + 4.50%), 6.84%, 08/27/25(b)

      701       699,521  

West Corp., 2017 Term Loan,
(1 mo. LIBOR + 4.00%, 1.00% Floor), 6.53%, 10/10/24(b)

      121       116,569  
 

 

 

18   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security  

Par
(000)

    Value  
Commercial Services & Supplies (continued)  

West Corp., 2018 Term Loan B1,
(3 mo. LIBOR + 3.50%, 1.00% Floor), 6.03%, 10/10/24(b)

    USD       52     $ 50,476  
   

 

 

 
        1,528,877  
Construction & Engineering — 0.1%                  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.73%, 06/21/24(b)

      842       827,197  
   

 

 

 
Diversified Telecommunication Services — 0.0%  

Sprint Communications, Inc., 2018 Term Loan B, 1.00%, 02/02/24(b)(l)

      338       334,833  
   

 

 

 
Energy Equipment & Services — 0.1%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor),
8.31%, 03/01/24(b)

      89       75,398  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor),
10.06%, 11/08/22(b)(e)

      516       525,030  
   

 

 

 
        600,428  
Gas Utilities — 0.0%                  

AL Midcoast Holdings LLC, 2018 Term Loan B, (2 mo. LIBOR + 5.50%), 7.89%, 07/31/25(b)

      120       117,600  
Health Care Equipment & Supplies — 0.1%  

DJO Finance LLC, 2015 Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor),
5.62%, 06/08/20(b)

      496       495,189  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor),
7.39%, 06/15/21(b)(e)

      418       419,189  
   

 

 

 
        914,378  
Health Care Providers & Services — 0.2%                  

Concentra, Inc., 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor),
8.82%, 06/01/23(b)

      99       99,124  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%),
6.09%, 10/10/25(b)

      609       584,338  

Gentiva Health Services, Inc.(b)(e):

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.13%, 07/02/25

      194       194,223  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.38%, 07/02/26

      34       34,186  
Security  

Par
(000)

    Value  
Health Care Providers & Services (continued)                  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor),
5.09%, 02/06/24(b)

    USD       169     $ 157,340  
   

 

 

 
        1,069,211  
Health Care Technology — 0.0%                  

Change Healthcare Holdings, Inc., 2017 Term Loan B, 1.00%, 03/01/24(b)(l)

      70       69,581  
   

 

 

 
Hotels, Restaurants & Leisure — 0.1%                  

Bronco Midstream Funding LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 5.82%, 08/14/23(b)

      24       23,684  

IRB Holding Corp., 1st Lien Term Loan,
1.00%, 02/05/25(b)(l)

      147       145,315  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%),
5.89%, 07/10/25(b)

      870       865,784  
   

 

 

 
        1,034,783  
Industrial Conglomerates — 0.0%                  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor),
6.71%, 11/30/23(b)(e)

      217       209,591  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.41%, 11/28/21(b)

      113       110,865  
   

 

 

 
        320,456  
Insurance — 0.1%                  

Sedgwick Claims Management Services, Inc.(b):

     

2018 Term Loan B, 1.00%, 12/31/25(l)

      447       441,971  

2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 1.00% Floor), 8.09%, 02/28/22

      56       55,930  
   

 

 

 
        497,901  
IT Services — 0.0%                  

Access CIG LLC(b):

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.46%, 02/27/25

      44       44,150  

2018 2nd Lien Delayed Draw Term Loan, (3 mo. LIBOR + 7.75%), 10.46%, 02/27/26

      1       845  

2018 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 7.75%), 10.46%, 02/27/26

      2       1,990  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 10.46%, 02/27/26

      16       16,018  
 

 

 

     19  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security  

Par
(000)

    Value  
IT Services (continued)  

Access CIG LLC(b) (continued):

     

2018 Incremental Term Loan, (1 mo. LIBOR + 3.75%), 6.46%, 02/27/25

      6       5,958  
   

 

 

 
        68,961  
Machinery — 0.1%  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.34%, 03/28/25(b)

      359       336,065  
   

 

 

 
Media — 0.4%  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.31%, 08/14/26(b)

      310       295,191  

Charter Communications Operating LLC, 2017 Term Loan A2, (1 mo. LIBOR + 1.50%),
3.85%, 03/31/23(b)

      926       921,295  

Gray Television, Inc., 2018 Term Loan C,
1.00%, 10/30/25(b)(l)

      53       52,492  

Intelsat Jackson Holdings SA(b):

     

2017 Term Loan B3, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.07%, 11/27/23

      64       63,937  

2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.82%, 01/02/24

      198       201,571  

2017 Term Loan B5, (Fixed + 6.63%),
6.63%, 01/02/24

      1,101       1,102,147  

PSAV Holdings LLC,(b):

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.70%, 03/01/25

      91       88,659  

2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 9.78%, 09/01/25(e)

      74       72,150  
   

 

 

 
        2,797,442  
Oil & Gas Equipment & Services — 0.2%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.34%, 05/10/25(b)

      1,182       1,132,826  
   

 

 

 
Oil, Gas & Consumable Fuels — 0.2%  

BCP Raptor II LLC, 1st Lien Term Loan, (2 mo. LIBOR + 4.75%), 7.14%, 11/03/25(b)

      53       51,543  
Security  

Par
(000)

    Value  
Oil, Gas & Consumable Fuels (continued)  

California Resources Corp,(b):

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%,1.00% Floor), 7.07%, 12/31/22

    USD       524     $ 526,908  

Second Out Term Loan, (1 mo. LIBOR + 10.38%), 12.72%, 12/31/21

      308       327,647  

CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor),
8.35%, 11/28/22(b)

      215       215,991  
   

 

 

 
        1,122,089  
Pharmaceuticals — 0.1%  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.59%, 04/29/24(b)

      303       301,097  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, 1.00%, 06/02/25(b)(l)

      136       134,489  
   

 

 

 
        435,586  
Real Estate Management & Development — 0.0%  

Forest City Enterprises LP, Term Loan B, 1.00%, 10/24/25(b)(l)

      53       53,066  
   

 

 

 
Software — 0.4%  

Applied Systems, Inc., 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 9.39%, 09/19/25(b)

      21       21,053  

BMC Software Finance, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.25%), 6.65%, 10/02/25(b)

      241       237,686  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%),
5.96%, 05/28/24(b)

      152       141,845  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%),
6.09%, 10/01/25(b)

      2,021       1,966,514  

Infor (US), Inc., Term Loan B6,
1.00%, 02/01/22(b)(l)

      41       40,523  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.79%, 11/01/24(b)

      352       353,713  

Mitchell International, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%),
5.59%, 11/29/24(b)

      130       127,920  
 

 

 

20   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Software (continued)  

SS&C Technologies, Inc., 2018 Term Loan B5, 1.00%, 04/16/25 (b)(l)

    USD       216     $ 210,127  
   

 

 

 
        3,099,381  
Textiles, Apparel & Luxury Goods — 0.0%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.64%, 08/12/22(b)

      184       183,528  
   

 

 

 
Wireless Telecommunication Services — 0.0%  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.39%, 09/09/21(b)(e)

      206       205,924  
   

 

 

 

Total Floating Rate Loan Interests — 2.4%
(Cost — $17,776,363)

 

    17,601,725  
   

 

 

 

Foreign Agency Obligations — 3.4%

 

Argentine Republic Government International Bond:

     

7.50%, 04/22/26

      3,875       3,289,914  

7.63%, 04/22/46

      3,121       2,376,673  

Colombia Government International Bond:

     

4.50%, 01/28/26

      460       457,700  

3.88%, 04/25/27

      468       442,967  

4.50%, 03/15/29

      290       283,623  

Cyprus Government International Bond, 4.63%, 02/03/20(a)

    EUR       1,210       1,438,840  

Egypt Government International Bond:

     

5.75%, 04/29/20

    USD       626       629,931  

8.50%, 01/31/47(a)

      291       265,121  

Iceland Government International Bond, 5.88%, 05/11/22

      3,555       3,865,245  

Indonesia Government International Bond, 4.75%, 01/08/26

      380       379,905  

Italian Government International Bond, 5.38%, 06/15/33

      2,925       2,947,329  

Mexico Government International Bond:

     

4.15%, 03/28/27

      260       248,318  

3.75%, 01/11/28(f)

      200       185,000  

Portugal Government International Bond, 5.13%, 10/15/24(a)

      3,970       4,110,141  

Qatar Government International Bond:

     

4.63%, 06/02/46

      200       197,024  

5.10%, 04/23/48(a)

      200       202,714  

Republic of South Africa Government International Bond:

     

5.88%, 05/30/22

      918       940,950  

4.88%, 04/14/26

      288       268,560  

Russian Federal Bond - OFZ, 7.05%, 01/19/28

    RUB       43,751       592,154  
Security   Par
(000)
    Value  
Foreign Agency Obligations (continued)  

Russian Foreign Bond - Eurobond:

     

4.75%, 05/27/26

    USD       200     $ 194,686  

4.25%, 06/23/27

      400       373,722  

Turkey Government International Bond:

     

6.25%, 09/26/22

      200       193,911  

4.88%, 04/16/43

      250       175,195  

5.75%, 05/11/47

      200       151,196  
   

 

 

 

Total Foreign Agency Obligations — 3.3%
(Cost — $26,206,519)

 

    24,210,819  
     

 

 

 

Municipal Bonds — 3.2%

 

California — 0.9%

 

East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 06/01/40

      1,999       2,359,857  

State of California, GO, Build America Bonds, Various Purpose:

     

7.55%, 04/01/39

      280       395,458  

7.63%, 03/01/40

      1,720       2,423,979  

University of California, RB, Build America Bonds, 5.95%, 05/15/45

      885       1,064,991  
   

 

 

 
        6,244,285  
Georgia — 0.3%  

Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A, 7.06%, 04/01/57

      1,999       2,206,196  
   

 

 

 
Illinois — 0.3%  

State of Illinois, GO, 5.10%, 06/01/33

      2,000       1,896,080  
   

 

 

 
Indiana — 0.4%  

Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 01/15/40

      2,535       3,097,086  
   

 

 

 
New York — 1.3%  

City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:

     

Series EE, 5.50%, 06/15/43

      930       989,278  

Series GG, Build America Bonds, 5.72%, 06/15/42

      1,390       1,670,530  

Water & Sewer System, Series EE, 5.38%, 06/15/43

      770       814,814  

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

      1,295       1,806,098  

New York State Dormitory Authority, RB, Build America Bonds:

     

5.63%, 03/15/39

      1,100       1,270,984  

5.60%, 03/15/40

      1,900       2,228,928  
 

 

 

     21  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
New York (continued)  

Port Authority of New York & New Jersey, RB, 159th Series

    USD       780     $ 930,844  
   

 

 

 
        9,711,476  
   

 

 

 

Total Municipal Bonds — 3.2%
(Cost — $20,453,567)

 

    23,155,123  
     

 

 

 

Non-Agency Mortgage-Backed Securities — 7.7%

 

Collateralized Mortgage Obligations — 0.4%

 

Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 03/25/37

      500       439,505  

Countrywide Alternative Loan Trust:

     

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

      988       958,597  

Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%),
2.49%, 03/20/47(b)

      788       663,690  

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 4.10%, 06/19/35(c)

      282       278,018  

GSR Mortgage Loan Trust:

     

Series 2006-4F, Class 1A1, 5.00%, 05/25/36

      36       74,499  

Series 2007-4F, Class 3A1, 6.00%, 07/25/37

      164       145,355  

JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36

      66       49,055  

Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 3.83%, 05/25/36(c)

      493       446,761  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 2.82%, 05/25/47(b)

      184       171,374  
   

 

 

 
        3,226,854  
Commercial Mortgage-Backed Securities — 7.3%  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33(a)(c)

      4,170       4,049,953  

Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class B, 5.39%, 09/10/46(c)

      7,183       7,504,173  

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

      1,449       1,486,377  
Security   Par
(000)
    Value  
Commercial Mortgage-Backed Securities (continued)  

Commercial Mortgage Trust:

     

Series 2013-300P, Class A1, 4.35%, 08/10/30(a)

    USD       1,330     $ 1,380,090  

Series 2013-CR11, Class B, 5.33%, 08/10/50(c)

      7,000       7,240,156  

Series 2013-LC6, Class B, 3.74%, 01/10/46

      1,390       1,380,219  

Series 2015-CR22, Class C, 4.26%, 03/10/48(c)

      5,000       4,809,980  

Series 2015-LC19, Class C,
4.40%, 02/10/48(c)

      3,500       3,434,981  

Core Industrial Trust, Series 2015-TEXW, Class D, 3.98%, 02/10/34(a)(c)

      4,585       4,554,061  

CSAIL Commercial Mortgage Trust, Series 2015-C1(c):

     

Class B, 4.04%, 04/15/50

      1,110       1,106,326  

Class C, 4.44%, 04/15/50

      1,000       976,621  

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.49%, 12/15/34(a)(c)

      6,170       6,128,881  

GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 02/10/46(a)

      2,505       2,466,232  

Morgan Stanley Capital I Trust, Series 2014-CPT, Class G, 3.56%, 07/13/29(a)(c)

      3,200       3,084,592  

WF-RBS Commercial Mortgage Trust, Series 2012-C8:

     

Class B, 4.31%, 08/15/45

      1,395       1,402,605  

Class C, 5.06%, 08/15/45(c)

      1,795       1,797,335  
   

 

 

 
        52,802,582  
   

 

 

 

Total Non-Agency Mortgage-Backed Securities — 7.7%
(Cost — $56,249,605)

 

    56,029,436  
     

 

 

 

Preferred Securities Capital Trusts — 11.2%

 

Banks — 3.2%

 

ABN AMRO Bank NV, 5.75%(h)(i)

      200       234,062  

Banco Bilbao Vizcaya Argentaria SA,
6.13%(c)(i)

      2,000       1,680,000  

Bankia SA, 6.38%(c)(i)

      200       216,073  

BNP Paribas SA, 7.20%(a)(h)(i)

      2,000       2,082,000  

Capital One Financial Corp.,
Series E, 5.55%(h)(i)

      3,500       3,508,750  

CIT Group, Inc., Series A, 5.80%(h)(i)

      163       156,793  

Citigroup, Inc,(h)(i):

     

Series M, 6.30%

      4,000       3,880,000  
 

 

 

22   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Banks (continued)  

Series P, 5.95%

      2,100     $ 2,016,000  

Credit Agricole SA,(a)(h)(i):

     

6.63%

      1,400       1,389,461  

7.88%

      1,000       1,008,694  

Intesa Sanpaolo SpA, 7.00%(h)(i)

      200       224,156  

Nordea Bank AB, 6.13%(a)(h)(i)

      2,960       2,800,900  

Wells Fargo & Co.(h)(i):

     

Series S, 5.90%

      3,450       3,442,410  

Series U, 5.88%

      405       412,500  
   

 

 

 
        23,051,799  
Capital Markets — 0.7%  

Goldman Sachs Group, Inc., Series P, 5.00%(c)(i)

      139       122,320  

Morgan Stanley, Series H, 5.45%(h)(i)

      2,627       2,628,313  

State Street Corp., Series F, 5.25%(h)(i)

      2,000       2,020,400  
   

 

 

 
        4,771,033  
Chemicals — 0.0%  

Solvay Finance SA, 5.12%(h)(i)

      100       120,010  
   

 

 

 
Diversified Financial Services — 4.6%  

ATF Netherlands BV, 3.75%(h)(i)

      100       105,203  

Banco Santander SA, 6.25%(h)(i)

      100       108,115  

Bank of America Corp.(h)(i):

     

Series AA, 6.10%

      409       415,409  

Series FF, 5.88%(c)

      3,500       3,342,500  

Series V, 5.13%

      175       174,142  

Series X, 6.25%

      4,620       4,723,950  

Bank of New York Mellon Corp.(h)(i):

     

Series D, 4.50%(f)

      2,000       1,861,540  

Series E, 4.95%

      2,000       2,005,800  

HBOS Capital Funding LP, 6.85%(i)

      100       99,750  

HSBC Holdings PLC:(c)(i)

     

6.00%(h)

      435       395,850  

6.50%

      1,090       1,000,762  

JPMorgan Chase & Co.(h)(i):

     

Series 1, 5.99%

      5,021       5,039,829  

Series Q, 5.15%

      3,000       2,898,600  

Series R, 6.00%

      70       70,350  

Series U, 6.13%

      500       508,125  

Series V, 5.00%

      6,430       6,408,138  

Royal Bank of Scotland Group PLC, 8.63%(h)(i)

      200       206,000  

Societe Generale SA,(a)(h)(i)

     

6.00%

      3,000       2,869,206  

7.88%(f)

      1,000       992,500  
   

 

 

 
        33,225,769  
Diversified Telecommunication Services — 0.1%  

Telefonica Europe BV,(h)(i):

 

4.20%

      200       231,195  

5.88%

      100       121,137  
   

 

 

 
        352,332  
Security   Par
(000)
    Value  
Electric Utilities — 0.6%  

ComEd Financing III, 6.35%, 03/15/33

      300       312,000  

Electricite de France SA, 5.25%(a)(h)(i)

      4,200       4,024,650  

RWE AG, 2.75%, 04/21/75(h)

      10       11,293  
   

 

 

 
        4,347,943  
Insurance — 1.8%  

Allstate Corp,(h):

      4,100       4,286,550  

6.50%, 05/15/67

Series B, 5.75%, 08/15/53

      2,000       1,977,500  

MetLife, Inc., 6.40%, 12/15/36

      2,554       2,579,540  

Voya Financial, Inc., 5.65%, 05/15/53(h)

      4,500       4,331,250  
   

 

 

 
        13,174,840  
Oil, Gas & Consumable Fuels — 0.0%  

Naturgy Finance BV, 4.13%(h)(i)

      100       116,322  
   

 

 

 

Total Capital Trusts — 11.0%
(Cost — $81,091,728)

 

    79,160,048  
     

 

 

 
            Shares         
Preferred Stocks — 0.7%  

Banks — 0.3%

 

Wells Fargo & Co., Series Q, 5.85%(h)(i)

      75,000     $ 1,861,500  
   

 

 

 
Capital Markets — 0.6%  

Goldman Sachs Group, Inc.,
Series J, 5.50%(h)(i)

      92,000       2,219,040  

Morgan Stanley, Series K, 5.85%(h)(i)

      66,567       1,642,208  

SCE Trust III, Series H, 5.75%(h)(i)

      25,314       557,161  
     

 

 

 
    4,418,409  
Machinery — 0.1%  

Stanley Black & Decker, Inc., 5.38%(i)(k)

      2,500       245,000  
     

 

 

 
Thrifts & Mortgage Finance — 0.0%  

Federal Home Loan Mortgage Corp.,
Series S, 8.25%(c)(i)

      10,000       66,100  
     

 

 

 

Total Preferred Stocks — 1.0%
(Cost — $6,864,477)

 

    6,591,009  
     

 

 

 

Trust Preferred — 0.1%

 

Diversified Financial Services — 0.1%

 

Citigroup Capital XIII, 8.89%(h)

      29,583       779,512  
     

 

 

 

Total Trust Preferreds — 0.1%
(Cost — $779,529)

 

    779,512  
     

 

 

 

Total Preferred Securities — 11.9%
(Cost — $88,735,734)

 

    86,530,569  
     

 

 

 
 

 

 

     23  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

U.S. Government Sponsored Agency Securities — 15.1%

 

Agency Obligations — 1.7%  

Fannie Mae, 5.63%, 07/15/37(f)

    USD       1,600     $ 2,037,075  

Federal Home Loan Bank(f):

     

5.25%, 12/09/22

      1,375       1,489,154  

5.37%, 09/09/24

      4,025       4,470,290  

Residual Funding Corp.,
0.00%, 04/15/30(m)

      6,055       4,085,693  
     

 

 

 
        12,082,212  
Collateralized Mortgage Obligations — 4.3%              

Fannie Mae Mortgage-Backed Securities:

     

Series 2015-47, Class GL, 3.50%, 07/25/45

      1,636       1,556,056  

Series 2005-5, Class PK, 5.00%, 12/25/34

      43       43,170  

Series 1991-87, Class S, (1 mo. LIBOR + 26.68%), 20.55%, 08/25/21(b)

      1       1,439  

Series G-17, Class S, 843.04%, 06/25/21(c)

      (n)        

Series G-07, Class S, (1 mo. LIBOR + 1144.57%), 883.44%, 03/25/21(b)

      (n)       22  

Series G-33, Class PV, 1,078.42%, 10/25/21

      (n)        

Series 1991-46, Class S, (1 mo. LIBOR + 2519.00%), 1,988.84%, 05/25/21(b)

      (n)        

Freddie Mac Mortgage-Backed Securities:

     

Series 4350, Class DY, 4.00%, 06/15/44

      2,830       2,866,939  

Series 4480, Class ZX,
4.00%, 11/15/44(f)

      6,304       6,206,774  

Series 4549, Class TZ, 4.00%, 11/15/45

      2,762       2,814,374  

Series 4398, Class ZX, 4.00%, 09/15/54

      9,064       8,877,034  

Series 1057, Class J, 1,008.00%, 03/15/21

      (n)        

Series 0192, Class U, 1,009.03%, 02/15/22(c)

      (n)        
Security   Par
(000)
    Value  
Collateralized Mortgage Obligations (continued)  

Ginnie Mae Mortgage-Backed Securities, Series 2014-72, Class MQ, 4.00%, 02/20/44

    USD       8,858     $ 8,812,333  
     

 

 

 
        31,178,141  
Commercial Mortgage-Backed Securities — 0.3%  

Freddie Mac, Series K013, Class A2, 3.97%, 01/25/21(c)

      1,870       1,896,991  
     

 

 

 
Interest Only Collateralized Mortgage Obligations — 0.5%  

Fannie Mae Mortgage-Backed Securities:

     

Series 1997-50, Class SI, (1 mo. LIBOR + 9.20%), 1.20%, 04/25/23(b)

      24       467  

Series 2012-96, Class DI, 4.00%, 02/25/27

      3,516       246,205  

Series 2012-47, Class NI, 4.50%, 04/25/42

      4,191       953,254  

Series G92-05, Class H, 9.00%, 01/25/22

      (n)       4  

Series 094, Class 2, 9.50%, 08/25/21

      (n)       9  

Series 1990-136, Class S, (1 mo. LIBOR + 17.60%), 17.77%, 11/25/20(b)

      (n)        

Series 1991-139, Class PT, 648.35%, 10/25/21

      (n)        

Series G-10, Class S, (1 mo. LIBOR + 1107.27%), 854.71%, 05/25/21(b)

      (n)        

Series 1991-099, Class L,
930.00%, 08/25/21

      (n)        

Series 1990-123, Class M, 1,009.50%, 10/25/20

      (n)        

Series 2611, Class QI, 5.50%, 09/15/32

      41       161  

Series 1254, Class Z, 8.50%, 04/15/22

      11       1,145  

Series 1043, Class H, (1 mo. LIBOR + 45.00%), 34.62%, 02/15/21(b)

      1       1  

Series 1054, Class I, (1 mo. LIBOR + 881.40%), 680.64%, 03/15/21(b)

      (n)        

Series 1148, Class E, (1 mo. LIBOR + 1196.85%), 924.89%, 10/15/21(b)

      (n)        

Series 1056, Class KD,
1,084.50%, 03/15/21

      (n)        

Ginnie Mae Mortgage-Backed Securities(b):

     

Series 2009-78, Class SD, (1 mo. LIBOR + 6.20%), 3.90%, 09/20/32

      4,364       388,414  
 

 

 

24   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Interest Only Collateralized Mortgage Obligations — 0.5%  

Fannie Mae Mortgage-Backed Securities (continued):

 

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%), 4.16%, 12/16/39

    USD       1,521     $ 180,563  

Series 2011-52, Class NS, (1 mo. LIBOR + 6.67%), 4.36%, 04/16/41

      12,603       1,858,383  
   

 

 

 
        3,628,606  
Mortgage-Backed Securities — 8.3%  

Fannie Mae Mortgage-Backed Securities:

     

3.00%, 09/01/43(d)

      13,000       12,475,522  

4.00%, 12/01/41 - 04/01/56(f)

      28,794       29,130,392  

4.50%, 07/01/41 - 07/01/55(f)

      15,353       15,951,932  

5.00%, 08/01/34(f)

      1,507       1,598,519  

5.50%, 06/01/38(f)

      727       782,231  

6.00%, 12/01/38(f)

      601       657,729  

Freddie Mac Mortgage-Backed Securities, 6.00%, 12/01/18

      (n)       174  

Ginnie Mae Mortgage-Backed Securities:

     

5.50%, 08/15/33

      44       46,917  

8.00%, 07/15/24

      (n)       77  
   

 

 

 
        60,643,493  
Principal Only Collateralized Mortgage Obligations — 0.0%  

Fannie Mae Mortgage-Backed Securities(m):

     

Series 1993-51, Class E, 0.00%, 02/25/23

      5       4,079  

Series 203, Class 1, 0.00%, 02/25/23

      1       1,234  

Series 1993-70, Class A, 0.00%, 05/25/23

      1       717  

Series 0228, Class 1, 0.00%, 06/25/23

      1       1,097  
   

 

 

 
        7,127  
   

 

 

 

Total U.S. Government Sponsored Agency Securities — 15.1%
(Cost — $111,517,716)

 

    109,436,570  
   

 

 

 

U.S. Treasury Obligations — 22.1%

 

U.S. Treasury Bonds(f):

     

7.50%, 11/15/24

      8,200       10,251,601  

3.00%, 11/15/44

      61,400       58,097,352  

2.50%, 02/15/46

      66,500       56,740,606  
Security   Par
(000)
    Value  
U.S. Treasury Obligations (continued)  

U.S. Treasury Notes(f):

     

3.38%, 11/15/48

    USD       2,470     $ 2,499,428  

2.75%, 09/30/20

      2,880       2,876,175  

2.75%, 09/15/21

      2,800       2,793,875  

2.75%, 04/30/23

      2,800       2,788,078  

2.75%, 08/31/23

      1,700       1,692,762  

2.75%, 08/31/25

      14,800       14,641,015  

3.00%, 09/30/25

      2,400       2,411,250  

2.88%, 08/15/28

      1,000       988,047  

3.13%, 11/15/28

      3,000       3,028,594  

2.75%, 11/15/47

      2,000       1,788,828  
   

 

 

 

Total U.S. Treasury Obligations — 22.1%
(Cost — $175,690,084)

 

    160,597,611  
   

 

 

 

Total Long-Term Investments — 140.1%
(Cost — $1,043,355,230)

 

    1,015,406,615  
   

 

 

 

Short-Term Securities — 0.1%

 

Foreign Agency Obligations — 0.1%

 

Egypt Treasury Bills, 0.00%, 04/02/19(m)

    EGP       14,125       741,598  
   

 

 

 

Total Foreign Agency Obligations — 0.1%
(Cost — $741,598)

 

    741,598  
   

 

 

 
           

Share

        

Short-Term Investment Fund — 0.0%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.12%(o)(p)

      184,493       184,493  
   

 

 

 

Total Short-Term Investment Fund — 0.0%
(Cost — $184,493)

 

    184,493  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost — $926,091)

 

    926,091  
   

 

 

 

Options Purchased — 0.5%
(Cost — $4,400,191)

 

    3,858,673  
   

 

 

 

Total Investments Before Options Written — 140.7%
(Cost — $1,048,681,512)

 

    1,020,191,379  
   

 

 

 

Options Written — (0.6)%
(Premiums Received — $4,780,149)

 

    (4,385,550
   

 

 

 

Total Investments, Net of Options Written — 140.1%
(Cost — $1,043,901,363)

 

    1,015,805,829  

Liabilities in Excess of Other Assets — (40.0)%

 

    (290,121,889
   

 

 

 

Net Assets — 100.0%

 

  $ 725,683,940  
   

 

 

 
 
(a) 

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

(b) 

Variable rate security. Rate shown is the rate in effect as of period end.

 

 

     25  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

(c) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(d) 

When-issued security.

(e) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(f) 

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

(g) 

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(h) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(i)

Perpetual security with no stated maturity date.

(j) 

Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

(k) 

Convertible security.

(l) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(m) 

Zero-coupon bond.

(n)

Amount is less than $500.

(o)

Annualized 7-day yield as of period end.

(p) 

During the period ended November 30, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
11/30/18
     Value at
11/30/18
     Income      Net Realized
Gain (Loss)(a)
    

Change in

Unrealized
Appreciation
(Depreciation)

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     14,487,097        (14,302,604      184,493      $ 184,493      $ 43,762      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

For Trust compliance purposes, the industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Currency Abbreviations

EUR — Euro

GBP — British Pound

JPY — Japanese Yen

NZD — New Zealand Dollar

RUB — New Russian Ruble

USD — United States Dollar

EGP — Egyptian Pound

Portfolio Abbreviations

CLO — Collateralized Loan Obligation

CR — Custodian Receipt

CRC — Costa Rican Colon

EURIBOR — Euro Interbank Offered Rate

FHLMC — Federal Home Loan Mortgage Corp.

FNMA — Federal National Mortgage Association

GO — General Obligation Bonds

LIBOR — London Interbank Offered Rate

MSCI — Morgan Stanley Capital International

OTC — Over-the-Counter

PIK — Payment-In-Kind

RB — Revenue Bonds

 

 

26   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

Reverse Repurchase Agreements

 

Counterparty     
Interest
Rate

 
   
Trade
Date

 
    
Maturity
Date (a)

 
     Face Value       

Face Value
Including
Accrued Interest


 
   Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements (a)

BNP Paribas Securities Corp.

     2.33     05/08/18        Open      $ 61,016,250      $ 61,825,292      U.S. Treasury Obligations    Open/Demand

Deutsche Bank AG

     2.32       05/08/18        Open        22,250,000        22,502,408      U.S. Treasury Obligations    Open/Demand

BNP Paribas Securities Corp.

     2.56       07/23/18        Open        732,762        739,033      Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     2.39       07/25/18        Open        2,108,000        2,124,223      U.S. Government Sponsored Agency Securities    Open/Demand

BNP Paribas Securities Corp.

     2.39       07/25/18        Open        1,512,500        1,524,140      U.S. Government Sponsored Agency Securities    Open/Demand

BNP Paribas Securities Corp.

     2.39       07/25/18        Open        2,490,375        2,509,541      U.S. Government Sponsored Agency Securities    Open/Demand

Barclays Capital, Inc.

     1.30       08/20/18        Open        139,995        140,442      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.50       08/20/18        Open        1,382,875        1,391,988      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.50       08/20/18        Open        1,179,175        1,186,946      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.50       08/20/18        Open        551,850        555,487      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.50       08/20/18        Open        2,229,000        2,243,690      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.50       08/20/18        Open        2,367,862        2,383,467      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.45       08/20/18        Open        3,678,000        3,701,718      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.45       08/20/18        Open        3,048,000        3,067,655      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.45       08/20/18        Open        1,821,000        1,832,743      Capital Trusts    Open/Demand

Barclays Capital, Inc.

     1.50       09/07/18        Open        81,922        82,164      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       09/11/18        Open        2,912,000        2,928,437      Corporate Bonds    Open/Demand

Deutsche Bank AG

     0.75       09/13/18        Open        61,920        62,003      Corporate Bonds    Open/Demand

Nomura Securities International, Inc.

     2.39       09/13/18        Open        1,875,000        1,884,350      U.S. Treasury Obligations    Open/Demand

BNP Paribas Securities Corp.

     2.10       09/19/18        Open        3,590,000        3,605,078      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       09/19/18        Open        4,195,000        4,213,458      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       09/19/18        Open        1,574,000        1,580,926      Corporate Bonds    Open/Demand

JPMorgan Chase Bank N.A.

     0.05       09/19/18        Open        798,750        798,830      Capital Trusts    Open/Demand

JPMorgan Chase Bank N.A.

     0.75       09/19/18        Open        130,604        130,800      Corporate Bonds    Open/Demand

JPMorgan Chase Bank N.A.

     2.00       09/19/18        Open        145,965        146,549      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       09/19/18        Open        1,755,000        1,763,213      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       09/19/18        Open        3,297,250        3,312,681      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       09/19/18        Open        1,755,000        1,763,213      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       09/19/18        Open        1,974,375        1,983,615      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       09/20/18        Open        7,577,998        7,616,338      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       09/20/18        Open        7,687,283        7,726,176      Corporate Bonds    Open/Demand

Nomura Securities International, Inc.

     2.39       10/05/18        Open        1,680,875        1,686,907      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

     2.39       10/05/18        Open        2,786,000        2,795,977      U.S. Treasury Obligations    Open/Demand

BNP Paribas Securities Corp.

     2.29       10/09/18        Open        2,872,800        2,882,274      U.S. Treasury Obligations    Open/Demand

BNP Paribas Securities Corp.

     2.34       10/09/18        Open        2,796,500        2,805,722      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

     2.39       10/15/18        Open        34,820,194        34,923,687      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

     2.39       10/15/18        Open        13,511,813        13,552,153      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

     2.39       10/15/18        Open        2,388,000        2,395,129      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

     2.39       10/15/18        Open        10,455,000        10,486,214      U.S. Treasury Obligations    Open/Demand

Barclays Capital, Inc.

     0.75       10/16/18        Open        105,105        105,302      Corporate Bonds    Open/Demand

Goldman Sachs & Co. LLC

     2.09       11/06/18        Open        496,986        497,679      Corporate Bonds    Open/Demand

Nomura Securities International, Inc.

     2.39       11/07/18        Open        978,750        980,172      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

     2.39       11/07/18        Open        699,540        700,599      U.S. Treasury Obligations    Open/Demand

 

 

     27  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     
Interest
Rate

 
   
Trade
Date

 
    
Maturity
Date (a)

 
     Face Value       

Face Value
Including
Accrued Interest


 
   Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements (a)

Royal Bank of Canada

     2.47     11/09/18        1/14/19      $ 637,200      $ 637,987      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        2,061,800        2,064,346      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        17,289,000        17,310,352      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        1,806,700        1,808,931      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        1,539,100        1,541,001      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        4,399,100        4,404,533      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        2,436,700        2,439,709      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        2,215,300        2,218,036      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        6,422,000        6,429,931      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        6,726,300        6,734,607      U.S. Government Sponsored Agency Securities    Up to 90 Days

Royal Bank of Canada

     2.47       11/09/18        1/14/19        759,500        760,438      U.S. Government Sponsored Agency Securities    Up to 90 Days

Citigroup Global Markets, Inc.

     1.00       11/15/18        Open        96,901        96,941      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       11/15/18        Open        1,855,000        1,857,002      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       11/15/18        Open        2,156,572        2,158,900      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       11/15/18        Open        2,989,875        2,993,102      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       11/15/18        Open        1,650,000        1,651,781      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       11/15/18        Open        3,410,000        3,413,740      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.59       11/15/18        Open        4,302,200        4,306,843      Corporate Bonds    Open/Demand

Royal Bank of Canada

     2.40       11/26/18        12/10/18        6,015,000        6,017,005      U.S. Government Sponsored Agency Securities    Up to 30 Days

Credit Suisse Securities (USA) LLC

     2.25       11/29/18        Open        165,250        165,250      Foreign Agency Obligations    Open/Demand

Nomura Securities International, Inc.

     2.39       11/29/18        Open        2,103,975        2,104,872      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

     2.39       11/29/18        Open        3,030,000        3,030,397      U.S. Treasury Obligations    Open/Demand

HSBC Securities (USA), Inc.

     2.45       11/30/18        Open        3,325,000        3,325,226      Corporate Bonds    Open/Demand
          

 

 

    

 

 

       
   $ 296,903,747      $ 298,609,349        
  

 

 

    

 

 

       

 

  (a) 

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

 

 

 

28   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount
(000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts:

                 

Euro Stoxx 600 Index

     1          12/21/18        $ 8        $ (721

10- Year U.S. Ultra Long Treasury Note

     53          03/20/19          6,705          24,763  

Ultra Long U.S. Treasury Bond

     72          03/20/19          10,973          24,937  

90-Day Euro

     97          03/15/21          23,527          59,657  
                 

 

 

 
                    108,636  
                 

 

 

 

Short Contracts:

                 

Euro-Bund

     1          12/06/18          149          (442

Euro Bund

     44          12/06/18          8,047          (119,086

90-Day Euro

     70          12/16/19          16,971          2,535  

10-Year U.S. Treasury Note

     234          03/20/19          27,952          (77,144

Long Gilt

     1          03/27/19          156          (765

2-Year U.S. Treasury Note

     321          03/29/19          67,726          (60,654

5-Year U.S. Treasury Note

     320          03/29/19          36,148          (9,640

90-Day Euro

     97          03/14/22          23,530          (55,279
                 

 

 

 
                    (320,475
                 

 

 

 
                  $ (211,839
                 

 

 

 

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
NZD     198,000        USD     135,890        National Australia Bank Ltd.        12/05/18        $ 218  
USD     179,471        EUR     157,000        Bank of America N.A.        12/05/18          1,718  
USD     235,084        EUR     205,000        Bank of America N.A.        12/05/18          2,985  
USD     1,932,260        EUR     1,703,000        JPMorgan Chase Bank N.A.        12/05/18          4,147  
USD     8,658,293        EUR     7,631,000        JPMorgan Chase Bank N.A.        12/05/18          18,582  
USD     969,265        GBP     759,000        Barclays Bank PLC        12/05/18          2,068  
USD     8,768,081        GBP     6,866,000        Barclays Bank PLC        12/05/18          18,704  
USD     492,439        RUB     32,827,000        Bank of America N.A.        12/19/18          3,697  
USD     1,939,225        EUR     1,701,000        UBS AG        02/05/19          2,133  
USD     8,803,466        EUR     7,722,000        UBS AG        02/05/19          9,685  
USD     969,433        GBP     758,000        JPMorgan Chase Bank N.A.        02/05/19          139  
USD     7,800,225        GBP     6,099,000        JPMorgan Chase Bank N.A.        02/05/19          1,119  
                       

 

 

 
                          65,195  
                       

 

 

 
EUR     1,701,000        USD     1,928,084        UBS AG        12/05/18          (2,235
EUR     7,722,000        USD     8,752,887        UBS AG        12/05/18          (10,147
GBP     758,000        USD     966,071        JPMorgan Chase Bank N.A.        12/05/18          (148
GBP     6,099,000        USD     7,773,176        JPMorgan Chase Bank N.A.        12/05/18          (1,190
USD     129,647        NZD     198,000        Bank of America N.A.        12/05/18          (6,461
USD     136,033        NZD     198,000        National Australia Bank Ltd.        02/05/19          (215
                       

 

 

 
                          (20,396
                       

 

 

 
Net Unrealized Appreciation

 

                      $ 44,799  
                       

 

 

 

 

 

  

29


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

 

 

Interest Rate Caps Purchased

 

 

Description    Exercise
Rate
    
Counterparty
       Expiration
Date
       Notional
Amount (000)
      
Value
       Premiums
Paid
(Received)
       Unrealized
Depreciation
 

Call

 

2Y–10Y CMS Index Cap

     0.24      Barclays Bank PLC          01/24/19          USD          18,000        $ 276        $ 25,560        $ (25,284

5Y-10Y CMS Index Cap

     0.12        Citibank N.A.        01/25/19          USD          88,650          5,668          19,060          (13,392

2Y–10Y CMS Index Cap

     0.33        Barclays Bank PLC          01/30/19          USD          19,180          54          21,098          (21,044

5Y-30Y CMS Index Cap

     0.21        Goldman Sachs Bank USA          02/28/19          USD          68,500          18,837          18,837           
                         

 

 

      

 

 

      

 

 

 
                          $ 24,835        $ 84,555        $ (59,720
                         

 

 

      

 

 

      

 

 

 

Exchange-Traded Options Purchased

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
      

Notional

Amount (000)

       Value  

Call

 

90-Day Euro Future

     102          03/18/19          USD          97.38          USD          24,831        $ 2,550  

90-Day Euro Future

     332          06/17/19          USD          97.75          USD          81,133          4,150  

90-Day Euro Future

     332          03/16/20          USD          97.75          USD          81,133          49,800  
                                

 

 

 
                                 $ 56,500  
                                

 

 

 

OTC Interest Rate Swaptions Purchased

 

Description

   Paid by the Trust   Received by the Trust  

Counterparty

 

Expiration

Date

    Exercise
Rate
   

Notional

Amount (000)

   

Value

 
   Rate     Frequency   Rate     Frequency

Call

                    

5-Year Interest Rate Swap, 10/27/24

    
3-Month LIBOR,
2.74
 
  Quarterly     3.20   Semi-annual   Bank of America N.A.     10/25/19       3.20       USD       9,650     $ 162,795  

5-Year Interest Rate Swap, 10/31/24

    
3-Month LIBOR,
2.74
 
  Quarterly     3.18     Semi-annual   Citibank N.A.     10/29/19       3.18       USD       9,650       155,811  

5-Year Interest Rate Swap, 11/22/24

    
3-Month LIBOR,
2.74
 
  Quarterly     3.08     Semi-annual   Barclays Bank PLC     11/20/19       3.08       USD       9,485       133,589  

5-Year Interest Rate Swap, 11/22/24

    
3-Month LIBOR,
2.74
 
  Quarterly     3.08     Semi-annual   Nomura International PLC     11/20/19       3.08       USD       9,485       134,290  

5-Year Interest Rate Swap, 11/29/24

    
3-Month LIBOR,
2.74
 
  Quarterly     3.09     Semi-annual   Morgan Stanley & Co. International PLC     11/27/19       3.09       USD       18,950       274,754  

1-Year Interest Rate Swap, 01/12/21

    
3-Month LIBOR,
2.74
 
  Quarterly     2.95     Semi-annual   Morgan Stanley & Co. International PLC     01/10/20       2.95       USD       66,720       136,730  

1-Year Interest Rate Swap, 01/23/21

    
3-Month LIBOR,
2.74
 
  Quarterly     2.95     Semi-annual   Morgan Stanley & Co. International PLC     01/21/20       2.95       USD       66,720       141,637  

1-Year Interest Rate Swap, 02/01/21

    
3-Month LIBOR,
2.74
 
  Quarterly     2.95     Semi-annual   Morgan Stanley & Co. International PLC     01/30/20       2.95       USD       32,570       70,423  

15-Year Interest Rate Swap, 06/10/35

    
6-Month JPY
LIBOR, (0.00)
 
  Quarterly     0.65     Semi-annual   Barclays Bank PLC     06/08/20       0.65       JPY       125,000       23,607  

15-Year Interest Rate Swap, 09/16/35

    
6-Month JPY
LIBOR, (0.00)
 
  Quarterly     0.66     Semi-annual   Morgan Stanley & Co. International PLC     09/14/20       0.66       JPY       50,000       9,717  

15-Year Interest Rate Swap, 09/16/35

    
6-Month JPY
LIBOR, (0.00)
 
  Quarterly     0.66     Semi-annual   Barclays Bank PLC     09/14/20       0.66       JPY       50,000       9,717  

220-Year Interest Rate Swap, 04/18/41

    
6-Month JPY
LIBOR, (0.00)
 
  Semi-annual     0.78     Semi-annual   JPMorgan Chase Bank N.A.     04/16/21       0.78       JPY       105,700       26,316  

 

 

30   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

 

OTC Interest Rate Swaptions Purchased (continued)

 

 

Description

   Paid by the Trust   Received by the Trust  

Counterparty

 

Expiration
Date

   

Exercise
Rate

   

Notional
Amount (000)

   

Value

 
   Rate    

Frequency

  Rate    

Frequency

Call

                                                                    

10-Year Interest Rate Swap, 09/02/31

    
3-Month LIBOR,
2.74
 
  Quarterly     3.04     Semi-annual   Goldman Sachs Bank USA     08/31/21       3.04       USD       2,240     $ 73,247  

30-Year Interest Rate Swap, 04/28/53

    
3-Month LIBOR,
2.74
 
  Quarterly     3.11     Semi-annual   Goldman Sachs Bank USA     04/26/23       3.11       USD       520       47,977  

10-Year Interest Rate Swap, 06/29/38(a)

    
3-Month LIBOR,
2.74
 
  Quarterly     3.05   Semi-annual   Deutsche Bank AG     06/27/28       3.05       USD       3,125       (35,450)  

10-Year Interest Rate Swap, 04/29/48

    
3-Month LIBOR,
2.74
 
  Quarterly     2.99     Semi-annual   JPMorgan Chase Bank N.A.     04/27/38       2.99       USD       910       38,915  
                    

 

 

 
                       1,404,075  
                    

 

 

 

Put

                    

5-Year Interest Rate Swap, 09/21/24

     3.40     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Citibank N.A.     09/19/19       3.40       USD       21,160       91,119  

30-Year Interest Rate Swap, 10/09/49

     4.00     Semi-annual    
3-Month LIBOR,
2.74
 
%, 
  Quarterly   Deutsche Bank AG     10/07/19       4.00       USD       2,620       14,156  

5-Year Interest Rate Swap, 10/27/24

     3.20     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Bank of America N.A.     10/25/19       3.20       USD       9,650       73,249  

5-Year Interest Rate Swap, 10/31/24

     3.18     Semi-annual    
3-Month LIBOR,
2.74
 
%, 
  Quarterly   Citibank N.A.     10/29/19       3.18       USD       9,650       78,871  

5-Year Interest Rate Swap, 11/22/24

     3.08     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Barclays Bank PLC     11/20/19       3.08       USD       9,485       99,397  

5-Year Interest Rate Swap, 11/22/24

     3.08     Semi-annual    
3-Month LIBOR,
2.74
 
%, 
  Quarterly   Nomura International PLC     11/20/19       3.08       USD       9,485       98,809  

5-Year Interest Rate Swap, 11/29/24

     3.09     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Morgan Stanley & Co. International PLC     11/27/19       3.09       USD       18,950       197,353  

30-Year Interest Rate Swap, 02/05/50

     4.00     Quarterly    
3-Month LIBOR,
2.74
 
  Semi-annual   Goldman Sachs Bank USA     02/03/20       4.00       USD       3,200       14,791  

15-Year Interest Rate Swap, 05/17/35

     1.10     Semi-annual    

6-Month JPY
LIBOR,
(0.00)
 
 
%, 
  Semi-annual   Barclays Bank PLC     05/15/20       1.10       JPY       250,000       7,753  

15-Year Interest Rate Swap, 06/10/35

     0.65     Quarterly    

6-Month JPY
LIBOR,
(0.00)
 
 
%, 
  Semi-annual   Barclays Bank PLC     06/08/20       0.65       JPY       125,000       14,712  

15-Year Interest Rate Swap, 09/16/35

     0.66     Quarterly    
6-Month JPY
LIBOR, (0.00)
 
%, 
  Semi-annual   Barclays Bank PLC     09/14/20       0.66       JPY       50,000       6,890  

15-Year Interest Rate Swap, 09/16/35

     0.66     Quarterly    

6-Month JPY
LIBOR,
(0.00)
 
 
%, 
  Semi-annual   Morgan Stanley & Co. International PLC     09/14/20       0.66       JPY       50,000       6,890  

20-Year Interest Rate Swap, 04/18/41

     0.78     Semi-annual    
6-Month JPY
LIBOR, (0.00)
 
  Semi-annual   JPMorgan Chase Bank N.A.     04/16/21       0.78       JPY       105,700       33,030  

30-Year Interest Rate Swap, 06/09/51

     3.80     Quarterly    
3-Month LIBOR,
2.74
 
  Semi-annual   Barclays Bank PLC     06/07/21       3.80       USD       7,560       130,671  

10-Year Interest Rate Swap, 09/02/31

     3.04     Quarterly    
3-Month LIBOR,
2.74
 
  Semi-annual   Goldman Sachs Bank USA     08/31/21       3.04       USD       2,240       97,517  

10-Year Interest Rate Swap, 01/13/32

     1.25     Semi-annual    
6-Month JPY
LIBOR, (0.00)
 
  Semi-annual   Credit Suisse International     01/11/22       1.25       JPY       250,000       10,447  

10-Year Interest Rate Swap, 02/24/32

     1.55     Semi-annual    
6-Month JPY
LIBOR, (0.00)
 
  Semi-annual   Credit Suisse International     02/22/22       1.55       JPY       250,000       7,971  

10-Year Interest Rate Swap, 03/18/32

     1.60     Semi-annual    
6-Month JPY
LIBOR, (0.00)
 
  Semi-annual   JPMorgan Chase Bank N.A.     03/16/22       1.60       JPY       250,000       7,890  

 

 

     31  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased (continued)

 

Description

   Paid by the Trust   Received by the Trust  

Counterparty

  Expiration
Date
    Exercise
Rate
    Notional
Amount
(000)
   

Value

 
   Rate     Frequency   Rate     Frequency

Put

                                                                    

10-Year Interest Rate Swap, 04/06/32

     1.45   Semi-annual    

6-Month JPY LIBOR,

(0.00

 

)% 

  Semi-annual   JPMorgan Chase Bank N.A.     04/04/22       1.45       JPY       250,000     $ 9,589  

15-Year Interest Rate Swap, 05/05/37

     3.25     Quarterly    
3-Month LIBOR,
2.74
 
  Semi-annual   Goldman Sachs Bank USA     05/03/22       3.25       USD       8,100       224,320  

30-Year Interest Rate Swap, 02/15/53

     3.35     Quarterly    
3-Month LIBOR,
2.74
 
  Semi-annual   Barclays Bank PLC     02/13/23       3.35       USD       9,557       795,498  

30-Year Interest Rate Swap, 04/28/53

     3.11     Quarterly    
3-Month LIBOR,
2.74
 
  Semi-annual   Goldman Sachs Bank USA     04/26/23       3.11       USD       520       53,088  

10-Year Interest Rate Swap, 04/14/37

     3.00     Quarterly    
3-Month LIBOR,
2.74
 
  Semi-annual   JPMorgan Chase Bank N.A.     04/12/27       3.00       USD       2,590       171,695  

20-Year Interest Rate Swap, 08/11/53

     4.00     Annual    

6-Month EURIBOR,

(0.25

 

)% 

  Semi-annual   Barclays Bank PLC     08/09/33       4.00       EUR       2,410       79,796  

10-Year Interest Rate Swap, 04/29/48

     2.99     Quarterly    
3-Month LIBOR,
2.74
 
  Semi-annual   JPMorgan Chase Bank N.A.     04/27/38       2.99       USD       910       47,761  
                    

 

 

 
                       2,373,263  
                    

 

 

 
                     $ 3,777,338  
                    

 

 

 

 

  (a)

Forward settling swaption.

 

Exchange-Traded Options Written

 

Description    Number of
Contracts
     Expiration
Date
     Exercise
Price
             Notional
Amount(000)
             Value  

Call

                    

90-Day Euro Future

     68        03/15/19        USD        97.25        USD        (16,533    $ (11,050

90-Day Euro Future

     332        06/17/19        USD        97.88        USD        (81,236      (2,075

90-Day Euro Future

     332        03/16/20        USD        97.88        USD        (81,236      (39,425
                    

 

 

 
                     $ (52,550
                    

 

 

 

Interest Rate Caps Written

 

Description    Exercise
Rate
     Counterparty        Expiration
Date
      

Notional

Amount (000)

       Value        Premiums
Paid
      

Unrealized

Depreciation

 

Call

                                   

5Y–30Y CMS Index Cap

     0.31      Goldman Sachs Bank USA          2/28/19          USD          68,500        $ (6,165      $ (6,165      $  
                         

 

 

      

 

 

      

 

 

 

OTC Interest Rate Swaptions Written

 

Description

   Paid by the Trust   Received by the Trust  

Counterparty

 

Expiration

Date

    Exercise
Rate
    Notional
Amount(000)
   

Value

 
   Rate     Frequency   Rate     Frequency

Call

                                                                    

10-Year Interest Rate Swap, 12/12/28

     3.18   Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Morgan Stanley & Co. International PLC     12/10/18       3.18     USD       2,000     $ (21,832

5-Year Interest Rate Swap, 09/21/24

     2.90     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Citibank N.A.     09/19/19       2.90       USD       21,160       (182,015

 

 

32   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

Description

   Paid by the Trust   Received by the Trust  

Counterparty

 

Expiration
Date

   

Exercise
Rate

   

Notional
Amount (000)

   

Value

 
   Rate     Frequency   Rate     Frequency

Call

                    

2-Year Interest Rate Swap, 11/09/21

     3.30     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Deutsche Bank AG     11/07/19       3.30       USD       11,440     $ (89,131

1-Year Interest Rate Swap, 01/12/21

     2.45     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Morgan Stanley & Co. International PLC     01/10/20       2.45       USD       100,080       (80,486

1-Year Interest Rate Swap, 01/23/21

     2.45   Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Morgan Stanley & Co. International PLC     01/21/20       2.45       USD       100,080       (85,054

1-Year Interest Rate Swap, 02/01/21

     2.45     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Morgan Stanley & Co. International PLC     01/30/20       2.45       USD       48,855       (42,956

2-Year Interest Rate Swap, 02/09/22

     2.20     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Deutsche Bank AG     02/07/20       2.20       USD       10,790       (15,854

2-Year Interest Rate Swap, 02/16/22

     2.35     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Deutsche Bank AG     02/14/20       2.35       USD       10,690       (20,942

2-Year Interest Rate Swap, 02/23/22

     2.35     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   UBS AG     02/21/20       2.35       USD       10,600       (21,175

2-Year Interest Rate Swap, 04/16/22

     2.88     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Deutsche Bank AG     04/14/20       2.88       USD       16,840       (88,411

1-Year Interest Rate Swap, 04/18/21

     2.45     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Nomura International PLC     04/16/20       2.45       USD       80,500       (96,664

2-Year Interest Rate Swap, 04/19/22

     2.94     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Bank of America N.A.     04/17/20       2.94       USD       16,540       (95,687

2-Year Interest Rate Swap, 05/31/22

     2.90     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Deutsche Bank AG     05/29/20       2.90       USD       9,270       (53,866

1-Year Interest Rate Swap, 06/10/21

     3.05     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Goldman Sachs Bank USA     06/08/20       3.05       USD       33,400       (111,537

2-Year Interest Rate Swap, 10/31/22

     3.16     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Citibank N.A.     10/29/20       3.16       USD       17,030       (163,364

2-Year Interest Rate Swap, 11/11/22

     3.27     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Morgan Stanley & Co. International PLC     11/09/20       3.27       USD       8,550       (93,224

2-Year Interest Rate Swap, 11/29/22

     3.07     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Morgan Stanley & Co. International PLC     11/27/20       3.07       USD       33,225       (296,012

2-Year Interest Rate Swap, 11/29/22

     3.07     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Citibank N.A.     11/27/20       3.07       USD       16,365       (145,952

5-Year Interest Rate Swap, 01/07/27

     1.70     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Goldman Sachs Bank USA     01/05/22       1.70       USD       5,000       (27,838

5-Year Interest Rate Swap, 02/10/27

     1.75     Semi-annual    
3-Month LIBOR,
2.74
 
  Quarterly   Deutsche Bank AG     02/08/22       1.75       USD       5,000       (30,355
                    

 

 

 
                       (1,762,355
                    

 

 

 

Put

      

2-Year Interest Rate Swap, 03/14/21

    

6-Month EURIBOR,

(0.25

 

)% 

  Semi-annual     0.03     Annual   Barclays Bank PLC     03/12/19       0.03       EUR       7,600       (1,284

2-Year Interest Rate Swap, 05/04/21

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.20     Quarterly   Barclays Bank PLC     05/02/19       3.20       USD       11,200       (13,934

2-Year Interest Rate Swap, 06/16/21

    

6-Month EURIBOR,

(0.25

 

)% 

  Semi-annual     0.14     Annual   Barclays Bank PLC     06/14/19       0.14       EUR       17,660       (7,057

 

 

     33  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

Description

   Paid by the Trust   Received by the Trust  

Counterparty

  Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
   

Value

 
   Rate     Frequency   Rate     Frequency

Put

      

5-Year Interest Rate Swap, 06/27/24

    

6-Month EURIBOR,

(0.25

 

)% 

  Semi-annual     0.60     Annual   Barclays Bank PLC     06/25/19       0.60     EUR     3,684     $ (10,725

2-Year Interest Rate Swap, 09/08/21

    
3-Month LIBOR,
2.74
 
  Quarterly     3.30     Semi-annual   Goldman Sachs Bank USA     09/06/19       3.30     USD     12,140       (23,243

2-Year Interest Rate Swap, 09/14/21

    
3-Month LIBOR,
2.74
 
  Quarterly     3.35   Semi-annual   Deutsche Bank AG     09/12/19       3.35   USD     58,330       (97,249

2-Year Interest Rate Swap, 11/06/21

    
3-Month LIBOR,
2.74
 
  Semi-annual     2.70     Quarterly   Barclays Bank PLC     11/04/19       2.70     USD     11,900       (101,731

2-Year Interest Rate Swap, 11/08/21

    
3-Month LIBOR,
2.74
 
  Semi-annual     2.70     Quarterly   JPMorgan Chase Bank N.A.     11/06/19       2.70     USD     20,000       (170,855

2-Year Interest Rate Swap, 11/09/21

    
3-Month LIBOR,
2.74
 
  Quarterly     3.30     Semi-annual   Deutsche Bank AG     11/07/19       3.30     USD     11,440       (28,413

2-Year Interest Rate Swap, 01/23/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     2.85     Quarterly   JPMorgan Chase Bank N.A.     01/21/20       2.85     USD     18,900       (135,506

2-Year Interest Rate Swap, 02/05/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.15     Quarterly   Barclays Bank PLC     02/03/20       3.15     USD     35,510       (151,220

2-Year Interest Rate Swap, 02/09/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.20     Quarterly   Deutsche Bank AG     02/07/20       3.20     USD     10,790       (41,774

2-Year Interest Rate Swap, 02/16/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.35     Quarterly   Deutsche Bank AG     02/14/20       3.35     USD     10,690       (30,858

2-Year Interest Rate Swap, 02/23/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.35     Quarterly   UBS AG     02/21/20       3.35     USD     10,600       (31,010

2-Year Interest Rate Swap, 04/16/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     2.88     Quarterly   Deutsche Bank AG     04/14/20       2.88     USD     16,840       (125,561

2-Year Interest Rate Swap, 04/19/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     2.94     Quarterly   Bank of America N.A.     04/17/20       2.94     USD     16,540       (111,342

2-Year Interest Rate Swap, 05/07/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.15     Quarterly   Goldman Sachs Bank USA     05/05/20       3.15     USD     8,800       (43,548

15-Year Interest Rate Swap, 05/17/35

    

6-Month JPY LIBOR,

(0.00

 

)% 

  Semi-annual     2.10     Semi-annual   Barclays Bank PLC     05/15/20       2.10     JPY     250,000       (1,280

2-Year Interest Rate Swap, 05/20/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.50     Quarterly   JPMorgan Chase Bank N.A.     05/18/20       3.50     USD     10,000       (26,820

2-Year Interest Rate Swap, 05/24/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.55     Quarterly   Deutsche Bank AG     05/22/20       3.55     USD     16,000       (39,312

2-Year Interest Rate Swap, 05/31/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     2.90     Quarterly   Deutsche Bank AG     05/29/20       2.90     USD     9,270       (69,398

2-Year Interest Rate Swap, 05/31/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.35     Quarterly   Goldman Sachs Bank USA     05/29/20       3.35     USD     13,040       (48,377

1-Year Interest Rate Swap, 06/10/21

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.05   Quarterly   Goldman Sachs Bank USA     06/08/20       3.05     USD     33,400       (96,943

2-Year Interest Rate Swap, 06/10/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.45     Quarterly   Goldman Sachs Bank USA     06/08/20       3.45     USD     13,000       (40,189

2-Year Interest Rate Swap, 06/17/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.35     Quarterly   Goldman Sachs Bank USA     06/15/20       3.35     USD     8,300       (31,116

2-Year Interest Rate Swap, 07/01/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.20     Quarterly   Nomura International PLC     06/29/20       3.20     USD     23,185       (114,378

2-Year Interest Rate Swap, 08/26/22

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.50     Quarterly   Barclays Bank PLC     08/24/20       3.50     USD     16,370       (54,640

 

 

34   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

  

 

   Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date
   

Exercise
Rate

    Notional
Amount (000)
   

Value

 
Description    Rate     Frequency   Rate     Frequency

Put

 

2-Year Interest Rate Swap, 10/31/22

    
3-Month LIBOR,
2.74
 
  Quarterly     3.16   Semi-annual   Citibank N.A.     10/29/20       3.16   USD     17,030     $ (103,463

2-Year Interest Rate Swap, 11/11/22

    
3-Month LIBOR,
2.74
 
  Quarterly     3.27     Semi-annual   Morgan Stanley & Co. International PLC     11/09/20       3.27     USD     8,550       (45,339

2-Year Interest Rate Swap, 11/29/22

    
3-Month LIBOR,
2.74
 
  Quarterly     3.07     Semi-annual   Morgan Stanley & Co. International PLC     11/27/20       3.07     USD     33,225       (235,569

2-Year Interest Rate Swap, 11/29/22

    
3-Month LIBOR,
2.74
 
  Quarterly     3.07     Semi-annual   Citibank N.A.     11/27/20       3.07     USD     16,365       (115,881

10-Year Interest Rate Swap, 04/21/31

    

6-Month EURIBOR,

(0.25

 

)% 

  Semi-annual     2.15     Annual   JPMorgan Chase Bank N.A.     04/19/21       2.15     EUR     4,400       (43,904

10-Year Interest Rate Swap, 05/06/31

    

6-Month EURIBOR,

(0.25

 

)% 

  Semi-annual     2.00     Annual   Barclays Bank PLC     05/04/21       2.00     EUR     2,700       (35,892

10-Year Interest Rate Swap, 06/09/31

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.87     Quarterly   Barclays Bank PLC     06/07/21       3.87     USD     8,000       (125,971

5-Year Interest Rate Swap, 05/05/27

    
3-Month LIBOR,
2.74
 
  Semi-annual     3.25     Quarterly   Goldman Sachs Bank USA     05/03/22       3.25     USD     10,130       (210,698
                    

 

 

 
                     $ (2,564,480
                    

 

 

 
                     $ (4,326,835
 

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index     

Financing
Rate Received
by the Trust
 
 
 
   Payment
Frequency
    
Termination
Date

 
   Credit
Rating(a)
    
Notional
Amount (000)(b)

 
     Value       


Upfront
Premium
Paid
(Received)
 

 
 
    

Unrealized
Appreciation
(Depreciation)


 

CDX.NA.HY.31.V1

     5.00    Quarterly      12/20/23      B+      USD        8,300      $ 458,648      $ 329,189      $ 129,459  
                    

 

 

    

 

 

    

 

 

 

 

  (a)

Using S&P/Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.

 
  (b)

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

 

 

 

     35  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps

 

Paid by the Trust   

Received by the Trust

  

Effective
Date

    

Termination
Date

     Notional
Amount (000)
    

Value

     Upfront
Premium
Paid
(Received)
    

Unrealized
Appreciation
(Depreciation)

 
Rate    Frequency    Rate    Frequency
2.72%    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        10/11/20      USD     2,500      $ 10,239      $ 27      $ 10,212  
3-Month LIBOR,
2.74%
   Quarterly    2.76    Semi-annual      04/01/19 (a)        04/01/21      USD     4,530        (21,244      53        (21,297
3-Month LIBOR,
2.74%
   Quarterly    2.76    Semi-annual      04/01/19 (a)        04/01/21      USD     4,530        (21,201      53        (21,254
3-Month LIBOR,
2.74%
   Quarterly    2.86    Semi-annual      04/06/20 (a)        04/06/21      USD     8,460        (12,378      90        (12,468
0.14    Annual    6-Month EURIBOR, (0.25)%    Semi-annual      06/18/19 (a)        06/18/21      EUR     7,945        (31,901      113        (32,014
3.11    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      09/13/19 (a)        09/13/21      USD     4,820        (7,957      (264      (7,693
3.11    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      09/13/19 (a)        09/13/21      USD     1,900        (3,101      22        (3,123
3-Month LIBOR,
2.74%
   Quarterly    3.11    Semi-annual      09/15/20 (a)        09/15/21      USD     36,620        36,035        392        35,643  
3-Month LIBOR,
2.74%
   Quarterly    3.08    Semi-annual      09/15/20 (a)        09/15/21      USD     36,370        27,288        2,144        25,144  
3.16    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/04/19 (a)        10/04/21      USD     91,900        (234,997      108,707        (343,704
3.24    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/07/19 (a)        10/07/21      USD     3,760        (15,694      44        (15,738
3.30    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/08/19 (a)        10/08/21      USD     3,720        (19,115      44        (19,159
3.30    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/08/19 (a)        10/08/21      USD     3,720        (19,713      44        (19,757
3.33    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/22/19 (a)        10/22/21      USD     3,690        (21,449      44        (21,493
3-Month LIBOR,
2.74%
   Quarterly    3.23    Semi-annual      10/25/19 (a)        10/25/21      USD     3,680        14,155        43        14,112  
3-Month LIBOR,
2.74%
   Quarterly    3.25    Semi-annual      10/28/19 (a)        10/28/21      USD     11,070        47,387        130        47,257  
3-Month LIBOR,
2.74%
   Quarterly    3.20    Semi-annual      10/28/19 (a)        10/28/21      USD     4,480        14,945        53        14,892  
3-Month LIBOR,
2.74%
   Quarterly    3.20    Semi-annual      10/28/19 (a)        10/28/21      USD     3,680        11,998        43        11,955  
3-Month LIBOR,
2.74%
   Quarterly    3.17    Semi-annual      10/29/19 (a)        10/29/21      USD     3,670        10,163        43        10,120  
3-Month LIBOR,
2.74%
   Quarterly    3.19    Semi-annual      11/01/19 (a)        11/01/21      USD     5,880        18,628        69        18,559  
3.22    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      11/15/19 (a)        11/15/21      USD     6,900        (26,039      81        (26,120
3.14    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      11/17/20 (a)        11/17/21      USD     5,000        (6,300      54        (6,354
3-Month LIBOR,
2.74%
   Quarterly    3.16    Semi-annual      11/18/19 (a)        11/18/21      USD     4,905        12,314        58        12,256  
3-Month LIBOR,
2.74%
   Quarterly    3.20    Semi-annual      11/18/19 (a)        11/18/21      USD     4,905        15,923        58        15,865  
3-Month LIBOR,
2.74%
   Quarterly    3.12    Semi-annual      11/19/19 (a)        11/19/21      USD     2,340        4,132        28        4,104  

 

 

36   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps (continued)

 

Paid by the Trust   

Received by the Trust

  

Effective
Date

    

Termination
Date

    

Notional
Amount (000)

    

Value

     Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate    Frequency
3-Month LIBOR,
2.74%
   Quarterly    3.12%    Semi-annual      11/19/19 (a)        11/19/21      USD     4,350        7,804      $ 51      $ 7,753  
3-Month LIBOR,
2.74%
   Quarterly    3.13    Semi-annual      11/19/19 (a)        11/19/21      USD     3,650        7,650        43        7,607  
3-Month LIBOR,
2.74%
   Quarterly    3.07    Semi-annual      11/21/19 (a)        11/21/21      USD     7,270        5,846        86        5,760  
3-Month LIBOR,
2.74%
   Quarterly    3.02    Semi-annual      12/03/19 (a)        12/03/21      USD     3,600        (273      42        (315
3-Month LIBOR,
2.74%
   Quarterly    3.02    Semi-annual      12/03/19 (a)        12/03/21      USD     3,600        135        42        93  
2.62    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      01/22/20 (a)        01/22/22      USD     7,200        53,673        85        53,588  
2.85    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      02/07/20 (a)        02/07/22      USD     13,020        40,229        153        40,076  
2.96    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      02/24/20 (a)        02/24/22      USD     3,930        3,689        46        3,643  
2.98    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      03/24/20 (a)        03/24/22      USD     9,300        3,941        110        3,831  
2.86    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      04/06/21 (a)        04/06/22      USD     8,460        9,969        90        9,879  
2.85    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      04/07/20 (a)        04/07/22      USD     3,750        10,577        43        10,534  
3.08    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      05/12/20 (a)        05/12/22      USD     3,070        (4,779      35        (4,814
2.87    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      06/02/20 (a)        06/02/22      USD     4,000        9,290        46        9,244  
3-Month LIBOR,
2.74%
   Quarterly    2.96    Semi-annual      07/21/20 (a)        07/19/22      USD     9,760        (4,824      115        (4,939
3.09    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      07/28/20 (a)        07/28/22      USD     5,680        (9,980      67        (10,047
2.93    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      08/28/20 (a)        08/28/22      USD     4,490        4,612        53        4,559  
3.06    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      09/14/21 (a)        09/14/22      USD     36,620        (26,023      392        (26,415
3.02    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      09/14/21 (a)        09/14/22      USD     36,370        (12,599      56        (12,655
3.29    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/07/20 (a)        10/07/22      USD     3,060        (17,286      36        (17,322
3.30    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/07/20 (a)        10/07/22      USD     3,060        (17,371      36        (17,407
3.31    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/07/20 (a)        10/07/22      USD     3,055        (18,130      36        (18,166
3.31    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      10/07/20 (a)        10/07/22      USD     3,055        (18,412      36        (18,448
3-Month LIBOR,
2.74%
   Quarterly    3.21    Semi-annual      10/13/20 (a)        10/13/22      USD     3,830        15,655        45        15,610  
3-Month LIBOR,
2.74%
   Quarterly    3.24    Semi-annual      10/13/20 (a)        10/13/22      USD     3,850        17,863        45        17,818  

 

 

     37  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps (continued)

 

Paid by the Trust   

Received by the Trust

  

Effective
Date

    

Termination
Date

    

Notional
Amount(000)

       

 

     Upfront
Premium
Paid
(Received)
    

Unrealized
Appreciation
(Depreciation)

 
Rate    Frequency    Rate    Frequency    Value  
3-Month
LIBOR,
2.74%
   Quarterly    3.25%    Semi-annual      10/13/20 (a)        10/13/22      USD     1,900        9,340      $ 22      $ 9,318  
3-Month
LIBOR,
2.74%
   Quarterly    2.66    Semi-annual      N/A        02/15/23      USD     5,490        (33,958      61        (34,019
3-Month
LIBOR,
2.74%
   Quarterly    2.78    Semi-annual      N/A        03/02/23      USD     3,140        (21,136      36        (21,172
3-Month
LIBOR,
2.74%
   Quarterly    2.80    Semi-annual      N/A        03/15/23      USD     3,920        (24,873      45        (24,918
3-Month
LIBOR,
2.74%
   Quarterly    2.71    Semi-annual      N/A        04/03/23      USD     9,210        (97,366      106        (97,472
3-Month
LIBOR,
2.74%
   Quarterly    2.74    Semi-annual      N/A        04/03/23      USD     4,700        (43,607      54        (43,661
3-Month
LIBOR,
2.74%
   Annual    2.68    Annual      04/03/19 (a)        05/31/23      USD     24,330        4,680        321        4,359  
3-Month
LIBOR,
2.74%
   Quarterly    2.89    Semi-annual      N/A        06/06/23      USD     16,340        75,072        188        74,884  
3-Month
LIBOR,
2.74%
   Quarterly    3.18    Semi-annual      N/A        11/09/23      USD     3,925        38,082        51        38,031  
3.05    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        11/29/23      USD     23,340        (73,979      307        (74,286
2.92    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      07/19/22 (a)        07/19/24      USD     20,510        25,874        242        25,632  
3-Month
LIBOR,
2.74%
   Quarterly    2.94    Semi-annual      08/23/19 (a)        08/23/24      USD     14,640        (42,294      193        (42,487
3.10    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      11/29/19 (a)        11/29/24      USD     3,030        (13,522      40        (13,562
3.08    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      03/29/19 (a)        10/31/25      USD     2,610        (10,768      (2,143      (8,625
3-Month
LIBOR,
2.74%
   Quarterly    2.98    Semi-annual      07/19/24 (a)        07/19/26      USD     10,810        (20,070      127        (20,197
3-Month
LIBOR,
2.74%
   Quarterly    2.75    Semi-annual      01/05/22 (a)        01/05/27      USD     1,430        (17,878      18        (17,896
6-Month
EURIBOR,
(0.25)%
   Semi-annual    0.90    Annual      12/10/18 (a)        08/15/27      EUR     6,970        103,360        138        103,222  
2.34    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        10/12/27      USD     1,250        68,197        17        68,180  
6-Month
JPY
LIBOR,
(0.00)%
   Semi-annual    0.37    Semi-annual      N/A        01/29/28      JPY     181,730        23,163        26        23,137  
2.88    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        02/15/28      USD     2,600        15,034        38        14,996  
2.93    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        03/02/28      USD     1,630        12,503        24        12,479  
2.93    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        03/15/28      USD     2,040        16,055        30        16,025  
2.81    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        04/03/28      USD     4,770        89,398        71        89,327  
2.84    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        04/03/28      USD     2,440        38,944        36        38,908  

 

 

38   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps (continued)

 

Paid by the Trust   

Received by the Trust

  

Effective
Date

    

Termination
Date

    

Notional
Amount (000)

       

 

     Upfront
Premium
Paid
(Received)
    

Unrealized
Appreciation
(Depreciation)

 
Rate    Frequency    Rate    Frequency    Value  
2.98%    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        06/06/28      USD     8,480      $ (28,094    $ 120      $ (28,214
6-Month
JPY
LIBOR,
()%
   Semi-annual    0.36    Semi-annual      N/A        07/31/28      JPY     113,000        12,760        17        12,743  
3.12    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      03/29/19 (a)        08/15/28      USD     16,160        (79,821      17,937        (97,758
3-Month
LIBOR,
2.74%
   Quarterly    3.25    Semi-annual      N/A        10/09/28      USD     1,230        22,541        19        22,522  
3.27    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        11/09/28      USD     2,058        (40,046      32        (40,078
3-Month
LIBOR,
2.74%
   Quarterly    3.14    Semi-annual      N/A        11/29/28      USD     12,190        94,818        191        94,627  
1.37    Annual    6-Month EURIBOR, (0.25)%    Semi-annual      02/20/19 (a)        02/20/29      EUR     1,970        (96,988      44        (97,032
1.38    Annual    6-Month EURIBOR, (0.25)%    Semi-annual      02/22/19 (a)        02/22/29      EUR     590        (29,623      13        (29,636
0.52    Semi-annual    6-Month JPY LIBOR, (0.00)%    Semi-annual      11/30/21 (a)        11/30/31      JPY     95,000        (1,965      16        (1,981
3-Month
LIBOR,
2.74%
   Quarterly    3.18    Semi-annual      05/09/28 (a)        05/09/38      USD     1,590        (11,605      24        (11,629
3.08    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      06/29/28 (a)        06/29/38      USD     230        3,180        3        3,177  
3-Month
LIBOR,
2.74%
   Quarterly    2.95    Semi-annual      12/31/18 (a)        02/15/44      USD     1,430        (53,520      (63,015      9,495  
2.95    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      12/31/18 (a)        02/15/44      USD     1,430        53,521        63,077        (9,556
3.23    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      03/29/19 (a)        05/15/44      USD     7,170        (89,625      (37,094      (52,531
3-Month
LIBOR,
2.74%
   Quarterly    3.22    Semi-annual      03/29/19 (a)        05/15/44      USD     1,900        21,245        39        21,206  
3.35    Semi-annual    3-Month LIBOR, 2.74%    Quarterly      N/A        11/09/48      USD     1,770        (73,920      40        (73,960
3-Month
LIBOR,
2.74%
   Quarterly    3.06    Semi-annual      02/15/23 (a)        02/15/53      USD     3,210        (60,122      72        (60,194
                      

 

 

    

 

 

    

 

 

 
                       $ (393,639    $ 95,545      $ (489,184
                      

 

 

    

 

 

    

 

 

 

(a)    Forward Swap.

 

   39


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Trust
     Payment
Frequency
     Counterparty      Termination
Date
     Credit
Rating(a)
    

Notional
Amount
(000)(b)

     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 

Telecom Italia SpA/Milano

     1.00      Quarterly        Citibank N.A.        12/20/22        N/R        EUR        20      $ (1,427    $ (341    $ (1,086

Casino Guichard Perrachon SA

     1.00        Quarterly       
BNP Paribas
S.A.
 
 
     06/20/23        BB+        EUR        10        (1,987      (934      (1,053

Casino Guichard Perrachon SA

     1.00        Quarterly       

JPMorgan
Chase Bank
N.A.
 
 
 
     06/20/23        BB+        EUR        10        (1,987      (925      (1,062

Casino Guichard Perrachon SA

     1.00        Quarterly       

Bank of
America
N.A.
 
 
 
     06/20/23        BB+        EUR        6        (1,225      (881      (344

Casino Guichard Perrachon SA

     1.00        Quarterly        Citibank N.A.        06/20/23        BB+        EUR        14        (2,749      (1,864      (885

Casino Guichard Perrachon SA

     1.00        Quarterly       

JPMorgan
Chase Bank
N.A.
 
 
 
     06/20/23        BB+        EUR        5        (1,082      (666      (416

Casino Guichard Perrachon SA

     1.00        Quarterly        Citibank N.A.        06/20/23        BB+        EUR        9        (1,801      (1,185      (616

Casino Guichard Perrachon SA

     1.00        Quarterly       

JPMorgan
Chase Bank
N.A.
 
 
 
     06/20/23        BB+        EUR        9        (1,802      (1,185      (617

Casino Guichard Perrachon SA

     1.00        Quarterly       

JPMorgan
Chase Bank
N.A.
 
 
 
     06/20/23        BB+        EUR        4        (721      (444      (277

Casino Guichard Perrachon SA

     1.00        Quarterly       
Barclays
Bank PLC
 
 
     06/20/23        BB+        EUR        6        (1,151      (681      (470

Casino Guichard Perrachon SA

     1.00        Quarterly       
Barclays
Bank PLC
 
 
     06/20/23        BB+        EUR        44        (8,785      (5,357      (3,428

Intrum Justitia AB

     5.00        Quarterly       

Credit
Suisse
International
 
 
 
     06/20/23        BB+        EUR        10        543        930        (387

Intrum Justitia AB

     5.00        Quarterly       

Credit
Suisse
International
 
 
 
     06/20/23        BB+        EUR        5        248        503        (255

Intrum Justitia AB

     5.00        Quarterly       



Morgan
Stanley &
Co.
International
PLC
 
 
 
 
 
     06/20/23        BB+        EUR        15        838        1,697        (859

Intrum Justitia AB

     5.00        Quarterly        Citibank N.A.        06/20/23        BB+        EUR        9        507        433        74  

Intrum Justitia AB

     5.00        Quarterly        Citibank N.A.        06/20/23        BB+        EUR        21        1,123        958        165  

Thomas Cook Finance 2 PLC

     5.00        Quarterly       



Morgan
Stanley &
Co.
International
PLC
 
 
 
 
 
     06/20/23        B+        EUR        50        (5,094      6,227        (11,321

Casino Guichard Perrachon SA

     1.00        Quarterly       
Barclays
Bank PLC
 
 
     12/20/23        BB+        EUR        40        (8,855      (6,407      (2,448

Chesapeake Energy Corp.

     5.00        Quarterly       
Barclays
Bank PLC
 
 
     12/20/23        B-        USD        48        (1,733      93        (1,826

Chesapeake Energy Corp.

     5.00        Quarterly       
Barclays
Bank PLC
 
 
     12/20/23        B-        USD        208        (7,509      2,027        (9,536

Garfunkelux Holdco 2 SA

     5.00        Quarterly       

JPMorgan
Chase Bank
N.A.
 
 
 
     12/20/23        B+        EUR        9        (1,635      (62      (1,573

Garfunkelux Holdco 2 SA

     5.00        Quarterly       

Credit
Suisse
International
 
 
 
     12/20/23        B+        EUR        4        (712      73        (785

Garfunkelux Holdco 2 SA

     5.00        Quarterly       

Credit
Suisse
International
 
 
 
     12/20/23        B+        EUR        16        (3,106      316        (3,422

Telecom Italia SpA/Milano

     1.00        Quarterly       
Barclays
Bank PLC
 
 
     12/20/23        N/R        EUR        52        (5,699      (5,070      (629

Telecom Italia SpA/Milano

     1.00        Quarterly       

JPMorgan
Chase Bank
N.A.
 
 
 
     12/20/23        N/R        EUR        48        (5,357      (5,037      (320

Tesco PLC

     1.00        Quarterly        Citibank N.A.        12/20/23        BB+        EUR        30        (459      (447      (12

CMBX NA.8

     3.00        Monthly       
Barclays
Bank PLC
 
 
     10/17/57        N/R        USD        5,000        (417,071      (512,085      95,014  

 

 

   40


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

OTC Credit Default Swaps — Sell Protection (continued)

 

Reference Obligation/Index    Financing
Rate Received
by the Trust
    Payment
Frequency
    Counterparty     Termination
Date
    Credit
Rating(a)
  Notional
Amount
(000)(b)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

CMBX NA.8

     3.00     Monthly      
Morgan Stanley & Co.
International PLC
 
 
    10/17/57     N/R     USD       5,550     $ (464,799   $ (747,518   $ 282,719  

CMBX NA.8

     3.00       Monthly      
Credit Suisse
International
 
 
    10/25/57     N/R     USD       2,500       (208,536     (253,053     44,517  

CMBX NA.9

     3.00       Monthly      
Morgan Stanley & Co.
International PLC
 
 
    09/17/58     N/R     USD       9,450       (804,854     (1,176,895     372,041  

CMBX NA.9

     3.00       Monthly      
Credit Suisse
International
 
 
    09/17/58     N/R     USD       5,000       (425,849     (547,492     121,643  

CMBX NA.9

     3.00       Monthly      
Credit Suisse
International
 
 
    09/17/58     N/R     USD       5,000       (425,849     (547,492     121,643  

CMBX NA.9

     3.00       Monthly      
Credit Suisse
International
 
 
    09/17/58     N/R     USD       5,000       (425,849     (541,512     115,663  

CMBX NA.9

     3.00       Monthly      
Credit Suisse
International
 
 
    09/17/58     N/R     USD       5,000       (425,849     (547,440     121,591  
                

 

 

   

 

 

   

 

 

 
                 $ (3,660,273   $ (4,891,716   $ 1,231,443  
                

 

 

   

 

 

   

 

 

 

 

  (a)

Using S&P/Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.

 
  (b)

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

 

Fair Value Hierarchy as of Period End

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

 

   

Level 1 — Unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that Trust has the ability to access

 

   

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 Turst’s own assumptions used in determining the fair value of investments and derivative financial instruments)

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

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

 

 

     41  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

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

 

        Level 1        Level 2        Level 3        Total  

Assets:

                   

Investments:

                   

Long-Term Investments:

                   

Asset-Backed Securities

     $        $ 58,804,759        $ 1,212,847        $ 60,017,606  

Corporate Bonds

                469,773,341          8,053,815          477,827,156  

Floating Rate Loan Interests

                15,823,132          1,778,593          17,601,725  

Foreign Agency Obligations

                24,210,819                   24,210,819  

Municipal Bonds

                23,155,123                   23,155,123  

Non-Agency Mortgage-Backed Securities

                56,029,436                   56,029,436  

Preferred Securities

       7,304,421          79,226,148                   86,530,569  

U.S. Government Sponsored Agency Securities

                109,436,570                   109,436,570  

U.S. Treasury Obligations

                160,597,611                   160,597,611  

Short-Term Securities:

                   

Foreign Agency Obligations

                741,598                   741,598  

Short-Term Investment Fund

       184,493                            184,493  

Options Purchased

                   

Interest Rate Contracts

       56,500          3,802,173                   3,858,673  

Liabilities:

                   

Investments:

                   

Unfunded Floating Rate Loan Interests(a)

            (11                 (11
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 7,545,414        $ 1,001,600,699        $ 11,045,255        $ 1,020,191,368  
    

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments (b)

                   

Assets:

                   

Credit contracts

     $        $ 1,404,529        $        $ 1,404,529  

Forward foreign currency contracts

                65,195                   65,195  

Interest rate contracts

       111,892          1,092,382                   1,204,274  

Liabilities:

                   

Credit contracts

                (43,627                 (43,627

Forward foreign currency contracts

                (20,396                 (20,396

Equity contracts

       (721                          (721

Interest rate contracts

       (375,560        (5,914,566                 (6,290,126
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ (264,389      $ (3,416,483      $        $ (3,680,872
    

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (b) 

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

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $298,609,349 are categorized as level 2 within the disclosure hierarchy.

During the year ended November 30, 2018, there were no transfers between Level 1 and Level 2.

 

 

42   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Core Bond Trust (BHK)

 

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

 

     

Asset-

Backed
Securities

      

Corporate

Bonds

      

Floating

Rate Loan
Interests

       U.S. Government
Sponsored
Agency
Securities
       Total  

Assets:

                      

Opening balance, as of August 31, 2018

   $ 248,806        $  8,366,900        $  1,241,580        $ 1        $ 9,857,287  

Transfers into Level 3

                       804,291                   804,291  

Transfers out of Level 3

                       (111,573                 (111,573

Accrued discounts/premiums

     (21,383                 149                   (21,234

Net realized gain (loss)

     (77,199                 491                   (76,708

Net change in unrealized

appreciation (depreciation)

     62,623          (288,312        (17,986        (1        (243,676

Purchases

     1,000,000                   177,360                   1,177,360  

Sales

              (24,773        (315,719                 (340,492
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Closing balance, as of November 30, 2018

   $  1,212,847        $ 8,053,815        $ 1,778,593        $  —        $  11,045,255  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at November 30, 2018 (a)

   $ 62,623        $ (288,312)        $ (16,568)        $        $ (242,258)  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at November 30, 2018 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $2,991,440. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value        Valuation Approach       

Unobservable

Inputs

    

Range of

Unobservable

Inputs Utilized

      

Weighted

Average of

Unobservable Inputs

 

Assets:

                    

Corporate Bonds

     8,053,815          Income          Credit Spread  (a)        135 – 310          238.14  

 

  (a) 

Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

 

 

 

   43


 

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 18, 2019

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 18, 2019  
By:   /s/ Neal J. Andrews                      
  Neal J. Andrews  
 

Chief Financial Officer (principal financial officer) of

BlackRock Core Bond Trust

 

Date: January 18, 2019