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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-21349

Name of Fund: BlackRock Limited Duration Income Trust (BLW)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Limited Duration Income Trust,
                800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011

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

Date of fiscal year end: 10/31/2007

Date of reporting period: 11/01/2006 – 10/31/2007



Item 1 – Report to Stockholders



 

 

 

 

 

 

 

 

 

 

 

EQUITIES

 

FIXED INCOME

 

REAL ESTATE

 

LIQUIDITY

 

ALTERNATIVES

 

BLACKROCK SOLUTIONS


 

 

 

 

Closed-End Funds


(BLACKROCK LOGO)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT | OCTOBER 31, 2007

 

 

 

 

 

 

 


 

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

 

BlackRock Core Bond Trust (BHK)

 

BlackRock High Yield Trust (BHY)

 

BlackRock Income Opportunity Trust (BNA)

 

BlackRock Income Trust Inc. (BKT)

 

BlackRock Limited Duration Income Trust (BLW)

 

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

BlackRock Strategic Bond Trust (BHD)

NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE





 

 

Table of Contents

Page

 

 

A Letter to Shareholders

1

Annual Report:

 

Trust Summaries

2

Financial Statements:

 

Portfolio of Investments

10

Statements of Assets and Liabilities

47

Statements of Operations

49

Statements of Cash Flows

51

Statements of Changes in Net Assets

53

Financial Highlights

55

Notes to Financial Statements

63

Report of Independent Registered Public Accounting Firm

78

The Benefits and Risks of Leveraging

79

Dividend Reinvestment Plans

80

BlackRock Privacy Principles

80

Additional Information

81

Section 19 Notices

84

Directors/Trustees Information

85


 

 

 

 

 

 

 

 

 

 

 

 



 

 

A Letter to Shareholders


Dear Shareholder

The October reporting period was fairly tumultuous for financial markets, but culminated in positive performance for most major benchmarks:

Total returns as of October 31, 2007

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

           

U.S. equities (S&P 500 Index)

 

+5.49 %

 

+14.56

%

 

             

Small cap U.S. equities (Russell 2000 Index)

 

+2.25 %

 

+9.27

%

 

             

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

 

+8.19 %

 

+24.91

%

 

             

Fixed income (Lehman Brothers U.S. Aggregate Bond Index)

 

+2.68 %

 

+5.38

%

 

             

Tax-exempt fixed income (Lehman Brothers Municipal Bond Index)

 

+1.30 %

 

+2.91

%

 

             

High yield bonds

 

 

 

 

 

 

(Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index)

 

-0.07 %

 

+6.89

%

 

             

          Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.

Subprime mortgage woes dominated headlines for much of 2007, but intensified in the summer and fall, spawning a widespread liquidity and credit crisis with ramifications across global markets. The Federal Reserve Board (Fed) and other countries’ central banks stepped in to inject liquidity into the markets and bolster investor confidence. The Fed cut the federal funds rate by 0.50% in September and another 0.25% on the final day of the reporting period, bringing its target rate to 4.50%. In taking action, the central bankers, who had long deemed themselves inflation fighters, were seeking to stem the fallout from the credit crunch and forestall a wider economic unraveling. By period-end, the Fed had cited the risks between slower economic growth and faster inflation as equally balanced.

Amid the volatility throughout the past year, equity markets have displayed surprising resilience. Most recently, the credit turmoil dampened corporate merger-and-acquisition (M&A) activity, a key source of strength for equity markets. Still, market fundamentals have held firm, dividend payouts and share buybacks have continued to grow, and valuations remain attractive. These tailwinds generally have prevailed over the headwinds created by the slowing U.S. economy, troubled housing market and, recently, a more difficult corporate earnings backdrop. International markets fared even better than U.S. equities, benefiting from robust M&A activity and generally stronger economies.

In fixed income markets, mixed economic signals and the credit woes resulted in a flight to quality. At the height of the uncertainty, investors shunned bonds associated with the housing and credit markets in favor of higher-quality Treasury issues. The yield on 10-year Treasury issues, which touched 5.30% in June (its highest level in five years), fell to 4.48% by period-end, while prices correspondingly rose. The tax-exempt bond market has been challenged by a combination of record-setting supply year-to-date, economic uncertainty and concerns around the credit worthiness of bond insurers. This has brought municipal bond prices to relatively attractive levels and, as such, demand generally has remained firm.

As you navigate market volatility, we encourage you to review your investment goals with your financial professional and to make portfolio changes, as needed. For more market insight and commentary from BlackRock investment professionals, we invite you to visit www.blackrock.com/funds. As always, we thank you for entrusting BlackRock with your investment assets, and we look forward to continuing to serve you in the months and years ahead.

 

Sincerely,

 

-s- Robert C. Doll

 


 

Robert C. Doll, Jr.

 

Vice Chairman, BlackRock, Inc.

THIS PAGE NOT PART OF YOUR TRUSTS REPORT

 

 

 

 

 

 

 

 

1

ANNUAL REPORT

OCTOBER 31, 2007

 




 

 


Trust Summary as of October 31, 2007


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


 

Investment Objective

 


 

 

 

The Trust’s investment objective is to manage a portfolio of fixed income securities that will return $15 per share (the initial public offering price per share) to investors on or about December 31, 2009 while providing high monthly income.


 

Trust Information

 


 

 

 

 

Symbol on American Stock Exchange:

 

BCT

 

Initial Offering Date:

 

June 17, 1993

 

Yield on Closing Market Price as of October 31, 2007 ($15.15):1

 

5.94%

 

Current Monthly Distribution per Share:2

 

$ 0.075

 

Current Annualized Distribution per Share:2

 

$ 0.900

 

       

 

 

1

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

2

A change in the distribution rate was declared on November 1, 2007. The Monthly Distribution per Common Share was decreased to $0.049. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.


 

The table below summarizes the changes in the Trust’s market price and net asset value per share:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

10/31/07

 

10/31/06

 

 

Change  

High

 

Low

 

                       

Market Price

 

$

15.15

 

$

15.08

 

 

0.46

%

$

15.65

 

$

14.82

 

Net Asset Value

 

$

13.38

 

$

13.79

 

 

(2.97

)%

$

13.81

 

$

13.36

 

                                 

 

 

 

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


 

 

Portfolio Composition


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

           

Agency Multiple Class Mortgage Pass-Through Securities

 

31

%

 

28

%

 

Taxable Municipal Bonds

 

18

 

 

11

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

16

 

 

 

 

Inverse Floating Rate Mortgage Securities

 

15

 

 

8

 

 

Corporate Bonds

 

9

 

 

14

 

 

Interest Only Mortgage-Backed Securities

 

8

 

 

7

 

 

Mortgage Pass-Through Securities

 

3

 

 

2

 

 

U.S. Government and Agency Securities

 

 

 

30

 

 

               

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

2



 

 


 

Trust Summary as of October 31, 2007

BlackRock Core Bond Trust (BHK)


 

Investment Objective

 


 

 

The Trust’s investment objective is to provide current income and capital appreciation.


 

Trust Information

 


 

 

 

Symbol on New York Stock Exchange:

 

BHK

Initial Offering Date:

 

November 27, 2001

Yield on Closing Market Price as of October 31, 2007 ($12.23):1

 

6.57%

Current Monthly Distribution per Share:2

 

$0.067

Current Annualized Distribution per Share:2

 

$0.804

Leverage as of October 31, 2007:3

 

22%

       

 

 

1

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

2

A change in the distribution rate was declared on December 5, 2007. The Monthly Distribution per Common Share was decreased to $0.062. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The table below summarizes the changes in the Trust’s market price and net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$12.23

 

 

$12.86

 

 

(4.90) %

 

 

$13.25

 

 

$11.32

 

Net Asset Value

 

 

$13.63

 

 

$13.82

 

 

(1.37) %

 

 

$14.01

 

 

$13.11

 

                                 

 

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


 

 

Portfolio Composition

 


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

               

Corporate Bonds

 

42

%

 

58

%

 

Mortgage Pass-Through Securities

 

36

 

 

10

 

 

Asset-Backed Securities

 

4

 

 

8

 

 

Commercial Mortgage-Backed Securities

 

4

 

 

6

 

 

U.S. Government and Agency Securities

 

4

 

 

5

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

4

 

 

2

 

 

Agency Multiple Class Mortgage Pass-Through Securities

 

3

 

 

8

 

 

Trust Preferred Stocks

 

2

 

 

 

 

Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 

Interest Only Asset-Backed Securities

 

 

 

1

 

 

Foreign Government Bonds

 

 

 

1

 

 

               

 

 

Corporate Bond Breakdown4

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

               

AAA/Aaa

 

6

%

 

7

%

 

AA/Aa

 

24

 

 

26

 

 

A

 

21

 

 

10

 

 

BBB/Baa

 

20

 

 

17

 

 

BB/Ba

 

7

 

 

12

 

 

B

 

16

 

 

23

 

 

CCC/Caa

 

6

 

 

5

 

 

               

 

 

4

Using the highest of Standard & Poor’s (“S&P’s”), Moody’s Investors Service (“Moody’s”) or Fitch Rating (“Fitch’s”) ratings. Corporate bonds represented approximately 66.2% and 58.3% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

3

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Trust Summary as of October 31, 2007

BlackRock High Yield Trust (BHY)


 

Investment Objective

 


 

The Trust’s investment objective is to generate high current income and, to a lesser extent, to seek capital appreciation.


 

Trust Information

 


 

 

Symbol on New York Stock Exchange:

BHY

Initial Offering Date:

December 23, 1998

Yield on Closing Market Price as of October 31, 2007 ($6.92):1

8.84%

Current Monthly Distribution per Share:2

$0.051

Current Annualized Distribution per Share:2

$0.612

Leverage as of October 31, 2007:3

15%

   

 

 

1

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

2

The distribution is not constant and is subject to change.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The table below summarizes the changes in the Trust’s market price and net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$6.92

 

 

$7.77

 

 

(10.94

)%

 

$8.70

 

 

$5.83

 

Net Asset Value

 

 

$7.91

 

 

$7.85

 

 

0.76

%

 

$8.32

 

 

$7.63

 

                                 

 

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


 

 

Portfolio Composition4

 


 

 

 

 

 

 

 

 

Corporate Portfolio Composition

 

10/31/07

 

10/31/06

 

               

Telecommunications

 

15

%

 

13

%

 

Energy

 

14

 

 

16

 

 

Media

 

11

 

 

11

 

 

Basic Materials

 

10

 

 

11

 

 

Financial Institutions

 

10

 

 

14

 

 

Consumer Products

 

6

 

 

6

 

 

Technology

 

6

 

 

5

 

 

Automotive

 

4

 

 

3

 

 

Entertainment & Leisure

 

4

 

 

4

 

 

Industrials

 

4

 

 

3

 

 

Health Care

 

3

 

 

3

 

 

Containers & Packaging

 

3

 

 

3

 

 

Aerospace & Defense

 

3

 

 

3

 

 

Transportation

 

2

 

 

2

 

 

Building & Development

 

2

 

 

3

 

 

Real Estate

 

1

 

 

 

 

Ecological Services & Equipment

 

1

 

 

 

 

Commercial Services

 

1

 

 

 

 

               

 

 

4

For Trust compliance purposes, the Trust’s sector and industry classification refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classification for reporting ease.


 

 

Corporate Bond Breakdown5

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

               

BBB/Baa

 

4

%

 

3

%

 

BB/Ba

 

21

 

 

26

 

 

B

 

51

 

 

55

 

 

CCC/Caa

 

21

 

 

12

 

 

C

 

 

 

2

 

 

Not Rated

 

3

 

 

2

 

 

               

 

 

5

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 110.4% and 128.9% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

4



 

 


 

Trust Summary as of October 31, 2007

BlackRock Income Opportunity Trust (BNA)


 

Investment Objective

 


 

The Trust’s investment objective is to provide current income and capital appreciation.


 

Trust Information

 


 

 

Symbol on New York Stock Exchange:

BNA

Initial Offering Date:

December 20, 1991

Yield on Closing Market Price as of October 31, 2007 ($10.19):1

6.48%

Current Monthly Distribution per Share:2

$0.055

Current Annualized Distribution per Share:2

$0.660

Leverage as of October 31, 2007:3

22%

   

 

 

1

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

2

A change in the distribution rate was declared on December 5, 2007. The Monthly Distribution per Common Share was decreased to $0.051. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The table below summarizes the changes in the Trust’s market price and net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$10.19

 

 

$10.58

 

 

(3.69)%

 

 

$10.88

 

$

9.13

 

Net Asset Value

 

 

$11.02

 

 

$11.17

 

 

(1.34)%

 

 

$11.33

 

$

10.53

 

                                 

 

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


 

 

Portfolio Composition

 


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

               

Corporate Bonds

 

38

%

 

48

%

 

Mortgage Pass-Through Securities

 

36

 

 

12

 

 

Asset-Backed Securities

 

7

 

 

13

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

5

 

 

6

 

 

Agency Multiple Class Mortgage Pass-Through Securities

 

4

 

 

7

 

 

U.S. Government and Agency Securities

 

3

 

 

7

 

 

Commercial Mortgage-Backed Securities

 

3

 

 

4

 

 

Trust Preferred Stocks

 

2

 

 

 

 

Federal Housing Administration Securities

 

1

 

 

1

 

 

Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 

Inverse Floating Rate Mortgage Securities

 

 

 

1

 

 

               

 

 

Corporate Bond Breakdown4

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

               

AAA/Aaa

 

8

%

 

9

%

 

AA/Aa

 

21

 

 

17

 

 

A

 

20

 

 

10

 

 

BBB/Baa

 

22

 

 

19

 

 

BB/Ba

 

6

 

 

13

 

 

B

 

17

 

 

25

 

 

CCC/Caa

 

6

 

 

6

 

 

Not Rated

 

 

 

1

 

 

               

 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 64.0% and 52.1% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

5

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Trust Summary as of October 31, 2007

BlackRock Income Trust Inc. (BKT)


 

Investment Objective

 


 

The Trust’s investment objective is to manage a portfolio of high quality securities to achieve high monthly income consistent with the preservation of capital.


 

Trust Information

 


 

 

Symbol on New York Stock Exchange:

BKT

Initial Offering Date:

July 22, 1988

Yield on Closing Market Price as of October 31, 2007 ($5.81):1

6.40%

Current Monthly Distribution per Share:2

$0.031

Current Annualized Distribution per Share:2

$0.372

Leverage as of October 31, 2007:3

8%

   

 

 

1

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

2

A change in the distribution rate was declared on December 5, 2007. The Monthly Distribution per Common Share was decreased to $0.024. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The table below summarizes the changes in the Trust’s market price and net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$5.81

 

 

$6.07

 

(4.28

)%

 

 

$6.33

 

 

$5.49

 

Net Asset Value

 

 

$6.53

 

 

$6.48

 

0.77

%

 

 

$6.61

 

 

$6.25

 

                                 

 

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


 

 

Portfolio Composition

 


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

               

Mortgage Pass-Through Securities

 

27

%

 

22

%

 

Agency Multiple Class Mortgage Pass-Through Securities

 

26

 

 

28

 

 

Interest Only Mortgage-Backed Securities

 

13

 

 

10

 

 

U.S. Government and Agency Securities

 

10

 

 

20

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

9

 

 

9

 

 

Principal Only Mortgage-Backed Securities

 

5

 

 

5

 

 

Inverse Floating Rate Mortgage Securities

 

4

 

 

3

 

 

Federal Housing Administration Securities

 

2

 

 

2

 

 

Asset-Backed Securities

 

2

 

 

 

 

Commercial Mortgage-Backed Securities

 

1

 

 

 

 

Corporate Bonds

 

1

 

 

1

 

 

               

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

6



 

 


 

Trust Summary as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW)


 

Investment Objective

 


 

The Trust’s investment objective is to provide current income and capital appreciation.


 

Trust Information

 


 

 

Symbol on New York Stock Exchange:

BLW

Initial Offering Date:

July 30, 2003

Yield on Closing Market Price as of October 31, 2007 ($16.68):1

8.99%

Current Monthly Distribution per Share:2

$0.125

Current Annualized Distribution per Share:2

$1.500

Leverage as of October 31, 2007:3

14%

   

 

 

1

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

2

The distribution is not constant and is subject to change.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The table below summarizes the Trust’s market price and net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$16.68

 

 

$18.85

 

(11.51

) %

 

 

$19.89

 

 

$14.20

 

Net Asset Value

 

 

$18.52

 

 

$19.01

 

(2.58

) %

 

 

$19.38

 

 

$18.08

 

                                 

 

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


 

 

Portfolio Composition

 


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

               

Bank Loans

 

42

%

 

36

%

 

Corporate Bonds

 

37

 

 

43

 

 

Mortgage Pass-Through Securities

 

16

 

 

14

 

 

U.S. Government and Agency Securities

 

3

 

 

4

 

 

Foreign Government Bonds

 

2

 

 

2

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

1

 

 

               

 

 

Corporate Bond Breakdown4

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

               

AA/Aa

 

1

%

 

2

%

 

A

 

4

 

 

1

 

 

BBB/Baa

 

8

 

 

9

 

 

BB/Ba

 

23

 

 

24

 

 

B

 

43

 

 

51

 

 

CCC/Caa

 

18

 

 

11

 

 

Not Rated

 

3

 

 

2

 

 

               

 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 49.1% and 64.3% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

7

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

 

Trust Summary as of October 31, 2007

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

 

Investment Objective

 


 

 

 

The Trust’s investment objective is to seek current income, current gains and capital appreciation.


 

Trust Information


 

 

 

Symbol on New York Stock Exchange:

 

BTZ

Initial Offering Date:

 

December 27, 2006

Yield on Closing Market Price as of October 31, 2007 ($18.65):1

 

10.05%

Current Monthly Distribution per Share:2

 

$0.15625

Current Annualized Distribution per Share:2

 

$1.87500

Leverage as of October 31, 2007:3

 

33%

 

 

 

1

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

2

The distribution is not constant and is subject to change.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).


 

 

 

 

 

 

 

 

 

 

 

The table below summarizes the changes in the Trust’s market price and net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10/31/2007

 

 

High

 

 

Low

 

 

Market Price

 

 

$18.65

 

 

$25.25

 

 

$15.63

 

Net Asset Value

 

 

$21.37

 

 

$24.35

 

 

$20.87

 

 

 

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


 

Portfolio Composition4

 


 

 

 

 

 

Composition

 

10/31/07

 

 

Financial Institutions

 

65

%

 

Energy

 

8

 

 

Technology

 

5

 

 

Consumer Products

 

4

 

 

Health Care

 

4

 

 

Telecommunications

 

3

 

 

Real Estate

 

3

 

 

Media

 

2

 

 

Industrials

 

2

 

 

Basic Materials

 

1

 

 

Entertainment & Leisure

 

1

 

 

Automotive

 

1

 

 

Transportation

 

1

 

 

 

 

 

4

For Trust compliance purposes, the Trust’s sector and industry classification refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classification for reporting ease.


 

Preferred, Trust Preferred and Corporate Bond Breakdown5

 


 

 

 

 

 

Credit Rating

 

10/31/07

 

 

AA/Aa

 

20

%

 

A

 

42

 

 

BBB/Baa

 

29

 

 

BB/Ba

 

1

 

 

B

 

6

 

 

CCC/Caa

 

1

 

 

Not Rated

 

1

 

 

 

 

 

5

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

8



 

 


 

 

Trust Summary as of October 31, 2007

BlackRock Strategic Bond Trust (BHD)

 

 

Investment Objective

 


 

 

 

The Trust’s investment objective is to seek total return through high current income and capital appreciation.


 

Trust Information


 

 

 

Symbol on New York Stock Exchange:

 

BHD

Initial Offering Date:

 

February 26, 2002

Yield on Closing Market Price as of October 31, 2007 ($11.88):1

 

7.78%

Current Monthly Distribution per Share:2

 

$0.077

Current Annualized Distribution per Share:2

 

$0.924

 

 

 

1

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

2

The distribution is not constant and is subject to change.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The table below summarizes the changes in the Trust’s market price and net asset value per share:

 

 

 

 

 

10/31/07

 

 

10/31/06

 

 

Change

 

 

High

 

 

Low

 

 

Market Price

 

 

$11.88

 

 

$12.85

 

 

(7.55)%

 

 

$13.29

 

 

$10.40

 

Net Asset Value

 

 

$13.80

 

 

$13.83

 

 

(0.22)%

 

 

$14.19

 

 

$13.47

 

 

 

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


 

Corporate Portfolio Composition3

 


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

 

Media

 

17

%

 

14

%

 

Telecommunications

 

14

 

 

12

 

 

Energy

 

13

 

 

13

 

 

Financial Institutions

 

12

 

 

18

 

 

Aerospace & Defense

 

8

 

 

6

 

 

Basic Materials

 

6

 

 

6

 

 

Consumer Products

 

5

 

 

7

 

 

Technology

 

4

 

 

5

 

 

Automotive

 

4

 

 

2

 

 

Health Care

 

4

 

 

4

 

 

Transportation

 

3

 

 

1

 

 

Ecological Services & Equipment

 

3

 

 

2

 

 

Industrials

 

2

 

 

3

 

 

Containers & Packaging

 

2

 

 

1

 

 

Entertainment & Leisure

 

1

 

 

3

 

 

Building & Development

 

1

 

 

2

 

 

Real Estate

 

1

 

 

1

 

 

 

 

 

3

For Trust compliance purposes, the Trust’s sector and industry classification refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classification for reporting ease.


 

Corporate Bond Breakdown4

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

 

AAA/Aaa

 

1

%

 

3

%

 

AA/Aa

 

4

 

 

6

 

 

A

 

17

 

 

12

 

 

BBB/Baa

 

15

 

 

13

 

 

BB/Ba

 

12

 

 

16

 

 

B

 

37

 

 

40

 

 

CCC/Caa

 

12

 

 

9

 

 

Not Rated

 

2

 

 

1

 

 

 

 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 84.5% and 107.6% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

9

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 

 


 

Portfolio of Investments as of October 31, 2007

 

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

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

LONG-TERM INVESTMENTS—29.2%

 

 

 

Mortgage Pass-Through Securities—0.9%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

$

314

 

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

 

$

316,169

 

 

14

 

6.50%, 7/01/29

 

 

14,777

 

 

 

 

 

 

   

 

 

 

Total Mortgage Pass-Through Securities

 

 

330,946

 

 

Agency Multiple Class Mortgage Pass-Through Securities—9.1%

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1,745

 

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

 

 

1,753,683

 

 

1,098

 

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

 

 

1,095,825

 

 

81

 

Ser. 2564, Class NC, 5.00%, 2/15/33

 

 

69,195

 

 

668

 

Federal National Mortgage Assoc.,
Ser. 49, Class H, 7.00%, 4/25/13

 

 

689,837

 

 

 

 

 

 

   

 

 

 

Total Agency Multiple Class Mortgage
Pass-Through Securities

 

 

3,608,540

 

 

Inverse Floating Rate Mortgage Securities—4.3%

 

 

 

 

132

1

Citicorp Mortgage Securities, Inc.,
Ser. 14, Class A-4, 6.352%, 11/25/23

 

 

131,701

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

5

1

Ser. 1425, Class SB, 11.886%, 12/15/07

 

 

4,876

 

 

4

1

Ser. 1506, Class S, 9.708%, 5/15/08

 

 

4,468

 

 

152

1

Ser. 1515, Class S, 8.753%, 5/15/08

 

 

152,069

 

 

10

1

Ser. 1600, Class SC, 8.60%, 10/15/08

 

 

9,853

 

 

144

1

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

 

 

144,815

 

 

7

1

Ser. 1661, Class SB, 8.83%, 1/15/09

 

 

7,035

 

 

21

1

Ser. 1688, Class S, 9.566%, 12/15/13

 

 

21,408

 

 

105

1

Ser. 2412, Class SE, 5.519%, 2/15/09

 

 

106,281

 

 

275

1

Ser. 2517, Class SE, 3.522%, 10/15/09

 

 

264,534

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

7

1

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

 

 

7,505

 

 

3

1

Ser. 174, Class S, 97.223%, 9/25/22

 

 

9,514

 

 

118

1

Ser. 192, Class SC, 6.84%, 10/25/08

 

 

117,971

 

 

37

1

Ser. 214, Class SH, 5.592%, 12/25/08

 

 

36,653

 

 

51

1

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

 

 

52,172

 

 

618

1

Residential Accredit Loans, Inc.,
Ser. QS16, Class A3, 6.435%, 10/25/17

 

 

620,297

 

 

 

 

 

 

   

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,691,152

 

 

Interest Only Mortgage-Backed Securities—2.3%

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1

 

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

 

 

1,058

 

 

 

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

 

 

220

 

 

1,444

 

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

 

 

73,865

 

 

149

 

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

 

 

781

 

 

3,531

 

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

 

 

94,580

 

 

1,467

 

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

 

 

191,597

 

 

1,664

 

Ser. 3189, Class KI, 6.00%, 1/15/35

 

 

174,439

 

 

2,615

 

Ser. 3207, Class QI, 6.00%, 2/15/35

 

 

234,558

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

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

 

 

105

 

 

899

 

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

 

 

21,655

 

 

35

1

Ser. 20, Class SL, 10.12%, 9/25/08

 

 

1,260

 

 

2

 

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

 

 

16,790

 

 

4,343

 

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

 

 

61,437

 

 

 

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

 

 

7,410

 

 

12,042

1

Vendee Mortgage Trust, Ser. 1, 0.043%, 10/15/31

 

 

26,627

 

 

 

 

 

 

   

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

906,382

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Principal Only Mortgage-Backed Security—0.0%

 

 

 

 

$

14

2

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

 

$

13,246

 

 

Asset-Backed Securities—0.0%

 

 

 

 

 

234

1,3,4,5

Global Rated Eligible Asset Trust,
Ser. A, Class 1, 7.33%, 9/15/07

 

 

23

 

 

568

1,3,5

Structured Mortgage Asset Residential Trust,
Ser. 2, 8.24%, 12/15/07

 

 

57

 

 

 

 

 

 

   

 

 

 

Total Asset-Backed Securities

 

 

80

 

 

Corporate Bond—2.6%

 

 

 

 

 

1,000

 

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

 

 

1,029,161

 

 

Taxable Municipal Bonds—5.2%

 

 

 

 

 

500

 

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

 

 

544,725

 

 

500

 

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

 

 

518,005

 

 

500

 

Los Angeles County California Pension Oblig.,
Ser. D, 6.97%, 6/30/08

 

 

506,585

 

 

500

 

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

 

 

501,925

 

 

 

 

 

 

   

 

 

 

Total Taxable Municipal Bonds

 

 

2,071,240

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—4.8%

 

 

 

 

 

1,914

1

JPMorgan Mortgage Trust,
Ser. A7, Class 2A2, 5.83%, 1/25/37

 

 

1,910,904

 

 

 

 

 

 

   

 

 

 

Total Long-Term Investments
(cost $11,827,713)

 

 

11,561,651

 

 

SHORT-TERM INVESTMENT—70.3%

 

 

 

 

U.S. Government and Agency Discount Notes—70.3%

 

 

 

 

 

27,800

6

Federal Home Loan Bank Disc. Notes,
4.351%, 11/01/07 (cost $27,800,000)

 

 

27,800,000

 

 

Total Investments—99.5% (cost $39,627,7137)

 

$

39,361,651

 

Other assets in excess of liabilities—0.5%

 

 

207,328

 

 

 

   

Net Assets—100%

 

$

39,568,979

 

 

 

   

 

 

 

 

 

 

 

 

1

Variable rate security. Rate shown is interest rate as of October 31, 2007.

2

Rate shown is effective yield of the underlying collateral as of October 31, 2007.

3

Illiquid security. As of October 31, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $80, in these securities.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $23, in securities restricted as to resale.

5

Security is fair valued.

6

Rate shown is the yield to maturity as of the date of purchase.

7

Cost for federal income tax purposes is $39,627,713. The net unrealized depreciation on a tax basis is $266,062, consisting of $321,614 gross unrealized appreciation and $587,676 gross unrealized depreciation.


 

Portfolio Abbreviations


 

 

 

 

 

 

 

ADR

 

American Depositary Receipt

 

 

 

 

EUR

 

Euro

 

 

 

 

GBP

 

British Pound

 

 

 

 

LIBOR

 

London Interbank Offered Rate

 

 

 

 

PRIME

 

Prime Rate

 

 

 

 

REIT

 

Real Estate Investment Trust

 

 

 

 

TBA

 

To Be Announced

 

 

 

 

TBD

 

To Be Determined

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

10



 

 

 


 

Portfolio of Investments as of October 31, 2007

 

BlackRock Core Bond Trust (BHK)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

LONG-TERM INVESTMENTS—158.7%

 

 

 

 

Mortgage Pass-Through Securities—58.2%

 

 

 

 

$

757

1

Citigroup Mortgage Loan Trust, Inc.,
Ser. 4, Class A, 5.345%, 8/25/35

 

$

738,529

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

75

 

5.00%, 8/01/33

 

 

71,842

 

 

1,428

2

5.50%, 11/01/18

 

 

1,434,281

 

 

5,183

 

5.50%, 11/01/18-5/01/36

 

 

5,112,866

 

 

2,498

 

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

 

 

2,545,922

 

 

23

 

7.00%, 9/01/31

 

 

23,749

 

 

59

1

7.379%, 5/01/32

 

 

60,118

 

 

4,000

 

TBA, 5.50%, 12/12/37

 

 

3,935,000

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

44

 

4.50%, 2/01/20

 

 

42,798

 

 

10,051

 

5.00%, 11/01/17-6/01/37

 

 

9,870,125

 

 

12,498

2

5.00%, 1/01/18-5/01/37

 

 

12,026,793

 

 

2,747

 

5.50%, 1/01/18-7/01/34

 

 

2,719,784

 

 

43,246

2

5.50%, 12/01/35-4/01/36

 

 

42,661,096

 

 

6,658

2

6.00%, 2/01/36-10/01/36

 

 

6,708,610

 

 

3,159

 

6.00%, 8/01/29-11/01/36

 

 

3,182,236

 

 

289

 

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

 

 

302,834

 

 

400

 

TBA, 5.00%, 11/19/22

 

 

393,750

 

 

85,500

 

TBA, 5.50%, 11/19/22-11/13/37

 

 

84,249,051

 

 

18,900

 

TBA, 6.00%, 11/13/37-12/12/37

 

 

19,019,812

 

 

15,600

 

TBA, 6.50%, 12/12/37

 

 

15,946,133

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

205

 

5.50%, 8/15/33

 

 

204,241

 

 

200

 

TBA, 6.50%, 11/20/37

 

 

205,312

 

 

760

1

GSR Mortgage Loan Trust,
Ser. AR4, Class 6A1, 5.25%, 7/25/35

 

 

739,031

 

 

 

 

Small Business Administration,

 

 

 

 

 

767

 

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

 

 

751,230

 

 

1,351

 

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

 

 

1,352,827

 

 

 

 

 

 

   

 

 

 

Total Mortgage Pass-Through Securities

 

 

214,297,970

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

1,028

 

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

 

 

1,038,331

 

 

Agency Multiple Class Mortgage Pass-Through Securities—4.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1,200

 

Ser. 2562, Class PG, 5.00%, 1/15/18

 

 

1,185,166

 

 

2,170

 

Ser. 2775, Class OE, 4.50%, 4/15/19

 

 

2,056,897

 

 

2,959

 

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

 

 

3,008,150

 

 

1,306

 

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

 

 

1,322,326

 

 

1,300

 

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

 

 

1,257,396

 

 

1,600

 

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

 

 

1,622,310

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

2,691

 

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

 

 

2,684,529

 

 

1,663

1

Ser. 118, Class FD, 5.273%, 12/25/33

 

 

1,651,013

 

 

 

 

 

 

   

 

 

 

Total Agency Multiple Class Mortgage
Pass-Through Securities

 

 

14,787,787

 

 

Asset-Backed Securities—6.7%

 

 

 

 

 

2,300

 

Chase Issuance Trust,
Ser. A17, Class A, 5.12%, 10/15/14

 

 

2,315,364

 

 

2,800

 

Chase Manhattan Auto Owner Trust,
Ser. B, Class A4, 4.88%, 6/15/12

 

 

2,801,647

 

 

2,825

 

Citibank Credit Card Issuance Trust,
Ser. A2, Class A2, 4.85%, 2/10/11

 

 

2,826,461

 

 

229

1

Countrywide Asset-Backed Certificates,
Ser. 16, Class 4AV1, 4.973%, 1/25/35

 

 

228,876

 

 

2,406

 

DaimlerChrysler Auto Trust,
Ser. A, Class A3, 5.00%, 5/08/10

 

 

2,406,171

 

 

2,850

 

Ford Credit Auto Owner Trust,
Ser. A, Class A4, 5.08%, 12/15/10

 

 

2,860,611

 

 

2,300

 

Harley-Davidson Motorcycle Trust,
Ser. 2, Class A2, 4.07%, 2/15/12

 

 

2,283,930

 

 

2,500

 

Maryland Trust, Ser. 1, Class A, 5.55%, 12/10/65

 

 

2,371,875

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Asset Backed Securities—(cont’d)

 

 

 

 

$

2,825

 

MBNA Credit Card Master Note Trust,
Ser. A1, Class A, 4.90%, 7/15/11

 

$

2,830,207

 

 

59

1

New Century Home Equity Loan Trust,
Ser. C, Class A2A, 4.953%, 1/25/36

 

 

59,262

 

 

564

1

SLM Student Loan Trust,
Ser. 5, Class A1, 5.084%, 1/25/18

 

 

564,436

 

 

471

1

Structured Asset Investment Loan Trust,
Ser. 1, Class A1, 4.953%, 1/25/36

 

 

469,358

 

 

2,725

 

USAA Auto Owner Trust, Ser. 1 Class A4,
5.04%, 12/15/11

 

 

2,738,565

 

 

 

 

 

 

   

 

 

 

Total Asset-Backed Securities

 

 

24,756,763

 

 

Interest Only Asset-Backed Securities—0.2%

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

12,656

 

Ser. 1, 2.365%, 4/15/29

 

 

561,620

 

 

10,125

3

Ser. 2, 2.081%, 3/30/30

 

 

272,114

 

 

 

 

 

 

   

 

 

 

Total Interest Only Asset-Backed Securities

 

 

833,734

 

 

Interest Only Mortgage-Backed Securities—1.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

2,104

 

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

 

 

242,617

 

 

5,772

 

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

 

 

1,047,320

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

23,975

1

Ser. 90, Class JH, 1.828%, 11/25/34

 

 

1,341,116

 

 

4,030

 

Ser. 378, Class 5, 5.00%, 7/01/36

 

 

980,948

 

 

 

 

 

 

   

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,612,001

 

 

Commercial Mortgage-Backed Securities—6.4%

 

 

 

 

 

2,180

1

Banc of America Commerical Mortgage, Inc.,
Ser. 1, Class A4, 4.871%, 11/10/42

 

 

2,163,105

 

 

2,720

 

Credit Suisse First Boston Mortgage Securities Corp.,
Ser. CP5, Class A2, 4.94%, 12/15/35

 

 

2,667,298

 

 

2,170

1

Credit Suisse Mortgage Capital Certificates,
Ser. C2, Class A3, 5.542%, 1/15/49

 

 

2,147,296

 

 

1,463

1

General Motor Acceptance Corp. Commercial Mortgage
Securities, Inc., Ser. C3, Class A2, 7.179%, 8/15/36

 

 

1,504,810

 

 

1,973

 

Goldman Sachs Mortgage Securities Corp. II,
Ser. C1, Class A3, 6.135%, 10/18/30

 

 

1,977,721

 

 

1,435

1

Heller Financial Commercial Mortgage Asset Co.,
Ser. PH1, Class A2, 6.847%, 5/15/31

 

 

1,453,914

 

 

 

 

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

2,140

 

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

 

 

2,185,265

 

 

2,180

 

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

 

 

2,131,593

 

 

1,652

1

JPMorgan Commercial Mortgage Finance Corp.,
Ser. C10, Class A2, 7.371%, 8/15/32

 

 

1,717,907

 

 

2,082

1

Morgan Stanley Capital Trust I,
Ser. HF2, Class A2, 6.48%, 11/15/30

 

 

2,089,181

 

 

3,489

1

Salomon Brothers Mortgage Securities VII,
Ser. C1, Class A2, 7.52%, 12/18/09

 

 

3,619,954

 

 

 

 

 

 

   

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

23,658,044

 

 

Corporate Bonds—66.2%

 

 

 

 

Aerospace & Defense—1.1%

 

 

 

 

 

150

3

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

156,000

 

 

1,195

 

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

 

 

1,269,688

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

70

 

6.875%, 11/01/13

 

 

70,000

 

 

80

 

7.625%, 2/01/18

 

 

81,800

 

 

960

 

Northrop Grumman Corp., 7.875%, 3/01/26

 

 

1,147,117

 

 

15

 

Sequa Corp., 9.00%, 8/01/09

 

 

16,088

 

 

120

 

TransDigm, Inc., 7.75%, 7/15/14

 

 

122,100

 

 

1,125

 

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

 

 

1,088,382

 

 

 

 

 

 

   

 

 

 

Total Aerospace & Defense

 

 

3,951,175

 

 

Automotive—1.0%

 

 

 

 

 

265

 

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

 

 

249,100

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

150

 

7.00%, 4/15/14

 

 

145,125

 

 

150

1

7.243%, 4/15/13

 

 

146,625

 

 

600

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

604,500

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

11

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Automotive—(cont’d)

 

 

 

 

$

360

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

$

345,600

 

 

250

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

232,500

 

 

2,100

 

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

 

 

2,121,000

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

3,844,450

 

 

Basic Materials—3.3%

 

 

 

 

 

500

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

367,500

 

 

995

 

AK Steel Corp., 7.75%, 6/15/12

 

 

1,014,900

 

 

250

 

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

 

 

256,250

 

 

80

1

Bowater, Inc., 8.694%, 3/15/10

 

 

73,200

 

 

30

 

Chemtura Corp., 6.875%, 6/01/16

 

 

28,650

 

 

200

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

200,000

 

 

60

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

59,400

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

1,020

 

8.375%, 4/01/17

 

 

1,116,900

 

 

330

1

8.394%, 4/01/15

 

 

340,725

 

 

66

 

Huntsman LLC, 12.00%, 7/15/12

 

 

71,775

 

 

 

 

Ineos Group Holdings Plc (United Kingdom)

 

 

 

 

 

285

 

7.875%, 2/07/16 (EUR)

 

 

379,810

 

 

1,330

3

8.50%, 2/15/16

 

 

1,263,500

 

 

885

 

Innophos, Inc., 8.875%, 8/15/14

 

 

891,638

 

 

515

3

Key Plastics LLC/Key Plastics Finance Corp.,
11.75%, 3/15/13

 

 

437,750

 

 

1,705

 

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

 

 

1,803,037

 

 

 

 

Noranda, Inc. (Canada)

 

 

 

 

 

825

 

6.00%, 10/15/15

 

 

830,709

 

 

1,250

 

6.20%, 6/15/35

 

 

1,200,827

 

 

1,430

 

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

 

 

1,354,563

 

 

430

 

Terra Capital, Inc., Ser. B, 7.00%, 2/01/17

 

 

430,000

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

12,121,134

 

 

Building & Development—0.2%

 

 

 

 

 

440

 

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

 

 

459,800

 

 

140

 

Nortek, Inc., 8.50%, 9/01/14

 

 

123,900

 

 

85

 

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

 

 

85,850

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

669,550

 

 

Commercial Services—0.1%

 

 

 

 

 

100

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

104,500

 

 

200

3

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

195,000

 

 

 

 

 

 

     

 

 

 

Total Commercial Services

 

 

299,500

 

 

Consumer Products—2.5%

 

 

 

 

 

650

1

Ames True Temper, Inc., 9.243%, 1/15/12

 

 

624,000

 

 

30

1

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,
8.058%, 5/15/14

 

 

29,625

 

 

775

 

CVS Caremark Corp., 6.25%, 6/01/27

 

 

770,626

 

 

695

 

Federated Retail Holdings, Inc., 5.90%, 12/01/16

 

 

663,511

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

500

1

10.009%, 3/15/14

 

 

481,250

 

 

400

 

10.75%, 3/15/15

 

 

389,000

 

 

850

 

Kimberly-Clark Corp., 6.625%, 8/01/37

 

 

935,813

 

 

1,515

 

Kraft Foods, Inc., 7.00%, 8/11/37

 

 

1,644,963

 

 

314

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

282,600

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

470

 

10.00%, 11/01/14

 

 

473,525

 

 

600

2

11.375%, 11/01/16

 

 

598,500

 

 

1,000

 

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

 

 

975,000

 

 

175

 

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

 

 

163,188

 

 

250

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

270,479

 

 

775

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

720,750

 

 

390

 

Sally Holdings LLC, 10.50%, 11/15/16

 

 

388,050

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

9,410,880

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Containers & Packaging—0.8%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

$

270

 

8.875%, 9/15/14

 

$

276,750

 

 

180

1

9.569%, 9/15/14

 

 

180,450

 

 

150

 

Crown Americas LLC/Crown Americas Capital Corp.,
7.75%, 11/15/15

 

 

154,500

 

 

75

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

74,438

 

 

300

1,3

Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)

 

 

298,426

 

 

1,500

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,560,000

 

 

545

 

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

 

 

594,050

 

 

 

 

 

 

     

 

 

 

Total Containers & Packaging

 

 

3,138,614

 

 

Ecological Services & Equipment—0.2%

 

 

 

 

 

590

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

590,000

 

 

Energy—9.7%

 

 

 

 

 

425

 

Amerada Hess Corp., 7.125%, 3/15/33

 

 

469,065

 

 

2,350

 

Anadarko Petroleum Corp., 6.45%, 9/15/36

 

 

2,377,558

 

 

140

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

142,800

 

 

875

 

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

 

 

1,031,161

 

 

375

 

Canadian Natural Resources Ltd.,
6.25%, 3/15/38 (Canada)

 

 

370,540

 

 

320

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

298,400

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

150

 

6.375%, 6/15/15

 

 

145,500

 

 

20

 

6.875%, 11/15/20

 

 

19,550

 

 

500

 

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

 

 

463,733

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

55

 

7.50%, 5/15/15

 

 

56,100

 

 

90

 

7.75%, 5/15/17

 

 

92,700

 

 

235

 

Compton Petroleum Finance Corp.,

 

 

 

 

 

 

 

7.625%, 12/01/13 (Canada)

 

 

225,013

 

 

125

 

Conoco Funding Co., 7.25%, 10/15/31 (Canada)

 

 

145,774

 

 

535

 

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

 

 

548,451

 

 

650

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

740,160

 

 

100

 

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

 

 

122,312

 

 

725

 

DTE Energy Co., 6.35%, 6/01/16

 

 

750,656

 

 

115

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

116,581

 

 

1,125

3

EDP Finance BV, 6.00%, 2/02/18 (Netherlands)

 

 

1,122,493

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

 

265

 

8.625%, 1/15/22

 

 

308,335

 

 

225

 

8.875%, 6/15/32

 

 

262,282

 

 

124

 

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

 

 

127,055

 

 

 

 

EnCana Corp., (Canada)

 

 

 

 

 

1,000

 

6.50%, 8/15/34

 

 

1,045,819

 

 

700

 

6.625%, 8/15/37

 

 

739,318

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

40

 

6.00%, 7/15/15

 

 

36,200

 

 

60

 

7.25%, 12/01/17

 

 

57,450

 

 

1,500

 

Energy East Corp., 6.75%, 7/15/36

 

 

1,546,705

 

 

130

 

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

 

 

128,375

 

 

950

 

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

 

 

824,533

 

 

675

 

Florida Power Corp., 6.35%, 9/15/37

 

 

708,736

 

 

80

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

80,400

 

 

210

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

206,850

 

 

700

 

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

 

 

680,105

 

 

 

 

Midamerican Energy Holdings Co.,

 

 

 

 

 

800

 

5.95%, 5/15/37

 

 

766,990

 

 

1,525

3

6.50%, 9/15/37

 

 

1,563,997

 

 

75

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

80,767

 

 

155

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

156,744

 

 

1,050

3

Nakilat, Inc., 6.067%, 12/31/33 (Qatar)

 

 

995,715

 

 

550

 

Nexen, Inc., 6.40%, 5/15/37 (Canada)

 

 

547,239

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

50

 

7.25%, 2/01/14

 

 

50,000

 

 

285

 

7.375%, 2/01/16

 

 

284,288

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

12



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Energy—(cont’d)

 

 

 

 

$

1,000

 

Ohio Edison Co., 6.875%, 7/15/36

 

$

1,047,284

 

 

425

 

ONEOK Partners LP, 6.65%, 10/01/36

 

 

432,782

 

 

450

3

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

451,125

 

 

130

 

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

 

 

143,650

 

 

575

 

Pacificorp, 6.25%, 10/15/37

 

 

590,146

 

 

1,650

 

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

 

 

1,725,900

 

 

1,200

 

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

 

 

1,245,049

 

 

330

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

323,400

 

 

700

 

Scottish Power Plc, 5.375%, 3/15/15
(United Kingdom)

 

 

689,766

 

 

315

3

SemGroup LP, 8.75%, 11/15/15

 

 

302,400

 

 

 

 

Southern California Edison Co.,

 

 

 

 

 

625

 

5.625%, 2/01/36

 

 

596,659

 

 

125

 

Ser. 05-E, 5.35%, 7/15/35

 

 

113,955

 

 

645

 

Suncor Energy, Inc., 6.50%, 6/15/38 (Canada)

 

 

675,171

 

 

320

3

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

 

 

323,200

 

 

550

 

Trans-Canada Pipelines Ltd., 5.85%, 3/15/36 (Canada)

 

 

527,368

 

 

950

 

Valero Energy Corp., 6.625%, 6/15/37

 

 

978,133

 

 

2,000

 

Virginia Electric & Power Co., Ser. A, 6.00%, 5/15/37

 

 

1,965,206

 

 

625

3

Weatherford Int’l., Inc., 6.80%, 6/15/37

 

 

655,387

 

 

375

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

368,638

 

 

1,925

 

XTO Energy, Inc., 6.75%, 8/01/37

 

 

2,064,924

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

35,656,593

 

 

Entertainment & Leisure—0.6%

 

 

 

 

 

185

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

200,263

 

 

1,000

 

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

 

 

1,040,000

 

 

150

 

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

 

 

145,500

 

 

335

3

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

333,325

 

 

375

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

276,562

 

 

260

 

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

 

 

261,950

 

 

40

 

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

 

 

39,300

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

2,296,900

 

 

Financial Institutions—23.6%

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

 

320

 

7.125%, 2/15/13

 

 

312,000

 

 

3,165

 

8.125%, 6/01/11

 

 

3,188,737

 

 

2,575

 

Bank of America Corp., 6.00%, 9/01/17

 

 

2,625,030

 

 

1,975

 

Bank of America NA, Ser. BKNT, 6.10%, 6/15/17

 

 

2,021,363

 

 

325

 

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

 

 

324,161

 

 

1,400

 

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

 

 

1,406,364

 

 

1,270

 

Bear Stearns Cos., Inc. (The), Ser. MTN,
6.95%, 8/10/12

 

 

1,321,679

 

 

350

3

Belvoir Land LLC, Ser. A1, 5.27%, 12/15/47

 

 

310,765

 

 

1,075

 

Berkshire Hathaway Finance Corp., 4.75%, 5/15/12

 

 

1,059,247

 

 

181

1,3

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

173,374

 

 

1,100

 

Chubb Corp., 6.00%, 5/11/37

 

 

1,070,352

 

 

600

 

CitiFinancial, 6.25%, 1/01/08

 

 

600,878

 

 

 

 

Citigroup, Inc.,

 

 

 

 

 

3,950

4

3.625%, 2/09/09

 

 

3,891,149

 

 

4,790

4

4.125%, 2/22/10

 

 

4,709,978

 

 

1,020

 

4.25%, 7/29/09

 

 

1,007,887

 

 

1,005

 

5.875%, 2/22/33-5/29/37

 

 

955,122

 

 

525

 

6.875%, 2/15/98

 

 

534,624

 

 

3,775

3

Depfa ACS Bank, 5.125%, 3/16/37 (Ireland)

 

 

3,570,723

 

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

340

 

7.80%, 6/01/12

 

 

319,456

 

 

200

1

7.993%, 1/13/12

 

 

185,155

 

 

525

3

Fort Irwin Land LLC, Ser. A-1, 5.03%, 12/15/25

 

 

495,254

 

 

6,855

2

General Electric Capital Corp., Ser. GMTN,
6.15%, 8/07/37

 

 

7,103,041

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Financial Institutions—(cont’d)

 

 

 

 

 

 

 

Goldman Sachs Group, Inc. (The),

 

 

 

 

$

1,415

 

5.35%, 1/15/16

 

$

1,377,548

 

 

4,885

 

5.45%, 11/01/12

 

 

4,914,139

 

 

135

 

6.25%, 9/01/17

 

 

140,028

 

 

925

1

Hartford Life Global Funding Trusts,
Ser. MTN, 5.864%, 9/15/09

 

 

924,002

 

 

825

3

HBOS Treasury Services Plc,
3.75%, 9/30/08 (United Kingdom)

 

 

812,767

 

 

775

 

HSBC Bank NA, 5.875%, 11/01/34

 

 

716,502

 

 

300

 

HSBC Holdings Plc, 6.50%, 5/02/36 (United Kingdom)

 

 

296,167

 

 

799

3

iPayment Investors LP, 11.625%, 7/15/14

 

 

822,779

 

 

240

 

iPayment, Inc., 9.75%, 5/15/14

 

 

230,400

 

 

1,500

3

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

 

 

1,378,395

 

 

3,950

 

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

 

 

3,945,643

 

 

 

 

Lehman Brothers Holdings, Inc.,

 

 

 

 

 

1,875

 

6.50%, 7/19/17

 

 

1,888,348

 

 

525

1

Ser. MTN, 7.394%, 9/15/22

 

 

536,446

 

 

1,525

 

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

 

 

1,413,587

 

 

1,150

3

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

 

 

1,136,666

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

40

3

9.75%, 12/01/14

 

 

39,000

 

 

405

3

11.50%, 12/01/16

 

 

390,825

 

 

1,810

1,3

Monumental Global Funding Ltd.,
Ser. MTN, 5.24%, 6/16/10 (Cayman Islands)

 

 

1,793,710

 

 

 

 

Morgan Stanley,

 

 

 

 

 

3,300

1

5.493%, 1/09/12

 

 

3,246,860

 

 

525

 

6.25%, 8/09/26

 

 

517,443

 

 

1,700

 

Ser. MTN, 6.25%, 8/28/17

 

 

1,740,576

 

 

1,375

 

Ser. MTN, 5.55%, 4/27/17

 

 

1,338,083

 

 

850

3

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

 

 

843,505

 

 

350

 

Ohana Military Communities LLC, Ser. 04I, 6.193%, 4/01/49

 

 

357,088

 

 

 

 

Prudential Financial, Inc.,

 

 

 

 

 

500

 

5.90%, 3/17/36

 

 

471,162

 

 

675

 

Ser. MTN, 5.70%, 12/14/36

 

 

626,303

 

 

1,000

3

Prudential Funding LLC, 6.60%, 5/15/08

 

 

1,006,033

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

200

3

8.75%, 9/01/12

 

 

208,000

 

 

943

3

10.375%, 9/01/14

 

 

1,037,300

 

 

550

1

SLM Corp., 5.384%, 1/27/14

 

 

486,399

 

 

2,170

5

Structured Asset Receivable Trust, 5.68%, 1/21/10

 

 

2,148,367

 

 

 

 

SunTrust Bank,

 

 

 

 

 

995

 

4.00%, 10/15/08

 

 

985,997

 

 

1,265

 

4.415%, 6/15/09

 

 

1,249,858

 

 

235

3

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

 

 

234,326

 

 

975

 

Travelers Cos., Inc., Ser. MTN, 6.25%, 6/15/37

 

 

961,956

 

 

50

1

Universal City Florida Holding Co. I/II, 9.661%, 5/01/10

 

 

51,125

 

 

2,790

2

US Bank NA, 6.50%, 2/01/08

 

 

2,794,765

 

 

495

3

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

 

 

494,478

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

 

1,031

 

3.12%, 8/15/08

 

 

1,013,318

 

 

355

 

4.20%, 1/15/10

 

 

349,594

 

 

1,665

 

4.625%, 8/09/10

 

 

1,648,918

 

 

435

 

4.875%, 1/12/11

 

 

432,628

 

 

540

 

Wells Fargo Bank NA, 5.95%, 8/26/36

 

 

532,155

 

 

605

3

Wimar Opco LLC/Wimar Opco Finance Corp.,
9.625%, 12/15/14

 

 

453,750

 

 

1,775

3

Xstrata Finance Ltd., 5.80%, 11/15/16 (Canada)

 

 

1,760,351

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

86,933,629

 

 

Health Care—3.5%

 

 

 

 

 

1,205

1,3

Amgen, Inc., 5.585%, 11/28/08

 

 

1,202,827

 

 

1,625

 

AstraZeneca Plc, 6.45%, 9/15/37 (United Kingdom)

 

 

1,712,300

 

 

340

 

Bristol-Myers Squibb Co., 5.875%, 11/15/36

 

 

333,724

 

 

2,275

2

Eli Lilly & Co., 5.55%, 3/15/37

 

 

2,172,348

 

 

1,125

 

Johnson & Johnson, 5.95%, 8/15/37

 

 

1,176,591

 

 

1,125

 

Schering-Plough Corp., 6.55%, 9/15/37

 

 

1,165,932

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

13

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Health Care—(cont’d)

 

 

 

 

$

1,020

 

Tenet Healthcare Corp., 6.50%, 6/01/12

 

$

864,450

 

 

995

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

979,429

 

 

870

 

UnitedHealth Group, Inc., 5.80%, 3/15/36

 

 

837,188

 

 

 

 

WellPoint, Inc.,

 

 

 

 

 

955

 

5.85%, 1/15/36

 

 

897,356

 

 

85

 

5.95%, 12/15/34

 

 

82,113

 

 

 

 

Wyeth,

 

 

 

 

 

925

 

5.95%, 4/01/37

 

 

914,805

 

 

675

 

6.00%, 2/15/36

 

 

668,576

 

 

 

 

 

 

     

 

 

 

Total Health Care

 

 

13,007,639

 

 

Industrials—1.4%

 

 

 

 

 

1,575

 

3M Co., Ser. MTN, 5.70%, 3/15/37

 

 

1,579,348

 

 

360

3

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

 

 

354,600

 

 

140

 

Hexcel Corp., 6.75%, 2/01/15

 

 

137,550

 

 

975

 

Honeywell Intl., Inc., 5.70%, 3/15/37

 

 

947,863

 

 

120

 

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

 

 

111,900

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

480

 

9.50%, 8/01/14

 

 

495,600

 

 

505

 

11.75%, 8/01/16

 

 

535,300

 

 

950

3

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

 

 

912,000

 

 

 

 

 

 

     

 

 

 

Total Industrials

 

 

5,074,161

 

 

Media—6.2%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

515

 

10.125%, 10/15/13

 

 

536,887

 

 

180

 

11.50%, 10/15/15

 

 

187,650

 

 

100

 

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

 

 

95,750

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

 

90

 

6.625%, 5/15/29

 

 

90,172

 

 

3,040

 

7.57%, 2/01/24

 

 

3,331,311

 

 

205

 

7.625%, 4/15/31

 

 

228,088

 

 

85

 

7.70%, 5/01/32

 

 

95,515

 

 

180

1

Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09

 

 

184,950

 

 

110

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

107,250

 

 

430

 

Charter Communications Holdings I LLC/Charter
Communications Holdings I Capital Corp.,
11.00%, 10/01/15

 

 

417,100

 

 

 

 

Charter Communications Holdings II LLC/Charter

 

 

 

 

 

 

 

Communications Holdings II Capital Corp.,

 

 

 

 

 

1,545

 

10.25%, 9/15/10

 

 

1,575,900

 

 

130

 

Ser. B, 10.25%, 9/15/10

 

 

132,275

 

 

645

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

592,594

 

 

 

 

Comcast Corp.,

 

 

 

 

 

790

 

6.45%, 3/15/37

 

 

796,377

 

 

2,375

 

6.50%, 1/15/17-11/15/35

 

 

2,464,004

 

 

25

 

6.95%, 8/15/37

 

 

26,753

 

 

75

 

Dex Media West LLC/Dex Media Finance Co.,
Ser. B, 9.875%, 8/15/13

 

 

79,969

 

 

125

 

DirecTV Holdings LLC/DirecTV Financing Co.,
8.375%, 3/15/13

 

 

130,625

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

175

 

5.75%, 10/01/08

 

 

174,563

 

 

290

 

7.00%, 10/01/13

 

 

301,962

 

 

75

 

7.125%, 2/01/16

 

 

78,375

 

 

620

 

Idearc, Inc., 8.00%, 11/15/16

 

 

621,550

 

 

600

1,3

ION Media Networks, Inc., 8.493%, 1/15/12

 

 

601,500

 

 

485

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

488,031

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

 

985

 

7.625%, 11/30/28

 

 

1,092,925

 

 

825

 

7.70%, 10/30/25

 

 

917,857

 

 

625

 

8.45%, 8/01/34

 

 

755,622

 

 

560

 

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

 

 

537,600

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

300

6

9.115%, 8/01/16

 

 

216,750

 

 

965

 

10.00%, 8/01/14

 

 

1,015,662

 

 

865

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

865,000

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Media—(cont’d)

 

 

 

 

$

70

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

$

69,563

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

 

200

 

7.125%, 2/15/28

 

 

212,777

 

 

620

 

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

 

 

705,603

 

 

70

 

Time Warner Cos., Inc., 6.95%, 1/15/28

 

 

72,559

 

 

1,000

3

TL Acquisitions, Inc., 10.50%, 1/15/15

 

 

995,000

 

 

350

3

Univision Communications, Inc., 9.75%, 3/15/15

 

 

343,000

 

 

645

 

Vertis, Inc., 9.75%, 4/01/09

 

 

645,000

 

 

1,205

 

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

 

 

1,132,700

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

22,916,769

 

 

Real Estate—0.9%

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

 

350

 

6.625%, 9/15/11

 

 

364,056

 

 

775

 

8.25%, 7/15/08

 

 

792,236

 

 

 

 

Rouse Co.,

 

 

 

 

 

895

 

3.625%, 3/15/09

 

 

853,281

 

 

1,650

 

5.375%, 11/26/13

 

 

1,495,190

 

 

 

 

 

 

     

 

 

 

Total Real Estate

 

 

3,504,763

 

 

Technology—1.9%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

80

 

7.75%, 5/15/13

 

 

77,400

 

 

145

 

9.25%, 6/01/16

 

 

148,263

 

 

250

 

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

 

 

240,000

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

655

 

9.125%, 12/15/14

 

 

592,775

 

 

140

1

9.569%, 12/15/14

 

 

128,625

 

 

3,125

2

Intl. Business Machines Corp., 5.70%, 9/14/17

 

 

3,171,831

 

 

440

 

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

415,800

 

 

630

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

552,825

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

105

 

9.125%, 8/15/13

 

 

107,100

 

 

610

 

10.25%, 8/15/15

 

 

635,925

 

 

945

 

Superior Essex Communications LLC/Essex Group, Inc.,

 

 

 

 

 

 

 

9.00%, 4/15/12

 

 

933,187

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

7,003,731

 

 

Telecommunications—8.7%

 

 

 

 

 

2,875

2

AT&T, Inc., 6.50%, 9/01/37

 

 

3,032,607

 

 

1,700

6

BellSouth Telecommunications, 6.402%, 12/15/95

 

 

902,807

 

 

210

 

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

 

 

210,525

 

 

225

 

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

223,313

 

 

3,000

2

Deutsche Telekom Intl. Finance BV,

 

 

 

 

 

 

 

5.75%, 3/23/16 (Netherlands)

 

 

3,007,887

 

 

 

 

Digicel Group Ltd., (Bermuda)

 

 

 

 

 

240

3

8.875%, 1/15/15

 

 

224,112

 

 

560

3

9.125%, 1/15/15

 

 

523,340

 

 

190

1

Hawaiian Telcom Communications, Inc.,
Ser. B, 10.318%, 5/01/13

 

 

192,375

 

 

475

 

Intelsat Corp., 9.00%, 6/15/16

 

 

485,687

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

95

1

8.886%, 1/15/15

 

 

96,425

 

 

500

 

9.25%, 6/15/16

 

 

518,750

 

 

200

 

11.25%, 6/15/16

 

 

215,000

 

 

870

1

11.409%, 6/15/13

 

 

906,975

 

 

295

 

Intelsat Subsidiary Holding Co. Ltd.,
8.625%, 1/15/15 (Bermuda)

 

 

299,425

 

 

120

3

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

119,100

 

 

770

3

Nordic Telephone Co. Holdings A.p.S.,
8.875%, 5/01/16 (Denmark)

 

 

814,275

 

 

1,120

1,3

Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)

 

 

1,106,000

 

 

155

 

PanAmSat Corp., 9.00%, 8/15/14

 

 

158,100

 

 

 

 

Qwest Corp.,

 

 

 

 

 

200

 

7.875%, 9/01/11

 

 

211,000

 

 

470

1

8.944%, 6/15/13

 

 

501,137

 

 

780

 

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

 

 

810,601

 

 

1,715

 

Sprint Capital Corp., 6.875%, 11/15/28

 

 

1,642,877

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

14



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

Telecom Italia Capital S.A. (Luxembourg)

 

 

 

 

$

1,075

 

4.95%, 9/30/14

 

$

1,028,927

 

 

1,550

 

6.00%, 9/30/34

 

 

1,484,579

 

 

1,975

 

Telefonica Emisones SAU, 7.045%, 6/20/36 (Spain)

 

 

2,169,348

 

 

725

 

Telefonica Europe BV, 7.75%, 9/15/10 (Netherlands)

 

 

776,297

 

 

70

 

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

 

 

82,465

 

 

125

 

Verizon Maryland, Inc., 5.125%, 6/15/33

 

 

104,256

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

 

230

 

7.85%, 11/15/29

 

 

261,440

 

 

335

 

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

 

 

342,618

 

 

3,150

2

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

 

 

3,024,873

 

 

 

 

Vodafone Group Plc, (United Kingdom)

 

 

 

 

 

1,465

1

5.288%, 12/28/07

 

 

1,465,296

 

 

2,504

 

7.75%, 2/15/10

 

 

2,648,073

 

 

1,100

 

West Corp., 11.00%, 10/15/16

 

 

1,152,250

 

 

350

3

Wind Acquisition Finance S.A.,
10.75%, 12/01/15 (Luxembourg)

 

 

389,375

 

 

 

 

Windstream Corp.,

 

 

 

 

 

500

 

8.125%, 8/01/13

 

 

528,750

 

 

230

 

8.625%, 8/01/16

 

 

246,100

 

 

 

 

 

 

     

 

 

 

Total Telecommunications

 

 

31,906,965

 

 

Transportation—0.5%

 

 

 

 

 

115

 

American Airlines, Inc., Ser. 99-1, 7.324%,4/15/11

 

 

113,563

 

 

110

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

115,500

 

 

350

 

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

 

 

352,778

 

 

405

 

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

 

 

391,837

 

 

500

 

Navios Maritime Holdings, Inc.,
9.50%, 12/15/14 (Marshall Islands)

 

 

528,750

 

 

360

3

St. Acquisition Corp., 12.50%, 5/15/17

 

 

229,500

 

 

 

 

 

 

     

 

 

 

Total Transportation

 

 

1,731,928

 

 

 

 

 

 

     

 

 

 

Total Corporate Bonds

 

 

244,058,381

 

 

U.S. Government and Agency Securities—5.8%

 

 

 

 

 

1,670

 

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

 

 

1,753,313

 

 

1,050

 

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

 

 

623,776

 

 

1,655

 

Tennessee Valley Authority, Ser. C, 5.88%, 4/01/36

 

 

1,829,397

 

 

330

 

U.S. Treasury Bonds, 4.75%, 2/15/37

 

 

329,820

 

 

5,832

2

U.S. Treasury Inflation Protected Bond, 2.375%, 1/15/27

 

 

5,982,762

 

 

10,450

2

U.S. Treasury Notes, 4.75%, 8/15/17

 

 

10,680,242

 

 

 

 

 

 

     

 

 

 

Total U.S. Government and Agency Securities

 

 

21,199,310

 

 

Foreign Government Bond—0.4%

 

 

 

 

 

1,100

 

France, 3.75%, 4/25/17

 

 

1,522,816

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—5.5%

 

 

 

 

 

1,600

 

Countrywide Alternative Loan Trust,
Ser. 64CB, Class 1A15, 5.50%, 12/25/35

 

 

1,504,462

 

 

2,755

1

CW Capital Cobalt Ltd., Ser. C3, Class A4, 5.82%, 5/15/46

 

 

2,830,870

 

 

 

 

First Union National Bank Commercial Mortgage,

 

 

 

 

 

3,044

 

Ser. C3, Class A3, 6.423%, 8/15/33

 

 

3,151,030

 

 

2,265

 

Ser. C4, Class A2, 6.223%, 12/12/33

 

 

2,340,547

 

 

2,350

 

General Motor Acceptance Corp. Commercial Mortgage
Securities, Inc., Ser. C4, Class A2, 4.93%,7/10/39

 

 

2,308,750

 

 

960

 

JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. LDP9, Class A3, 5.336%, 5/15/47

 

 

936,591

 

 

2,275

1

LB-UBS Commercial Mortgage Trust, Ser. C6, Class A4,
5.858%, 7/15/40

 

 

2,304,488

 

 

925

1,7

Merrill Lynch Mortgage Trust, Ser. C1, Class AM,
5.83%, 6/12/50

 

 

933,463

 

 

995

1

Morgan Stanley Capital I, Ser. T27, Class A4,
5.651%, 6/11/42

 

 

999,692

 

 

2,305

 

Structured Asset Securities Corp., Ser. AL1, Class A2,
3.45%, 2/25/32

 

 

1,977,073

 

 

995

1

Wachovia Bank Commercial Mortgage Trust, Ser. C33,
Class A4, 5.903%, 2/15/51

 

 

1,017,710

 

 

 

 

 

 

     

 

 

 

Total Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

 

20,304,676

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Taxable Municipal Bond—0.3%

 

 

 

 

$

1,000

 

Illinois St. Pension, 5.10%, 6/01/33

 

$

948,570

 

 

Trust Preferred Stocks—3.3%

 

 

 

 

 

1,950

1

Allstate Corp., 6.50%, 5/15/57

 

 

1,890,800

 

 

545

 

BAC Capital Trust XI, 6.625%, 5/23/36

 

 

553,198

 

 

850

1,3,8

Barclays Bank Plc, 7.434% (United Kingdom)

 

 

901,035

 

 

915

1,3,8

Credit Agricole S.A., 6.637% (France)

 

 

869,590

 

 

1,550

1,8

Credit Suisse Ltd., 5.86% (Guernsey)

 

 

1,443,920

 

 

675

1

Lincoln National Corp., 6.05%, 4/20/67

 

 

646,921

 

 

790

 

Peco Energy Capital Trust IV, 5.75%, 6/15/33

 

 

672,418

 

 

605

1

Progressive Corp., 6.70%, 6/15/37

 

 

593,676

 

 

2,200

1,8

Royal Bank of Scotland Group Plc, Ser. MTN,

 

 

 

 

 

 

 

7.64% (United Kingdom)

 

 

2,280,326

 

 

1,000

1,3,8

Societe Generale, 5.922% (France)

 

 

951,690

 

 

675

1

Travelers Cos., Inc., 6.25%, 3/15/67

 

 

655,470

 

 

675

1,3

ZFS Finance Trust I, 6.50%, 5/09/37

 

 

649,622

 

 

 

 

 

 

     

 

 

 

Total Trust Preferred Stocks

 

 

12,108,666

 

 



 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

1,895

9,10

Critical Care Systems Intl., Inc.

 

 

11,826

 

 

Preferred Stocks—0.4%

 

 

 

 

 

55,000

 

Deutsche Bank Contingent Capital Trust II, 6.55%

 

 

1,317,250

 

 

45,000

10

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

27,900

 

 

 

 

 

 

     

 

 

 

Total Preferred Stocks

 

 

1,345,150

 

 

 

 

 

Total Long-Term Investments
(cost $586,479,015)

 

 

584,484,025

 

 



 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

BORROWED BOND AGREEMENTS—21.8%

 

 

 

 

 

 

 

Lehman Brothers Inc.,

 

 

 

 

$

50,927

12

4.47%, 11/08/07

 

$

50,927,000

 

 

29,563

12

4.45%, 11/08/07

 

 

29,563,000

 

 

 

 

 

 

     

 

 

 

Total Borrowed Bond Agreements

 

 

 

 

 

 

 

(cost $80,490,000)

 

 

80,490,000

 

 



 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—1.0%

 

 

 

 

3,880

 

EUR Put Option, strike price $1.40, expires 1/10/08

 

 

16,186

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

6,600

 

Trust pays 3-month LIBOR, Trust receives 5.39%,
expires 3/19/12

 

 

267,762

 

 

4,900

 

Trust pays 3-month LIBOR, Trust receives 5.52%,
expires 9/21/36

 

 

289,016

 

 

7,600

 

Trust pays 3-month LIBOR, Trust receives 5.79%,
expires 8/16/10

 

 

392,551

 

 

7,675

 

Trust pays 3-month LIBOR, Trust receives 6.025%,
expires 6/08/12

 

 

471,859

 

 

7,675

 

Trust pays 3-month LIBOR, Trust receives 6.025%,
expires 6/08/12

 

 

242,300

 

 

6,600

 

Trust pays 5.39%, Trust receives 3-month LIBOR,
expires 3/19/12

 

 

322,872

 

 

11,200

 

Trust pays 5.47%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

480,480

 

 

11,200

 

Trust pays 5.47%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

523,600

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

15

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007  

BlackRock Core Bond Trust (BHK) (concluded)

 

             (Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 

 

OUTSTANDING OPTIONS PURCHASED—(cont’d)

 

 

 

 

 

4,900

 

Trust pays 5.52%, Trust receives 3-month LIBOR,
expires 9/21/36

 

$

332,459

 

 

7,600

 

Trust pays 5.79%, Trust receives 3-month LIBOR,
expires 8/16/10

 

 

204,273

 

 

 

 

 

 

     

 

 

 

Total Outstanding Options Purchased
(cost $3,247,804)

 

 

3,543,358

 

 

 

 

 

Total Investments before borrowed bonds,
TBA sale commitments, and outstanding
options written (cost $670,216,81911)

 

 

668,517,383

 

 

 

 

 

 

 

 

 

 



Principal
Amount
(000)

 

 

 

 

 

 

 

BORROWED BONDS—(21.8)%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

$

(50,800

)

4.00%, 8/31/09

 

 

(50,835,712

)

 

(29,600

)

4.125%, 8/31/12

 

 

(29,569,927

)

 

 

 

 

 

     

 

 

 

Total Borrowed Bonds

 

 

 

 

 

 

 

(proceeds $80,372,938)

 

 

(80,405,639

)

 

TBA SALE COMMITMENTS—(1.3)%

 

 

 

 

 

(4,400

)

Federal National Mortgage Assoc., 6.00%, 11/13/37

 

 

(4,431,627

)

 

(200

)

Government National Mortgage Assoc.,
5.50%, 11/20/37

 

 

(198,750

)

 

 

 

 

 

     

 

 

 

Total TBA Sale Commitments
(proceeds $4,627,832)

 

 

(4,630,377

)

 

 

 

 

 

 

 

 

 



Notional
Amount
(000)

 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.4)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

(5,300

)

Trust pays 3-month LIBOR, Trust receives 5.135%,
expires 4/21/08

 

 

(90,551

)

 

(6,600

)

Trust pays 3-month LIBOR, Trust receives 5.148%,
expires 3/19/08

 

 

(107,646

)

 

(4,500

)

Trust pays 3-month LIBOR, Trust receives 5.485%,
expires 10/28/19

 

 

(132,205

)

 

(11,500

)

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

 

 

(292,905

)

 

(6,600

)

Trust pays 5.115%, Trust receives 3-month LIBOR,
expires 3/19/08

 

 

(107,316

)

 

(5,300

)

Trust pays 5.135%, Trust receives 3-month LIBOR,
expires 4/21/08

 

 

(90,551

)

 

(4,500

)

Trust pays 5.485%, Trust receives 3-month LIBOR,
expires 10/28/19

 

 

(176,797

)

 

(11,500

)

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

 

 

(556,370

)

 

 

     

 

 

 

Total Outstanding Options Written
(premium received $2,261,545)

 

 

(1,554,341

)

 

Total Investments net of borrowed bonds, TBA sale
commitments and outstanding options written—158.0%

 

 

581,927,026

 

Liabilities in excess of other assets—(58.0)%

 

 

(213,591,799

)

 

 

     

Net Assets—100%

 

$

368,335,227

 

 

 

     

 

 

 

1

Variable rate security. Rate shown is interest rate as of October 31, 2007.

2

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

3

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2007, the Trust held 9.9% of its net assets, with a current market value of $36,518,999, in securities restricted as to resale.

4

Security, or a portion thereof, pledged as collateral with a value of $4,615,550 on 134 long Eurodollar futures contracts expiring December 2007 to March 2008, 198 long U.S. Treasury Note futures contracts expiring December 2007, 1,153 long U.S. Treasury Bond futures contracts expiring December 2007, 163 short Eurodollar futures contracts expiring December 2007, 3,130 short U.S. Treasury Note futures contracts expiring December 2007 and 224 short U.S. Treasury Note futures contracts expiring December 2007. The notional value of such contracts on October 31, 2007 was $243,902,499, with an unrealized loss of $519,568.

5

Illiquid security. As of October 31, 2007, the Trust held 0.6% of its net assets, with a current market value of $2,148,367, in these securities.

6

Represents a step up bond; the interest rate shown reflects the effective yield at the time of purchase.

7

Represents an investment in an affiliate.

8

The security is a perpetual bond and has no stated maturity date.

9

Non-income producing security.

10

Security is fair valued.

11

Cost for federal income tax purposes is $671,388,702. The net unrealized depreciation on a tax basis is $2,871,319, consisting of $6,742,797 gross unrealized appreciation and $9,614,116 gross unrealized depreciation.

12

See Note 1 in the Notes to Financial Statements for details of borrowed bond agreements.

 

 

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

16



 

 


 

Portfolio of Investments as of October 31, 2007  

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

LONG-TERM INVESTMENTS—116.2%

 

 

 

 

Corporate Bonds—110.2%

 

 

 

 

Aerospace & Defense—3.0%

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

$

330

 

6.875%, 12/15/07

 

$

330,000

 

 

350

1

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

 

 

353,500

 

 

100

2

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

104,000

 

 

410

 

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

 

 

435,625

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

40

 

6.875%, 11/01/13

 

 

40,000

 

 

100

 

7.625%, 2/01/18

 

 

102,250

 

 

20

 

L-3 Communications Corp., 5.875%, 1/15/15

 

 

19,500

 

 

40

 

Sequa Corp., 9.00%, 8/01/09

 

 

42,900

 

 

100

 

TransDigm, Inc., 7.75%, 7/15/14

 

 

101,750

 

 

 

 

 

 

     

 

 

 

Total Aerospace & Defense

 

 

1,529,525

 

 

Automotive—5.0%

 

 

 

 

 

85

 

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

 

 

79,900

 

 

185

2

Allison Transmission, 11.25%, 11/01/15

 

 

182,456

 

 

60

 

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

56,100

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

90

 

7.00%, 4/15/14

 

 

87,075

 

 

80

3

7.243%, 4/15/13

 

 

78,200

 

 

520

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

523,900

 

 

125

 

Ford Motor Co., 8.90%, 1/15/32

 

 

110,313

 

 

 

 

Goodyear Tire & Rubber Co. (The),

 

 

 

 

 

40

 

7.857%, 8/15/11

 

 

41,400

 

 

156

 

8.625%, 12/01/11

 

 

166,140

 

 

195

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

187,200

 

 

255

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

237,150

 

 

180

 

Penske Auto Group, Inc., 7.75%, 12/15/16

 

 

175,050

 

 

250

 

Rent-A-Center, Inc., 7.50%, 5/01/10

 

 

238,750

 

 

350

 

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

 

 

355,250

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

2,518,884

 

 

Basic Materials—11.1%

 

 

 

 

 

185

 

AK Steel Corp., 7.75%, 6/15/12

 

 

188,700

 

 

 

 

Abitibi-Consolidated, Inc., (Canada)

 

 

 

 

 

165

 

6.00%, 6/20/13

 

 

121,275

 

 

35

 

8.85%, 8/01/30

 

 

25,900

 

 

205

 

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

 

 

218,325

 

 

140

 

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

 

 

143,500

 

 

115

 

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

 

 

98,613

 

 

130

3

Bowater, Inc., 8.694%, 3/15/10

 

 

118,950

 

 

150

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

150,000

 

 

175

 

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

 

 

169,750

 

 

120

 

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

 

 

87,900

 

 

50

 

Chemtura Corp., 6.875%, 6/01/16

 

 

47,750

 

 

40

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

39,600

 

 

 

 

Equistar Chemicals LP/Equistar Funding Corp.,

 

 

 

 

 

66

 

10.125%, 9/01/08

 

 

68,145

 

 

57

 

10.625%, 5/01/11

 

 

59,565

 

 

 

 

FMG Finance Ltd. (Australia)

 

 

 

 

 

85

2

10.00%, 9/01/13

 

 

93,925

 

 

120

2

10.625%, 9/01/16

 

 

142,200

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

550

 

8.375%, 4/01/17

 

 

602,250

 

 

180

3

8.394%, 4/01/15

 

 

185,850

 

 

 

 

Huntsman LLC,

 

 

 

 

 

95

 

11.50%, 7/15/12

 

 

103,312

 

 

365

 

11.625%, 10/15/10

 

 

386,900

 

 

205

2

Ineos Group Holdings Plc, 8.50%, 2/15/16
(United Kingdom)

 

 

194,750

 

 

 

 

 

 

 

 

 

 

545

 

Innophos, Inc., 8.875%, 8/15/14

 

 

549,087

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Basic Materials—(cont’d)

 

 

 

 

$

70

2

Key Plastics LLC/Key Plastics Finance Corp.,

 

 

 

 

 

 

 

11.75%, 3/15/13

 

$

59,500

 

 

260

 

Lyondell Chemical Co., 10.50%, 6/01/13

 

 

280,150

 

 

265

2

MacDermid, Inc., 9.50%, 4/15/17

 

 

253,075

 

 

 

 

NewPage Corp.,

 

 

 

 

 

450

 

10.00%, 5/01/12

 

 

475,875

 

 

210

 

12.00%, 5/01/13

 

 

226,800

 

 

105

3

NOVA Chemicals Corp., 8.484%, 11/15/13 (Canada)

 

 

103,163

 

 

125

 

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

 

 

118,750

 

 

 

 

Ryerson, Inc.,

 

 

 

 

 

100

2

12.00%, 11/01/15

 

 

102,750

 

 

60

2,3

12.574%, 11/01/14

 

 

61,200

 

 

80

2

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

80,000

 

 

85

 

Terra Capital, Inc., Ser. B, 7.00%, 2/01/17

 

 

85,000

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

5,642,510

 

 

Building & Development—1.9%

 

 

 

 

 

40

3

Ainsworth Lumber Co. Ltd., 8.981%, 10/01/10 (Canada)

 

 

30,250

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

 

160

 

7.875%, 12/15/12

 

 

167,200

 

 

32

3

8.36%, 6/15/12

 

 

32,160

 

 

250

 

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

 

 

192,500

 

 

100

 

Masonite Intl. Corp., 11.00%, 4/06/15 (Canada)

 

 

84,500

 

 

110

 

Nortek, Inc., 8.50%, 9/01/14

 

 

97,350

 

 

335

 

North American Energy Partners, Inc.,

 

 

 

 

 

 

 

8.75%, 12/01/11 (Canada)

 

 

338,350

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

942,310

 

 

Commercial Services—0.7%

 

 

 

 

 

100

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

104,500

 

 

145

2

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

141,375

 

 

100

2

U.S. Investigations Services, Inc., 10.50%, 11/01/15

 

 

95,250

 

 

 

 

 

 

     

 

 

 

Total Commercial Services

 

 

341,125

 

 

Consumer Products—6.9%

 

 

 

 

 

265

3

Ames True Temper, Inc., 9.243%, 1/15/12

 

 

254,400

 

 

20

3

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,

 

 

 

 

 

 

 

8.058%, 5/15/14

 

 

19,750

 

 

70

2

Bausch & Lomb, Inc., 9.875%, 11/01/15

 

 

72,100

 

 

50

2

Beverages & More, Inc., 9.25%, 3/01/12

 

 

51,500

 

 

130

 

Buffets, Inc., 12.50%, 11/01/14

 

 

84,175

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

280

3

10.009%, 3/15/14

 

 

269,500

 

 

250

 

10.75%, 3/15/15

 

 

243,125

 

 

150

 

Jarden Corp., 7.50%, 5/01/17

 

 

142,500

 

 

475

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

427,500

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

260

 

10.00%, 11/01/14

 

 

261,950

 

 

330

 

11.375%, 11/01/16

 

 

329,175

 

 

20

 

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

 

 

21,100

 

 

265

 

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

 

 

258,375

 

 

100

 

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

 

 

93,250

 

 

120

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

129,830

 

 

 

 

Rite Aid Corp.,

 

 

 

 

 

400

 

7.50%, 3/01/17

 

 

372,000

 

 

80

2

9.375%, 12/15/15

 

 

73,800

 

 

 

 

Sally Holdings LLC,

 

 

 

 

 

35

 

9.25%, 11/15/14

 

 

35,175

 

 

270

 

10.50%, 11/15/16

 

 

268,650

 

 

110

 

Yankee Acquisition Corp., Ser. B, 9.75%, 2/15/17

 

 

101,750

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

3,509,605

 

 

Containers & Packaging—3.3%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

340

 

8.875%, 9/15/14

 

 

348,500

 

 

100

3

9.569%, 9/15/14

 

 

100,250

 

 

85

 

Crown Americas LLC/Crown Americas Capital Corp.,

 

 

 

 

 

 

 

7.75%, 11/15/15

 

 

87,550

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

17

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007  

BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Containers & Packaging—(cont’d)

 

 

 

 

$

110

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

$

109,175

 

 

30

 

Graphic Packaging Intl. Corp., 9.50%, 8/15/13

 

 

31,500

 

 

270

2,3

Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)

 

 

268,584

 

 

310

 

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

 

 

337,900

 

 

375

 

Smurfit-Stone Container Enterprises, Inc.,

 

 

 

 

 

 

 

8.00%, 3/15/17

 

 

372,656

 

 

 

 

 

 

     

 

 

 

Total Containers & Packaging

 

 

1,656,115

 

 

Ecological Services & Equipment—0.8%

 

 

 

 

 

270

 

Aleris Intl., Inc., 9.00%, 12/15/14

 

 

243,675

 

 

185

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

185,000

 

 

 

 

 

 

     

 

 

 

Total Ecological Services & Equipment

 

 

428,675

 

 

Energy—15.9%

 

 

 

 

 

 

130

 

AES Red Oak LLC, Ser. A, 8.54%, 11/30/19

 

 

139,162

 

 

80

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

81,600

 

 

100

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

93,250

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

90

 

6.375%, 6/15/15

 

 

87,300

 

 

250

 

6.625%, 1/15/16

 

 

245,000

 

 

20

 

6.875%, 11/15/20

 

 

19,550

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

50

 

7.50%, 5/15/15

 

 

51,000

 

 

80

 

7.75%, 5/15/17

 

 

82,400

 

 

115

 

Compton Petroleum Finance Corp.,

 

 

 

 

 

 

 

7.625%, 12/01/13 (Canada)

 

 

110,113

 

 

70

 

Copano Energy LLC, 8.125%, 3/01/16

 

 

71,925

 

 

407

2,3

Corral Finans AB, 6.855%, 4/15/10 (Sweden)

 

 

384,865

 

 

30

 

Denbury Resources, Inc., 7.50%, 12/15/15

 

 

30,450

 

 

260

1

East Cameron Gas Co., 11.25%, 7/09/19
(Cayman Islands)

 

 

249,600

 

 

480

 

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

 

 

492,337

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

40

 

6.00%, 7/15/15

 

 

36,200

 

 

30

 

7.25%, 12/01/17

 

 

28,725

 

 

475

2

Energy Future Holdings, 11.25%, 11/01/17

 

 

480,937

 

 

370

 

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

 

 

365,375

 

 

190

2

Forest Oil Corp., 7.25%, 6/15/19

 

 

190,000

 

 

65

 

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

 

 

64,675

 

 

50

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

50,250

 

 

97

 

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

 

 

107,670

 

 

5

 

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

 

 

4,763

 

 

440

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

433,400

 

 

96

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

103,203

 

 

350

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

353,937

 

 

30

 

Newfield Exploration Co., 6.625%, 9/01/14

 

 

29,475

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

130

 

7.25%, 2/01/14

 

 

130,000

 

 

385

 

7.375%, 2/01/16

 

 

384,037

 

 

440

2

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

441,100

 

 

345

 

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

 

 

381,225

 

 

185

 

Range Resources Corp., 7.375%, 7/15/13

 

 

188,237

 

 

130

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

127,400

 

 

210

2

SemGroup LP, 8.75%, 11/15/15

 

 

201,600

 

 

40

 

Sithe Independence Funding, Ser. A, 9.00%, 12/30/13

 

 

42,349

 

 

200

2

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

 

 

202,000

 

 

160

 

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

 

 

186,512

 

 

450

2

Texas Competitive Electric Holdings Co. LLC,

 

 

 

 

 

 

 

10.25%, 11/01/15

 

 

452,250

 

 

400

 

Transcontinental Gas Pipe Line Corp., Ser. B,

 

 

 

 

 

 

 

8.875%, 7/15/12

 

 

449,000

 

 

495

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

486,963

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

8,059,835

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Entertainment & Leisure—4.8%

 

 

 

 

$

150

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

$

162,375

 

 

125

2

French Lick Resorts & Casino LLC/French Lick
Resorts & Casino Corp., 10.75%, 4/15/14

 

 

99,375

 

 

 

 

Gaylord Entertainment Co.,

 

 

 

 

 

280

 

6.75%, 11/15/14

 

 

271,600

 

 

40

 

8.00%, 11/15/13

 

 

40,700

 

 

320

2

Great Canadian Gaming Corp., 7.25%, 2/15/15 (Canada)

 

 

318,400

 

 

185

2

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

184,075

 

 

210

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

154,875

 

 

60

 

MGM Mirage, 6.75%, 9/01/12

 

 

59,100

 

 

200

2

Pinnacle Entertainment, Inc., 7.50%, 6/15/15

 

 

193,000

 

 

115

 

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

 

 

110,400

 

 

140

 

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

 

 

141,050

 

 

140

2

Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15

 

 

140,700

 

 

50

 

Station Casinos, Inc., 6.625%, 3/15/18

 

 

39,625

 

 

60

3

Travelport LLC, 10.246%, 9/01/14

 

 

60,300

 

 

435

 

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

 

 

411,075

 

 

70

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,

 

 

 

 

 

 

 

6.625%, 12/01/14

 

 

68,775

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

2,455,425

 

 

Financial Institutions—10.6%

 

 

 

 

 

500

 

AES Red Oak LLC, Ser. B, 9.20%, 11/30/29

 

 

568,750

 

 

300

2

Alliant Holdings I, Inc., 11.00%, 5/01/15

 

 

288,750

 

 

 

 

American Real Estate Partners LP/American Real Estate

 

 

 

 

 

 

 

Finance Corp.,

 

 

 

 

 

185

 

7.125%, 2/15/13

 

 

180,375

 

 

300

 

8.125%, 6/01/12

 

 

302,250

 

 

112

2,3

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

107,084

 

 

500

2

Dow Jones CDX HY, Ser. 6-T1, 8.625%, 6/29/11

 

 

528,050

 

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

500

 

7.80%, 6/01/12

 

 

469,787

 

 

110

3

7.993%, 1/13/12

 

 

101,835

 

 

40

 

General Motors Acceptance Corp. LLC, 8.00%, 11/01/31

 

 

36,973

 

 

 

 

Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC,

 

 

 

 

 

75

 

9.75%, 11/15/14

 

 

82,312

 

 

100

3

10.058%, 11/15/14

 

 

103,500

 

 

442

2

iPayment Investors LP, 11.625%, 7/15/14

 

 

455,155

 

 

120

 

iPayment, Inc., 9.75%, 5/15/14

 

 

115,200

 

 

 

 

LVB Acquisition Merger Sub, Inc.,

 

 

 

 

 

75

2

10.00%, 10/15/17

 

 

77,063

 

 

75

2

10.375%, 10/15/17

 

 

75,938

 

 

100

2

11.625%, 10/15/17

 

 

101,875

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

175

2

9.75%, 12/01/14

 

 

170,625

 

 

40

2

10.125%, 12/01/14

 

 

38,600

 

 

285

2

11.50%, 12/01/16

 

 

275,025

 

 

70

2

NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25

 

 

69,300

 

 

220

2,3

PNA Intermediate Holding Corp., 12.36%, 2/15/13

 

 

216,150

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

310

2

8.75%, 9/01/12

 

 

322,400

 

 

318

2

10.375%, 9/01/14

 

 

349,800

 

 

100

2,3

USI Holdings Corp., 9.433%, 11/15/14

 

 

93,000

 

 

30

3

Universal City Florida Holding Co. I/II, 9.661%, 5/01/10

 

 

30,675

 

 

300

2

Wimar Opco LLC/Wimar Opco Finance Corp.,

 

 

 

 

 

 

 

9.625%, 12/15/14

 

 

225,000

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

5,385,472

 

 

Health Care—3.7%

 

 

 

 

 

165

 

Accellent, Inc., 10.50%, 12/01/13

 

 

155,512

 

 

180

3

Angiotech Pharmaceuticals, Inc.,

 

 

 

 

 

 

 

9.371%, 12/01/13 (Canada)

 

 

178,200

 

 

140

2

Community Health Systems, Inc., 8.875%, 7/15/15

 

 

141,750

 

 

100

 

Cooper Cos., Inc. (The), 7.125%, 2/15/15

 

 

99,000

 

 

135

 

Norcross Safety Products LLC/Norcross Capital Corp.,

 

 

 

 

 

 

 

9.875%, 8/15/11

 

 

140,063

 

 

150

2

PTS Acquisition Corp., 9.50%, 4/15/15

 

 

144,750

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

18



 

 


 

Portfolio of Investments as of October 31, 2007  

BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Health Care—(cont’d)

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

$

615

 

6.50%, 6/01/12

 

$

521,212

 

 

50

 

9.875%, 7/01/14

 

 

45,500

 

 

230

 

United Surgical Partners Intl., Inc., 8.875%, 5/01/17

 

 

234,600

 

 

 

 

Universal Hospital Services, Inc.,

 

 

 

 

 

50

2

8.50%, 6/01/15

 

 

50,875

 

 

50

2,3

8.759%, 6/01/15

 

 

50,125

 

 

115

2

Viant Holdings, Inc., 10.125%, 7/15/17

 

 

108,100

 

 

 

 

 

 

     

 

 

 

Total Health Care

 

 

1,869,687

 

 

Industrials—3.9%

 

 

 

 

 

 

200

2

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

 

 

197,000

 

 

30

2

Blaze Recycling & Metals LLC/Blaze Finance Corp.,

 

 

 

 

 

 

 

10.875%, 7/15/12

 

 

30,000

 

 

 

 

Harland Clarke Holdings Corp.,

 

 

 

 

 

60

 

9.50%, 5/15/15

 

 

54,600

 

 

50

3

10.308%, 5/15/15

 

 

45,000

 

 

80

 

Hexcel Corp., 6.75%, 2/01/15

 

 

78,600

 

 

200

 

Leucadia National Corp., 8.125%, 9/15/15

 

 

201,750

 

 

85

 

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

 

 

79,263

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

85

 

8.875%, 9/01/16

 

 

86,062

 

 

340

 

9.50%, 8/01/14

 

 

351,050

 

 

280

 

11.75%, 8/01/16

 

 

296,800

 

 

510

2

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

 

 

489,600

 

 

55

 

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

 

 

55,275

 

 

 

 

 

 

     

 

 

 

Total Industrials

 

 

1,965,000

 

 

Media—12.1%

 

 

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

215

 

10.125%, 10/15/13

 

 

224,137

 

 

175

 

11.50%, 10/15/15

 

 

182,437

 

 

35

 

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

 

 

33,513

 

 

80

2

Bonten Media Acquisition Co., 9.00%, 6/01/15

 

 

73,500

 

 

290

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

266,437

 

 

45

 

CSC Holdings, Inc., Ser. B, 7.625%, 4/01/11

 

 

44,888

 

 

175

3

Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09

 

 

179,812

 

 

60

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

58,500

 

 

270

 

Charter Communications Holdings I LLC/Charter

 

 

 

 

 

 

 

Communications Holdings I Capital Corp.,

 

 

 

 

 

 

 

11.00%, 10/01/15

 

 

261,575

 

 

 

 

Charter Communications Holdings II LLC/Charter

 

 

 

 

 

 

 

Communications Holdings II Capital Corp.,

 

 

 

 

 

810

 

10.25%, 9/15/10

 

 

826,200

 

 

75

 

Ser. B, 10.25%, 9/15/10

 

 

76,313

 

 

50

 

Dex Media West LLC/Dex Media Finance Co., Ser. B,

 

 

 

 

 

 

 

9.875%, 8/15/13

 

 

53,313

 

 

125

 

DirecTV Holdings LLC/DirecTV Financing Co.,

 

 

 

 

 

 

 

8.375%, 3/15/13

 

 

130,625

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

200

 

7.00%, 10/01/13

 

 

208,250

 

 

260

 

7.125%, 2/01/16

 

 

271,700

 

 

125

2,3

ION Media Networks, Inc., 8.493%, 1/15/12

 

 

125,313

 

 

320

 

Idearc, Inc., 8.00%, 11/15/16

 

 

320,800

 

 

290

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

291,812

 

 

325

 

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

 

 

312,000

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

170

4

9.115%, 8/01/16

 

 

122,825

 

 

445

 

10.00%, 8/01/14

 

 

468,362

 

 

35

2

Quebecor Media, Inc., 7.75%, 3/15/16 (Canada)

 

 

33,775

 

 

 

 

RH Donnelley Corp.,

 

 

 

 

 

100

2

8.875%, 10/15/17

 

 

100,000

 

 

275

 

Ser. A-3, 8.875%, 1/15/16

 

 

275,000

 

 

590

2

TL Acquisitions, Inc., 10.50%, 1/15/15

 

 

587,050

 

 

180

2

Univision Communications, Inc., 9.75%, 3/15/15

 

 

176,400

 

 

280

 

Vertis, Inc., 9.75%, 4/01/09

 

 

280,000

 

 

175

 

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

 

 

164,500

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

6,149,037

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Real Estate—1.4%

 

 

 

 

 

 

 

 

 

Realogy Corp.,

 

 

 

 

$

240

2

10.50%, 4/15/14

 

$

199,500

 

 

380

2

11.00%, 4/15/14

 

 

309,700

 

 

265

2

12.375%, 4/15/15

 

 

193,450

 

 

 

 

 

 

     

 

 

 

Total Real Estate

 

 

702,650

 

 

Technology—6.3%

 

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

40

 

7.75%, 5/15/13

 

 

38,700

 

 

235

 

9.25%, 6/01/16

 

 

240,288

 

 

60

 

Belden, Inc., 7.00%, 3/15/17

 

 

60,900

 

 

350

 

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

 

 

336,000

 

 

180

 

Coleman Cable, Inc., 9.875%, 10/01/12

 

 

177,300

 

 

430

2

First Data Corp., 9.875%, 9/24/15

 

 

411,725

 

 

530

 

Freescale Semiconductor, Inc., 9.125%, 12/15/14

 

 

479,650

 

 

 

 

NXP BV/NXP Funding LLC (Netherlands)

 

 

 

 

 

125

3

7.993%, 10/15/13

 

 

118,438

 

 

150

 

9.50%, 10/15/15

 

 

141,750

 

 

190

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

166,725

 

 

190

2,3

Spansion, Inc., 8.746%, 6/01/13

 

 

180,025

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

85

 

9.125%, 8/15/13

 

 

86,700

 

 

465

 

10.25%, 8/15/15

 

 

484,762

 

 

305

 

Superior Essex Communications LLC/Essex Group, Inc.,

 

 

 

 

 

 

 

9.00%, 4/15/12

 

 

301,187

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

3,224,150

 

 

Telecommunications—16.6%

 

 

 

 

 

2,000

5

Asia Global Crossing Ltd., 13.375%, 10/15/10 (Bermuda)

 

 

180,000

 

 

 

 

Centennial Communications Corp.,

 

 

 

 

 

455

 

8.125%, 2/01/14

 

 

464,100

 

 

220

3

10.981%, 1/01/13

 

 

226,600

 

 

405

 

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

 

 

406,012

 

 

 

 

Cricket Communications, Inc.,

 

 

 

 

 

115

 

9.375%, 11/01/14

 

 

114,138

 

 

230

2

9.375%, 11/01/14

 

 

228,275

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

130

2

8.875%, 1/15/15

 

 

121,394

 

 

394

2

9.125%, 1/15/15

 

 

368,276

 

 

260

 

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

 

 

275,600

 

 

100

3

Hawaiian Telcom Communications, Inc., Ser. B,

 

 

 

 

 

 

 

10.318%, 5/01/13

 

 

101,250

 

 

90

3

iPCS, Inc., 7.036%, 5/01/13

 

 

87,750

 

 

320

 

Intelsat Corp., 9.00%, 6/15/16

 

 

327,200

 

 

40

 

Intelsat Intermediate Holding Co. Ltd.,

 

 

 

 

 

 

 

9.25%, 2/01/15 (Bermuda)

 

 

32,900

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

295

3

8.886%, 1/15/15

 

 

299,425

 

 

150

 

9.25%, 6/15/16

 

 

155,625

 

 

70

 

11.25%, 6/15/16

 

 

75,250

 

 

320

3

11.409%, 6/15/13

 

 

333,600

 

 

245

 

Intelsat Subsidiary Holding Co. Ltd.,

 

 

 

 

 

 

 

8.625%, 1/15/15 (Bermuda)

 

 

248,675

 

 

565

2

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

560,763

 

 

445

2

Nordic Telephone Co. Holdings A.p.S.,

 

 

 

 

 

 

 

8.875%, 5/01/16 (Denmark)

 

 

470,587

 

 

245

2,3

Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)

 

 

241,938

 

 

 

 

PanAmSat Corp.,

 

 

 

 

 

210

 

6.875%, 1/15/28

 

 

177,450

 

 

270

 

9.00%, 8/15/14

 

 

275,400

 

 

394

2,3

ProtoStar I Ltd., 12.50%, 10/15/12 (Bermuda)

 

 

413,758

 

 

 

 

Qwest Corp.,

 

 

 

 

 

600

 

7.875%, 9/01/11

 

 

633,000

 

 

230

3

8.944%, 6/15/13

 

 

245,237

 

 

 

 

West Corp.,

 

 

 

 

 

125

 

9.50%, 10/15/14

 

 

128,438

 

 

475

 

11.00%, 10/15/16

 

 

497,562

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

19

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 



Portfolio of Investments
as of October 31, 2007


BlackRock High Yield Trust (BHY) (concluded)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Telecommunications—(cont’d)

 

 

 

 

$

375

2

Wind Acquisition Finance S.A., 10.75%,

 

   

 

     

12/01/15 (Luxembourg)

 

$

417,187

 

 

 

 

Windstream Corp.,

 

 

 

 

 

200

 

8.125%, 8/01/13

 

 

211,500

 

 

120

 

8.625%, 8/01/16

 

 

128,400

 

 

 

 

 

 

     

 

 

 

Total Telecommunications

 

 

8,447,290

 

 

Transportation—2.2%

 

 

 

 

 

95

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

93,813

 

 

60

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

63,000

 

 

170

 

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

 

 

164,475

 

 

320

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14
(Marshall Islands)

 

 

338,400

 

 

350

 

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

 

 

342,125

 

 

200

2

St. Acquisition Corp., 12.50%, 5/15/17

 

 

127,500

 

 

 

 

 

 

     

 

 

 

Total Transportation

 

 

1,129,313

 

 

 

 

 

 

     

 

 

 

Total Corporate Bonds

 

 

55,956,608

 

 

Bank Loans—5.2%

 

 

 

 

 

325

 

Affinion Group, Inc., LIBOR + 6.25%, 3/01/12

 

 

315,792

 

 

50

 

Rexnord Holdings, Inc., LIBOR + 6.25%, 3/02/13

 

 

46,814

 

 

50

 

Riverdeep Interactive Learning USA, Inc.,
LIBOR + 7.20%, 12/19/14

 

 

49,337

 

 

252

 

Rotech Healthcare, LIBOR + 6.00%, 9/26/11

 

 

244,105

 

 

430

 

ServiceMaster Co. (The), LIBOR + 4.50%, 6/19/08

 

 

397,212

 

 

85

 

Spectrum Brands, Inc., LIBOR + 4.00% , 4/15/13

 

 

83,741

 

 

750

 

Texas Competitive Electric Holdings Co. LLC,
LIBOR + 3.50%, 10/10/14

 

 

749,785

 

 

394

 

Travelport Holdco, LIBOR + 7.00%, 3/22/12

 

 

379,314

 

 

400

 

Verso Paper Finance Holdings LLC,
LIBOR + 6.25%, 2/01/13

 

 

389,000

 

 

 

 

 

 

     

 

 

 

Total Bank Loans

 

 

2,655,100

 

 

 

 

 

 

 

 

 

 



Shares

 

 

 

 

 

 

 

Common Stocks—0.8%

 

 

 

 

 

4,737

1,6

Critical Care Systems Intl., Inc.

 

 

29,606

 

 

14,992

1,6

Mattress Discounters Corp.

 

 

 

 

68,358

6

Neon Communications Group, Inc.

 

 

352,044

 

 

 

 

 

 

     

 

 

 

Total Common Stocks

 

 

381,650

 

 

Preferred Stock—0.0%

 

 

 

 

 

40,000

1

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

24,800

 

 

 

 

 

 

 

 

 

 


Units
(000)

 

 

 

 

 

 

 

Warrants—0.0%

 

 

 

 

 

 

54

1,2,7

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

 

 

1

 

 

1,2,6,7

PF. Net Communications, Inc., expires 5/15/10,

 

 

 

 

      strike price $0.01, 36.87243 shares for 1 warrant    
 

 

 

 

 

 

     

 

 

 

Total Warrants

 

 

1

 

 

 

 

 

 

     

 

 

 

Total Long-Term Investments

 

 

 

 

 

 

 

(cost $62,270,501)

 

 

59,018,159

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

SHORT-TERM INVESTMENT—1.2%

 

 

 

 

U.S. Government and Agency Discount Notes—1.2%

 

 

 

 

$

600

8

Federal Home Loan Bank Disc. Notes,

 

   

 

 

 

 

4.401%, 11/01/07 (cost $600,000)

 

$ 

600,000

 

 

Total Investments—117.4% (cost $62,870,5019)

 

 

59,618,159

 

Liabilities in excess of other assets—(17.4)%

 

 

(8,835,903

)

 

 

     

Net Assets—100%

 

$

50,782,256

 

 

 

     

 

         

 

 

1

Security is fair valued.

 

 

2

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2007, the Trust held 30.1% of its net assets, with a current market value of $15,307,398, in securities restricted as to resale.

 

 

3

Variable rate security. Rate shown is interest rate as of October 31, 2007.

 

 

4

Represents a step up bond; the interest rate shown reflects the effective yield at the time of purchase.

 

 

5

Issuer is in default and/or bankruptcy.

 

 

6

Non-income producing security.

 

 

7

Illiquid security. As of October 31, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $1, in these securities.

 

 

8

Rate shown is the yield to maturity as of the date of purchase.

 

 

9

Cost for federal income tax purposes is $62,884,976. The net unrealized depreciation on a tax basis is $3,266,817, consisting of $1,051,387 gross unrealized appreciation and $4,318,204 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

20



 

 




Portfolio of Investments
as of October 31, 2007


BlackRock Income Opportunity Trust (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 

 

LONG-TERM INVESTMENTS—167.7%

 

 

 

 

Mortgage Pass-Through Securities—60.2%

 

 

 

 

$

5,047

1

Citigroup Mortgage Loan Trust, Inc., Ser. 4, Class A,
5.345%, 8/25/35

 

$

4,923,530

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

651

1

4.207%, 1/01/35

 

 

661,712

 

 

1,455

1,2

5.067%, 1/01/35

 

 

1,436,926

 

 

4,000

 

TBA, 5.50%, 12/12/37

 

 

3,935,000

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

498

 

5.00%, 1/01/37-4/01/37

 

 

477,395

 

 

13,179

2

5.00%, 7/01/35

 

 

12,661,887

 

 

13,497

 

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

 

 

13,465,940

 

 

335

3

5.50%, 12/01/32

 

 

331,440

 

 

6,848

2,3

5.50%, 1/01/33

 

 

6,769,130

 

 

14,910

2

5.50%, 7/01/16-6/01/36

 

 

14,806,796

 

 

747

 

6.00%, 3/01/16-1/01/37

 

 

760,348

 

 

897

2

6.00%, 6/01/37

 

 

903,619

 

 

89

 

7.00%, 2/01/24-8/01/36

 

 

92,148

 

 

115,700

 

TBA, 5.50%, 12/01/99

 

 

114,000,598

 

 

30,300

 

TBA, 6.00%, 11/13/37-12/12/37

 

 

30,491,251

 

 

17,400

 

TBA, 6.50%, 12/12/37

 

 

17,786,071

 

 

97

 

Government National Mortgage Assoc.,
8.00%, 4/15/24-6/15/25

 

 

103,077

 

 

5,168

1

GSR Mortgage Loan Trust, Ser. AR4, Class 6A1,
5.25%, 7/25/35

 

 

5,025,408

 

 

 

 

 

 

     

 

 

 

Total Mortgage Pass-Through Securities

 

 

228,632,276

 

 

Federal Housing Administration Securities—1.0%

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,

 

 

 

 

 

190

 

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

 

 

191,819

 

 

77

 

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

 

 

77,296

 

 

 

 

Merrill Projects,

 

 

 

 

 

50

4

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

 

 

50,662

 

 

49

4

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

 

 

49,745

 

 

1,715

 

Reilly Project, Ser. B-11, 7.40%, 4/01/21

 

 

1,732,569

 

 

1,710

 

Westmore Project, 7.25%, 4/01/21

 

 

1,726,757

 

 

 

 

 

 

     

 

 

 

Total Federal Housing Administration Securities

 

 

3,828,848

 

 

Agency Multiple Class Mortgage Pass-Through Securities—6.5%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1

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

 

 

4

 

 

 

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

 

 

740

 

 

3,156

 

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

 

 

3,208,113

 

 

6,000

 

Ser. 2874, Class BC, 5.00%, 10/15/19

 

 

5,832,895

 

 

1,390

 

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

 

 

1,344,446

 

 

1,725

 

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

 

 

1,749,053

 

 

7,182

 

Ser. 3174, Class PZ, 5.00%, 1/15/36

 

 

6,420,018

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

2,858

 

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

 

 

2,850,583

 

 

 

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

 

 

9,533

 

 

1,571

1

Ser. 118, Class FD, 5.273%, 12/25/33

 

 

1,559,544

 

 

1,525

 

Government National Mortgage Assoc., Ser. 65,
Class VA, 6.00%, 6/20/15

 

 

1,554,302

 

 

 

 

 

 

     

 

 

 

Total Agency Multiple Class Mortgage
Pass-Through Securities

 

 

24,529,231

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—7.5%

 

 

 

 

 

1,700

 

Countrywide Alternative Loan Trust, Ser. 64CB,
Class 1A15, 5.50%, 12/25/35

 

 

1,598,490

 

 

3,025

1

CW Capital Cobalt Ltd., Ser. C3, Class A4,
5.82%, 5/15/46

 

 

3,108,306

 

 

2,369

 

Donaldson, Lufkin & Jenrette Commercial Mortgage Corp.,
Class A 1B, 7.18%, 11/10/33

 

 

2,478,743

 

 

2,630

 

First Union-Lehman Brothers-Bank of America,
Ser. C2, Class D, 6.778%, 11/18/35

 

 

2,786,483

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—(cont’d)

 

 

 

 

$

2,310

 

GE Capital Commercial Mortgage Corp., Ser. 1A,
Class A3, 6.269%, 12/10/35

 

$

2,394,614

 

 

2,580

 

General Motor Acceptance Corp. Commercial Mortgage
Securities, Inc., Ser. C4, Class A2, 4.93%, 7/10/39

 

 

2,534,713

 

 

1,065

 

JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. LDP9, Class A3, 5.336%, 5/15/47

 

 

1,039,030

 

 

2,500

1

LB-UBS Commercial Mortgage Trust, Ser. C6, Class A4,
5.858%, 7/20/40

 

 

2,532,404

 

 

1,105

1

Morgan Stanley Capital I, Ser. T27, Class A4, 5.651%,
6/11/42

 

 

1,110,211

 

 

7,077

 

Residential Funding Securities Corp., Ser. RM2,
Class AI5, 8.50%, 5/25/33

 

 

7,557,206

 

 

2

1,5,6

Summit Mortgage Trust, Ser. 1, Class B1,
6.611%, 12/28/12

 

 

2,055

 

 

1,105

1

Wachovia Bank Commercial Mortgage Trust, Ser. C33,
Class A4, 5.903%, 2/15/51

 

 

1,130,221

 

 

300

1

Wells Fargo Mortgage Backed Securities Trust,
Ser. AR4, Class 2A4, 5.774%, 4/25/36

 

 

292,254

 

 

 

 

 

 

     

 

 

 

Total Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

 

28,564,730

 

 

Inverse Floating Rate Mortgage Securities—0.4%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

7

1

Ser. 1043, Class H, 21.938%, 2/15/21

 

 

6,728

 

 

1

Ser. 1148, Class E, 592.552%, 10/15/21

 

 

254

 

 

401

1

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

 

 

415,923

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

1

Ser. 7, Class S, 594.704%, 3/25/21

 

 

3,020

 

 

1

Ser. 10, Class S, 575.455%, 5/25/21

 

 

9,122

 

 

1

Ser. 12, Class S, 608.135%, 5/25/21

 

 

7,929

 

 

1

Ser. 17, Class S, 580.114%, 6/25/21

 

 

4,623

 

 

970

1

Ser. 23, Class PS, 9.565%, 4/25/23

 

 

997,875

 

 

1

Ser. 46, Class S, 1,402.625%, 5/25/21

 

 

3,397

 

 

1

Ser. 49, Class S, 527.80%, 12/25/21

 

 

1,620

 

 

54

1

Ser. 87, Class S, 13.764%, 8/25/21

 

 

66,182

 

 

 

 

 

 

     

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,516,673

 

 

Asset-Backed Securities—11.6%

 

 

 

 

 

1,171

1

Ameriquest Mortgage Securities, Inc., Ser. R11,
Class A1, 5.175%, 11/25/34

 

 

1,130,435

 

 

3,025

 

Capital Auto Receivables Asset Trust, Ser. 1, Class A3,
5.03%, 10/15/09

 

 

3,023,858

 

 

 

 

Chase Issuance Trust,

 

 

 

 

 

2,600

 

Ser. A17, Class A, 5.12%, 10/15/14

 

 

2,617,368

 

 

2,650

1

Ser. A3, 5.081%, 7/15/11

 

 

2,642,849

 

 

3,100

 

Chase Manhattan Auto Owner Trust, Ser. B, Class A4,
4.88%, 6/15/12

 

 

3,101,824

 

 

3,125

 

Citibank Credit Card Issuance Trust, Ser. A2, Class A2,
4.85%, 2/10/11

 

 

3,126,616

 

 

251

1

Countrywide Asset-Backed Certificates, Ser. 16, Class
4AV1, 4.973%, 1/25/35

 

 

250,395

 

 

2,683

 

DaimlerChrysler Auto Trust, Ser. A, Class A3,
5.00%, 5/08/10

 

 

2,682,987

 

 

2,575

1

Discover Card Master Trust I, Ser. 1, Class A,
5.101%, 9/16/10

 

 

2,573,534

 

 

2,829

 

Ford Credit Auto Owner Trust, Ser. A, Class A3,
5.07%, 11/15/09

 

 

2,828,664

 

 

2,550

 

Harley-Davidson Motorcycle Trust, Ser. 2, Class A2,
4.07%, 2/15/12

 

 

2,532,184

 

 

2,500

 

Maryland Trust, Ser. 1, Class A, 5.55%, 12/10/65

 

 

2,371,875

 

 

 

 

MBNA Credit Card Master Note Trust,

 

 

 

 

 

3,075

 

Ser. A1, Class A, 4.90%, 7/15/11

 

 

3,080,667

 

 

4,050

1

Ser. A4, 5.081%, 9/15/11

 

 

4,039,664

 

 

 

 

Morgan Stanley ABS Capital I,

 

 

 

 

 

1,483

1

Ser. HE5, Class A2A, 4.943%, 8/25/36

 

 

1,470,690

 

 

1,094

1

Ser. NC4, Class A2A, 4.903%, 6/25/36

 

 

1,088,057

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

21

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Income Opportunity Trust (BNA) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Asset-Backed Securities—(cont’d)

 

 

 

 

$

65

1

New Century Home Equity Loan Trust, Ser. C,
Class A2A, 4.953%, 1/25/36

 

$

64,997

 

 

520

1

Structured Asset Investment Loan Trust, Ser. 1,
Class A1, 4.953%, 1/25/36

 

 

518,334

 

 

2,517

 

USAA Auto Owner Trust, Ser. 1, Class A3, 5.01%,
9/15/10

 

 

2,517,258

 

 

2,275

 

Wachovia Auto Owner Trust, Ser. A, Class A4,
5.38%, 3/20/13

 

 

2,300,691

 

 

 

 

 

 

     

 

 

 

Total Asset-Backed Securities

 

 

43,962,947

 

 

Interest Only Asset-Backed Securities— 0.2%

 

 

 

 

 

24

1,5

Morgan Stanley Capital Trust I, Ser. HF1, Class X,
2.25%, 6/15/17

 

 

1

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

12,656

 

Ser. 1, 2.365%, 4/15/29

 

 

561,620

 

 

10,991

5

Ser. 2, 2.081%, 3/30/30

 

 

295,381

 

 

 

 

 

 

     

 

 

 

Total Interest Only Asset-Backed Securities

 

 

857,002

 

 

Interest Only Mortgage-Backed Securities—1.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

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

 

 

32

 

 

6

Ser. 200, Class R, 93,522.906%, 12/15/22

 

 

139

 

 

1

Ser. 1054, Class I, 435.32%, 3/15/21

 

 

84

 

 

 

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

 

 

557

 

 

 

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

 

 

38

 

 

150

 

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

 

 

7

 

 

214

 

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

 

 

14,123

 

 

5,772

 

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

 

 

1,047,320

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

78

 

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

 

 

17,839

 

 

5

 

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

 

 

994

 

 

 

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

 

 

204

 

 

2

 

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

 

 

15,158

 

 

3371

 

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

 

 

10,500

 

 

10

 

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

 

 

1,821

 

 

23,975

1 

Ser. 90, Class JH, 1.828%, 11/25/34

 

 

1,341,116

 

 

3

 

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

 

 

768

 

 

 

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

 

 

2,800

 

 

 

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

 

 

530

 

 

12

1 

Ser. 136, Class S, 15.214%, 11/25/20

 

 

15,118

 

 

 

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

 

 

3,532

 

 

4,383

 

Ser. 378, Class 19, 5.00%, 6/01/35

 

 

1,146,190

 

 

3,941

1,5

Goldman Sachs Mortgage Securities Corp.,
Ser. 5, 0.97%, 2/19/25

 

 

77,590

 

 

1,176

1 

Salomon Brothers Mortgage Securities VII,
Ser. 1, 0.492%, 3/25/22

 

 

116

 

 

 

 

 

 

     

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,696,576

 

 

Principal Only Mortgage-Backed Securities—0.1%

 

 

 

 

 

82

7

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

 

 

76,238

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

67

7

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

 

 

57,780

 

 

11

7 

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

 

 

9,646

 

 

22

7

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

 

 

20,996

 

 

20

7

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

 

 

16,792

 

 

14

7

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

 

 

11,294

 

 

 

 

 

 

     

 

 

 

Total Principal Only Mortgage-Backed Securities

 

 

192,746

 

 

Commercial Mortgage-Backed Securities—5.0%

 

 

 

 

 

2,320

 

Bear Stearns Commercial Mortgage Services,
Ser. PWR7, Class A2, 4.945%, 2/11/41

 

 

2,287,635

 

 

2,970

 

Credit Suisse First Boston Mortgage Securities Corp.,
Ser. CP5, Class A2, 4.94%, 12/15/35

 

 

2,912,454

 

 

2,400

1

Credit Suisse Mortgage Capital Certificates,
Ser. C2, Class A3, 5.542%, 1/15/49

 

 

2,374,889

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Commercial Mortgage-Backed Securities—(cont’d)

 

 

 

 

$

2,067

 

First Union National Bank Commercial Mortgage Trust,
Ser. C2, Class A2, 7.202%, 10/15/32

 

$

2,165,673

 

 

2,475

 

General Motors Acceptance Corp. Commercial Mortgage
Securities, Inc., Ser. C3, Class A4, 4.547%, 12/10/41

 

 

2,412,505

 

 

 

 

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

1,990

 

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

 

 

2,032,092

 

 

2,380

 

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

 

 

2,327,152

 

 

2,530

1

Lehman Brothers-UBS Commercial Mortgage Trust,
Ser. C4, Class A3, 4.972%, 6/15/29

 

 

2,538,263

 

 

 

 

 

 

     

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

19,050,663

 

 

Collateralized Mortgage Obligation Residual Securities—0.0%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust,

 

 

 

 

 

6

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

 

 

156

 

 

6

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

 

 

1,602

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

6

Ser. 19, Class R, 9,427.22%, 3/15/20

 

 

1,373

 

 

6

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

 

 

2

 

 

6

Ser. 75, Class RS, 12.479%, 1/15/21

 

 

2

 

 

6

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

 

 

10

 

 

6

Ser. 173, Class RS, 9.029%, 11/15/21

 

 

11

 

 

6

6,8

Painewebber CMO Trust, Ser. 88 M, Class 6,
13.80%, 9/01/18

 

 

 

 

 

 

 

 

     

 

 

 

Total Collateralized Mortgage Obligation Residual Securities

 

 

3,156

 

 

Corporate Bonds—64.0%

 

 

 

 

Aerospace & Defense—0.8%

 

 

 

 

 

170

5

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

176,800

 

 

1,363

 

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

 

 

1,448,187

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

80

 

6.875%, 11/01/13

 

 

80,000

 

 

80

 

7.625%, 2/01/18

 

 

81,800

 

 

15

 

Sequa Corp., 9.00%, 8/01/09

 

 

16,088

 

 

140

 

TransDigm, Inc., 7.75%, 7/15/14

 

 

142,450

 

 

1,250

2

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

 

 

1,209,314

 

 

 

 

 

 

     

 

 

 

Total Aerospace & Defense

 

 

3,154,639

 

 

Automotive—0.3%

 

 

 

 

 

305

 

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

 

 

286,700

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

170

 

7.00%, 4/15/14

 

 

164,475

 

 

160

1 

7.243%, 4/15/13

 

 

156,400

 

 

410

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

393,600

 

 

295

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

274,350

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

1,275,525

 

 

Basic Materials—3.2%

 

 

 

 

 

485

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

356,475

 

 

1,115

 

AK Steel Corp., 7.75%, 6/15/12

 

 

1,137,300

 

 

280

 

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

 

 

287,000

 

 

90

1

Bowater, Inc., 8.694%, 3/15/10

 

 

82,350

 

 

30

 

Chemtura Corp., 6.875%, 6/01/16

 

 

28,650

 

 

230

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

230,000

 

 

80

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

79,200

 

 

171

 

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

 

 

178,695

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

1,275

 

8.375%, 4/01/17

 

 

1,396,125

 

 

360

1

8.394%, 4/01/15

 

 

371,700

 

 

 

 

Huntsman LLC,

 

 

 

 

 

72

 

12.00%, 7/15/12

 

 

78,300

 

 

230

 

11.625%, 10/15/10

 

 

243,800

 

 

1,500

5

Ineos Group Holdings Plc, 8.50%, 2/15/16
(United Kingdom)

 

 

1,425,000

 

 

975

 

Innophos, Inc., 8.875%, 8/15/14

 

 

982,312

 

 

565

5

Key Plastics LLC/Key Plastics Finance Corp.,
11.75%, 3/15/13

 

 

480,250

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

22



 

 



Portfolio of Investments
as of October 31, 2007


BlackRock Income Opportunity Trust (BNA) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Basic Materials—(cont’d)

 

 

 

 

$

130

 

Lyondell Chemical Co., 10.50%, 6/01/13

 

$

140,075

 

 

575

 

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

 

 

608,063

 

 

 

 

Noranda, Inc., (Canada)

 

 

 

 

 

600

 

6.00%, 10/15/15

 

 

604,152

 

 

1,550

 

6.20%, 6/15/35

 

 

1,489,026

 

 

1,570

 

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

 

 

1,487,178

 

 

360

 

Terra Capital, Inc., Ser. B, 7.00%, 2/01/17

 

 

360,000

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

12,045,651

 

 

Building & Development—0.2%

 

 

 

 

 

495

 

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

 

 

517,275

 

 

160

 

Nortek, Inc., 8.50%, 9/01/14

 

 

141,600

 

 

85

 

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

 

 

85,850

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

744,725

 

               

Commercial Services—0.1%

 

 

 

 

 

125

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

130,625

 

 

225

5

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

219,375

 

 

 

 

 

 

     

 

 

 

Total Commercial Services

 

 

350,000

 

               

Consumer Products—2.4%

 

 

 

 

 

720

1

Ames True Temper, Inc., 9.243%, 1/15/12

 

 

691,200

 

 

30

1

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,
8.058%, 5/15/14

 

 

29,625

 

 

850

 

CVS Caremark Corp., 6.25%, 6/01/27

 

 

845,203

 

 

840

 

Federated Retail Holdings, Inc., 5.90%, 12/01/16

 

 

801,941

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

500

1

10.009%, 3/15/14

 

 

481,250

 

 

450

 

10.75%, 3/15/15

 

 

437,625

 

 

975

 

Kimberly-Clark Corp., 6.625%, 8/01/37

 

 

1,073,433

 

 

1,670

2

Kraft Foods, Inc., 7.00%, 8/11/37

 

 

1,813,260

 

 

362

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

325,800

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

530

 

10.00%, 11/01/14

 

 

533,975

 

 

670

2

11.375%, 11/01/16

 

 

668,325

 

 

250

 

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

 

 

233,125

 

 

250

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

270,479

 

 

860

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

799,800

 

 

190

 

Sally Holdings LLC, 10.50%, 11/15/16

 

 

189,050

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

9,194,091

 

               

Containers & Packaging—0.8%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

290

 

8.875%, 9/15/14

 

 

297,250

 

 

190

1

9.569%, 9/15/14

 

 

190,475

 

 

150

 

Crown Americas LLC/Crown Americas Capital Corp.,
7.75%, 11/15/15

 

 

154,500

 

 

330

1,5

Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)

 

 

328,269

 

 

1,626

 

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

 

 

1,638,195

 

 

535

 

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

 

 

583,150

 

 

 

 

 

 

     

 

 

 

Total Containers & Packaging

 

 

3,191,839

 

               

Ecological Services & Equipment—0.8%

 

 

 

 

 

2,250

 

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

 

 

2,295,000

 

 

600

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

600,000

 

 

 

 

 

 

     

 

 

 

Total Ecological Services & Equipment

 

 

2,895,000

 

 

Energy—9.7%

 

 

 

 

 

2,625

 

Anadarko Petroleum Corp., 6.45%, 9/15/36

 

 

2,655,783

 

 

160

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

163,200

 

 

950

 

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

 

 

1,119,546

 

 

500

 

Canadian Natural Resources Ltd., 6.25%,
3/15/38 (Canada)

 

 

494,053

 

 

380

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

354,350

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

$

175

 

6.375%, 6/15/15

 

$

169,750

 

 

20

 

6.875%, 11/15/20

 

 

19,550

 

 

1,300

 

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

 

 

1,205,706

 

 

550

 

CMS Energy Corp., 6.55%, 7/17/17

 

 

533,873

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

60

 

7.50%, 5/15/15

 

 

61,200

 

 

100

 

7.75%, 5/15/17

 

 

103,000

 

 

225

 

Compton Petroleum Finance Corp., 7.625%,
12/01/13 (Canada)

 

 

215,438

 

 

150

 

Conoco Funding Co., 7.25%, 10/15/31 (Canada)

 

 

174,928

 

 

1,970

1,2

ConocoPhillips Australia Funding Co., 5.343%, 4/09/09

 

 

1,964,845

 

 

150

 

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

 

 

153,771

 

 

700

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

797,096

 

 

125

 

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

 

 

152,890

 

 

450

 

DTE Energy Co., 6.35%, 6/01/16

 

 

465,924

 

 

130

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

131,788

 

 

1,250

5

EDP Finance BV, 6.00%, 2/02/18 (Netherlands)

 

 

1,247,215

 

 

150

 

El Paso Natural Gas Co., 8.875%, 6/15/32

 

 

174,855

 

 

182

 

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

 

 

186,611

 

 

 

 

EnCana Corp. (Canada)

 

 

 

 

 

425

 

6.50%, 8/15/34

 

 

444,473

 

 

775

 

6.625%, 8/15/37

 

 

818,530

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

50

 

6.00%, 7/15/15

 

 

45,250

 

 

60

 

7.25%, 12/01/17

 

 

57,450

 

 

1,675

 

Energy East Corp., 6.75%, 7/15/36

 

 

1,727,154

 

 

435

 

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

 

 

429,562

 

 

480

 

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

 

 

495,357

 

 

575

 

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

 

 

499,059

 

 

675

 

Florida Power Corp., 6.35%, 9/15/37

 

 

708,736

 

 

90

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

90,450

 

 

255

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

251,175

 

 

800

 

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

 

 

777,262

 

 

 

 

Midamerican Energy Holdings Co.,

 

 

 

 

 

950

 

5.95%, 5/15/37

 

 

910,800

 

 

1,725

5

6.50%, 9/15/37

 

 

1,769,112

 

 

83

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

89,741

 

 

175

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

176,969

 

 

1,100

5

Nakilat, Inc., 6.067%, 12/31/33 (Qatar)

 

 

1,043,130

 

 

600

 

Nexen, Inc., 6.40%, 5/15/37 (Canada)

 

 

596,988

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

50

 

7.25%, 2/01/14

 

 

50,000

 

 

285

 

7.375%, 2/01/16

 

 

284,288

 

 

350

 

Ohio Edison Co., 6.875%, 7/15/36

 

 

366,549

 

 

500

 

ONEOK Partners LP, 6.65%, 10/01/36

 

 

509,155

 

 

490

5

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

491,225

 

 

140

 

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

 

 

154,700

 

 

650

 

Pacificorp, 6.25%, 10/15/37

 

 

667,122

 

 

1,350

 

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

 

 

1,400,680

 

 

350

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

343,000

 

 

175

 

Scottish Power Plc, 5.375%, 3/15/15 (United Kingdom)

 

 

172,442

 

 

350

5

SemGroup LP, 8.75%, 11/15/15

 

 

336,000

 

 

 

 

Southern California Edison Co.,

 

 

 

 

 

675

 

5.625%, 2/01/36

 

 

644,392

 

 

150

 

Ser. 05-E, 5.35%, 7/15/35

 

 

136,746

 

 

400

 

Suncor Energy, Inc., 6.50%, 6/15/38 (Canada)

 

 

418,711

 

 

360

5

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

 

 

363,600

 

 

600

 

Trans-Canada Pipelines Ltd., 5.85%, 3/15/36 (Canada)

 

 

575,310

 

 

1,050

 

Valero Energy Corp., 6.625%, 6/15/37

 

 

1,081,095

 

 

2,200

 

Virginia Electric & Power Co., Ser. A, 6.00%, 5/15/37

 

 

2,161,727

 

 

625

5

Weatherford Int’l., Inc., 6.80%, 6/15/37

 

 

655,387

 

 

415

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

407,938

 

 

2,125

 

XTO Energy, Inc., 6.75%, 8/01/37

 

 

2,279,462

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

36,976,099

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

23

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Income Opportunity Trust (BNA) (continued)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Entertainment & Leisure—0.9%

 

 

 

 

$

185

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

$

200,262

 

 

250

 

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

 

 

242,500

 

 

325

5

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

323,375

 

 

185

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

136,437

 

 

2,000

 

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

 

 

2,027,500

 

 

290

 

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

 

 

292,175

 

 

25

 

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

 

 

24,563

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

3,246,812

 

               

Financial Institutions—20.9%

 

 

 

 

 

350

 

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

 

 

341,250

 

 

 

 

Bank of America Corp.,

 

 

 

 

 

2,850

2

6.00%, 9/01/17

 

 

2,905,373

 

 

2,450

2

7.80%, 2/15/10

 

 

2,597,750

 

 

1,975

2

Bank of America NA, Ser. BKNT, 6.10%, 6/15/17

 

 

2,021,363

 

 

1,400

 

Bear Stearns Cos., Inc. (The), Ser. MTN, 6.95%, 8/10/12

 

 

1,456,969

 

 

2,525

2

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

 

 

2,491,311

 

 

202

1,5

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

193,771

 

 

1,415

 

Chubb Corp., 6.00%, 5/11/37

 

 

1,376,861

 

 

 

 

Citigroup, Inc.,

 

 

 

 

 

5,230

2,3

4.125%, 2/22/10

 

 

5,142,628

 

 

1,155

 

5.875%, 2/22/33-5/29/37

 

 

1,097,862

 

 

1,200

2

6.125%, 8/25/36

 

 

1,170,559

 

 

550

 

6.875%, 2/15/98

 

 

560,083

 

 

 

 

Credit Suisse First Boston, Inc.,

 

 

 

 

 

700

3

6.125%, 11/15/11

 

 

723,814

 

 

1,000

 

7.125%, 7/15/32

 

 

1,127,028

 

 

4,150

5

Depfa ACS Bank, 5.125%, 3/16/37 (Ireland)

 

 

3,925,431

 

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

380

 

7.80%, 6/01/12

 

 

357,038

 

 

220

1

7.993%, 1/13/12

 

 

203,671

 

 

 

 

Fort Irwin Land LLC,

 

 

 

 

 

780

5

Ser. A, Class II, 5.30%, 12/15/35

 

 

736,086

 

 

575

5

Ser. A-1, 5.03%, 12/15/25

 

 

542,420

 

 

 

 

General Electric Capital Corp.,

 

 

 

 

 

3,000

2

6.75%, 3/15/32

 

 

3,347,964

 

 

7,610

2

Ser. GMTN, 6.15%, 8/01/37

 

 

7,885,360

 

 

 

 

Goldman Sachs Group, Inc. (The),

 

 

 

 

 

5,390

 

5.45%, 11/01/12

 

 

5,422,151

 

 

1,020

 

6.25%, 9/01/17

 

 

1,057,991

 

 

1,000

 

6.60%, 1/15/12

 

 

1,047,663

 

 

1,020

1

Hartford Life Global Funding Trusts, Ser. MTN,
5.864%, 9/15/09

 

 

1,018,899

 

 

1,275

 

HSBC Holdings Plc, 6.50%, 5/02/36 (United Kingdom)

 

 

1,258,708

 

 

878

5

iPayment Investors LP, 11.625%, 7/15/14

 

 

904,475

 

 

270

 

iPayment, Inc., 9.75%, 5/15/14

 

 

259,200

 

 

4,375

2

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

 

 

4,370,174

 

 

 

 

Lehman Brothers Holdings, Inc.,

 

 

 

 

 

1,050

 

6.50%, 7/19/17

 

 

1,057,475

 

 

1,500

 

Ser. MTN, 6.00%, 7/19/12

 

 

1,520,782

 

 

575

1

Ser. MTN, 7.394%, 9/15/22

 

 

587,536

 

 

100

 

Ser. MTNG, 4.80%, 3/13/14

 

 

94,845

 

 

1,200

 

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

 

 

1,112,330

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

50

5

9.75%, 12/01/14

 

 

48,750

 

 

440

5

11.50%, 12/01/16

 

 

424,600

 

 

1,990

1,5

Monumental Global Funding Ltd., Ser. MTN,
5.24%, 6/16/10 (Cayman Islands)

 

 

1,972,090

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Financial Institutions—(cont’d)

 

 

 

 

 

 

 

Morgan Stanley,

 

 

 

 

$

3,620

1,2

5.493%, 1/09/12

 

$

3,561,707

 

 

2,100

2

6.25%, 8/09/26

 

 

2,069,773

 

 

1,200

2

Ser. MTN, 6.25%, 8/28/17

 

 

1,228,642

 

 

950

 

Prudential Financial, Inc., Ser. MTN, 5.70%, 12/14/36

 

 

881,463

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

225

5

8.75%, 9/01/12

 

 

234,000

 

 

1,070

5

10.375%, 9/01/14

 

 

1,177,000

 

 

600

1

SLM Corp., 5.384%, 1/27/14

 

 

530,617

 

 

1,050

 

Travelers Cos., Inc., Ser. MTN, 6.25%, 6/15/37

 

 

1,035,953

 

 

50

1

Universal City Florida Holding Co. I/II, 9.661%, 5/01/10

 

 

51,125

 

 

1,000

 

Wells Fargo & Co., 4.625%, 8/09/10

 

 

990,341

 

 

 

 

Wells Fargo Bank NA,

 

 

 

 

 

610

 

5.95%, 8/26/36

 

 

601,139

 

 

2,000

2

7.55%, 6/21/10

 

 

2,124,152

 

 

650

5

Wimar Opco LLC/Wimar Opco Finance Corp.,
9.625%, 12/15/14

 

 

487,500

 

 

1,875

5

Xstrata Finance Ltd., 5.80%, 11/15/16 (Canada)

 

 

1,859,526

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

79,195,199

 

               

Health Care—3.9%

 

 

 

 

 

1,325

1,2,5

Amgen, Inc., 5.585%, 11/28/08

 

 

1,322,611

 

 

1,825

2

AstraZeneca Plc, 6.45%, 9/15/37 (United Kingdom)

 

 

1,923,044

 

 

1,135

 

Bristol-Myers Squibb Co., 5.875%, 11/15/36

 

 

1,114,049

 

 

2,495

2

Eli Lilly & Co., 5.55%, 3/15/37

 

 

2,382,421

 

 

1,200

2

Johnson & Johnson, 5.95%, 8/15/37

 

 

1,255,031

 

 

1,250

 

Schering-Plough Corp., 6.55%, 9/15/37

 

 

1,295,480

 

 

1,640

 

Tenet Healthcare Corp., 6.50%, 6/01/12

 

 

1,389,900

 

 

1,175

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

1,156,612

 

 

 

 

WellPoint, Inc.,

 

 

 

 

 

595

 

5.85%, 1/15/36

 

 

559,086

 

 

475

 

6.375%, 6/15/37

 

 

482,920

 

 

1,775

2

Wyeth, 5.95%, 4/01/37

 

 

1,755,436

 

 

 

 

 

 

     

 

 

 

Total Health Care

 

 

14,636,590

 

               

Industrials—1.4%

 

 

 

 

 

1,700

 

3M Co., Ser. MTN, 5.70%, 3/15/37

 

 

1,704,694

 

 

400

5

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

 

 

394,000

 

 

150

 

Hexcel Corp., 6.75%, 2/01/15

 

 

147,375

 

 

915

 

Honeywell Intl., Inc., 5.70%, 3/15/37

 

 

889,533

 

 

165

 

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

 

 

153,862

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

540

 

9.50%, 8/01/14

 

 

557,550

 

 

555

 

11.75%, 8/01/16

 

 

588,300

 

 

1,050

5

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

 

 

1,008,000

 

 

 

 

 

 

     

 

 

 

Total Industrials

 

 

5,443,314

 

               

Media—7.4%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

540

 

10.125%, 10/15/13

 

 

562,950

 

 

200

 

11.50%, 10/15/15

 

 

208,500

 

 

125

 

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

 

 

119,688

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

 

1,635

 

7.57%, 2/01/24

 

 

1,791,676

 

 

3,000

 

9.125%, 1/15/13

 

 

3,448,833

 

 

1,415

 

AT&T Broadband Corp., 8.375%, 3/15/13

 

 

1,596,700

 

 

161

1

Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09

 

 

165,427

 

 

120

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

117,000

 

 

485

 

Charter Communications Holdings I LLC/Charter
Communications Holdings I Capital Corp.,
11.00%, 10/01/15

 

 

470,450

 

 

 

 

Charter Communications Holdings II LLC/Charter
Communications Holdings II Capital Corp.,

 

 

 

 

 

1,320

 

10.25%, 9/15/10

 

 

1,346,400

 

 

180

 

Ser. B, 10.25%, 9/15/10

 

 

183,150

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

24



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Income Opportunity Trust (BNA) (continued)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Media—(cont’d)

 

 

 

 

$

690

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

$

633,937

 

 

1,000

 

Comcast Cable Communications, Inc., 6.75%, 1/30/11

 

 

1,042,435

 

 

1,805

 

Comcast Corp., 6.95%, 8/15/37

 

 

1,931,570

 

 

85

 

Dex Media West LLC/Dex Media Finance Co., Ser. B,

 

 

 

 

 

 

 

9.875%, 8/15/13

 

 

90,631

 

 

140

 

DirecTV Holdings LLC/DirecTV Financing Co.,

 

 

 

 

 

 

 

8.375%, 3/15/13

 

 

146,300

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

180

 

5.75%, 10/01/08

 

 

179,550

 

 

320

 

7.00%, 10/01/13

 

 

333,200

 

 

75

 

7.125%, 2/01/16

 

 

78,375

 

 

665

 

Idearc, Inc., 8.00%, 11/15/16

 

 

666,662

 

 

500

1,5

ION Media Networks, Inc., 8.493%, 1/15/12

 

 

501,250

 

 

535

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

538,344

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

 

145

 

8.15%, 10/17/36

 

 

172,776

 

 

2,475

 

8.45%, 8/01/34

 

 

2,992,265

 

 

660

 

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

 

 

633,600

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

330

7

9.115%, 8/01/16

 

 

238,425

 

 

1,100

 

10.00%, 8/01/14

 

 

1,157,750

 

 

950

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

950,000

 

 

70

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

69,563

 

 

1,495

 

TCI Communications, Inc., 8.75%, 8/01/15

 

 

1,753,387

 

 

800

5

Time Warner Cable, Inc., 6.55%, 5/01/37

 

 

806,473

 

 

1,100

5

TL Acquisitions, Inc., 10.50%, 1/15/15

 

 

1,094,500

 

 

325

5

Univision Communications, Inc., 9.75%, 3/15/15

 

 

318,500

 

 

570

 

Vertis, Inc., 9.75%, 4/01/09

 

 

570,000

 

 

1,294

 

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

 

 

1,216,360

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

28,126,627

 

               

Real Estate—0.9%

 

 

 

 

 

1,000

 

AvalonBay Communities, Inc., 6.625%, 9/15/11

 

 

1,040,161

 

 

 

 

Rouse Co.,

 

 

 

 

 

725

 

3.625%, 3/15/09

 

 

691,205

 

 

1,715

 

5.375%, 11/26/13

 

 

1,554,092

 

 

 

 

 

 

     

 

 

 

Total Real Estate

 

 

3,285,458

 

               

Technology—2.1%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

90

 

7.75%, 5/15/13

 

 

87,075

 

 

135

 

9.25%, 6/01/16

 

 

138,038

 

 

555

 

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

 

 

532,800

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

715

 

9.125%, 12/15/14

 

 

647,075

 

 

160

1

9.569%, 12/15/14

 

 

147,000

 

 

3,450

2

Intl. Business Machines Corp., 5.70%, 9/14/17

 

 

3,501,702

 

 

480

 

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

453,600

 

 

660

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

579,150

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

95

 

9.125%, 8/15/13

 

 

96,900

 

 

675

 

10.25%, 8/15/15

 

 

703,687

 

 

950

 

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

 

 

938,125

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

7,825,152

 

               

Telecommunications—7.5%

 

 

 

 

 

4,075

2

AT&T, Inc., 6.50%, 9/01/37

 

 

4,298,391

 

 

1,700

9

BellSouth Telecommunications, 6.402%, 12/15/95

 

 

902,807

 

 

470

 

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

 

 

471,175

 

 

255

 

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

253,088

 

 

325

 

Deutsche Telekom Intl. Finance BV, 5.75%,
3/23/16 (Netherlands)

 

 

325,854

 

 

270

5

Digicel Group Ltd., 8.875%, 1/15/15 (Bermuda)

 

 

252,126

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Telecommunications—(cont’d)

 

 

 

 

$

170

1

Hawaiian Telcom Communications, Inc., Ser. B,
10.318%, 5/01/13

 

$

172,125

 

 

515

 

Intelsat Corp., 9.00%, 6/15/16

 

 

526,588

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

120

1

8.886%, 1/15/15

 

 

121,800

 

 

450

 

9.25%, 6/15/16

 

 

466,875

 

 

210

 

11.25%, 6/15/16

 

 

225,750

 

 

920

1

11.409%, 6/15/13

 

 

959,100

 

 

300

 

Intelsat Subsidiary Holding Co. Ltd.,
8.625%, 1/15/15 (Bermuda)

 

 

304,500

 

 

120

5

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

119,100

 

 

935

5

Nordic Telephone Co. Holdings A.p.S.,
8.875%, 5/01/16 (Denmark)

 

 

988,763

 

 

1,435

1,5

Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)

 

 

1,417,062

 

 

160

 

PanAmSat Corp., 9.00%, 8/15/14

 

 

163,200

 

 

 

 

Qwest Corp.,

 

 

 

 

 

55

 

7.875%, 9/01/11

 

 

58,025

 

 

375

1

8.944%, 6/15/13

 

 

399,844

 

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

1,205

 

6.875%, 11/15/28

 

 

1,154,325

 

 

1,250

 

8.75%, 3/15/32

 

 

1,425,325

 

 

4,375

 

Telecom Italia Capital S.A., 4.95%, 9/30/14 (Luxembourg)

 

 

4,187,492

 

 

1,000

 

Telefonica Emisones SAU, 7.045%, 6/20/36 (Spain)

 

 

1,098,404

 

 

575

 

Verizon Global Funding Corp., 7.75%, 6/15/32

 

 

677,879

 

 

 

 

Verizon Maryland, Inc.,

 

 

 

 

 

540

 

5.125%, 6/15/33

 

 

450,386

 

 

1,355

 

Ser. A, 6.125%, 3/01/12

 

 

1,396,925

 

 

750

 

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

 

 

720,208

 

 

 

 

Vodafone Group Plc (United Kingdom)

 

 

 

 

 

1,615

1,2

5.288%, 12/28/07

 

 

1,615,326

 

 

1,000

 

7.75%, 2/15/10

 

 

1,057,537

 

 

1,210

 

West Corp., 11.00%, 10/15/16

 

 

1,267,475

 

 

360

5

Wind Acquisition Finance S.A., 10.75%,
12/01/15 (Luxembourg)

 

 

400,500

 

 

 

 

Windstream Corp.,

 

 

 

 

 

410

 

8.125%, 8/01/13

 

 

433,575

 

 

250

 

8.625%, 8/01/16

 

 

267,500

 

 

 

 

 

 

     

 

 

 

Total Telecommunications

 

 

28,579,030

 

               

Transportation—0.7%

 

 

 

 

 

120

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

118,500

 

 

120

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

126,000

 

 

1,000

 

Canadian National Railway Co., 6.375%,
10/15/11 (Canada)

 

 

1,044,565

 

 

450

 

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

 

 

435,375

 

 

600

 

Navios Maritime Holdings, Inc., 9.50%,
12/15/14 (Marshall Islands)

 

 

634,500

 

 

455

5

St. Acquisition Corp., 12.50%, 5/15/17

 

 

290,062

 

 

 

 

 

 

     

 

 

 

Total Transportation

 

 

2,649,002

 

 

 

 

 

 

     

 

 

 

Total Corporate Bonds

 

 

242,814,753

 

               

U.S. Government and Agency Securities—5.7%

 

 

 

 

 

 

 

Overseas Private Investment Corp.,

 

 

 

 

 

357

 

4.09%, 5/29/12

 

 

338,675

 

 

1,000

1

4.30%, 5/29/12

 

 

1,000,255

 

 

752

 

4.64%, 5/29/12

 

 

761,852

 

 

425

 

4.68%, 5/29/12

 

 

404,472

 

 

3,221

 

4.87%, 5/29/12

 

 

3,295,838

 

 

384

1

5.40%, 5/29/12

 

 

413,963

 

 

6,055

 

Resolution Funding Corp., Ser. B, Zero Coupon, 4/15/30

 

 

2,018,561

 

 

788

 

Small Business Administration, Ser. 20K-1,
6.95%, 11/01/16

 

 

812,396

 

 

1,800

 

Tennessee Valley Authority, Ser. C, 5.88%, 4/01/36

 

 

1,989,677

 

 

510

 

U.S. Treasury Bonds, 4.75%, 2/15/37

 

 

509,721

 

 

846

 

U.S. Treasury Inflation Protected Bond, 2.375%, 1/15/27

 

 

867,527

 

 

9,115

2

U.S. Treasury Notes, 4.75%, 8/15/17

 

 

9,315,813

 

 

 

 

 

 

     

 

 

 

Total U.S. Government and Agency Securities

 

 

21,728,750

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

25

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Income Opportunity Trust (BNA) (continued)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Trust Preferred Stocks—3.5%

 

 

 

 

$

2,150

1,2

Allstate Corp., 6.50%, 5/15/57

 

$

2,084,728

 

 

600

 

Bank of America, 5.30%, 3/15/17

 

 

579,691

 

 

950

1,5,10

Barclays Bank Plc, 7.434% (United Kingdom)

 

 

1,007,039

 

 

1,000

1,5,10

Credit Agricole S.A., 6.637% (France)

 

 

950,372

 

 

750

1

Lincoln National Corp., 6.05%, 4/20/67

 

 

718,801

 

 

665

1

Progressive Corp., 6.70%, 6/15/37

 

 

652,553

 

 

2,600

1,10

Royal Bank of Scotland Group Plc, Ser. MTN,
7.64% (United Kingdom)

 

 

2,694,931

 

 

1,125

1,2,5,10

Societe Generale, 5.922% (France)

 

 

1,070,652

 

 

750

1

Travelers Cos., Inc., 6.25%, 3/15/67

 

 

728,300

 

 

2,000

1,2,10

UBS Preferred Funding Trust I, 8.622%

 

 

2,170,314

 

 

575

1,5

ZFS Finance Trust I, 6.50%, 5/09/37

 

 

553,382

 

 

 

 

 

 

     

 

 

 

Total Trust Preferred Stocks

 

 

13,210,763

 

               

Taxable Municipal Bond—0.6%

 

 

 

 

 

2,525

 

Illinois St. Pension, 5.10%, 6/01/33

 

 

2,395,139

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

               

Common Stocks—0.0%

 

 

 

 

 

1,895

6,11

Critical Care Systems Intl., Inc.

 

 

11,844

 

               

Preferred Stock—0.4%

 

 

 

 

 

60,000

 

Deutsche Bank Contingent Capital Trust II, 6.55%

 

 

1,437,000

 

               

 

 

 

Total Long-Term Investments
(cost $639,074,109)

 

 

636,433,097

 

               

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

             

SHORT-TERM INVESTMENT—0.1%

 

 

 

 

U.S. Government and Agency Discount Notes—0.1%

 

 

 

 

$

300

12

Federal Home Loan Bank Disc. Notes,
4.401%, 11/01/07 (cost $300,000)

 

 

300,000

 

               

BORROWED BOND AGREEMENTS—22.5%

 

 

 

 

 

 

 

Lehman Brothers Inc.,

 

 

 

 

 

50,927

14

4.47%, 11/08/07

 

 

50,927,000

 

 

34,457

14

4.45%, 11/08/07

 

 

34,456,875

 

 

 

 

 

 

     

 

 

 

Total Borrowed Bond Agreements
(cost $85,383,875)

 

 

85,383,875

 

               

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

 

 

             

OUTSTANDING OPTIONS PURCHASED—1.0%

 

 

 

 

 

4,285

 

EUR Put Option, strike price $1.40, expires 1/10/08

 

 

17,876

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

8,400

 

Trust pays 5.79%, Trust receives 3-month LIBOR,
expires 8/16/10

 

 

225,776

 

 

8,400

 

Trust pays 3-month LIBOR, Trust receives 5.79%,
expires 8/16/10

 

 

433,872

 

 

5,500

 

Trust pays 5.52%, Trust receives 3-month LIBOR,
expires 9/21/36

 

 

373,168

 

 

5,500

 

Trust pays 3-month LIBOR, Trust receives 5.52%,
expires 9/21/36

 

 

324,406

 

 

12,300

 

Trust pays 5.47%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

575,025

 

 

12,300

 

Trust pays 5.47%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

527,670

 

 

8,425

 

Trust pays 3-month LIBOR, Trust receives 6.025%,
expires 6/08/12

 

 

517,969

 


 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 

           

OUTSTANDING OPTIONS PURCHASED—(cont’d)

 

 

 

 

 

8,425

 

Trust pays 3-month LIBOR, Trust receives 6.025%,
expires 6/08/12

 

$

265,977

 

 

7,300

 

Trust pays 5.39%, Trust receives 3-month LIBOR,
expires 3/19/12

 

 

357,114

 

 

7,300

 

Trust pays 3-month LIBOR, Trust receives 5.39%,
expires 3/19/12

 

 

296,161

 

 

 

 

 

 

     

 

 

 

Total Outstanding Options Purchased
(cost $3,589,612)

 

 

3,915,014

 

               

 

 

 

Total Investments before borrowed bonds,
TBA sale commitments, and outstanding
options written (cost $728,347,59613)

 

 

726,031,986

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

             

BORROWED BONDS—(22.5)%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

$

(50,800)

 

4.00%, 8/31/09

 

 

(50,835,712

)

 

(34,500)

 

4.125%, 8/31/12

 

 

(34,464,948

)

 

 

 

 

 

     

 

 

 

Total Borrowed Bonds
(proceeds $85,264,516)

 

 

(85,300,660

)

               

TBA SALE COMMITMENTS—(3.5)%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

(400)

 

5.00%, 12/12/37

 

 

(383,625

)

 

(8,600)

 

5.50%, 11/19/22

 

 

(8,613,433

)

 

(4,200)

 

6.00%, 11/13/37-12/12/37

 

 

(4,228,314

)

 

 

 

 

 

     

 

 

 

Total TBA Sale Commitments
(proceeds $13,086,862)

 

 

(13,225,372

)

               

INVESTMENTS SOLD SHORT—(22.5)%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

(50,800)

 

4.00%, 8/31/09

 

 

(50,835,712

)

 

(34,500)

 

4.125%, 8/31/12

 

 

(34,464,948

)

 

 

 

 

 

     

 

 

 

Total Investments Sold Short
(proceeds $85,264,516)

 

 

(85,300,660

)

               

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

 

 

             

OUTSTANDING OPTIONS WRITTEN—(0.5)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

(5,700)

 

Trust pays 5.135%, Trust receives 3-month LIBOR,
expires 4/21/08

 

 

(97,385

)

 

(5,700)

 

Trust pays 3-month LIBOR, Trust receives 5.135%,
expires 4/21/08

 

 

(97,385

)

 

(12,400)

 

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

 

 

(315,828

)

 

(12,400)

 

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

 

 

(599,912

)

 

(5,300)

 

Trust pays 5.485%, Trust receives 3-month LIBOR,
expires 10/28/19

 

 

(208,227

)

 

(5,300)

 

Trust pays 3-month LIBOR, Trust receives 5.485%,
expires 10/28/19

 

 

(155,709

)

 

(7,300)

 

Trust pays 3-month LIBOR, Trust receives 5.148%,
expires 3/19/08

 

 

(119,063

)

 

(7,300)

 

Trust pays 5.115%, Trust receives 3-month LIBOR,
expires 3/19/08

 

 

(118,698

)

 

 

 

 

 

     

 

 

 

Total Outstanding Options Written
(premium received $2,478,560)

 

 

(1,712,207

)

               

Total Investments net of borrowed bonds, TBA sale commitments
and outstanding options written—164.8%

 

$

625,793,747

 

Liabilities in excess of other assets—(64.8)%

 

 

(246,188,870

)

 

 

     

Net Assets—100%

 

$

379,604,877

 

 

 

     

 

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

26



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Income Opportunity Trust (BNA) (concluded)

(Percentages shown are based on Net Assets)


 

 

 

1

Variable rate security. Rate shown is interest rate as of October 31, 2007.

 

 

2

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

 

 

3

Security, or a portion thereof, pledged as collateral with a value of $2,950,914 on 147 long Eurodollar futures contracts expiring December 2007 to March 2008, 337 long U.S. Treasury Note futures contracts expiring December 2007, 1,339 long U.S. Treasury Bond futures contracts expiring December 2007, 180 short Eurodollar futures contracts expiring December 2007 and 3,750 short U.S. Treasury Note futures contracts expiring December 2007. The notional value of such contracts on October 31, 2007 was $246,676,023, with an unrealized loss of $650,550.

 

 

4

Represents an investment in an affiliate.

 

 

5

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2007, the Trust held 9.0% of its net assets, with a current market value of $34,233,806, in securities restricted as to resale.

 

 

6

Security is fair valued.

 

 

7

Rate shown is effective yield of the underlying collateral as of October 31, 2007.

 

 

8

Illiquid security. As of October 31, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $0, in this security.

 

 

9

Represents a step up bond; the interest rate shown reflects the effective yield at the time of purchase.

 

 

10

The security is a perpetual bond and has no stated maturity date.

 

 

11

Non-income producing security.

 

 

12

Rate shown is the yield to maturity as of the date of purchase.

 

 

13

Cost for federal income tax purposes is $729,365,583. The net unrealized depreciation on a tax basis is $3,333,597, consisting of $7,722,546 gross unrealized appreciation and $11,056,143 gross unrealized depreciation.

 

 

14

See Note 1 in the Notes to Financial Statements for details of borrowed bond agreements.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

27

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 

 


 

 

 

Portfolio of Investments as of October 31, 2007

 

BlackRock Income Trust Inc. (BKT)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

LONG-TERM INVESTMENTS—104.8%

 

 

 

 

Mortgage Pass-Through Securities—31.2%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

$

775

1

4.019%, 1/01/35

 

$

773,674

 

 

802

1

4.934%, 10/01/34

 

 

806,789

 

 

92

 

5.50%, 12/01/21

 

 

92,516

 

 

609

2

5.50%, 1/01/22

 

 

609,749

 

 

8,423

2,3

5.50%, 3/01/22

 

 

8,436,410

 

 

27

1

6.01%, 11/01/17

 

 

27,570

 

 

14

 

8.00%, 11/01/15

 

 

13,954

 

 

 

8.50%, 3/01/08

 

 

15

 

 

124

2

9.00%, 9/01/20

 

 

132,699

 

 

100

 

TBA, 6.50%, 12/12/37

 

 

102,406

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

31,248

 

5.00%, 6/01/33-3/01/37

 

 

30,045,633

 

 

732

2

5.00%, 1/01/37

 

 

702,248

 

 

44,873

 

5.50%, 6/01/21-6/01/37

 

 

44,632,581

 

 

3,125

 

5.97%, 8/01/16

 

 

3,184,788

 

 

22,939

 

6.00%, 10/01/36-7/01/37

 

 

23,108,362

 

 

12,645

 

6.50%, 7/01/36-9/01/37

 

 

12,943,071

 

 

 

7.50%, 2/01/22

 

 

241

 

 

32

 

8.00%, 5/01/08-5/01/22

 

 

32,874

 

 

3

 

9.50%, 1/01/19-9/01/19

 

 

4,163

 

 

100

 

TBA, 5.50%, 11/13/37

 

 

98,531

 

 

1,700

 

TBA, 6.00%, 11/13/37

 

 

1,712,220

 

 

2,200

 

TBA, 6.50%, 11/13/37

 

 

2,251,564

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

37

 

7.00%, 10/15/17

 

 

38,792

 

 

412

 

7.50%, 8/15/21-12/15/23

 

 

434,645

 

 

210

 

8.00%, 10/15/22-2/15/29

 

 

223,884

 

 

15

 

9.00%, 6/15/18-9/15/21

 

 

17,385

 

 

 

 

 

 

     

 

 

 

Total Mortgage Pass-Through Securities

 

 

130,426,764

 

               

Federal Housing Administration Securities—1.8%

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,

 

 

 

 

 

288

4

Ser. 51, 7.43%, 2/01/23

 

 

290,577

 

 

358

 

Ser. 56, 7.43%, 11/01/22

 

 

361,639

 

 

50

5

Merrill Projects, Ser. 54, 7.43%, 5/15/23

 

 

50,019

 

 

758

 

Reilly Project, Ser. 41, 8.28%, 3/01/20

 

 

765,282

 

 

 

 

USGI Projects,

 

 

 

 

 

88

 

Ser. 87, 7.43%, 12/01/22

 

 

88,790

 

 

329

 

Ser. 99,7.43%, 10/01/23

 

 

332,589

 

 

5,431

 

Ser. 6094, 7.43%, 6/01/21

 

 

5,485,577

 

 

 

 

 

 

     

 

 

 

Total Federal Housing Administration Securities

 

 

7,374,473

 

               

Agency Multiple Class Mortgage Pass-Through Securities—26.3%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

4,076

1

Ser. 11, Class A9, 2.282%, 1/25/28

 

 

3,595,985

 

 

187

 

Ser. 19, Class F, 8.50%, 3/15/20

 

 

194,531

 

 

746

 

Ser. 40, Class K, 6.50%, 8/17/24

 

 

768,950

 

 

1

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

 

 

7

 

 

 

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

 

 

1,589

 

 

1,647

 

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

 

 

1,643,738

 

 

341

 

Ser. 1961, Class H, 6.50%, 5/15/12

 

 

345,289

 

 

9,504

 

Ser. 2218, Class Z, 8.50%, 3/15/30

 

 

10,279,474

 

 

13,018

 

Ser. 2461, Class Z, 6.50%, 6/15/32

 

 

13,445,486

 

 

10,200

 

Ser. 2542, Class UC, 6.00%, 12/15/22

 

 

10,599,985

 

 

2,475

 

Ser. 2562, Class PG, 5.00%, 1/15/18

 

 

2,444,405

 

 

928

 

Ser. 2564, Class NC, 5.00%, 2/15/33

 

 

795,889

 

 

2,050

 

Ser. 2750, Class TC, 5.25%, 2/15/34

 

 

2,015,608

 

 

11,458

 

Ser. 2758, Class KV, 5.50%, 5/15/23

 

 

11,448,878

 

 

1,573

 

Ser. 2765, Class UA, 4.00%, 3/15/11

 

 

1,529,913

 

 

3,212

 

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

 

 

3,265,494

 

 

2,402

 

Ser. 2927, Class BZ, 5.50%, 2/15/35

 

 

2,245,710

 

 

3,946

 

Ser. 3061, Class BD, 7.50%, 11/15/35

 

 

4,063,969

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Agency Multiple Class Mortgage Pass-Through Securities—(cont’d)

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

$

1,221

1

Ser. 2, Class KP, Zero Coupon, 2/25/35

 

$

1,153,297

 

 

4,006

 

Ser. 28, Class PB, 6.00%, 8/25/28

 

 

4,028,409

 

 

2,150

 

Ser. 29, Class HC, 7.50%, 7/25/30

 

 

2,288,156

 

 

2,381

 

Ser. 31, Class ZG, 7.50%, 5/25/34

 

 

2,841,336

 

 

7,147

 

Ser. 32, Class VT, 6.00%, 9/25/15

 

 

7,258,242

 

 

1

 

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

 

 

20,464

 

 

50

1

Ser. 38, Class F, 8.325%, 4/25/21

 

 

51,981

 

 

1,663

 

Ser. 38, Class Z, 5.00%, 5/25/36

 

 

1,655,826

 

 

2,630

 

Ser. 68, Class PC, 5.50%, 7/25/35

 

 

2,657,932

 

 

12,264

 

Ser. 135, Class PB, 6.00%, 1/25/34

 

 

12,319,211

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

1,041

 

Ser. 5, Class Z, 7.00%, 5/16/26

 

 

1,089,576

 

 

1,749

 

Ser. 33, Class PB, 6.50%, 7/20/31

 

 

1,793,424

 

 

4,030

 

Ser. 89, Class PE, 6.00%, 10/20/34

 

 

4,118,536

 

 

 

 

 

 

     

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

109,961,290

 

               

Non-Agency Multiple Class Mortgage Pass-Through Securities—9.5%

 

 

 

 

 

5,932

 

CWALT, Inc., Ser. 28CB, Class 1A5, 5.50%, 8/25/35

 

 

5,926,543

 

 

 

 

JPMorgan Mortgage Trust,

 

 

 

 

 

1,868

1

Ser. A7, Class 2A2, 5.83%, 1/25/37

 

 

1,865,043

 

 

6,457

 

Ser. S1, Class 2A1, 8.00%, 1/25/35

 

 

6,827,600

 

 

1,561

 

MASTR Alternative Loan Trust, Ser. 7, Class 4A3,
8.00%, 11/25/18

 

 

1,634,533

 

 

7,488

 

MASTR Asset Securitization Trust, Ser. 12, Class 3A5,
5.25%, 10/25/14

 

 

7,358,441

 

 

5,697

1

Residential Asset Securitization Trust, Ser. A8, Class A2,
5.223%, 10/25/18

 

 

5,630,061

 

 

9,908

 

Residential Funding Securities Corp., Ser. RM2, Class AI5,
8.50%, 5/25/33

 

 

10,580,089

 

 

14

1,6,7

Summit Mortgage Trust, Ser. 1, Class B1,
6.611%, 12/28/12

 

 

14,138

 

 

 

 

 

 

     

 

 

 

Total Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

 

39,836,448

 

               

Inverse Floating Rate Mortgage Securities—4.3%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

14

1

Ser. 1043, Class H, 21.938%, 2/15/21

 

 

14,443

 

 

1

Ser. 1148, Class E, 592.552%, 10/15/21

 

 

545

 

 

32

1

Ser. 1160, Class F, 18.381%, 10/15/21

 

 

31,693

 

 

96

1,2

Ser. 1616, Class SB, 8.50%, 11/15/08

 

 

96,046

 

 

192

1

Ser. 1688, Class S, 9.566%, 12/15/13

 

 

192,669

 

 

4,359

1

Ser. 2769, Class SQ, Zero Coupon, 2/15/34

 

 

2,718,727

 

 

2,101

1

Ser. 2840, Class SK, 1.499%, 8/15/34

 

 

1,600,748

 

 

2,373

1

Ser. 3167, Class SX, 6.953%, 6/15/36

 

 

2,277,238

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

1

Ser. 7, Class S, 594.704%, 3/25/21

 

 

6,484

 

 

1

1

Ser. 10, Class S, 575.455%, 5/25/21

 

 

19,584

 

 

1

1

Ser. 12, Class S, 608.135%, 5/25/21

 

 

17,025

 

 

1

1

Ser. 17, Class S, 580.114%, 6/25/21

 

 

9,925

 

 

51

1

Ser. 38, Class SA, 10.186%, 4/25/21

 

 

53,332

 

 

1

Ser. 46, Class S, 1,402.625%, 5/25/21

 

 

7,283

 

 

1

Ser. 49, Class S, 527.80%, 12/25/21

 

 

3,478

 

 

114

1

Ser. 72, Class S, 8.75%, 5/25/08

 

 

114,584

 

 

5,828

1

Ser. 73, Class DS, 4.882%, 8/25/35

 

 

5,625,111

 

 

119

1

Ser. 87, Class S, 13.764%, 8/25/21

 

 

144,608

 

 

26

1

Ser. 93, Class S, 8.50%, 5/25/08

 

 

26,334

 

 

12

1

Ser. 170, Class SC, 9.00%, 9/25/08

 

 

11,829

 

 

222

1

Ser. 196, Class SC, 8.423%, 10/25/08

 

 

222,978

 

 

110

1

Ser. 214, Class SH, 5.592%, 12/25/08

 

 

109,958

 

 

899

1

Ser. 247, Class SN, 10.00%, 12/25/23

 

 

1,002,361

 

 

 

 

First Horizon Alternative Mortgage Securities,

 

 

 

 

 

72,527

1

Ser. FA7, Class 1A7, Zero Coupon, 10/25/35

 

 

736,052

 

 

179,328

1

Ser. FA9, Class A2, Zero Coupon, 12/25/35

 

 

1,905,915

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

28



 

 

 




 

 

 

Portfolio of Investments as of October 31, 2007

 

BlackRock Income Trust Inc. (BKT) (continued)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Inverse Floating Rate Mortgage Securities—(cont’d)

 

 

 

 

$

112

1

Kidder Peabody Acceptance Corp., Ser. 1,
Class A6, 7.573%, 8/25/23

 

$

112,216

 

 

145,657

1

Residential Accredit Loans, Inc., Ser. QS16,
Class A2, Zero Coupon, 11/25/35

 

 

818,081

 

 

 

 

 

 

     

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

17,879,247

 

               

Interest Only Asset-Backed Securities—0.4%

 

 

 

 

 

110,512

1

Banc of America Funding Corp., Ser. 2,
Class 1A19, 0.528%, 3/25/37

 

 

691,670

 

 

81

1,6

Morgan Stanley Capital Trust I, Ser. HF1, Class X,
2.25%, 6/15/17

 

 

4

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

15,750

 

Ser. 1, 2.365%, 4/15/29

 

 

698,905

 

 

11,244

6

Ser. 2, 2.081%, 3/30/30

 

 

302,195

 

 

 

 

 

 

     

 

 

 

Total Interest Only Asset-Backed Securities

 

 

1,692,774

 

               

Interest Only Mortgage-Backed Securities—12.7%

 

 

 

 

 

1,135

 

ABN Amro Mortgage Corp., Ser. 4, Class A2,
5.50%, 3/25/33

 

 

28,901

 

 

229,295

1

Banc of America Mortgage Securities, Inc., Ser. 3,
Class 1A, 0.285%, 5/25/18

 

 

1,896,595

 

 

25,802

1

Commercial Mortgage Acceptance Corp., Ser. ML1,
0.705%, 11/15/17

 

 

458,311

 

 

5,770

1,6

Credit Suisse First Boston Mortgage Securities Corp.,
Ser. C1, Class AX, 1.486%, 6/20/29

 

 

304,690

 

 

142,857

1

CWALT, Inc., Ser. 79CB, Class A2, 0.078%, 1/25/36

 

 

1,827,318

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1,972

1

Ser. 60, Class HS, 1.125%, 4/25/24

 

 

7,746

 

 

 

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

 

 

70

 

 

7

Ser. 200, Class R, 98,513.94%, 12/15/22

 

 

300

 

 

1,735

 

Ser. 204, Class IO, 6.00%, 5/01/29

 

 

407,040

 

 

1

Ser. 1054, Class I, 435.32%, 3/15/21

 

 

180

 

 

 

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

 

 

1,195

 

 

 

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

 

 

82

 

 

168

 

Ser. 1706, Class IA, 7.00%, 10/15/23

 

 

6,174

 

 

59

 

Ser. 1720, Class PK, 7.50%, 1/15/24

 

 

3,125

 

 

2,773

 

Ser. 1914, Class PC, 0.75%, 12/15/11

 

 

27,104

 

 

719

1

Ser. 2296, Class SA, 2.659%, 3/15/16

 

 

40,402

 

 

358

1

Ser. 2444, Class ST, 2.879%, 9/15/29

 

 

10,985

 

 

1,417

 

Ser. 2542, Class MX, 5.50%, 5/15/22

 

 

211,221

 

 

2,564

 

Ser. 2545, Class NI, 5.50%, 3/15/22

 

 

310,315

 

 

490

1

Ser. 2559, Class IO, 0.50%, 8/15/30

 

 

4,929

 

 

4,079

 

Ser. 2561, Class EW, 5.00%, 9/15/16

 

 

330,514

 

 

10,535

 

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

 

 

1,911,501

 

 

1,084

 

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

 

 

5,691

 

 

16,307

1

Ser. 2647, Class IV, 1.959%, 7/15/33

 

 

1,159,405

 

 

3,156

 

Ser. 2653, Class MI, 5.00%, 4/15/26

 

 

270,379

 

 

3,750

 

Ser. 2658, Class PI, 4.50%, 6/15/13

 

 

87,123

 

 

2,985

 

Ser. 2672, Class TQ, 5.00%, 3/15/23

 

 

61,706

 

 

3,633

 

Ser. 2687, Class IL, 5.00%, 9/15/18

 

 

346,465

 

 

1,352

 

Ser. 2687, Class IQ, 5.50%, 9/15/22

 

 

4,898

 

 

3,237

 

Ser. 2693, Class IB, 4.50%, 6/15/13

 

 

72,307

 

 

2,454

 

Ser. 2694, Class LI, 4.50%, 7/15/19

 

 

201,286

 

 

4,516

 

Ser. 2773, Class OX, 5.00%, 2/15/18

 

 

490,886

 

 

16,428

1

Ser. 2780, Class SM, 0.909%, 4/15/34

 

 

417,281

 

 

6,727

 

Ser. 2825, Class NI, 5.50%, 3/15/30

 

 

1,461,900

 

 

10,587

1

Ser. 2827, Class SR, 0.909%, 1/15/22

 

 

305,563

 

 

17,570

1

Ser. 2865, Class SR, 0.92%, 10/15/33

 

 

952,603

 

 

11,899

1

Ser. 2865, Class SV, 1.327%, 10/15/33

 

 

1,073,798

 

 

1,733

 

Ser. 2949, Class IO, 5.50%, 3/15/35

 

 

206,125

 

 

33,027

1

Ser. 2990, Class WR, 1.519%, 6/15/35

 

 

1,984,065

 

 

93,788

1

Ser. 3122, Class IS, 1.609%, 3/15/36

 

 

5,412,475

 

 

90,419

1

Ser. 3225, Class EY, 1.199%, 10/15/36

 

 

4,422,749

 

 

3,534

 

Ser. 3299, Class TI, 5.00%, 4/15/37

 

 

668,994

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Interest Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

$

200

 

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

 

$

45,871

 

 

11

 

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

 

 

2,133

 

 

3,969

 

Ser. 9, Class BI, 5.50%, 10/25/22

 

 

562,098

 

 

1

 

Ser. 12, Class C, 1,016.897%, 2/25/22

 

 

15,735

 

 

3,608

 

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

 

 

86,885

 

 

738

1

Ser. 33, Class SG, 3.225%, 3/25/09

 

 

13,452

 

 

50,106

1

Ser. 36, Class SP, 1.828%, 5/25/36

 

 

3,367,058

 

 

 

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

 

 

438

 

 

837

 

Ser. 43, Class LC, 6.00%, 3/25/34

 

 

198,642

 

 

 

Ser. 50, Class G, 1,158.628%, 12/25/21

 

 

7,002

 

 

674

1

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

 

 

21,001

 

 

3,006

 

Ser. 51, Class IE, 5.50%, 4/25/26

 

 

58,423

 

 

5,340

 

Ser. 55, Class GI, 5.00%, 7/25/19

 

 

458,903

 

 

12,224

1

Ser. 55, Class SB, 1.278%, 7/25/35

 

 

511,975

 

 

3,707

1

Ser. 59, Class S, 4.917%, 10/25/22

 

 

569,668

 

 

576

1

Ser. 60, Class SB, 1.60%, 10/25/22

 

 

25,680

 

 

146

 

Ser. 62, Class IC, 5.50%, 7/25/15

 

 

1,538

 

 

5,630

 

Ser. 66, Class CI, 5.00%, 7/25/33

 

 

1,376,325

 

 

1,945

1

Ser. 68, Class SC, 3.225%, 1/25/24

 

 

103,751

 

 

13,693

1

Ser. 73, Class ST, 1.258%, 8/25/35

 

 

546,888

 

 

4,094

 

Ser. 88, Class TI, 4.50%, 11/25/13

 

 

109,742

 

 

21

 

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

 

 

3,910

 

 

29,807

1

Ser. 90, Class JH, 1.828%, 11/25/34

 

 

1,667,334

 

 

13,213

 

Ser. 90, Class M, 6.00%, 1/25/28

 

 

2,423,410

 

 

7

 

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

 

 

1,649

 

 

 

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

 

 

6,013

 

 

3,741

 

Ser. 122, Class IC, 5.00%, 9/25/18

 

 

368,323

 

 

 

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

 

 

1,135

 

 

25

1

Ser. 136, Class S, 15.214%, 11/25/20

 

 

32,457

 

 

 

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

 

 

7,582

 

 

2,186

1

Ser. 199, Class SB, 2.625%, 10/25/23

 

 

113,348

 

 

633

 

Ser. W4, Class IO, 6.50%, 12/25/28

 

 

135,539

 

 

89

 

First Boston Mortgage Securities Corp., Ser. C,
Class I, 10.965%, 4/25/17

 

 

21,021

 

 

42,028

1

First Horizon Alternative Mortgage Securities,
Ser. FA2, Class 1A4, 0.628%, 5/25/36

 

 

380,454

 

 

6,323

1

General Motors Acceptance Corp., Commercial Mortgage Securities, Inc.,
Ser. C1, Class X, 1.315%, 7/15/27

 

 

320,421

 

 

7,835

1,6

Goldman Sachs Mortgage Securities Corp., Ser. 5, 0.97%, 2/19/25

 

 

154,243

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

16,722

1

Ser. 18, Class SL, 1.203%, 2/20/35

 

 

773,287

 

 

1,650

 

Ser. 39, Class ID, 5.00%, 5/20/33

 

 

459,300

 

 

1,945

 

Ser. 58, Class IT, 5.50%, 7/20/33

 

 

255,838

 

 

1,717

 

Ser. 75, Class IJ, 5.50%, 7/20/25

 

 

10,022

 

 

16,629

1

Ser. 89, Classl SA, 0.84%, 10/16/33

 

 

592,706

 

 

153,908

 

Indymac Index Mortgage Loan Trust, Ser. AR33,
Class 4AX, 0.165%, 1/25/37

 

 

700,218

 

 

57

 

Kidder Peabody Acceptance Corp., Ser. B,
Class A2, 9.50%, 4/22/18

 

 

13,028

 

 

24,598

 

MASTR Adjustable Rate Mortgages Trust, Ser. 3,
Class 3AX, 0.977%, 4/25/34

 

 

352,827

 

 

1,311

 

MASTR Alternative Loan Trust, Ser. 9, Class 15X2,
6.00%, 1/25/19

 

 

245,404

 

 

1,609

 

Morgan Stanley Capital Trust I, Ser. 3, Class 1AX,
5.00%, 5/25/19

 

 

237,158

 

 

66,154

1

Sequoia Mortgage Trust, Ser. 2, Class XA,
0.775%, 3/20/35

 

 

686,683

 

 

6,379

4

Small Business Administration, Ser. 1, 1.381%, 4/01/15

 

 

63,790

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

29

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 

 




 

 

 

Portfolio of Investments as of October 31, 2007

 

BlackRock Income Trust Inc. (BKT) (continued)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Interest Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

Structured Adjustable Rate Mortgage Loan Trust,

 

 

 

 

$

14,185

1

Ser. 2, Class 4AX, 5.50%, 3/25/36

 

$

1,346,970

 

 

44,655

1

Ser. 7, Class 3AS, 2.548%, 8/25/36

 

 

4,353,522

 

 

5,240

1

Ser. 18, Class 7AX, 5.50%, 9/25/35

 

 

751,739

 

 

4,082

 

Ser. 20, Class 3AX, 5.50%, 10/25/35

 

 

755,438

 

 

85,907

1

Vendee Mortgage Trust, Ser. 2, Class 1, 0.052%, 5/15/29

 

 

215,679

 

 

 

 

 

 

     

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

52,928,053

 

               

Principal Only Mortgage-Backed Securities—4.9%

 

 

 

 

 

 

 

Countrywide Home Loans, Inc.,

 

 

 

 

 

5,329

8

Ser. 26, 4.944%, 8/25/33

 

 

4,217,491

 

 

1,043

8

Ser. J4, 5.142%, 6/25/33

 

 

745,815

 

 

1,427

8

Ser. J5, 4.911%, 7/25/33

 

 

847,321

 

 

1,152

8

Ser. J8, 4.787%, 9/25/23

 

 

882,292

 

 

 

 

Drexel Burnham Lambert, Inc.,

 

 

 

 

 

22

8

Ser. K, Class 1, 11.50%, 9/23/17

 

 

22,301

 

 

269

8

Ser. V, Class 1, 11.50%, 9/01/18

 

 

240,360

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

233

8

Ser. 8, Class A10, 6.737%, 11/15/28

 

 

208,620

 

 

153

8

Ser. 1418, Class M, 7.50%, 11/15/22

 

 

144,736

 

 

577

8

Ser. 1571, Class G, 7.50%, 8/15/23

 

 

538,553

 

 

2,044

8

Ser. 1691, Class B, 7.50%, 3/15/24

 

 

1,825,583

 

 

184

8

Ser. 1739, Class B, 7.50%, 2/15/24

 

 

170,847

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

298

8

Ser. 2, Class KB, 8.00%, 1/25/23

 

 

251,437

 

 

43

8

Ser. 7, Class J, 10.00%, 2/25/21

 

 

36,451

 

 

896

8

Ser. 13, Class PR, 6.50%, 3/25/32

 

 

721,798

 

 

143

8

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

 

 

124,053

 

 

24

8

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

 

 

20,709

 

 

47

8

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

 

 

45,077

 

 

43

8

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

 

 

36,053

 

 

30

8

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

 

 

24,248

 

 

1,947

8

Ser. 249, Class B, 7.50%, 11/25/23

 

 

1,662,352

 

 

232

8

Ser. 273, Class 1, 7.00%, 7/01/26

 

 

186,899

 

 

4,422

8

Ser. 328, Class 1, 6.00%, 11/01/32

 

 

3,411,524

 

 

3,590

8

Ser. 338, Class 1, 5.50%, 6/01/33

 

 

2,672,048

 

 

336

8

Ser. W4, Class PO, 5.985%, 2/25/29

 

 

263,208

 

 

314

8

MASTR Asset Securitization Trust, Ser. 3, Class 4A15,
5.634%, 3/25/34

 

 

173,253

 

 

983

8

Residential Asset Securitization Trust, Ser. A15,
Class 1A8, 5.713%, 2/25/36

 

 

502,836

 

 

12

4,8

Structured Mortgage Asset Residential Trust,
Ser. 3C, Class CX, 7.031%, 4/25/24

 

 

11,439

 

 

956

8

Washington Mutual, Ser. 9, Class CP, 5.112%, 11/25/35

 

 

721,550

 

 

 

 

 

 

     

 

 

 

Total Principal Only Mortgage-Backed Securities

 

 

20,708,854

 

               

Collateralized Mortgage Obligation Residual Securities—0.0%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust,

 

 

 

 

 

7

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

 

 

338

 

 

7

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

 

 

3,440

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

7

Ser. 19, Class R, 9,757.652%, 3/15/20

 

 

2,952

 

 

7

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

 

 

5

 

 

7

Ser. 75, Class RS, 17.757%, 1/15/21

 

 

5

 

 

7

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

 

 

23

 

 

7

Ser. 173, Class RS, 9.103%, 11/15/21

 

 

23

 

 

13

4

Painewebber CMO Trust, Ser. 88 M, Class 6, 13.80%, 9/01/18

 

 

 

 

 

 

 

 

     

 

Total Collateralized Mortgage Obligation Residual Securities

 

 

6,786

 

           

U.S. Government and Agency Securities—9.9%

 

 

 

 

 

 

 

Overseas Private Investment Corp.,

 

 

 

 

 

325

 

4.09%, 5/29/12

 

 

307,885

 

 

910

1

4.30%, 5/29/12

 

 

909,323

 

 

683

 

4.64%, 5/29/12

 

 

692,592

 

 

386

 

4.68%, 5/29/12

 

 

367,702

 

 

2,928

 

4.87%, 5/29/12

 

 

2,996,217

 

 

350

1

5.40%, 5/29/12

 

 

376,330

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

U.S. Government and Agency Securities—(cont’d)

 

 

 

 

$

13,000

3

Resolution Funding Corp., Ser. B, Zero Coupon, 4/15/30

 

$

4,333,823

 

 

 

 

Small Business Administration,

 

 

 

 

 

612

 

Ser. 20C-1, 7.15%, 3/01/17

 

 

634,079

 

 

616

 

Ser. 20E-1, 7.60%, 5/01/16

 

 

638,742

 

 

816

 

Ser. 20F-1, 7.55%, 6/01/16

 

 

846,061

 

 

560

 

Ser. 20G-1, 7.70%, 7/01/16

 

 

582,014

 

 

833

 

Ser. 20H-1, 7.25%, 8/01/16

 

 

862,324

 

 

1,492

 

Ser. 20K-1, 6.95%, 11/01/16

 

 

1,538,213

 

 

60,000

3

U.S. Treasury Strip, Zero Coupon, 11/15/24

 

 

26,123,880

 

 

 

 

 

 

     

 

 

 

Total U.S. Government and Agency Securities

 

 

41,209,185

 

               

Corporate Bond—0.6%

 

 

 

 

 

2,448

4

Structured Asset Receivable Trust, 5.68%, 1/21/10

 

 

2,423,798

 

               

Commercial Mortgage-Backed Securities—1.5%

 

 

 

 

 

2,420

1

Credit Suisse Mortgage Capital Certificates, Ser. C2,
Class A3, 5.542%, 1/15/49

 

 

2,394,680

 

 

3,500

 

First Union Commercial Mortgage Securities, Inc.,
Ser. C2, Class D, 7.12%, 11/18/29

 

 

3,757,506

 

 

 

 

 

 

     

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

6,152,186

 

               

Asset-Backed Securities—1.7%

 

 

 

 

 

5,890

1

First Franklin Mortgage Loan Asset Backed Certificates,
Ser. FF2, Class M2, 5.313%, 3/25/35

 

 

5,414,503

 

 

1,875

1

Securitized Asset Backed Receivables LLC Trust,
Ser. OP2, Class M1, 5.303%, 10/25/35

 

 

1,730,120

 

 

 

 

 

 

     

 

 

 

Total Asset-Backed Securities

 

 

7,144,623

 

 

 

 

 

 

     

 

 

 

Total Long-Term Investments
(cost $444,968,496)

 

 

437,744,481

 

               

SHORT-TERM INVESTMENT—0.4%

 

 

 

 

U.S. Government and Agency Discount Notes—0.4%

 

 

 

 

 

1,600

9

Federal Home Loan Bank Disc. Notes, 4.401%,
11/01/07 (cost $1,600,000)

 

 

1,600,000

 

               

BORROWED BOND AGREEMENT—8.3%

 

 

 

 

 

34,721

11

Lehman Brothers, Inc., 4.64%, 11/08/07
(cost $34,720,656)

 

 

34,720,656

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

 

 

               

OUTSTANDING OPTIONS PURCHASED—2.2%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

7,300

 

Trust pays 3-month LIBOR, Trust receives 5.39%,
expires 3/19/12

 

 

296,161

 

 

31,965

 

Trust pays 3-month LIBOR, Trust receives 5.495%,
expires 5/08/12

 

 

1,394,313

 

 

5,500

 

Trust pays 3-month LIBOR, Trust receives 5.52%,
expires 9/21/36

 

 

324,406

 

 

31,965

 

Trust pays 3-month LIBOR, Trust receives 5.725%,
expires 5/24/12

 

 

1,253,348

 

 

2,800

 

Trust pays 3-month LIBOR, Trust receives 5.78%,
expires 8/09/10

 

 

148,512

 

 

8,640

 

Trust pays 3-month LIBOR, Trust receives 6.025%,
expires 6/08/12

 

 

531,187

 

 

8,640

 

Trust pays 3-month LIBOR, Trust receives 6.025%,
expires 6/08/12

 

 

272,765

 

 

7,300

 

Trust pays 5.39%, Trust receives 3-month LIBOR,
expires 3/19/12

 

 

357,116

 

 

12,400

 

Trust pays 5.47%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

531,960

 

 

12,400

 

Trust pays 5.47%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

579,700

 

 

31,965

 

Trust pays 5.495%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

1,467,833

 

 

5,500

 

Trust pays 5.52%, Trust receives 3-month LIBOR,
expires 9/21/36

 

 

373,168

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

30



 

 

 




 

 

 

Portfolio of Investments as of October 31, 2007

 

BlackRock Income Trust Inc. (BKT) (concluded)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 

               

OUTSTANDING OPTIONS PURCHASED—(cont’d)

 

 

 

 

 

31,965

 

Trust pays 5.725%, Trust receives 3-month LIBOR,
expires 5/24/12

 

$

1,625,420

 

 

2,800

 

Trust pays 5.78%, Trust receives 3-month LIBOR,
expires 8/09/10

 

 

77,446

 

               

 

 

 

Total Outstanding Options Purchased
(cost $8,039,528)

 

 

9,233,335

 

 

 

 

 

 

     

 

 

 

Total Investments before borrowed bonds,
TBA sale commitments, and outstanding options written (cost $489,328,68010)

 

 

483,298,472

 

               

 

 

 

 

 

 

 

 









 

 

Principal
Amount
(000)

 

 

 

 

 

 

               

BORROWED BOND—(8.5)%

 

 

 

 

$

(34,505

)

U.S. Treasury Notes, 4.75%, 5/31/12
(proceeds $34,289,344)

 

 

(35,402,682

)

               

TBA SALE COMMITMENTS—(12.1)%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

(19,800

)

5.00%, 11/13/37

 

 

(18,989,428

)

 

(15,900

)

5.50%, 11/13/37

 

 

(15,666,460

)

 

(16,000

)

6.00%, 11/13/37

 

 

(16,115,008

)

 

 

 

 

 

     

 

 

 

Total TBA Sale Commitments
(proceeds $49,863,740)

 

 

(50,770,896

)

               

 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

 

 

 

 

 

               

OUTSTANDING OPTIONS WRITTEN—(2.7)%

 

 

 

 

 

(23

)

Eurodollar Future, expiring 12/17/07

 

 

(28,125

)

 

(38

)

Eurodollar Future, expiring 3/17/08 Interest Rate Swaps,

 

 

(56,437

)

 

(5,700

)

Trust pays 3-month LIBOR, Trust receives 5.135%,
expires 4/21/08

 

 

(97,385

)

 

(7,300

)

Trust pays 3-month LIBOR, Trust receives 5.148%,
expires 3/19/08

 

 

(119,063

)

 

(19,500

)

Trust pays 3-month LIBOR, Trust receives 5.448%,
expires 5/07/10

 

 

(1,299,480

)

 

(3,800

)

Trust pays 3-month LIBOR, Trust receives 5.46%,
expires 8/22/08

 

 

(52,272

)

 

(5,400

)

Trust pays 3-month LIBOR, Trust receives 5.485%,
expires 10/28/19

 

 

(158,647

)

 

(12,400

)

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

 

 

(315,828

)

 

(19,495

)

Trust pays 3-month LIBOR, Trust receives 5.685%,
expires 5/24/10

 

 

(1,024,462

)

 

(63,930

)

Trust pays 3-month LIBOR, Trust receives 5.88%,
expires 6/23/08

 

 

(3,831,325

)

 

(7,300

)

Trust pays 5.115%, Trust receives 3-month LIBOR,
expires 3/19/08

 

 

(118,698

)

 

(5,700

)

Trust pays 5.135%, Trust receives 3-month LIBOR,
expires 4/21/08

 

 

(97,385

)

 

(19,500

)

Trust pays 5.448%, Trust receives 3-month LIBOR,
expires 5/07/10

 

 

(1,241,955

)

 

(3,800

)

Trust pays 5.46%, Trust receives 3-month LIBOR,
expires 8/22/08

 

 

(131,135

)

 

(5,400

)

Trust pays 5.485%, Trust receives 3-month LIBOR,
expires 10/28/19

 

 

(212,156

)

 

(12,400

)

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

 

 

(599,912

)


 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 

               

OUTSTANDING OPTIONS WRITTEN—(cont’d)

 

 

 

 

 

(19,495

)

Trust pays 5.685%, Trust receives 3-month LIBOR,
expires 5/24/10

 

$

(1,567,203

)

 

(63,930

)

Trust pays 5.88%, Trust receives 3-month LIBOR,
expires 6/23/08

 

 

(265,310

)

               

 

 

 

Total Outstanding Options Written
(premium received $9,904,416)

 

 

(11,216,778

)

               

Total investments net of borrowed bonds, TBA sale commitments and outstanding options written—92.4%

 

$

385,908,116

 

Other assets in excess of liabilities—7.6%

 

 

31,742,835

 

 

 

     

Net Assets—100%

 

$

417,650,951

 

 

 

     

 

 

 

 

1

Variable rate security. Rate shown is interest rate as of October 31, 2007.

2

Security, or a portion thereof, pledged as collateral with a value of $6,412,510 on 123 long U.S. Treasury Note futures contracts expiring December 2007, 686 short Eurodollar futures contracts expiring December 2007 to September 2009, 3,506 short U.S. Treasury Note futures contracts expiring December 2007 and 463 short U.S. Treasury Bond futures contracts expiring December 2007. The notional value of such contracts on October 31, 2007 was $756,077,952, with an unrealized loss of $4,500,487.

3

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

4

Illiquid security. As of October 31, 2007, the Trust held 0.7% of its net assets, with a current market value of $2,789,604, in these securities.

5

Represents an investment in an affiliate.

6

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2007, the Trust held 0.2% of its net assets, with a current market value of $775,270, in securities restricted as to resale.

7

Security is fair valued.

8

Rate shown is effective yield of the underlying collateral as of October 31, 2007.

9

Rate shown is the yield to maturity as of the date of purchase.

10

Cost for federal income tax purposes is $489,476,259. The net unrealized depreciation on a tax basis is $6,177,787, consisting of $21,888,429 gross unrealized appreciation and $28,066,216 gross unrealized depreciation.

11

See Note 1 in the Notes to Financial Statements for details of borrowed bond agreements.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

31

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

 

Portfolio of Investments as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

             

LONG-TERM INVESTMENTS—133.7%

 

 

 

 

Corporate Bonds—49.1%

 

 

 

 

Aerospace & Defense—1.5%

 

 

 

 

$

1,560

1

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

 

$

1,575,600

 

 

745

2

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

774,800

 

 

5,236

 

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

 

 

5,563,250

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

330

 

6.875%, 11/01/13

 

 

330,000

 

 

310

 

7.625%, 2/01/18

 

 

316,975

 

 

755

 

Sequa Corp., 9.00%, 8/01/09

 

 

809,737

 

 

570

 

TransDigm, Inc., 7.75%, 7/15/14

 

 

579,975

 

 

 

 

 

 

     

 

 

 

Total Aerospace & Defense

 

 

9,950,337

 

               

Automotive—2.4%

 

 

 

 

 

850

 

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

 

 

799,000

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

690

 

7.00%, 4/15/14

 

 

667,575

 

 

690

3

7.243%, 4/15/13

 

 

674,475

 

 

7,500

4

DaimlerChrysler NA Holding Corp., 4.05%, 6/04/08

 

 

7,439,415

 

 

500

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

503,750

 

 

1,575

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

1,512,000

 

 

1,000

4

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

 

 

930,000

 

 

3,500

 

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

 

 

3,535,000

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

16,061,215

 

               

Basic Materials—3.9%

 

 

 

 

 

1,405

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

1,032,675

 

 

2,200

 

AK Steel Corp., 7.75%, 6/15/12

 

 

2,244,000

 

 

1,100

 

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

 

 

1,127,500

 

 

670

3

Bowater, Inc., 8.694%, 3/15/10

 

 

613,050

 

 

120

 

Chemtura Corp., 6.875%, 6/01/16

 

 

114,600

 

 

750

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

750,000

 

 

 

 

Domtar, Inc., (Canada)

 

 

 

 

 

300

 

7.125%, 8/15/15

 

 

297,000

 

 

140

 

7.875%, 10/15/11

 

 

143,850

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

4,585

4

8.375%, 4/01/17

 

 

5,020,575

 

 

750

3

8.394%, 4/01/15

 

 

774,375

 

 

 

 

Huntsman LLC,

 

 

 

 

 

1,950

4

11.625%, 10/15/10

 

 

2,067,000

 

 

310

 

12.00%, 7/15/12

 

 

337,125

 

 

 

 

Ineos Group Holdings Plc (United Kingdom)

 

 

 

 

 

1,490

 

7.875%, 2/07/16 (EUR)

 

 

1,985,671

 

 

2,885

2

8.50%, 2/15/16

 

 

2,740,750

 

 

2,225

 

Innophos, Inc., 8.875%, 8/15/14

 

 

2,241,687

 

 

980

2

Key Plastics LLC/Key Plastics Finance Corp.,
11.75%, 3/15/13

 

 

833,000

 

 

560

 

Lyondell Chemical Co., 10.50%, 6/01/13

 

 

603,400

 

 

 

 

NewPage Corp.,

 

 

 

 

 

810

 

10.00%, 5/01/12

 

 

856,575

 

 

1,500

3,4

11.161%, 5/01/12

 

 

1,616,250

 

 

300

 

12.00%, 5/01/13

 

 

324,000

 

 

500

3

NOVA Chemicals Corp., 8.484%, 11/15/13 (Canada)

 

 

491,250

 

 

730

 

Terra Capital, Inc., Ser. B, 7.00%, 2/01/17

 

 

730,000

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

26,944,333

 

               

Building & Development—0.9%

 

 

 

 

 

3,000

4

DR Horton, Inc., 5.875%, 7/01/13

 

 

2,688,714

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

 

2,000

 

7.875%, 12/15/12

 

 

2,090,000

 

 

269

3

8.36%, 6/15/12

 

 

270,345

 

 

665

 

Nortek, Inc., 8.50%, 9/01/14

 

 

588,525

 

 

270

 

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

 

 

272,700

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

5,910,284

 

               

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

             

Commercial Services—0.2%

 

 

 

 

$

350

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

$

365,750

 

 

875

2

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

853,125

 

 

 

 

 

 

     

 

 

 

Total Commercial Services

 

 

1,218,875

 

               

Consumer Products—5.0%

 

 

 

 

 

2,085

3

Ames True Temper, Inc., 9.243%, 1/15/12

 

 

2,001,600

 

 

130

3

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,
8.058%, 5/15/14

 

 

128,375

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

2,250

 

9.85%, 3/15/14

 

 

2,165,625

 

 

1,880

 

10.75%, 3/15/15

 

 

1,828,300

 

 

5,000

4

Group 1 Automotive, Inc., 8.25%, 8/15/13

 

 

5,000,000

 

 

4,400

4

JCPenney Co., Inc., 8.00%, 3/01/10

 

 

4,687,540

 

 

1,475

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

1,327,500

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

2,210

 

10.00%, 11/01/14

 

 

2,226,575

 

 

2,800

4

11.375%, 11/01/16

 

 

2,793,000

 

 

73

 

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

 

 

77,015

 

 

575

 

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

 

 

536,187

 

 

1,000

4

Reynolds American, Inc., 7.625%, 6/01/16

 

 

1,081,917

 

 

 

 

Rite Aid Corp.,

 

 

 

 

 

3,440

4

7.50%, 3/01/17

 

 

3,199,200

 

 

5,000

4

8.125%, 5/01/10

 

 

5,031,250

 

 

1,790

4

Sally Holdings LLC, 10.50%, 11/15/16

 

 

1,781,050

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

33,865,134

 

               

Containers & Packaging—1.0%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

1,210

 

8.875%, 9/15/14

 

 

1,240,250

 

 

835

3

9.569%, 9/15/14

 

 

837,087

 

 

885

 

Crown Americas LLC/Crown Americas Capital Corp.,
7.75%, 11/15/15

 

 

911,550

 

 

585

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

580,613

 

 

1,370

2,3

Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)

 

 

1,362,813

 

 

2,020

 

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

 

 

2,201,800

 

 

 

 

 

 

     

 

 

 

Total Containers & Packaging

 

 

7,134,113

 

               

Ecological Services & Equipment—0.6%

 

 

 

 

 

2,000

 

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

 

 

2,040,000

 

 

2,065

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

2,065,000

 

 

 

 

 

 

     

 

 

 

Total Ecological Services & Equipment

 

 

4,105,000

 

               

Energy—4.9%

 

 

 

 

 

5,500

2

AES Corp., 8.75%, 5/15/13

 

 

5,816,250

 

 

550

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

561,000

 

 

1,210

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

1,128,325

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

650

 

6.375%, 6/15/15

 

 

630,500

 

 

100

 

6.875%, 11/15/20

 

 

97,750

 

 

4,000

4

7.50%, 9/15/13

 

 

4,110,000

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

255

 

7.50%, 5/15/15

 

 

260,100

 

 

420

 

7.75%, 5/15/17

 

 

432,600

 

 

925

 

Compton Petroleum Finance Corp., 7.625%,
12/01/13 (Canada)

 

 

885,687

 

 

1,640

1

East Cameron Gas Co., 11.25%, 7/09/19
(Cayman Islands)

 

 

1,574,400

 

 

590

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

598,113

 

 

400

 

El Paso Natural Gas Co., 8.875%, 6/15/32

 

 

466,279

 

 

159

 

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

 

 

162,789

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

250

 

6.00%, 7/15/15

 

 

226,250

 

 

200

 

7.25%, 12/01/17

 

 

191,500

 

 

495

 

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

 

 

488,813

 

 

380

4

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

381,900

 

 

895

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

881,575

 

 

4,324

4

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

4,648,585

 

 

625

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

632,031

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

32



 

 


 

 

Portfolio of Investments as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW)
(continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Energy—(cont’d)

 

 

 

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

$

210

 

7.25%, 2/01/14

 

$

210,000

 

 

1,185

 

7.375%, 2/01/16

 

 

1,182,037

 

 

1,990

2

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

1,994,975

 

580

 

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

 

 

640,900

 

 

1,515

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

1,484,700

 

 

1,240

2

SemGroup LP, 8.75%, 11/15/15

 

 

1,190,400

 

 

725

2

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

 

 

732,250

 

 

1,550

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

1,523,675

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

33,133,384

 

               

Entertainment & Leisure—0.4%

 

 

 

 

 

505

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

546,663

 

 

1,430

2

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

1,422,850

 

 

1,020

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

752,250

 

 

100

 

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

 

 

98,250

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

2,820,013

 

               

Financial Institutions—5.2%

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate

 

 

 

 

 

 

 

Finance Corp.,

 

 

 

 

 

1,480

 

7.125%, 2/15/13

 

 

1,443,000

 

 

5,860

4

8.125%, 6/01/11

 

 

5,903,950

 

 

839

2,3

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

805,682

 

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

2,800

 

7.375%, 2/01/11

 

 

2,640,938

 

 

1,665

 

7.80%, 6/01/12

 

 

1,564,392

 

 

940

3

7.993%, 1/13/12

 

 

870,229

 

 

60

3

9.693%, 4/15/12

 

 

60,570

 

 

2,735

4

General Motors Acceptance Corp., 6.875%, 8/28/12

 

 

2,465,586

 

 

3,716

2

iPayment Investors LP, 11.625%, 7/15/14

 

 

3,827,972

 

 

950

 

iPayment, Inc., 9.75%, 5/15/14

 

 

912,000

 

 

 

 

LVB Acquisition Merger Sub, Inc.,

 

 

 

 

 

500

2

10.00%, 10/15/17

 

 

513,750

 

 

500

2

10.375%, 10/15/17

 

 

506,250

 

 

670

2

11.625%, 10/15/17

 

 

682,563

 

 

2,590

2

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

 

 

2,499,350

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

925

2

8.75%, 9/01/12

 

 

962,000

 

 

3,134

2

10.375%, 9/01/14

 

 

3,447,400

 

 

4,410

5

Structured Asset Receivable Trust, 5.68%, 1/21/10

 

 

4,365,591

 

 

220

3

Universal City Florida Holding Co. I/II, 9.661%, 5/01/10

 

 

224,950

 

 

2,780

2

Wimar Opco LLC/Wimar Opco Finance Corp.,
9.625%, 12/15/14

 

 

2,085,000

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

35,781,173

 

               

Health Care—1.1%

 

 

 

 

 

3,000

 

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

 

 

3,112,500

 

 

1,985

 

Tenet Healthcare Corp., 6.50%, 6/01/12

 

 

1,682,288

 

 

2,948

2

Viant Holdings, Inc., 10.125%, 7/15/17

 

 

2,771,120

 

 

 

 

 

 

     

 

 

 

Total Health Care

 

 

7,565,908

 

               

Industrials—1.4%

 

 

 

 

 

1,700

2

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

 

 

1,674,500

 

 

650

 

Hexcel Corp., 6.75%, 2/01/15

 

 

638,625

 

 

905

 

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

 

 

843,913

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

2,000

 

9.50%, 8/01/14

 

 

2,065,000

 

 

1,430

 

11.75%, 8/01/16

 

 

1,515,800

 

 

3,125

2

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

 

 

3,000,000

 

 

 

 

 

 

     

 

 

 

Total Industrials

 

 

9,737,838

 

               

Media—8.6%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

1,975

 

10.125%, 10/15/13

 

 

2,058,937

 

 

850

 

11.50%, 10/15/15

 

 

886,125

 

 

420

 

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

 

 

402,150

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Media—(cont’d)

 

 

 

 

$

800

3

Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09

 

$

822,000

 

 

520

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

507,000

 

 

1,395

 

Charter Communications Holdings I LLC/Charter
Communications Holdings I Capital Corp.,
11.00%, 10/01/15

 

 

1,353,150

 

 

2,880

 

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

 

 

2,937,600

 

 

865

 

Ser. B, 10.25%, 9/15/10

 

 

880,138

 

 

2,425

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

2,227,969

 

 

6,685

4

Comcast Cable Communications, Inc., 6.875%, 6/15/09

 

 

6,854,899

 

 

1,650

 

Dex Media West LLC/Dex Media Finance Co.,
Ser. B, 9.875%, 8/15/13

 

 

1,759,313

 

 

500

 

DirecTV Holdings LLC/DirecTV Financing Co.,
8.375%, 3/15/13

 

 

522,500

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

2,800

 

5.75%, 10/01/08

 

 

2,793,000

 

 

1,330

 

7.00%, 10/01/13

 

 

1,384,863

 

 

200

 

7.125%, 2/01/16

 

 

209,000

 

 

2,525

 

Idearc, Inc., 8.00%, 11/15/16

 

 

2,531,312

 

 

2,000

2,3

ION Media Networks, Inc., 8.493%, 1/15/12

 

 

2,005,000

 

 

2,105

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

2,118,156

 

 

2,790

 

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

 

 

2,678,400

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

1,400

6

9.115%, 8/01/16

 

 

1,011,500

 

 

4,340

 

10.00%, 8/01/14

 

 

4,567,850

 

 

3,465

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

3,465,000

 

 

2,000

 

Salem Communications Corp., 7.75%, 12/15/10

 

 

2,007,500

 

 

460

 

Sinclair Broadcast Group, Inc., 4.875%, 7/15/18

 

 

417,019

 

 

185

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

183,844

 

 

4,500

2

TL Acquisitions, Inc., 10.50%, 1/15/15

 

 

4,477,500

 

 

1,465

2

Univision Communications, Inc., 9.75%, 3/15/15

 

 

1,435,700

 

 

2,390

 

Vertis, Inc., 9.75%, 4/01/09

 

 

2,390,000

 

 

4,342

 

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

 

 

4,081,480

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

58,968,905

 

               

Real Estate—0.3%

 

 

 

 

 

2,000

3

Rouse Co., 5.375%, 11/26/13

 

 

1,812,352

 

               

Technology—2.6%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

2,063

 

7.75%, 5/15/13

 

 

1,995,952

 

 

600

 

9.25%, 6/01/16

 

 

613,500

 

 

1,965

4

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

 

 

1,886,400

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

3,015

 

9.125%, 12/15/14

 

 

2,728,575

 

 

600

3

9.569%, 12/15/14

 

 

551,250

 

 

1,625

 

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

1,535,625

 

 

1,835

4

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

1,610,213

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

590

 

9.125%, 8/15/13

 

 

601,800

 

 

2,600

 

10.25%, 8/15/15

 

 

2,710,500

 

 

3,765

 

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

 

 

3,717,937

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

17,951,752

 

               

Telecommunications—7.9%

 

 

 

 

 

1,420

 

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

 

 

1,423,550

 

 

990

 

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

982,575

 

 

5,000

4

Deutsche Telekom Intl. Finance BV, 8.00%, 6/15/10
(Netherlands)

 

 

5,361,380

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

1,120

2

8.875%, 1/15/15

 

 

1,045,856

 

 

2,797

2

9.125%, 1/15/15

 

 

2,611,856

 

 

860

3

Hawaiian Telcom Communications, Inc., Ser. B,
10.318%, 5/01/13

 

 

870,750

 

 

2,495

 

Intelsat Corp., 9.00%, 6/15/16

 

 

2,551,138

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

 

33

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

 

Portfolio of Investments as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

             

Telecommunications—(cont’d)

 

 

 

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

$

415

3

8.886%, 1/15/15

 

$

421,225

 

 

1,800

 

9.25%, 6/15/16

 

 

1,867,500

 

 

630

 

11.25%, 6/15/16

 

 

677,250

 

 

2,815

3

11.409%, 6/15/13

 

 

2,934,637

 

 

1,470

 

Intelsat Subsidiary Holding Co. Ltd., 8.625%,
1/15/15 (Bermuda)

 

 

1,492,050

 

 

500

2

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

496,250

 

 

3,850

2

Nordic Telephone Co. Holdings A.p.S.,
8.875%, 5/01/16 (Denmark)

 

 

4,071,375

 

 

3,300

2,3

Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)

 

 

3,258,750

 

 

3,517

 

PanAmSat Corp., 9.00%, 8/15/14

 

 

3,587,340

 

 

3,287

2,3

ProtoStar I Ltd., 12.50%, 10/15/12 (Bermuda)

 

 

3,451,615

 

 

1,364

3

Qwest Communications Intl., Inc., 9.058%, 2/15/09

 

 

1,370,820

 

 

 

 

Qwest Corp.,

 

 

 

 

 

1,000

 

7.875%, 9/01/11

 

 

1,055,000

 

 

2,500

3

8.944%, 6/15/13

 

 

2,665,625

 

 

2,675

4

9.125%, 3/15/12

 

 

2,929,125

 

 

3,595

 

West Corp., 11.00%, 10/15/16

 

 

3,765,762

 

 

1,500

2

Wind Acquisition Finance S.A., 10.75%,
12/01/15 (Luxembourg)

 

 

1,668,750

 

 

 

 

Windstream Corp.,

 

 

 

 

 

2,340

4

8.125%, 8/01/13

 

 

2,474,550

 

 

1,060

 

8.625%, 8/01/16

 

 

1,134,200

 

 

 

 

 

 

     

 

 

 

Total Telecommunications

 

 

54,168,929

 

               

Transportation—1.2%

 

 

 

 

 

520

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

513,500

 

 

490

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

514,500

 

 

1,715

 

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

 

 

1,659,263

 

 

2,150

 

Navios Maritime Holdings, Inc., 9.50%,
12/15/14 (Marshall Islands)

 

 

2,273,625

 

 

1,650

 

Overseas Shipholding Group, Inc., 8.75%, 12/01/13

 

 

1,769,625

 

 

1,900

2

St. Acquisition Corp., 12.50%, 5/15/17

 

 

1,211,250

 

 

 

 

 

 

     

 

 

 

Total Transportation

 

 

7,941,763

 

 

 

 

 

 

     

 

 

 

Total Corporate Bonds

 

 

335,071,308

 

               

Bank Loans—56.5%

 

 

 

 

Aerospace & Defense—0.3%

 

 

 

 

 

1,750

 

DI Finance/DynCorp Intl., Loan B,

 

 

 

 

 

 

 

LIBOR + 2.00%, 2/11/11

 

 

1,675,789

 

 

486

 

Wesco Aircraft Hardware Corp., First Lien Loan,
LIBOR + 2.25%, 9/29/13

 

 

480,375

 

 

 

 

 

 

     

 

 

 

Total Aerospace & Defense

 

 

2,156,164

 

               

Automotive—1.7%

 

 

 

 

 

637

 

IAP Worldwide Services, Inc., First Lien Loan,
LIBOR + 6.25%, 12/30/12

 

 

571,731

 

 

1,489

 

Keystone Automotive Industries, Inc., Loan B,
LIBOR + 3.50%, 1/12/12

 

 

1,385,778

 

 

964

 

Mark IV Industries, Inc., First Lien Loan,
LIBOR + 2.50%, 6/21/11

 

 

927,972

 

 

765

 

Metaldyne Corp., LIBOR , 1/11/14

 

 

745,875

 

 

496

 

Motorsport Aftermarket Group, Inc.,
LIBOR + 2.50%, 11/30/13

 

 

477,641

 

 

 

 

Navistar Intl. Corp.,

 

 

 

 

 

1,000

 

Revolver Loan, Unfunded, 0.50%, 1/19/12

 

 

980,750

 

 

2,750

 

LIBOR + 3.25%, 1/19/12

 

 

2,697,062

 

 

921

 

Rent-A-Center, Inc., Loan B, LIBOR + 1.75%, 6/30/12

 

 

899,519

 

 

 

 

Reynolds & Reynolds Co.,

 

 

 

 

 

1,870

 

LIBOR + 2.00%, 10/26/12

 

 

1,821,930

 

 

1,250

 

Second Lien Loan, LIBOR + 5.50%, 10/26/13

 

 

1,246,875

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

11,755,133

 

               

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Basic Materials—2.6%

 

 

 

 

$

998

 

Appleton Papers, Inc., Loan B, LIBOR + 1.75%, 6/05/14

 

$

956,977

 

 

499

 

BOC Edwards, LIBOR + 2.00%, 5/31/14

 

 

466,331

 

 

 

 

Brenntag Holdings (EUR)

 

 

 

 

 

282

 

Loan B6, LIBOR + 2.00%, 9/15/14

 

 

390,878

 

 

218

 

Loan B6b, LIBOR + 2.00%, 9/15/14

 

 

302,615

 

 

1,000

 

Cognis Group, LIBOR, 11/17/13 (EUR)

 

 

1,391,641

 

 

786

 

Compass Minerals Group, Inc.,
LIBOR + 1.50%, 12/22/12

 

 

773,060

 

 

550

 

Huntsman Intl. LLC, Loan B, LIBOR + 1.75%, 4/19/14

 

 

545,102

 

 

 

 

Ineos Group Holdings Plc,

 

 

 

 

 

1,241

 

Loan A4, LIBOR + 2.25%, 12/16/12

 

 

1,210,496

 

 

1,682

 

Loan B2, LIBOR + 2.25%, 12/16/13

 

 

1,664,679

 

 

1,682

 

Loan C2, LIBOR + 2.75%, 12/23/14

 

 

1,664,223

 

 

 

 

Invista BV,

 

 

 

 

 

1,283

 

Loan B1, LIBOR + 1.50%, 4/29/11

 

 

1,259,879

 

 

680

 

Loan B2, LIBOR + 1.50%, 4/29/11

 

 

667,829

 

 

1,496

 

ISP Chemco LLC, Loan B, LIBOR + 1.75%, 6/04/14

 

 

1,459,218

 

 

1,151

 

John Maneely Co., Loan B, LIBOR + 3.25%, 12/08/13

 

 

1,065,305

 

 

1,562

 

Nalco Co., Loan B, LIBOR + 1.75%, 11/04/10

 

 

1,551,152

 

 

975

 

Rockwood Specialties Group, Inc., Loan E,
LIBOR + 1.50%, 12/13/13

 

 

957,694

 

 

1,611

 

SP Newsprint, Loan B, LIBOR + 3.75%, 1/09/10

 

 

1,562,778

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

17,889,857

 

               

Building & Development-2.0%

 

 

 

 

 

196

 

Armstrong World Industries, Inc., LIBOR + 1.75%, 10/02/13

 

 

194,045

 

 

1,238

 

Beacon Roofing Supply, Inc., Loan B,
LIBOR + 2.00%, 9/30/13

 

 

1,175,625

 

 

 

 

Brand Energy & Infrastructure Services, Inc.,

 

 

 

 

 

498

 

First Lien Loan B, LIBOR + 2.25%, 2/07/14

 

 

474,698

 

 

500

 

Second Lien Loan, LIBOR + 6.00%, 2/07/15

 

 

477,917

 

 

2,481

 

Building Materials Holding Corp.,
PRIME + 1.75%, 3/15/14

 

 

2,238,485

 

 

1,500

 

Custom Building Products, Inc., Second Lien Loan,
LIBOR + 5.00%, 4/29/12

 

 

1,380,000

 

 

250

 

Euramax Intl., Inc., Second Lien Loan,
LIBOR + 8.00% , 6/29/13

 

 

212,908

 

 

1,500

 

Hanley Wood LLC, LIBOR + 2.25%, 3/08/14

 

 

1,233,750

 

 

 

 

Lafarge Roofing Holdings, Inc.,

 

 

 

 

 

725

 

Loan B1, LIBOR + 2.13%, 2/28/14 (EUR)

 

 

955,310

 

 

296

 

Loan B2, LIBOR + 2.13%, 2/28/14 (EUR)

 

 

390,196

 

 

278

 

Loan B4, LIBOR + 0.00%, 2/28/14

 

 

251,415

 

 

673

 

Loan C1, LIBOR, 2/28/15 (EUR)

 

 

890,852

 

 

346

 

Loan C2, LIBOR, 2/28/15 (EUR)

 

 

458,268

 

 

285

 

Loan C4, LIBOR, 2/28/15

 

 

258,886

 

 

494

 

Nacco Industries, Inc., Unfunded, 0.25%, 3/21/13

 

 

475,234

 

 

485

 

Nortek, Inc., Loan B, PRIME + 1.25%, 8/27/11

 

 

472,875

 

 

800

 

Rhodes Ranch, First Lien Loan, LIBOR + 3.50%, 11/21/10

 

 

724,000

 

 

1,870

 

United Subcontractors, Inc., First Lien Loan,
LIBOR + 3.00%, 12/27/12

 

 

1,533,469

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

13,797,933

 

               

Conglomerates—1.3%

 

 

 

 

 

 

 

Atlantis Plastics, Inc.,

 

 

 

 

 

975

 

First Lien Loan, LIBOR + 4.00%, 9/22/11

 

 

809,250

 

 

250

 

Second Lien Loan, LIBOR + 9.00%, 3/22/12

 

 

207,500

 

 

891

 

Blount Intl., Loan B, PRIME, 8/09/10

 

 

870,631

 

 

1,946

 

Colfax Corp., Loan B, LIBOR + 2.25%, 5/30/09

 

 

1,923,989

 

 

 

 

Invensys Plc,

 

 

 

 

 

1,000

 

Loan A, LIBOR + 2.00%, 12/15/11

 

 

975,000

 

 

1,000

 

Loan B, LIBOR + 2.13%, 12/15/11 (GBP)

 

 

2,042,913

 

 

1,122

 

Sensus Metering Systems, Inc., Loan B1,
LIBOR + 2.00%, 12/17/10

 

 

1,099,304

 

 

722

 

St. John Knits Intl., Inc., Loan B, LIBOR +
3.00%, 3/21/12

 

 

707,649

 

 

 

 

 

 

     

 

 

 

Total Conglomerates

 

 

8,636,236

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

34



 

 


 

 

Portfolio of Investments as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Consumer Products—8.1%

 

 

 

 

$

1,000

 

Aearo Technologies, Inc., Second Lien Loan,
LIBOR + 5.50%, 12/01/14

 

$

965,000

 

 

985

 

24 Hour Fitness Worldwide, Inc., Loan B,
LIBOR + 2.50%, 6/08/12

 

 

965,300

 

 

 

 

Advance Food Co.,

 

 

 

 

 

774

 

Loan B, PRIME + 0.75%, 3/16/14

 

 

739,064

 

 

222

 

TBD, Unfunded, 3/16/14

 

 

212,222

 

 

750

 

American Safety Razor Co., Second Lien Loan,
LIBOR + 6.25%, 1/30/14

 

 

746,250

 

 

 

 

ARAMARK Corp.,

 

 

 

 

 

178

 

Letter of Credit, LIBOR + 2.00%, 1/26/14

 

 

173,305

 

 

2,487

 

Loan B, LIBOR + 2.00%, 1/26/14

 

 

2,424,837

 

 

448

 

Arby’s Restaurant Group, Inc., Loan B,
LIBOR + 2.25%, 7/25/12

 

 

438,529

 

 

390

 

Bare Escentuals Beauty, Inc., First Lien Loan,
LIBOR + 2.25%, 2/18/12

 

 

384,738

 

 

 

 

Berkline Bench Craft,

 

 

 

 

 

94

7

Loan B, PRIME + 2.75%, 11/03/11

 

 

54,230

 

 

1,005

7

Second Lien Loan, TBD, 5/11/12

 

 

50,252

 

 

1,244

 

Brickman Group Ltd., LIBOR + 2.00%, 1/23/14

 

 

1,206,438

 

 

1,011

 

Burlington Coat Factory Warehouse Corp., Loan B,
LIBOR + 2.25%, 5/28/13

 

 

945,381

 

 

1,090

 

Central Garden & Pet Co., Loan B,
PRIME + 0.75%, 9/30/12

 

 

991,792

 

 

 

 

Cenveo Corp.,

 

 

 

 

 

31

 

Delayed Draw Loan, LIBOR + 1.75%, 6/21/13

 

 

29,806

 

 

923

 

Loan C, LIBOR + 1.75%, 6/21/13

 

 

896,921

 

 

435

 

Chiquita Brands Intl., Inc., Loan C, LIBOR + 3.00%, 6/28/12

 

 

427,253

 

 

1,245

 

Claire’s Stores, Inc., Loan B, LIBOR + 2.75%, 5/29/14

 

 

1,169,912

 

 

993

 

Coinmach Corp., Loan B1, Unfunded, 1.25%, 12/19/12

 

 

985,492

 

 

2,209

 

Cracker Barrel, Loan B, LIBOR + 1.50%, 4/27/13

 

 

2,144,617

 

 

1,500

 

Culligan International Co., Second Lien Loan,
LIBOR, 4/24/13 (EUR)

 

 

1,912,085

 

 

995

 

David’s Bridal, Inc., LIBOR + 2.00%, 1/31/14

 

 

937,788

 

 

 

 

Dole Food Co., Inc.,

 

 

 

 

 

468

 

Letter of Credit, LIBOR, 4/12/13

 

 

453,863

 

 

1,038

 

LIBOR + 2.00%, 4/12/13

 

 

1,005,873

 

 

3,460

 

Loan C, LIBOR + 2.00%, 4/12/13

 

 

3,352,910

 

 

500

 

DS Waters Holdings, Inc., Loan B, LIBOR, 3/07/12

 

 

486,250

 

 

1,936

 

Eight O’Clock Coffee, First Lien Loan,
LIBOR + 2.75%, 11/14/11

 

 

1,935,747

 

 

672

 

FTD, Inc., LIBOR + 2.00%, 7/28/13

 

 

664,045

 

 

350

 

Gold Toe, Second Lien Loan, LIBOR + 6.00%, 4/30/14

 

 

343,000

 

 

1,938

 

JRD Holdings, Inc., LIBOR + 2.50%, 5/11/14

 

 

1,889,063

 

 

780

 

Language Line, Inc., Loan B1, LIBOR + 3.25%, 6/11/11

 

 

757,381

 

 

1,000

7

Le-Natures, Inc., Loan B, LIBOR + 4.00%, 3/01/11

 

 

577,500

 

 

2,420

 

Michael Foods, Inc., Loan B1, LIBOR + 2.00%, 11/21/10

 

 

2,382,496

 

 

1,440

 

Neiman-Marcus Group, Inc., LIBOR + 1.75%, 4/06/13

 

 

1,413,836

 

 

1,330

 

New Page, Loan B, LIBOR + 2.25%, 5/02/11

 

 

1,313,308

 

 

1,500

 

Orchard Supply Hardware Stores Corp., Loan B2,
LIBOR + 2.45%, 12/09/07

 

 

1,477,500

 

 

963

 

Oriental Trading Co., LIBOR + 2.25%, 7/31/13

 

 

924,585

 

 

 

 

OSI Food Co.,

 

 

 

 

 

75

 

Pre Funded Revolver, Unfunded, 0.50%, 6/14/13

 

 

72,256

 

 

922

 

Loan B, LIBOR + 2.25%, 6/14/14

 

 

886,522

 

 

2,910

 

OSI Group LLC, LIBOR + 2.00% , 9/02/11

 

 

2,829,975

 

 

1,164

 

Pantry, Inc. (The), Loan B, LIBOR + 1.75%, 5/15/14

 

 

1,122,291

 

 

397

 

PETCO Animal Supplies, Inc., LIBOR + 2.25%, 10/26/13

 

 

387,241

 

 

591

 

Pierre Foods, Inc., Loan B, LIBOR + 4.00%, 6/30/10

 

 

580,901

 

 

750

 

Pivotal Promontory LLC, Second Lien Loan,
PRIME + 5.50%, 8/31/11

 

 

656,250

 

 

1,315

 

Prestige Brands Holdings, Inc., Loan B,
LIBOR + 2.25%, 4/06/11

 

 

1,304,701

 

 

1,975

 

Quiznos Corp., First Lien Loan, LIBOR + 2.25%, 5/05/13

 

 

1,910,263

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 

 

Consumer Products—(cont’d)

 

 

 

 

 

 

 

Riverdeep Interactive Learning, Inc.,

 

 

 

 

$

402

 

Bridge Loan, LIBOR + 7.20%, 12/21/07

 

$

400,179

 

 

995

 

Loan B, LIBOR + 2.75%, 12/20/13

 

 

987,318

 

 

3,650

 

ServiceMaster Co. (The), Bridge Loan,
LIBOR + 4.50%, 6/19/08

 

 

3,371,687

 

 

 

 

Sturm Foods, Inc.,

 

 

 

 

 

1,368

 

LIBOR + 2.50%, 1/31/14

 

 

1,272,356

 

 

500

 

Second Lien Loan, LIBOR + 7.00%, 7/21/14

 

 

458,750

 

 

621

7

Synventive Acquisition, Inc., Mezzanine Loan, LIBOR, 1/31/14

 

 

279,656

 

 

354

 

Warnaco, Inc., Loan B, LIBOR + 1.50%, 1/31/13

 

 

349,191

 

 

 

 

Wastequip, Inc.,

 

 

 

 

 

311

 

Delayed Draw Loan, LIBOR + 2.25%, 2/05/13

 

 

293,286

 

 

689

 

Loan B, LIBOR + 2.25%, 2/05/13

 

 

649,215

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

55,590,607

 

               

Containers & Packaging—2.0%

 

 

 

 

 

 

 

Bluegrass Container Co. LLC,

 

 

 

 

 

364

 

Delayed Draw Second Lien Loan,
LIBOR + 5.00%, 12/30/13

 

 

364,318

 

 

341

 

First Lien Loan, LIBOR + 2.25%, 6/30/13

 

 

337,969

 

 

1,140

 

Loan B, LIBOR + 2.25%, 6/30/13

 

 

1,129,527

 

 

1,136

 

Second Lien Loan, LIBOR + 5.00%, 12/30/13

 

 

1,138,494

 

 

 

 

Consolidated Container Co. LLC,

 

 

 

 

 

995

 

First Lien Loan, LIBOR + 2.25%, 3/28/14

 

 

927,837

 

 

750

 

Second Lien Loan, LIBOR, 9/28/14

 

 

648,750

 

 

2,456

 

Georgia-Pacific Corp., First Lien Loan,
LIBOR + 1.75%, 12/20/12

 

 

2,396,598

 

 

4,975

 

Graham Packaging Co. LP, Loan B,
LIBOR + 2.25%, 10/07/11

 

 

4,869,281

 

 

568

 

Smurfit-Stone Container Enterprises, Inc.,
Unfunded, 0.50%, 11/01/10

 

 

561,259

 

 

1,352

 

Solo Cup, Inc., LIBOR + 3.50%, 2/27/11

 

 

1,346,182

 

 

 

 

 

 

     

 

 

 

Total Containers & Packaging

 

 

13,720,215

 

               

Ecological Services & Equipment—0.1%

 

 

 

 

 

500

 

Envirosolutions, Inc., LIBOR + 3.50%, 7/07/12

 

 

470,000

 

 

73

 

Sensus Metering Systems, Inc., Loan B2,
LIBOR + 2.00%, 12/17/10

 

 

71,423

 

 

 

 

 

 

     

 

 

 

Total Ecological Services & Equipment

 

 

541,423

 

               

Energy—6.0%

 

 

 

 

 

 

 

429

 

AES Corp., LIBOR + 1.75%, 4/30/08

 

 

425,223

 

 

 

 

Big West Oil LLC,

 

 

 

 

 

550

 

Delayed Draw Loan, LIBOR + 1.50%, 5/15/14

 

 

528,000

 

 

448

 

LIBOR + 2.25%, 5/15/14

 

 

429,600

 

 

 

 

Coffeyville Resources LLC,

 

 

 

 

 

243

 

Letter Of Credit, Unfunded, 0.50%, 12/29/10

 

 

240,659

 

 

793

 

Loan D, PRIME + 3.25%, 12/28/13

 

 

784,872

 

 

 

 

Coleto Creek Power,

 

 

 

 

 

127

 

Letter of Credit, LIBOR + 2.85%, 6/28/13

 

 

125,000

 

 

1,849

 

Loan B, LIBOR + 2.75%, 6/28/13

 

 

1,814,531

 

 

1,485

 

Dresser, Inc., Loan B, LIBOR + 2.50%, 5/04/14

 

 

1,452,233

 

 

 

 

ElectricInvest Holding Co. Ltd.,

 

 

 

 

 

894

 

LIBOR + 4.00% , 12/21/12 (EUR)

 

 

1,250,814

 

 

900

 

LIBOR + 4.00% , 12/21/12 (GBP)

 

 

1,808,212

 

 

2,000

 

Flint, Loan B9, LIBOR, 11/09/14

 

 

1,922,500

 

 

 

 

Generac Power Systems, Inc.,

 

 

 

 

 

990

 

First Lien Loan, PRIME + 1.50%, 11/09/13

 

 

868,372

 

 

500

 

Second Lien Loan, PRIME + 5.00%, 5/10/14

 

 

358,959

 

 

1,474

 

Key Energy Services, Inc., Loan C,
LIBOR + 2.50%, 6/30/12

 

 

1,467,302

 

 

 

 

MACH Gen LLC,

 

 

 

 

 

70

 

Letter Of Credit, Unfunded, 0.50%, 2/22/13

 

 

67,887

 

 

675

 

LIBOR + 2.00%, 2/22/14

 

 

651,316

 

 

496

 

McJunkin Corp., Loan B, LIBOR + 3.25%, 1/31/13

 

 

493,459

 

 

493

 

MEG Energy Corp., Loan B, LIBOR + 2.00%, 4/03/13

 

 

481,788

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

 

35

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

 

Portfolio of Investments as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW)
(continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Energy—(cont’d)

 

 

 

 

 

 

 

Northeast Energy,

 

 

 

 

$

159

 

Letter of Credit, LIBOR + 2.50%, 11/01/13

 

$

152,988

 

 

1,297

 

Loan B, LIBOR + 2.50%, 11/01/13

 

 

1,251,802

 

 

250

 

Second Lien Loan, LIBOR + 4.50%, 5/01/14

 

 

236,875

 

 

1,995

 

Safenet, Inc., Loan B, LIBOR, 4/12/14

 

 

1,895,250

 

 

 

 

SandRidge Energy, Inc.,

 

 

 

 

 

1,500

 

LIBOR, 4/01/14

 

 

1,485,000

 

 

1,500

 

TBD, 4/01/15

 

 

1,485,000

 

 

15,000

 

Texas Competitive Electric Holdings Co. LLC,
TBD, 10/10/14

 

 

14,997,424

 

 

 

 

TPF Generation Holdings LLC,

 

 

 

 

 

151

 

Letter of Credit, LIBOR + 2.10%, 12/15/13

 

 

147,381

 

 

770

 

Loan B, LIBOR + 2.00%, 12/15/13

 

 

753,776

 

 

47

 

Revolver Loan, Unfunded, 0.50%, 12/15/13

 

 

46,201

 

 

1,477

 

Trinidad Energy Services Income Trust,
LIBOR + 2.50%, 5/13/11

 

 

1,462,725

 

 

926

 

Western Refining, LIBOR + 1.75%, 5/30/14

 

 

906,567

 

 

 

 

Wolf Hollow I LP,

 

 

 

 

 

470

 

Loan B, LIBOR + 2.25%, 6/22/12

 

 

437,481

 

 

400

 

Synthetic Letter of Credit, LIBOR + 2.25%, 6/22/12

 

 

372,000

 

 

100

 

Synthetic Revolver Loan, LIBOR + 2.25%, 6/22/12

 

 

93,000

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

40,894,197

 

               

Entertainment & Leisure—3.4%

 

 

 

 

 

 

 

Alpha III,

 

 

 

 

 

857

 

Loan B1, LIBOR + 2.38%, 12/31/13

 

 

837,857

 

 

643

 

Loan B2, LIBOR + 2.38%, 12/31/13

 

 

628,393

 

 

1,000

 

Loan D, LIBOR, 6/30/14

 

 

975,833

 

 

1,692

 

CCM Merger, Inc., Loan B, LIBOR + 2.00%, 7/13/12

 

 

1,649,478

 

 

1,107

 

Cinemark, Inc., Loan B, LIBOR + 1.75%, 10/05/13

 

 

1,080,323

 

 

998

 

Discovery Channel, Loan B, LIBOR + 2.00%, 5/14/14

 

 

983,161

 

 

1,980

 

Greektown Holdings LLC, Loan B,
LIBOR + 2.75%, 12/03/12

 

 

1,900,800

 

 

 

 

Green Valley Ranch Gaming LLC,

 

 

 

 

 

479

 

First Lien Loan, LIBOR + 2.00%, 2/16/14

 

 

467,335

 

 

1,000

 

Second Lien Loan, LIBOR + 3.25%, 8/16/14

 

 

947,500

 

 

490

 

Hit Entertainment Ltd., LIBOR + 2.00%, 3/20/12

 

 

479,593

 

 

 

 

Las Vegas Sands LLC,

 

 

 

 

 

700

 

Delayed Draw Loan, LIBOR + 0.75%, 5/23/14

 

 

678,731

 

 

2,294

 

Loan B, LIBOR + 1.75%, 5/23/14

 

 

2,224,539

 

 

4,925

 

Metro-Goldwyn-Mayer Studios, Inc., Loan B,
LIBOR + 3.25%, 4/08/12

 

 

4,713,634

 

 

978

 

Penn National Gaming, Inc., Loan B,
LIBOR + 1.75%, 10/03/12

 

 

969,818

 

 

3,728

 

Travelport LLC, LIBOR + 7.00%, 3/27/12

 

 

3,584,752

 

 

 

 

Travelport, Inc.,

 

 

 

 

 

29

 

Letter of Credit, LIBOR + 2.25%, 8/23/13

 

 

28,354

 

 

145

 

LIBOR + 2.25%, 8/23/13

 

 

141,309

 

 

495

 

Wembley, Inc., First Lien Loan, LIBOR + 2.50%, 8/23/11

 

 

478,872

 

 

413

 

Yellowstone Mountain Club, LIBOR + 2.38%, 9/30/10

 

 

387,781

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

23,158,063

 

               

Financial Institutions—2.9%

 

 

 

 

 

984

 

Advantage Sales & Marketing, Inc., LIBOR + 2.00%, 3/29/13

 

 

946,694

 

 

1,489

 

Alix Partners, LIBOR + 2.00%, 10/12/13

 

 

1,460,836

 

 

990

 

Bankruptcy Management, LIBOR + 2.75%, 7/28/12

 

 

962,775

 

 

925

 

Billing Services Group, LIBOR + 2.50%, 5/11/12 (EUR)

 

 

1,339,908

 

 

929

 

BNY Convergex Group LLC, First Lien Loan,
LIBOR + 3.00%, 10/02/13

 

 

913,482

 

 

432

 

CCC Information Services Group, Inc., Loan B,
LIBOR + 2.50%, 2/10/13

 

 

426,637

 

 

1,238

 

Charter Mac, Loan B, LIBOR + 2.50%, 8/15/12

 

 

1,138,500

 

 

743

 

Conseco, Inc., LIBOR + 2.00%, 10/10/13

 

 

707,544

 

 

3,000

1

Enclave, Loan B, LIBOR, 3/01/12

 

 

2,842,680

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Financial Institutions—(cont’d)

 

 

 

 

 

 

 

GS Holdings Corp.,

 

 

 

 

$

52

 

Delayed Draw Loan, LIBOR + 1.75%, 5/12/13

 

$

50,662

 

 

80

 

LIBOR + 1.75%, 5/13/11

 

 

77,718

 

 

541

 

LIBOR + 1.75%, 5/12/13

 

 

526,878

 

 

4,000

 

J.G. Wentworth LLC, First Lien Loan,
LIBOR + 2.25%, 4/04/14

 

 

3,805,000

 

 

385

 

Jostens, Inc., Loan C, LIBOR + 2.00%, 12/21/11

 

 

381,351

 

 

998

 

Lucite Intl. Finance Plc, LIBOR + 9.00%, 7/07/13 (EUR)

 

 

1,394,644

 

 

801

 

Professional Service, Inc., Loan B,
LIBOR + 2.75%, 10/31/12

 

 

785,380

 

 

496

 

Renfro Corp., Delayed Draw Loan,
LIBOR + 3.25%, 10/05/13

 

 

485,994

 

 

1,111

 

Sedgewick Claims Management Services, Inc.,
Loan B, LIBOR + 2.25%, 1/31/13

 

 

1,091,258

 

 

741

 

Vertellus, First Lien Loan, LIBOR + 3.25%, 3/31/13

 

 

720,258

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

20,058,199

 

               

Health Care—2.9%

 

 

 

 

 

 

 

Cardinal Health, Inc.,

 

 

 

 

 

1,995

 

Loan B, LIBOR + 2.25%, 4/15/14 (EUR)

 

 

2,600,870

 

 

1,496

 

Unfunded, 2.25%, 4/10/14

 

 

1,346,625

 

 

859

 

CCS Medical, Loan B, LIBOR + 3.25%, 9/30/12

 

 

834,993

 

 

 

 

Community Health Systems, Inc.,

 

 

 

 

 

340

 

Delayed Draw Loan, Unfunded, 0.50%, 7/25/14

 

 

332,047

 

 

5,160

 

Loan B, LIBOR + 2.25%, 7/25/14

 

 

5,033,938

 

 

250

 

Emdeon Business Services, LLC, Second Lien Loan,
LIBOR, 5/16/14

 

 

247,500

 

 

663

 

Eye Care Centers of America, Inc.,
LIBOR + 2.50%, 2/16/12

 

 

653,545

 

 

1,990

 

Health Management Associates, Inc.,
PRIME + 0.75%, 2/28/14

 

 

1,897,133

 

 

859

 

HealthSouth Corp., Loan B, LIBOR + 2.50%, 3/10/13

 

 

838,432

 

 

491

 

National Renal Institutes, Inc., Loan B,
LIBOR + 2.25%, 3/31/13

 

 

477,163

 

 

 

 

Quintiles Transnational Corp.,

 

 

 

 

 

985

 

First Lien Loan, LIBOR + 2.00%, 3/31/13

 

 

964,993

 

 

250

 

Second Lien Loan, LIBOR + 4.00%, 3/31/14

 

 

247,500

 

 

975

 

Select Medical Corp., Loan B, LIBOR + 2.00%, 2/24/12

 

 

931,531

 

 

980

 

Vanguard Health Holding Co. II LLC,
LIBOR + 2.25%, 9/23/11

 

 

957,508

 

 

 

 

Warner Chilcott Corp.,

 

 

 

 

 

1,722

 

Loan B, LIBOR + 2.00%, 1/18/12

 

 

1,692,909

 

 

515

 

Loan C, LIBOR + 2.00%, 1/18/12

 

 

506,661

 

 

 

 

 

 

     

 

 

 

Total Health Care

 

 

19,563,348

 

               

Industrials—2.7%

 

 

 

 

 

987

 

Acosta, Inc., LIBOR + 2.25%, 7/28/13

 

 

964,047

 

 

983

 

Bolthouse Farms, Inc., First Lien Loan,
LIBOR + 2.25%, 12/16/12

 

 

966,534

 

 

998

 

Bucyrus International, Inc., LIBOR + 1.50%, 5/04/14

 

 

985,031

 

 

 

 

Buhrmann U.S., Inc.,

 

 

 

 

 

496

 

Loan D, LIBOR + 2.00%, 12/31/10

 

 

490,047

 

 

2,246

 

Loan D1, LIBOR + 2.00%, 12/23/10

 

 

2,218,149

 

 

1,725

 

Drummond Co., Inc., LIBOR + 1.25%, 2/14/11

 

 

1,690,500

 

 

1,496

 

Harland Clarke Holdings Corp., Loan B,
LIBOR + 2.50%, 6/30/14

 

 

1,406,475

 

 

1,496

 

Jason, Inc., LIBOR + 2.50%, 4/30/10

 

 

1,451,363

 

 

 

 

Kion Group,

 

 

 

 

 

250

 

Loan B, LIBOR + 2.25%, 3/15/15

 

 

245,764

 

 

250

 

Loan C, LIBOR + 2.50%, 3/15/16

 

 

247,014

 

 

1,500

 

Lincoln Industrial Corp., Second Lien Loan,
LIBOR + 5.75%, 1/12/15

 

 

1,477,500

 

 

 

 

Mivisa Envases S.A.U. (EUR)

 

 

 

 

 

826

 

Loan B1, LIBOR, 5/03/15

 

 

1,158,797

 

 

174

 

Loan B2, LIBOR, 5/03/15

 

 

243,708

 

 

2,469

 

Oshkosh Truck Corp., Loan B, LIBOR + 1.75%, 12/06/13

 

 

2,425,804

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

36



 

 


 

 

Portfolio of Investments as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Industrials—(cont’d)

 

 

 

 

 

 

 

Standard Steel LLC,

 

 

 

 

$

411

 

Loan B, LIBOR + 2.50%, 6/30/12

 

$

403,229

 

 

83

 

Delayed Draw Loan, Unfunded, 2.50%, 6/30/12

 

 

81,258

 

 

1,210

 

Thermo Fluids, Inc., Loan B, LIBOR + 3.50%, 6/27/13

 

 

1,053,089

 

 

 

 

Trimas Corp.,

 

 

 

 

 

94

 

Letter of Credit, LIBOR + 2.25%, 8/02/13

 

 

91,875

 

 

402

 

Loan B, LIBOR + 2.75%, 8/02/13

 

 

394,144

 

 

468

 

United Rentals NA, Inc., LIBOR + 2.00%, 2/14/11

 

 

464,919

 

 

 

 

 

 

     

 

 

 

Total Industrials

 

 

18,459,247

 

               

Media—11.1%

 

 

 

 

 

500

 

Affinion Group, Inc., LIBOR + 6.25%, 3/01/12

 

 

485,834

 

 

988

 

Atlantic Broadband Finance LLC, Loan B2,
LIBOR + 2.25%, 8/10/12

 

 

971,697

 

 

1,000

 

Audio Visual Services Corp., Second Lien Loan,
LIBOR + 5.50%, 2/28/14

 

 

950,000

 

 

3,940

 

Cablevision Systems Corp., LIBOR + 1.75%, 3/29/13

 

 

3,842,485

 

 

6,468

 

Cequel Communications II LLC, First Lien Loan,
LIBOR + 2.00%, 4/04/13

 

 

6,258,115

 

 

6,000

 

Charter Communications Holdings LLC,
LIBOR + 2.00%, 3/06/13

 

 

5,760,000

 

 

714

 

CMP Susquehanna Corp., Loan B,
LIBOR + 2.00%, 5/05/13

 

 

689,569

 

 

 

 

Dex Media West LLC/Dex Media Finance Co.,

 

 

 

 

 

625

 

Loan B1, LIBOR + 1.50%, 3/09/10

 

 

617,292

 

 

2,486

 

Loan B2, LIBOR + 1.50%, 3/09/10

 

 

2,454,977

 

 

1,311

 

DirecTV Holdings LLC, Loan B, LIBOR + 1.50%, 4/13/13

 

 

1,301,047

 

 

 

 

Gatehouse Media Operating, Inc.,

 

 

 

 

 

592

 

Delayed Draw Loan, LIBOR + 2.00%, 8/28/14

 

 

548,031

 

 

1,000

 

Loan B, LIBOR + 2.00%, 8/28/14

 

 

926,250

 

 

2,000

 

Gray Television, Inc., Delayed Draw Loan,
LIBOR + 1.50%, 12/31/14

 

 

1,924,166

 

 

2,978

 

Idearc, Inc., Loan B, LIBOR + 2.00%, 11/17/14

 

 

2,932,528

 

 

499

 

Knology, First Lien Loan, LIBOR + 2.25%, 6/30/12

 

 

481,294

 

 

1,985

 

Mediacom Broadband LLC, Loan D1,
LIBOR + 1.75%, 1/31/15

 

 

1,919,070

 

 

1,960

 

Mediacom Illinois LLC, Loan C, LIBOR + 1.75%, 1/31/15

 

 

1,896,481

 

 

1,907

 

Mission Broadcasting, Inc., Loan B,
LIBOR + 1.75%, 10/01/12

 

 

1,835,485

 

 

357

 

Multicultural Radio Broadcasting, Inc.,
LIBOR + 2.75%, 12/18/12

 

 

349,860

 

 

1,000

 

National CineMedia, Inc., Loan B, LIBOR + 1.75%, 2/13/15

 

 

964,219

 

 

 

 

New Wave Communications,

 

 

 

 

 

2

 

LIBOR + 2.75%, 6/20/13

 

 

68,950

 

 

938

 

Loan A, LIBOR + 3.50%, 6/30/13

 

 

924,053

 

 

235

 

Loan Z, LIBOR + 3.50%, 6/20/13

 

 

164,495

 

 

63

 

TBD, 6/20/13

 

 

62,055

 

 

1,806

 

Nexstar Finance, Inc., Loan B, LIBOR + 1.75%, 10/01/12

 

 

1,738,291

 

 

3,465

 

Nielsen Finance LLC/Nielsen Finance Co., Loan B,
LIBOR + 2.00%, 8/09/13

 

 

3,368,754

 

 

 

 

NTL Investment Holding Ltd.,

 

 

 

 

 

446

 

Loan B1, LIBOR + 2.13%, 9/03/12 (GBP)

 

 

897,657

 

 

522

 

Loan B2, TBD, 9/03/12 (GBP)

 

 

1,049,219

 

 

484

 

Loan B4, LIBOR + 2.00%, 9/03/12

 

 

468,552

 

 

2,000

 

Loan C, TBD, 3/03/13 (GBP)

 

 

4,038,001

 

 

 

 

Penton Media, Inc.,

 

 

 

 

 

1,119

 

First Lien Loan, LIBOR + 2.25%, 2/01/13

 

 

1,059,209

 

 

1,000

 

Second Lien Loan, LIBOR + 5.00%, 2/01/14

 

 

932,500

 

 

 

 

ProSieben (EUR)

 

 

 

 

 

500

 

Loan B1, LIBOR + 2.375%, 3/04/16

 

 

676,291

 

 

500

 

Loan C1, LIBOR + 2.625%, 6/30/15

 

 

679,913

 

 

1,000

 

Loan D1, LIBOR + 3.75%, 9/02/16

 

 

1,329,044

 

 

750

 

Puerto Rico Cable Acquisition Co., Second Lien Loan,
LIBOR + 6.25%, 1/26/12

 

 

708,750

 

 

998

 

RCN Corp., Loan B, LIBOR + 2.25%, 5/25/14

 

 

965,705

 

 

2,838

 

RH Donnelley, Inc., Loan D2, LIBOR + 1.50%, 6/30/11

 

 

2,792,642

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Media—(cont’d)

 

 

 

 

 

 

 

Univision Communications, Inc.,

 

 

 

 

$

201

 

Delayed Draw Loan, Unfunded, 1.00%, 9/29/14

 

$

190,541

 

 

5,799

 

Loan B, LIBOR + 2.25%, 9/29/14

 

 

5,487,583

 

 

1,000

 

Second Lien Loan, LIBOR, 3/29/09

 

 

989,375

 

 

 

 

UPC Broadband Holding BV,

 

 

 

 

 

1,413

 

Loan M1, LIBOR, 12/31/14 (EUR)

 

 

1,977,718

 

 

3,500

 

Loan N1, LIBOR + 1.75%, 12/31/14

 

 

3,380,783

 

 

1,922

 

WMG Acquisition Corp., LIBOR + 2.00%, 2/28/11

 

 

1,872,243

 

 

 

 

Yell Group Plc,

 

 

 

 

 

1,000

 

Loan B, LIBOR + 2.00%, 2/10/13

 

 

984,063

 

 

1,500

 

Loan B, LIBOR + 2.00%, 2/27/13 (EUR)

 

 

2,137,176

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

76,051,963

 

               

Real Estate—0.7%

 

 

 

 

 

3,000

 

Georgian Towers, Loan B5, LIBOR, 3/01/12

 

 

2,853,269

 

 

488

 

Masonite Intl. Corp., LIBOR + 2.00% , 4/06/13

 

 

456,891

 

 

1,496

 

Realogy Corp., LIBOR + 3.00%, 10/10/13

 

 

1,388,333

 

 

 

 

 

 

     

 

 

 

Total Real Estate

 

 

4,698,493

 

               

Technology—2.9%

 

 

 

 

 

737

 

Affiliated Computer Services, Inc., Loan B,
LIBOR + 2.00%, 3/20/13

 

 

726,397

 

 

973

 

ClientLogic Corp., LIBOR + 2.50%, 1/30/14

 

 

919,920

 

 

995

 

CoCreate Software, Inc., LIBOR + 3.00%, 5/17/13

 

 

965,150

 

 

371

 

Coinstar, Inc., LIBOR + 2.25%, 7/07/11

 

 

369,173

 

 

500

 

Electrical Components Intl. Holdings Co., Second Lien Loan,
LIBOR + 6.50%, 5/01/14

 

 

440,000

 

 

1,750

 

First Data Corp., Loan B1, LIBOR + 2.75% 9/24/14

 

 

1,683,579

 

 

4,000

 

Flextronics Intl. Ltd., Loan A, LIBOR, 10/12/14

 

 

3,970,000

 

 

 

 

Intergraph Corp.,

 

 

 

 

 

419

 

First Lien Loan, LIBOR + 2.00%, 5/29/14

 

 

408,747

 

 

750

 

Second Lien Loan, LIBOR + 6.00%, 11/15/14

 

 

744,375

 

 

989

 

Marvell Technology Group Ltd., Loan B,
LIBOR + 2.50%, 11/09/09

 

 

967,114

 

 

694

 

RedPrairie Corp., Loan B, PRIME + 2.00%, 7/20/12

 

 

676,628

 

 

1,500

 

San Juan Cable, LIBOR + 6.50%, 10/31/13

 

 

1,434,845

 

 

1,945

 

Sensata Technologies BV, Loan B,
LIBOR + 1.75%, 4/27/13

 

 

1,889,922

 

 

2,444

 

SunGard Data Systems, Inc., Loan B,
LIBOR + 2.00%, 2/28/14

 

 

2,408,204

 

 

945

 

Verifone, Inc., LIBOR + 1.75%, 10/31/13

 

 

937,913

 

 

996

 

Wire Rope Corp., LIBOR + 2.25%, 2/08/14

 

 

970,961

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

19,512,928

 

               

Telecommunications—3.7%

 

 

 

 

 

1,990

 

American Cellular Corp., Loan B, LIBOR + 2.00%, 3/15/14

 

 

1,981,294

 

 

1,250

 

American Cellular Wireless LLC, Delayed Draw Loan,
Unfunded, 0.75%, 3/15/14

 

 

1,242,187

 

 

 

 

Cellular South, Inc.,

 

 

 

 

 

500

 

Delayed Draw Loan, Unfunded, 1.00%, 5/29/14

 

 

490,000

 

 

1,496

 

Loan B, PRIME + 0.75%, 5/29/14

 

 

1,466,325

 

 

1,481

 

Consolidated Communications, Inc., Loan D,
LIBOR + 1.75%, 10/14/11

 

 

1,471,066

 

 

500

 

Country Road Communications LLC, Second Lien Loan,
LIBOR + 7.75%, 7/15/13

 

 

492,500

 

 

 

 

Eircom Group Plc (EUR)

 

 

 

 

 

2,000

 

Loan B, LIBOR + 1.88%, 9/30/14

 

 

2,835,813

 

 

2,000

 

Loan C, LIBOR + 2.13%, 9/30/15

 

 

2,851,831

 

 

4,000

 

Insight Midwest Holdings LLC, Loan B, Unfunded,
1.75%, 4/06/14

 

 

3,912,224

 

 

2,000

 

Iowa Telecommunications Services, Inc., Loan B,
LIBOR + 1.75%, 11/23/11

 

 

1,970,000

 

 

 

 

NG Wireless,

 

 

 

 

 

140

 

Delayed Draw Loan, Unfunded, 0.50%, 7/31/14

 

 

138,269

 

 

610

 

First Lien Loan, PRIME + 2.75%, 7/31/14

 

 

600,481

 

 

1,700

 

NTELOS, Inc., First Lien Loan, LIBOR + 2.25%, 8/24/11

 

 

1,679,861

 

 

2,970

 

West Corp., Loan B2, LIBOR + 2.38%, 10/24/13

 

 

2,909,004

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

37

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

 

Portfolio of Investments as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW) (concluded)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

Telecommunications—(cont’d)

 

 

 

 

 

 

 

Wind Acquisition Finance S.A. (EUR)

 

 

 

 

$

693

 

Loan A1, LIBOR + 2.00%, 5/25/12

 

$

990,929

 

 

139

 

Loan A2, LIBOR + 2.00%, 12/31/10

 

 

199,284

 

 

 

 

 

 

     

 

 

 

Total Telecommunications

 

 

25,231,068

 

               

Transportation—2.2%

 

 

 

 

 

 

 

Dockwise Transport N.V.,

 

 

 

 

 

1,489

 

Loan B1, LIBOR + 2.38%, 11/01/15

 

 

1,447,470

 

 

489

 

Loan C, LIBOR + 2.88%, 11/01/16

 

 

474,401

 

 

1,000

 

Loan C2, LIBOR + 2.88%, 11/01/16

 

 

975,625

 

 

 

 

Hawker Beechcraft Acquisition Co.,

 

 

 

 

 

78

 

Letter of Credit, Unfunded, 0.50%, 3/26/14

 

 

76,076

 

 

917

 

LIBOR + 2.00%, 3/26/14

 

 

894,585

 

 

1,750

 

RailAmerica, Inc., Loan B, LIBOR + 2.25%, 8/14/08

 

 

1,719,375

 

 

644

 

Sirva Worldwide, Inc., LIBOR + 7.25%, 12/01/10

 

 

450,378

 

 

3,977

 

Swift Transportation Co., Inc., LIBOR + 3.00%, 5/10/14

 

 

3,488,881

 

 

3,000

 

U.S. Airways, Loan B, LIBOR + 2.50%, 3/24/14

 

 

2,863,392

 

 

2,239

 

United Air Lines, Inc., Loan B, LIBOR + 2.00%, 2/01/14

 

 

2,142,358

 

 

 

 

 

 

     

 

 

 

Total Transportation

 

 

14,532,541

 

 

 

 

 

 

     

 

 

 

Total Bank Loans

 

 

386,247,615

 

               

Mortgage Pass-Through Securities—21.3%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

22

8

5.50%, 12/01/28

 

 

21,448

 

 

8,564

 

5.50%, 4/01/29-11/01/33

 

 

8,467,048

 

 

17,000

 

7.25%, 1/15/10

 

 

18,027,939

 

 

121,000

 

TBA, 5.00%, 11/19/22

 

 

119,109,375

 

 

 

 

 

 

     

 

 

 

Total Mortgage Pass-Through Securities

 

 

145,625,810

 

               

Interest Only Asset-Backed Securities—0.2%

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

21,937

 

Ser. 1, 2.365%, 4/15/29

 

 

973,475

 

 

18,114

2

Ser. 2, 2.081%, 3/30/30

 

 

486,826

 

 

 

 

 

 

     

 

 

 

Total Interest Only Asset-Backed Securities

 

 

1,460,301

 

               

U.S. Government and Agency Securities—4.1%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

20,425

4

3.375%, 12/15/08-9/15/09

 

 

20,273,083

 

 

6,000

4,8

3.875%, 5/15/09

 

 

5,992,032

 

 

1,815

4

4.25%, 8/15/15

 

 

1,801,388

 

 

 

 

 

 

     

 

 

 

Total U.S. Government and Agency Securities

 

 

28,066,503

 

               

Foreign Government Bonds—2.5%

 

 

 

 

 

238

 

Bolivarian Republic of Venezuela, %, 12/18/07

 

 

238,029

 

 

4,871

 

Peru Government International Bond, 8.375%, 5/03/16

 

 

5,735,602

 

 

5,000

4

Republic of Colombia, 9.75%, 4/23/09

 

 

5,325,000

 

 

5,093

4

Turkey, 7.00%, 9/26/16

 

 

5,328,806

 

 

 

 

 

 

     

 

 

 

Total Foreign Government Bonds

 

 

16,627,437

 

               

 

 

 

 

 

 

 

 

Units
(000)

 

Description

 

Value

 

               

Warrants—0.0%

 

 

 

 

 

2

9

Reliant Resources, Inc., expires 8/25/08, strike price
$0.001, 1 share for 1 warrant’

 

$

41,249

 

               

 

 

 

 

 

 

 

 









Shares

 

 

 

 

 

 

               

Common Stocks—0.0%

 

 

 

 

 

7,579

1,9

Critical Care Systems Intl., Inc.

 

 

47,371

 

         

Preferred Stock—0.0%

 

 

 

 

 

125,000

1

Superior Essex Holding Corp., Ser. A, 9.50%,

 

 

77,500

 

               

 

 

 

Total Long-Term Investments
(cost $930,394,349)

 

 

913,265,094

 

               

 

 

 

 

 

 

 

 









Principal
Amount
(000)

 

 

 

 

 

 

               

SHORT-TERM INVESTMENT—0.5%

 

 

 

U.S. Government and Agency Discount Notes—0.5%

 

 

 

 

$

3,200

10

Federal Home Loan Bank Disc. Notes, 4.351%,
11/01/07 (cost $3,200,000)

 

 

3,200,000

 

               

Total investments—134.2% (cost $933,594,34911)

 

$

916,465,094

 

Liabilities in excess of other assets—(34.2)%

 

 

(233,355,673

)

 

 

     

Net Assets—100% $

 

$

683,109,421

 

 

 

     

 

 

         

 

 

1

Security is fair valued.

 

 

2

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2007, the Trust held 9.8% of its net assets, with a current market value of $66,717,528, in securities restricted as to resale.

 

 

3

Variable rate security. Rate shown is interest rate as of October 31, 2007.

 

 

4

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

 

 

5

Illiquid security. As of October 31, 2007, the Trust held 0.6% of its net assets, with a current market value of $4,365,591, in these securities.

 

 

6

Represents a step up bond; the interest rate shown reflects the effective yield at the time of purchase.

 

 

7

Issuer is in default and/or bankruptcy.

 

 

8

Security, or a portion thereof, pledged as collateral with a value of $77,630 on 81 long U.S. Treasury Note futures contracts expiring December 2007. The notional value of such contracts on October 31, 2007 was $8,694,844, with an unrealized gain of $45,523.

 

 

9

Non-income producing security.

 

 

10

Rate shown is the yield to maturity as of the date of purchase.

 

 

11

Cost for federal income tax purposes is $933,721,317. The net unrealized depreciation on a tax basis is $17,256,223, consisting of $9,391,420 gross unrealized appreciation and $26,647,643 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

38



 

 


 

 

Portfolio of Investments as of October 31, 2007

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 

               

LONG-TERM INVESTMENTS—144.4%

 

 

 

 

Common Stocks—40.4%

 

 

 

 

Aerospace & Defense—0.6%

 

 

 

 

 

1,900

 

L-3 Communications Holdings, Inc.

 

$

208,316

 

 

28,300

 

Lockheed Martin Corp.

 

 

3,114,132

 

 

40,300

 

Northrop Grumman Corp.

 

 

3,369,886

 

 

 

 

 

 

     

 

 

 

Total Aerospace & Defense

 

 

6,692,334

 

               

Automotive—0.3%

 

 

 

 

 

264,500

1

Ford Motor Co.

 

 

2,346,115

 

 

1,900

 

General Motors Corp.

 

 

74,461

 

 

11,200

 

Genuine Parts Co.

 

 

549,584

 

 

3,800

 

PACCAR, Inc.

 

 

211,128

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

3,181,288

 

               

Basic Materials—1.7%

 

 

 

 

 

23,300

 

Allegheny Technologies, Inc.

 

 

2,380,561

 

 

2,400

 

BASF AG (ADR)

 

 

333,408

 

 

72,200

 

Dow Chemical Co. (The)

 

 

3,251,888

 

 

71,500

 

E.I. du Pont de Nemours & Co.

 

 

3,539,965

 

 

74,200

 

Intl. Paper Co.

 

 

2,742,432

 

 

33,900

 

MeadWestvaco Corp.

 

 

1,140,396

 

 

21,000

 

Monsanto Co.

 

 

2,050,230

 

 

30,000

 

Nucor Corp.

 

 

1,860,600

 

 

13,700

 

PPG Industries, Inc.

 

 

1,023,938

 

 

14,100

 

Weyerhauser Co.

 

 

1,070,331

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

19,393,749

 

               

Building & Development—0.1%

 

 

 

 

 

9,300

 

D.R. Horton, Inc.

 

 

118,017

 

 

2,600

 

KB Home

 

 

71,864

 

 

16,000

 

Masco Corp.

 

 

385,280

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

575,161

 

               

Consumer Products—5.7%

 

 

 

 

 

93,100

 

Altria Group, Inc.

 

 

6,789,783

 

 

4,800

1

Amazon.com, Inc.

 

 

427,920

 

 

76,200

1

Amgen, Inc.

 

 

4,427,982

 

 

45,000

 

Anheuser-Busch Cos., Inc.

 

 

2,307,600

 

 

10,300

 

Black & Decker Corp.

 

 

926,073

 

 

8,300

 

Clorox Co.

 

 

519,331

 

 

14,300

1

Coach, Inc.

 

 

522,808

 

 

68,100

 

Coca-Cola Co. (The)

 

 

4,205,856

 

 

49,506

 

CVS Caremark Corp.

 

 

2,067,866

 

 

26,400

 

Eastman Kodak Co.

 

 

756,624

 

 

21,800

 

Fortune Brands, Inc.

 

 

1,826,186

 

 

6,700

 

Gap, Inc.

 

 

126,630

 

 

112,500

 

Home Depot, Inc.

 

 

3,544,875

 

 

6,900

 

JCPenney Co., Inc.

 

 

388,056

 

 

10,600

1

Kohl’s Corp.

 

 

582,682

 

 

54,446

 

Kraft Foods, Inc.

 

 

1,819,041

 

 

17,200

 

Loews Corp.

 

 

844,348

 

 

12,600

 

Ltd. Brands, Inc., Class A

 

 

277,326

 

 

1,600

 

Macy’s, Inc.

 

 

51,248

 

 

17,400

 

Newell Rubbermaid, Inc.

 

 

507,384

 

 

1,400

 

Nordstrom, Inc.

 

 

55,216

 

 

1,500

 

OfficeMax, Inc.

 

 

47,475

 

 

60,300

 

PepsiCo, Inc.

 

 

4,445,316

 

 

128,000

 

Procter & Gamble Co.

 

 

8,898,560

 

 

19,700

 

Reynolds American, Inc.

 

 

1,269,271

 

 

140,100

 

Sara Lee Corp.

 

 

2,317,254

 

 

10,100

1

Sears Holdings Corp.

 

 

1,361,379

 

 

75,900

1

Starbucks Corp.

 

 

2,025,012

 

 

1,000

 

Universal Corp.

 

 

48,740

 

 

53,100

 

UST, Inc.

 

 

2,831,292

 

 

4,700

 

VF Corp.

 

 

409,511

 

 

115,100

 

Wal-Mart Stores, Inc.

 

 

5,203,671

 

 

37,900

 

Walgreen Co.

 

 

1,502,735

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

63,335,051

 

               

 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 

               

Energy—5.3%

 

 

 

 

 

 

13,500

 

American Electric Power, Inc.

 

$

650,835

 

 

15,500

 

Anadarko Petroleum Corp.

 

 

914,810

 

 

11,100

 

Apache Corp.

 

 

1,152,291

 

 

2,900

 

BP Plc (ADR)

 

 

226,171

 

 

10,700

 

Baker Hughes, Inc.

 

 

927,904

 

 

15,800

 

Chesapeake Energy Corp.

 

 

623,784

 

 

100,400

 

Chevron Corp.

 

 

9,187,604

 

 

55,900

 

ConocoPhillips

 

 

4,749,264

 

 

35,700

 

Consolidated Edison, Inc.

 

 

1,681,113

 

 

27,600

 

DTE Energy Co.

 

 

1,368,960

 

 

14,900

 

Devon Energy Corp.

 

 

1,391,660

 

 

78,400

 

Duke Energy Corp.

 

 

1,502,928

 

 

22,800

 

Exelon Corp.

 

 

1,887,384

 

 

155,900

 

Exxon Mobil Corp.

 

 

14,341,241

 

 

24,500

 

Great Plains Energy, Inc.

 

 

731,080

 

 

14,000

 

Hess Corp.

 

 

1,002,540

 

 

13,800

1

National Oilwell Varco, Inc.

 

 

1,010,712

 

 

1,500

 

Nicor, Inc.

 

 

64,905

 

 

24,000

 

NiSource, Inc.

 

 

490,800

 

 

21,000

 

Sasol Ltd. (ADR)

 

 

1,068,060

 

 

25,400

 

Schlumberger Ltd.

 

 

2,452,878

 

 

49,918

 

Smith Intl., Inc.

 

 

3,297,084

 

 

44,700

 

Southern Co.

 

 

1,638,702

 

 

24,400

 

Spectra Energy Corp.

 

 

633,912

 

 

15,100

1

Transocean, Inc.

 

 

1,802,487

 

 

21,200

 

Valero Energy Corp.

 

 

1,493,116

 

 

13,000

1

Weatherford Intl. Ltd.

 

 

843,830

 

 

2,300

 

Williams Cos., Inc.

 

 

83,927

 

 

14,800

 

XTO Energy, Inc.

 

 

982,424

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

58,202,406

 

               

Entertainment & Leisure—0.3%

 

 

 

 

 

12,500

 

Brunswick Corp.

 

 

278,875

 

 

31,900

 

Carnival Corp.

 

 

1,530,562

 

 

50,000

 

Regal Entertainment Group

 

 

1,128,500

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

2,937,937

 

               

Financial Institutions—7.5%

 

 

 

 

 

11,700

 

American Capital Strategies Ltd.

 

 

507,897

 

 

47,700

2

American Intl. Group, Inc.

 

 

3,010,824

 

 

18,300

 

Arthur J. Gallagher & Co.

 

 

486,963

 

 

71,400

 

BB&T Corp.

 

 

2,639,658

 

 

205,400

 

Bank of America Corp.

 

 

9,916,712

 

 

37,452

 

Bank of New York Mellon Corp.

 

 

1,829,530

 

 

1,800

 

CME Group, Inc.

 

 

1,199,250

 

 

31,600

 

Charles Schwab Corp. (The)

 

 

734,384

 

 

16,800

 

Cigna Corp.

 

 

881,832

 

 

246,300

 

Citigroup, Inc.

 

 

10,319,970

 

 

33,800

 

Comerica, Inc.

 

 

1,577,784

 

 

37,750

 

Discover Financial Services

 

 

728,575

 

 

84,900

1

E*Trade Financial Corp.

 

 

945,786

 

 

37,400

 

Fannie Mae

 

 

2,133,296

 

 

5,400

 

Franklin Resources, Inc.

 

 

700,272

 

 

22,900

 

Freddie Mac

 

 

1,196,067

 

 

23,800

 

Goldman Sachs Group, Inc. (The)

 

 

5,900,496

 

 

20,700

 

HSBC Holdings Plc (ADR)

 

 

2,060,064

 

 

21,400

 

Hartford Financial Services Group, Inc.

 

 

2,076,442

 

 

85,300

 

JPMorgan Chase & Co.

 

 

4,009,100

 

 

13,300

 

KeyCorp

 

 

378,385

 

 

24,200

 

Legg Mason, Inc.

 

 

2,007,148

 

 

26,600

 

Lehman Brothers Holdings, Inc.

 

 

1,684,844

 

 

40,800

 

Lincoln National Corp.

 

 

2,544,696

 

 

259,600

 

MCG Capital Corp.

 

 

3,636,996

 

 

54,900

 

Marsh & McLennan Cos., Inc.

 

 

1,421,361

 

 

28,600

 

MetLife, Inc.

 

 

1,969,110

 

 

19,500

 

National City Corp.

 

 

472,875

 

 

54,700

 

Progressive Corp.

 

 

1,011,950

 

 

15,300

 

Prudential Financial, Inc.

 

 

1,479,816

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

39

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 



 

 

Portfolio of Investments as of October 31, 2007

BlackRock Preferred and Equity Advantage Trust (BTZ)
(continued)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

Shares

 

Description

 

 

Value

 

             

Financial Institutions—(cont’d)

 

 

 

 

23,900

 

Regions Financial Corp.

 

$

648,168

 

19,100

 

Safeco Corp.

 

 

1,105,890

 

25,900

 

Travelers Cos., Inc.

 

 

1,352,239

 

75,100

 

U.S. Bancorp

 

 

2,490,316

 

64,900

 

Wachovia Corp.

 

 

2,967,877

 

48,600

 

Washington Mutual, Inc.

 

 

1,354,968

 

81,300

 

Wells Fargo & Co.

 

 

2,765,013

 

25,700

 

Western Union Co. (The)

 

 

566,428

 

8,900

 

XL Capital Ltd., Class A Bermuda

 

 

640,355

 

 

 

 

 

     

 

 

Total Financial Institutions

 

 

83,353,337

 

             

Health Care—4.7%

 

 

 

 

52,200

 

Abbott Laboratories

 

 

2,851,164

 

11,900

 

Allergan, Inc.

 

 

804,202

 

9,600

1

Biogen Idec, Inc.

 

 

714,624

 

32,600

1

Boston Scientific Corp.

 

 

452,162

 

153,200

 

Bristol-Myers Squibb Co.

 

 

4,594,468

 

13,200

1

Celgene Corp.

 

 

871,200

 

50,100

1

Charles River Laboratories Intl., Inc.

 

 

2,905,800

 

32,500

 

Covidien Ltd. Bermuda

 

 

1,352,000

 

64,900

 

Eli Lilly & Co.

 

 

3,514,335

 

10,100

1

Genzyme Corp.

 

 

767,297

 

31,200

1

Gilead Sciences, Inc.

 

 

1,441,128

 

106,600

 

Johnson & Johnson

 

 

6,947,122

 

11,400

 

McKesson Corp.

 

 

753,540

 

10,800

1

Medco Health Solutions, Inc.

 

 

1,019,304

 

107,500

 

Merck & Co., Inc.

 

 

6,262,950

 

367,900

2

Pfizer, Inc.

 

 

9,054,019

 

11,100

 

Quest Diagnostics, Inc.

 

 

590,298

 

11,500

 

Stryker Corp.

 

 

816,500

 

16,300

1

Thermo Fisher Scientific, Inc.

 

 

958,603

 

47,400

 

UnitedHealth Group, Inc.

 

 

2,329,710

 

23,700

1

WellPoint, Inc.

 

 

1,877,751

 

19,500

1

Zimmer Holdings, Inc.

 

 

1,355,055

 

 

 

 

 

     

 

 

Total Health Care

 

 

52,233,232

 

             

Industrials—3.1%

 

 

 

 

43,500

 

3M Co.

 

 

3,756,660

 

44,800

 

Caterpillar, Inc.

 

 

3,342,528

 

3,500

 

Cummins, Inc.

 

 

419,860

 

9,200

 

Danaher Corp.

 

 

788,164

 

45,400

 

Emerson Electric Co.

 

 

2,373,058

 

14,500

 

Fluor Corp.

 

 

2,291,000

 

383,400

 

General Electric Co.

 

 

15,780,744

 

38,000

 

Illinois Tool Works, Inc.

 

 

2,175,880

 

22,800

 

Johnson Controls, Inc.

 

 

996,816

 

20,300

 

Leggett & Platt, Inc.

 

 

394,429

 

5,300

 

Precision Castparts Corp.

 

 

793,993

 

15,900

 

Rockwell Automation, Inc.

 

 

1,095,192

 

3,300

 

Tyco Intl. Ltd.

 

 

135,861

 

 

 

 

 

     

 

 

Total Industrials

 

 

34,344,185

 

             

Media—1.1%

 

 

 

 

75,100

 

CBS Corp., Class B

 

 

2,155,370

 

2,987

 

Citadel Broadcasting Corp.

 

 

13,144

 

129,450

1

Comcast Corp., Class A

 

 

2,724,923

 

55,700

1

DIRECTV Group, Inc.

 

 

1,474,936

 

34,300

 

New York Times Co. (The)

 

 

670,908

 

77,300

 

News Corp., Class A

 

 

1,675,091

 

28,200

1

Viacom, Inc.

 

 

1,164,378

 

64,900

 

Walt Disney Co. (The)

 

 

2,247,487

 

 

 

 

 

     

 

 

Total Media

 

 

12,126,237

 

             

Real Estate—0.5%

 

 

 

 

4,000

 

Boston Properties, Inc. (REIT)

 

 

433,360

 

9,900

 

Equity Residential (REIT)

 

 

413,622

 

15,600

 

First Industrial Realty Trust, Inc. (REIT)

 

 

635,700

 

51,500

 

Hospitality Properties Trust (REIT)

 

 

2,039,400

 


 

 

 

 

 

 

 

Shares

 

Description

 

 

Value

 

             

Real Estate—(cont’d)

 

 

 

 

6,000

 

Plum Creek Timber Co., Inc. (REIT)

 

$

268,020

 

39,600

 

Starwood Hotels & Resorts Worldwide, Inc.

 

 

2,251,656

 

 

 

 

 

     

 

 

Total Real Estate

 

 

6,041,758

 

             

Technology—6.2%

 

 

 

 

19,700

1

Adobe Systems, Inc.

 

 

943,630

 

12,900

1

Agilent Technologies, Inc.

 

 

475,365

 

59,500

 

Analog Devices, Inc.

 

 

1,990,870

 

31,300

1

Apple, Inc.

 

 

5,945,435

 

52,300

1

AutoDesk, Inc.

 

 

2,557,470

 

18,000

1

Broadcom Corp.

 

 

585,900

 

27,200

1

Cognizant Technology Solutions Corp.

 

 

1,127,712

 

82,700

1

Dell, Inc.

 

 

2,530,620

 

70,000

1

EMC Corp.

 

 

1,777,300

 

92,800

1

eBay, Inc.

 

 

3,350,080

 

16,500

1

Electronic Arts, Inc.

 

 

1,008,480

 

7,300

1

Google, Inc.

 

 

5,161,100

 

37,800

 

Hewlett-Packard Co.

 

 

1,953,504

 

182,900

 

Intel Corp.

 

 

4,920,010

 

22,000

 

Intl. Business Machines Corp.

 

 

2,554,640

 

39,100

1

Lam Research Corp.

 

 

1,962,820

 

69,800

 

Linear Technology Corp.

 

 

2,304,796

 

7,500

1

MEMC Electronic Materials, Inc.

 

 

549,150

 

287,000

 

Microsoft Corp.

 

 

10,564,470

 

94,050

1

Nvidia Corp.

 

 

3,327,489

 

131,500

1

Oracle Corp.

 

 

2,915,355

 

51,900

 

Paychex, Inc.

 

 

2,168,382

 

17,200

 

Pitney Bowes, Inc.

 

 

688,688

 

44,900

1

SanDisk Corp.

 

 

1,993,560

 

115,800

1

Sanmina-SCI Corp.

 

 

255,918

 

252,400

1

Sun Microsystems, Inc.

 

 

1,441,204

 

34,900

1

Symantec Corp.

 

 

655,422

 

32,500

 

Tyco Electronics Ltd.

 

 

1,159,275

 

36,300

1

Xerox Corp.

 

 

633,072

 

4,300

 

Xilinx, Inc.

 

 

104,920

 

42,000

1

Yahoo!, Inc.

 

 

1,306,200

 

 

 

 

 

     

 

 

Total Technology

 

 

68,912,837

 

             

Telecommunications—2.6%

 

 

 

 

175,987

 

AT&T, Inc.

 

 

7,354,497

 

40,610

 

Chunghwa Telecom Co. Ltd. (ADR)

 

 

779,712

 

209,600

1

Cisco Systems, Inc.

 

 

6,929,376

 

64,000

 

Citizens Communications Co.

 

 

842,240

 

52,500

 

Corning, Inc.

 

 

1,274,175

 

17,200

1

Juniper Networks, Inc.

 

 

619,200

 

123,900

 

Qualcomm, Inc.

 

 

5,294,247

 

98,400

 

Verizon Communications, Inc.

 

 

4,533,288

 

93,412

 

Windstream Corp.

 

 

1,256,391

 

 

 

 

 

     

 

 

Total Telecommunications

 

 

28,883,126

 

             

Transportation—0.7%

 

 

 

 

16,000

 

General Maritime Corp.

 

 

450,880

 

51,645

 

Nordic American Tanker Shipping

 

 

1,998,145

 

87,700

 

Ship Finance Intl. Ltd.

 

 

2,401,226

 

37,900

 

United Parcel Service, Inc., Class B

 

 

2,846,290

 

 

 

 

 

     

 

 

Total Transportation

 

 

7,696,541

 

 

 

 

 

     

 

 

Total Common Stocks

 

 

447,909,179

 

             

Preferred Stocks—18.9%

 

 

 

 

Energy—2.7%

 

 

 

 

100,000

 

Alabama Power Co., 6.50%

 

 

2,525,000

 

40,000

 

Entergy Louisiana LLC, 6.95%

 

 

4,156,478

 

785,000

 

Interstate Power & Light Co., Ser. B, 8.375%

 

 

23,672,695

 

 

 

 

 

     

 

 

Total Energy

 

 

30,354,173

 

             

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

40



 

 



 

 

Portfolio of Investments as of October 31, 2007

BlackRock Preferred and Equity Advantage Trust (BTZ)
(continued)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Shares

 

Description

 

 

Value

 

               

Financial Institutions—14.7%

 

 

 

 

 

400,000

 

ACE Ltd., Ser. C, 7.80%

 

$

10,237,520

 

 

400,000

 

Aegon N.V., 6.50%

 

 

9,137,520

 

 

 

 

Arch Capital Group Ltd.,

 

 

 

 

 

100,000

 

8.00%

 

 

2,500,000

 

 

160,000

 

Ser. B, 7.875%

 

 

3,947,200

 

 

655,000

3

Aspen Insurance Holdings Ltd., 7.401%

 

 

15,621,750

 

 

180,000

3

Axis Capital Holdings Ltd., Ser. B, 7.50%

 

 

18,331,884

 

 

320,000

 

Bank of America Corp., 6.625%

 

 

8,210,016

 

 

10,000

4

Centaur Funding Corp., Ser. B, 9.08%

 

 

11,312,500

 

 

150,000

4

CoBank ACB, 7.00%

 

 

7,478,700

 

 

389,000

 

Endurance Specialty Holdings Ltd., 7.75%

 

 

9,907,363

 

 

316,000

 

Federal Home Loan Mortgage Corp., Ser. Y, 6.55%

 

 

8,137,000

 

 

200,000

 

ING Groep N.V., 6.125%

 

 

4,387,500

 

 

265,600

 

PartnerRE Ltd., Ser. C, 6.75%

 

 

6,241,600

 

 

285,000

 

RenaissanceRe Holdings Ltd., Ser. D, 6.60%

 

 

6,093,300

 

 

50

3

Roslyn Real Estate Asset Corp., Ser. D, 8.881%

 

 

5,026,562

 

 

67,200

 

Royal Bank of Scotland Group Plc, Ser. L, 5.75%

 

 

1,414,560

 

 

 

 

Santander Finance Preferred S.A. Unipersonal,

 

 

 

 

 

522,000

4

6.50%

 

 

12,267,000

 

 

670,000

4

7.05%

 

 

15,703,125

 

 

277,900

 

XL Capital Ltd., Ser. B, 7.625%

 

 

6,964,869

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

162,919,969

 

               

Real Estate—1.5%

 

 

 

 

 

300,000

 

CBL & Associates Properties, Inc., Ser. C, 7.75% (REIT)

 

 

7,206,000

 

 

55,000

 

iStar Financial, Inc., Ser. I, 7.50% (REIT)

 

 

1,182,500

 

 

372,500

 

Public Storage, Inc., Ser. M, 6.625% (REIT)

 

 

8,229,941

 

 

 

 

 

 

     

 

 

 

Total Real Estate

 

 

16,618,441

 

 

 

 

 

 

     

 

 

 

Total Preferred Stocks

 

 

209,892,583

 

               

 

 

 

 

 

 

 

 









 


Principal
Amount
(000)

 

 

 

 

 

 

               

Trust Preferred Stocks—71.6%

 

 

 

 

Building & Development—0.3%

 

 

 

 

$

3,160

3,4,5

C8 Capital SPV Ltd., 6.64% (British Virgin Islands)

 

 

3,080,905

 

               

Energy—2.6%

 

 

 

 

 

4,500

3

Enterprise Products Operating LP, 8.375%, 8/01/66

 

 

4,684,248

 

 

120,000

 

Nexen, Inc., 7.35%, 11/01/43

 

 

2,970,000

 

 

5,900

3

PPL Capital Funding, Inc., Ser. A, 6.70%, 3/30/67

 

 

5,693,022

 

 

288,000

 

PPL Energy Supply LLC, 7.00%, 7/15/46

 

 

7,209,014

 

 

1,575

3

Puget Sound Energy, Inc., Ser. A, 6.974%, 6/01/67

 

 

1,482,497

 

 

7,325

3

Trans-Canada Pipelines Ltd., 6.35%, 5/15/67 (Canada)

 

 

7,086,945

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

29,125,726

 

               

Financial Institutions—64.8%

 

 

 

 

 

2,375

3,5

Abbey National Capital Trust I, 8.963%

 

 

2,897,982

 

 

17,000

 

Ace Capital Trust II, 9.70%, 4/01/30

 

 

21,717,840

 

 

 

 

Allstate Corp.,

 

 

 

 

 

8,725

3

6.125%, 5/15/37

 

 

8,531,916

 

 

10,675

3

6.50%, 5/15/57

 

 

10,350,918

 

 

11,150

 

American Intl. Group, Inc., Ser. A1, 6.25%, 3/15/37

 

 

10,376,268

 

 

18,273

 

AON Corp., 8.205%, 1/01/27

 

 

19,846,561

 

 

5,000

 

Astoria Capital Trust I, Ser. B, 9.75%, 11/01/29

 

 

5,612,955

 

 

 

 

AXA S.A. (France)

 

 

 

 

 

17,000

3,4,5

6.463%

 

 

15,807,178

 

 

3,225

3,4,5

6.379%

 

 

2,937,188

 

 

 

 

Barclays Bank Plc (United Kingdom)

 

 

 

 

 

15,000

3,4,5

6.86%

 

 

14,704,647

 

 

4,275

3,4,5

7.434%

 

 

4,531,675

 

 

15,300

3

BB&T Capital Trust IV, 6.82%, 6/12/57

 

 

14,904,311

 

 

170,731

 

Berkley W.R. Capital Trust II, 6.75%, 7/26/45

 

 

3,996,181

 

 

23,200,

2,3,4,5

BNP Paribas, 7.195% (France)

 

 

23,075,834

 

 

6,685

3,4,5

BOI Capital Funding No. 2 LP, 5.571% (Ireland)

 

 

6,145,521

 


 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

Description

 

 

Value

 

               

Financial Institutions—(cont’d)

 

 

 

 

$

30,000

3,4,5,6

BOI Capital Funding No. 3, 6.107% (Ireland)

 

$

27,601,950

 

 

7,700

5

BTA Finance Luxembourg SA, 8.25% (Kazakhstan)

 

 

5,736,500

 

 

5,000

3,4,5

C10 Capital SPV Ltd., 6.722% (British Virgin Islands)

 

 

4,818,500

 

 

5,000

 

Capital One Capital III, 7.686%, 8/15/36

 

 

4,846,285

 

 

15,300

3

Chubb Corp., 6.375%, 3/29/37

 

 

15,061,029

 

 

210,000

 

Citizens Funding Trust I, 7.50%, 9/15/66

 

 

4,882,500

 

 

20,000

3,4,5

Commonwealth Bank of Australia, 6.024% (Australia)

 

 

19,269,300

 

 

27,970

3,4,5

Credit Agricole S.A., 6.637% (France)

 

 

26,581,905

 

 

7,000

3,5

Credit Suisse Ltd., 5.86% (Guernsey)

 

 

6,520,927

 

 

7,200

4

Dresdner Funding Trust I, 8.151%, 6/30/31

 

 

7,877,347

 

 

12,025

3

Everest Reinsurance Holdings, Inc., 6.60%, 5/15/37

 

 

11,244,133

 

 

2,025

3,5

Goldman Sachs Capital II, 5.793%

 

 

1,888,537

 

 

25,000

3,4,5

HBOS Plc, 6.657% (United Kingdom)

 

 

22,216,250

 

 

7,000

3,4,5

HSBC Capital Funding LP, Ser. 2, 10.176%
(Jersey Channel Islands)

 

 

9,205,357

 

 

3,250

3

Huntington Capital III, 6.65%, 5/15/37

 

 

3,049,846

 

 

3,867

4

HVB Funding Trust I, 8.741%, 6/30/31

 

 

4,485,782

 

 

25,100

3,4,5,6

ICICI Bank Ltd., 7.25% (India)

 

 

23,306,103

 

 

10,000

3,5

ING Groep N.V., 5.775% (Netherlands)

 

 

9,658,830

 

 

12,875

3

JPMorgan Chase Capital XXI, Ser. U, 5.844%, 2/02/37

 

 

11,422,430

 

 

13,945

3

JPMorgan Chase Capital XXIII, 6.558%, 5/15/47

 

 

12,289,296

 

 

5,000

5

Kazkommerts Finance 2 BV, 9.25% (Netherlands)

 

 

4,548,875

 

 

785,000

 

KeyCorp Capital IX, 6.75%, 12/15/66

 

 

18,494,600

 

 

5,000

3,5

Lehman Brothers Holdings Capital Trust V,
Ser. MTN, 5.857%

 

 

4,666,875

 

 

11,600

3,4

Liberty Mutual Group, Inc., Ser. B, 7.00%, 3/15/37

 

 

10,903,907

 

 

4,225

3

Lincoln National Corp., 6.05%, 4/20/67

 

 

4,049,244

 

 

13,000

3,4,5

Lloyds TSB Group Plc, 6.267% (United Kingdom)

 

 

12,026,547

 

 

10,000

3,4

Mangrove Bay Pass-Through Trust, 6.102%, 7/15/33

 

 

9,334,000

 

 

21,000

3,4,5

Mizuho Capital Investment 1 Ltd., 6.686%
(Cayman Islands)

 

 

19,899,180

 

 

298,100

 

National City Capital Trust II, 6.625%, 11/15/36

 

 

6,390,519

 

 

8,025

 

Nationwide Financial Services, 6.75%, 5/15/37

 

 

7,719,721

 

 

19,675

3

Progressive Corp., 6.70%, 6/15/37, 6/15/37

 

 

19,306,743

 

 

7,105

3,4,5

QBE Capital Funding II LP, 6.797%
(Jersey Channel Islands)

 

 

6,948,676

 

 

7,780

5

RBS Capital Trust, Ser. B, 6.80% (United Kingdom)

 

 

7,604,950

 

 

16,825

3,4,5

Resona Preferred Global Securities Ltd., 7.191%
(Cayman Islands)

 

 

16,895,800

 

 

 

 

Royal Bank of Scotland Group Plc, (United Kingdom)

 

 

 

 

 

4,675

3,4,5

6.99%

 

 

4,756,813

 

 

3,130

3,5

7.648%

 

 

3,341,369

 

 

6,100

3,5

Ser. MTN, 7.64%

 

 

6,322,723

 

 

7,000

3,4,5

Shinsei Finance II, 7.16% (Cayman Islands)

 

 

6,345,941

 

 

10,000

3,4,5

SMFG Preferred Capital 1 Ltd., 6.078% (Cayman Islands)

 

 

9,354,100

 

 

17,850

3,4,5

Societe Generale, 5.922% (France)

 

 

16,987,666

 

 

85,000

 

Sovereign Capital Trust V, 7.75%, 5/22/36

 

 

2,127,661

 

 

28,305

3,6

State Street Capital Trust IV, 6.694%, 6/15/37

 

 

25,559,273

 

 

11,300

3,4,5

Standard Chartered Plc, 7.014% (United Kingdom)

 

 

11,307,119

 

 

27,475

3,4,5,6

Swiss Re Capital I LP, 6.854%

 

 

27,711,477

 

 

19,100

3

Travelers Cos., Inc., 6.25%, 3/15/37

 

 

18,547,380

 

 

95,700

 

Wachovia Capital Trust IX, 6.375%, 6/01/67

 

 

2,177,175

 

 

3,225

3

Webster Capital Trust IV, 7.65%, 6/15/37

 

 

3,198,942

 

 

4,400

3,4,5

White Mountains RE Group Ltd., 7.506% (Bermuda)

 

 

4,151,206

 

 

7,150

3,4

Woori Bank, 6.208%, 5/02/37 (South Korea)

 

 

6,665,087

 

 

10,000

3,5

XL Capital Ltd., Ser. E, 6.50% (Cayman Islands)

 

 

9,287,300

 

 

15,220

3,4

ZFS Finance Trust I, 6.50%, 5/09/37

 

 

14,647,774

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

718,678,425

 

               

Media—1.6%

 

 

 

 

 

 

780,000

 

Comcast Corp., 6.625%, 5/15/56

 

 

18,119,400

 

               

Real Estate—1.6%

 

 

 

 

 

 

13,000

4,5

Sovereign Real Estate Investment Corp. (REIT), 12.00%

 

 

18,122,000

 

               

Telecommunications—0.6%

 

 

 

 

 

270,000

 

AT&T, Inc., 6.375%, 2/15/56

 

 

6,504,300

 

 

 

 

 

 

     

 

 

 

Total Trust Preferred Stocks

 

 

793,630,756

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

41

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 




Portfolio of Investments as of October 31, 2007


BlackRock Preferred and Equity Advantage Trust (BTZ)
(continued)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 

               

Corporate Bonds—12.6%

 

 

 

 

Automotive—0.4%

 

 

 

 

$

5,000

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

$

4,800,000

 

               

Basic Materials—0.2%

 

 

 

 

 

2,350

4

Ineos Group Holdings Plc, 8.50%, 2/15/16

 

 

 

 

 

 

 

(United Kingdom)

 

 

2,232,500

 

               

Commercial Services—0.4%

 

 

 

 

 

5,000

4

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

4,875,000

 

               

Consumer Products—0.4%

 

 

 

 

 

5,000

6

Michaels Stores, Inc., 11.375%, 11/01/16

 

 

4,987,500

 

               

Ecological Services & Equipment—0.4%

 

 

 

 

 

5,000

 

Aleris Intl., Inc., 10.00%, 12/15/16

 

 

4,400,000

 

               

Energy—1.0%

 

 

 

 

 

 

6,250

 

CMS Energy Corp., 6.55%, 7/17/17

 

 

6,066,737

 

 

5,000

3

Southern Union Co., 7.20%, 11/01/66

 

 

4,991,065

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

11,057,802

 

               

Entertainment & Leisure—0.6%

 

 

 

 

 

2,500

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

2,706,250

 

 

1,760

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

1,298,000

 

 

3,000

 

Station Casinos, Inc., 6.875%, 3/01/16

 

 

2,482,500

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

6,486,750

 

               

Financial Institutions—6.2%

 

 

 

 

 

 

 

Bear Stearns Cos., Inc. (The),

 

 

 

 

 

3,050

 

6.40%, 10/02/17

 

 

3,040,106

 

 

3,000

 

Ser. MTN, 6.95%, 8/10/12

 

 

3,122,076

 

 

3,095

3

CIT Group, Inc., 5.734%, 11/23/07

 

 

3,089,899

 

 

6,500

3,4

ICICI Bank Ltd., 6.375%, 4/30/22 (India)

 

 

6,018,539

 

 

18,400

 

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

 

 

18,379,705

 

 

 

 

Lehman Brothers Holdings, Inc.,

 

 

 

 

 

6,375

 

6.875%, 7/17/37

 

 

6,316,669

 

 

1,075

3

Ser. MTN, 7.394%, 9/15/22

 

 

1,098,436

 

 

3,750

3

Lincoln National Corp., 7.00%, 5/17/66

 

 

3,851,715

 

 

4,550

 

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

 

 

4,310,242

 

 

5,000

4

Momentive Performance Materials, Inc., 9.75%, 12/01/14

 

 

4,875,000

 

 

15,000

3

Reinsurance Group of America, Inc., 6.75%, 12/15/65

 

 

14,263,755

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

68,366,142

 

               

Health Care—0.4%

 

 

 

 

 

4,500

 

Tenet Healthcare Corp., 9.875%, 7/01/14

 

 

4,095,000

 

               

Industrials—0.0%

 

 

 

 

 

283

 

Stan IV Ltd., 7.137%, 7/17/11

 

 

274,510

 

               

Media—0.5%

 

 

 

 

 

5,000

 

Cablevision Systems Corp., Ser. B, 8.00%, 4/15/12

 

 

4,887,500

 

 

1,000

 

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

 

 

960,000

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

5,847,500

 

               

Technology—1.3%

 

 

 

 

 

4,410

 

Freescale Semiconductor, Inc., 9.125%, 12/15/14

 

 

3,991,050

 

 

5,000

 

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

4,725,000

 

 

5,000

 

SunGard Data Systems, Inc., 10.25%, 8/15/15

 

 

5,212,500

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

13,928,550

 

               

Telecommunications—0.8%

 

 

 

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

3,325

3

8.886%, 1/15/15

 

 

3,374,875

 

 

5,000

 

11.25%, 6/15/16

 

 

5,375,000

 

 

 

 

 

 

     

 

 

 

Total Telecommunications

 

 

8,749,875

 

 

 

 

 

 

     

 

 

 

Total Corporate Bonds

 

 

140,101,129

 

               

U.S. Government and Agency Securities—0.9%

 

 

 

 

 

5,595

 

U.S. Treasury Bonds, 4.75%, 2/15/37

 

 

5,589,753

 

 

4,340

 

U.S. Treasury Notes, 4.75%, 8/15/17

 

 

4,435,614

 

 

 

 

 

 

     

 

 

 

Total U.S. Government and Agency Securities

 

 

10,025,367

 

               

 

 

 

Total Long-Term Investments

 

 

 

 

 

 

 

(cost $1,649,080,855)

 

 

1,601,559,014

 

               

 

 

Shares

 

Description

 

Value

 

               

SHORT-TERM INVESTMENTS—2.8%

 

 

 

 

Money Market Fund—2.6%

 

 

 

 

 

28,300

7

SSgA Tax Free Money Mkt. Fund - Class A, 4.757%

 

$

28,300,000

 

               

 

 

 

 

 

 

 

 









 


Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

               

U.S. Government and Agency Discount Notes—0.2%

 

 

 

 

$

2,100

8

Federal Home Loan Bank Disc. Notes,

 

 

 

 

 

 

 

4.401%, 11/01/07

 

 

2,099,743

 

 

 

 

 

 

     

 

 

 

Total Short-Term Investments

 

 

 

 

 

 

 

(cost $30,399,743)

 

 

30,399,743

 

               

BORROWED BOND AGREEMENTS—1.2%

 

 

 

 

 

 

 

Lehman Brothers, Inc.,

 

 

 

 

 

3,947

10

4.53%, 11/08/07

 

 

3,946,555

 

 

4,530

10

4.11%, 11/08/07

 

 

4,530,094

 

 

5,356

10

4.25%, 11/02/07

 

 

5,355,637

 

 

 

 

 

 

     

 

 

 

Total Borrowed Bond Agreements ($13,832,286)

 

 

13,832,286

 

               

 

 

 

Total Investments before borrowed bonds,

 

 

 

 

 

 

 

investments sold short and outstanding call

 

 

 

 

 

 

 

options written (cost $1,693,312,8849)

 

 

1,645,791,043

 

               

BORROWED BONDS—(1.2)%

 

 

 

 

 

(3,855

)

U.S. Treasury Bonds, 4.75%, 2/15/37

 

 

(3,851,383

)

 

(9,695

)

U.S. Treasury Notes, 4.75, 8/15/17

 

 

(9,908,592

)

 

 

 

 

 

     

 

 

 

Total Borrowed Bonds (proceeds $13,843,782)

 

 

(13,759,975

)

               

INVESTMENTS SOLD SHORT—(0.0)%

 

 

 

 

 

(465

)3,4,5

Barclays Bank Plc, 5.926% (United Kingdom)

 

 

 

 

 

 

 

(proceeds $441,536)

 

 

(440,135

)

 

 

 

 

 

     

 

 

 

 

 

 

 

 

               

 

 

 

 

 

 

 

 









 


Contracts

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

               

OUTSTANDING CALL OPTIONS WRITTEN—(0.4)%

 

 

 

 

 

(48

)

S&P 500 Index, strike price $1,550, expires 11/17/07

 

 

(983,250

)

 

(30

)

S&P 500 Index, strike price $1,550, expires 12/22/07

 

 

(1,200,650

)

 

(108

)

S&P 500 Index, strike price $1,575, expires 11/17/07

 

 

(772,200

)

 

(31

)

S&P 500 Index, strike price $1,575, expires 12/22/07

 

 

(706,000

)

 

(30

)

S&P 500 Index, strike price $1,600, expires 12/22/07

 

 

(468,000

)

 

 

 

 

 

     

 

 

 

Total Outstanding Options Written

 

 

 

 

 

 

 

(premium received $5,426,127)

 

 

(4,130,100

)

               

Total Investments net of borrowed bonds, investments sold short

 

 

 

 

and outstanding call options written—146.8%

 

$

1,627,460,833

 

Liabilities in excess of other assets—(5.1)%

 

 

(56,649,879

)

Preferred shares at redemption value, including dividends

 

 

 

 

payable—(41.7)%

 

 

(462,276,473

)

 

     

Net Assets Applicable to Common Shareholders—100%

 

$

1,108,534,481

 

 

     

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

42



 

 




Portfolio of Investments as of October 31, 2007


BlackRock Preferred and Equity Advantage Trust (BTZ) (concluded)
(Percentages shown are based on Net Assets)


 

 

 

 

1

Non-income producing security.

 

 

2

Security, or a portion thereof, pledged as collateral with a value of $24,670,394 on 70 long S&P 500 Index futures contracts expiring December 2007 and 5,470 short U.S. Treasury Note futures contracts expiring December 2007. The notional value of such contracts on October 31, 2007 was $574,574,719, with an unrealized loss of $5,812,349.

 

 

3

Variable rate security. Rate shown is interest rate as of October 31, 2007.

 

 

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2007, the Trust held 43.0% of its net assets, with a current market value of $476,024,964, in securities restricted as to resale.

 

 

5

The security is a perpetual bond and has no stated maturity date.

 

 

6

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

 

 

7

Represents current yield as of October 31, 2007.

 

 

8

Rate shown is the yield to maturity as of the date of purchase.

 

 

9

Cost for federal income tax purposes is $1,671,302,709. The net unrealized depreciation on a tax basis is $47,639,949, consisting of $35,071,886 gross unrealized appreciation and $82,702,835 gross unrealized depreciation.

 

 

10

See Note 1 in the Notes to Financial Statements for details of borrowed bond agreements.

 

 

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

43

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 

 


 

Portfolio of Investments as of October 31, 2007

 

BlackRock Strategic Bond Trust (BHD)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

               

LONG-TERM INVESTMENTS—89.3%

 

 

 

 

Corporate Bonds—84.5%

 

 

 

 

Aerospace & Defense—6.8%

 

 

 

 

$

250

1

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

 

$

252,500

 

 

120

2

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

124,800

 

 

1,064

 

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

 

 

1,130,500

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

50

 

6.875%, 11/01/13

 

 

50,000

 

 

80

 

7.625%, 2/01/18

 

 

81,800

 

 

2,000

 

Lockheed Martin Corp., Ser. B, 6.15%, 9/01/36

 

 

2,057,416

 

 

1,000

 

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

 

 

1,061,478

 

 

650

 

Raytheon Co., 4.85%, 1/15/11

 

 

643,928

 

 

50

 

Sequa Corp., 9.00%, 8/01/09

 

 

53,625

 

 

90

 

TransDigm, Inc., 7.75%, 7/15/14

 

 

91,575

 

 

1,000

 

United Technologies Corp., 6.35%, 3/01/11

 

 

1,042,565

 

 

 

 

 

 

     

 

 

 

Total Aerospace & Defense

 

 

6,590,187

 

               

Automotive—3.7%

 

 

 

 

 

110

 

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

 

 

103,400

 

 

45

2

Ashtead Capital, Inc., 9.00%, 8/15/16

 

 

43,650

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

110

 

7.00%, 4/15/14

 

 

106,425

 

 

110

3

7.243%, 4/15/13

 

 

107,525

 

 

1,000

 

DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12

 

 

1,074,229

 

 

350

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

352,625

 

 

275

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

264,000

 

 

200

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

186,000

 

 

1,400

 

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

 

 

1,414,000

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

3,651,854

 

               

Basic Materials—5.1%

 

 

 

 

 

320

 

AK Steel Corp., 7.75%, 6/15/12

 

 

326,400

 

 

220

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

161,700

 

 

180

 

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

 

 

184,500

 

 

60

3

Bowater, Inc., 8.694%, 3/15/10

 

 

54,900

 

 

150

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

150,000

 

 

20

 

Chemtura Corp., 6.875%, 6/01/16

 

 

19,100

 

 

40

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

39,600

 

 

130

2

FMG Finance Ltd., 10.625%, 9/01/16 (Australia)

 

 

154,050

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

690

 

8.375%, 4/01/17

 

 

755,550

 

 

240

3

8.394%, 4/01/15

 

 

247,800

 

 

 

 

Huntsman LLC,

 

 

 

 

 

99

 

11.50%, 7/15/12

 

 

107,663

 

 

50

 

11.625%, 10/15/10

 

 

53,000

 

 

595

2

Ineos Group Holdings Plc, 8.50%, 2/15/16 (United Kingdom)

 

 

565,250

 

 

980

 

Innophos, Inc., 8.875%, 8/15/14

 

 

987,350

 

 

135

2

Key Plastics LLC/Key Plastics Finance Corp.,

 

 

 

 

 

 

 

11.75%, 3/15/13

 

 

114,750

 

 

130

 

Lyondell Chemical Co., 10.50%, 6/01/13

 

 

140,075

 

 

530

 

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

 

 

560,475

 

 

155

3

NOVA Chemicals Corp., 8.484%, 11/15/13 (Canada)

 

 

152,287

 

 

170

 

Terra Capital, Inc., Ser. B, 7.00%, 2/01/17

 

 

170,000

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

4,944,450

 

               

Building & Development—0.7%

 

 

 

 

 

465

 

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

 

 

485,925

 

 

115

 

Nortek, Inc., 8.50%, 9/01/14

 

 

101,775

 

 

125

 

North American Energy Partners, Inc.,

 

 

 

 

 

 

 

8.75%, 12/01/11 (Canada)

 

 

126,250

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

713,950

 

               

Commercial Services—0.1%

 

 

 

 

 

120

2

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

117,000

 

               

Conglomerates—0.4%

 

 

 

 

 

325

 

Honeywell Intl., Inc., 7.50%, 3/01/10

 

 

344,254

 

               

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Consumer Products—3.8%

 

 

 

 

$

350

3

Ames True Temper, Inc., 9.243%, 1/15/12

 

$

336,000

 

 

20

3

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,

 

 

 

 

 

 

 

8.058%, 5/15/14

 

 

19,750

 

 

60

2

Beverages & More, Inc., 9.25%, 3/01/12

 

 

61,800

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

360

3

10.194%, 3/15/14

 

 

346,500

 

 

290

 

10.75%, 3/15/15

 

 

282,025

 

 

362

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

325,800

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

340

 

10.00%, 11/01/14

 

 

342,550

 

 

430

4

11.375%, 11/01/16

 

 

428,925

 

 

500

 

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

 

 

487,500

 

 

100

 

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

 

 

93,250

 

 

200

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

216,383

 

 

525

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

488,250

 

 

270

 

Sally Holdings LLC, 10.50%, 11/15/16

 

 

268,650

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

3,697,383

 

               

Containers & Packaging—1.6%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

190

 

8.875%, 9/15/14

 

 

194,750

 

 

130

3

9.569%, 9/15/14

 

 

130,325

 

 

250

 

Crown Americas LLC/Crown Americas Capital Corp.,

 

 

 

 

 

 

 

7.75%, 11/15/15

 

 

257,500

 

 

55

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

54,588

 

 

260

2,3

Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)

 

 

258,636

 

 

565

 

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

 

 

615,850

 

 

 

 

 

 

     

 

 

 

Total Containers & Packaging

 

 

1,511,649

 

               

Ecological Services & Equipment—2.1%

 

 

 

 

 

1,500

 

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

 

 

1,530,000

 

 

550

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

550,000

 

 

 

 

 

 

     

 

 

 

Total Ecological Services & Equipment

 

 

2,080,000

 

               

Energy—11.0%

 

 

 

 

 

100

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

102,000

 

 

250

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

233,125

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

130

 

6.375%, 6/15/15

 

 

126,100

 

 

20

 

6.875%, 11/15/20

 

 

19,550

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

65

 

7.50%, 5/15/15

 

 

66,300

 

 

70

 

7.75%, 5/15/17

 

 

72,100

 

 

255

 

Compton Petroleum Finance Corp.,

 

 

 

 

 

 

 

7.625%, 12/01/13 (Canada)

 

 

244,163

 

 

1,000

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

1,138,708

 

 

738

2,3

Corral Finans AB, 6.855%, 4/15/10 (Sweden)

 

 

697,569

 

 

250

 

DTE Energy Co., 7.05%, 6/01/11

 

 

263,126

 

 

1,000

 

Dominion Resources, Inc., 5.70%, 9/17/12

 

 

1,012,104

 

 

125

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

126,719

 

 

175

 

El Paso Natural Gas Co., 8.375%, 6/15/32

 

 

203,997

 

 

31

 

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

 

 

31,764

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

30

 

6.00%, 7/15/15

 

 

27,150

 

 

40

 

7.25%, 12/01/17

 

 

38,300

 

 

275

 

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

 

 

271,562

 

 

1,075

 

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

 

 

1,173,577

 

 

360

2

Forest Oil Corp., 7.25%, 6/15/19

 

 

360,000

 

 

60

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

60,300

 

 

225

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

221,625

 

 

426

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

457,680

 

 

185

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

187,081

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

50

 

7.25%, 2/01/14

 

 

50,000

 

 

285

 

7.375%, 2/01/16

 

 

284,287

 

 

250

 

Occidental Petroleum Corp., 6.75%, 1/15/12

 

 

264,973

 

 

320

2

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

320,800

 

 

140

 

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

 

 

154,700

 


 

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

44



 

 

 


 

Portfolio of Investments as of October 31, 2007

 

BlackRock Strategic Bond Trust (BHD) (continued)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Energy—(cont’d)

 

 

 

 

$

1,000

 

Progress Energy, Inc., 7.75%, 3/01/31

 

$

1,174,755

 

 

305

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

298,900

 

 

275

2

SemGroup LP, 8.75%, 11/15/15

 

 

264,000

 

 

400

2

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

 

 

404,000

 

 

330

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

324,375

 

 

25

 

Williams Cos., Inc., 7.125%, 9/01/11

 

 

25,938

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

10,701,328

 

               

Entertainment & Leisure—0.8%

 

 

 

 

 

200

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

216,500

 

 

225

2

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

223,875

 

 

85

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

62,688

 

 

190

 

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

 

 

191,425

 

 

115

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,

 

 

 

 

 

 

 

6.625%, 12/01/14

 

 

112,987

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

807,475

 

               

Financial Institutions—10.2%

 

 

 

 

 

102

 

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

 

 

110,975

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

 

230

 

7.125%, 2/15/13

 

 

224,250

 

 

860

 

8.125%, 6/01/12

 

 

866,450

 

 

106

2,3

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

101,985

 

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

1,600

3

6.813%, 1/15/10

 

 

1,524,146

 

 

150

3

7.993%, 1/13/12

 

 

138,866

 

 

250

 

7.80%, 6/01/12

 

 

234,894

 

 

1,500

 

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

 

 

1,469,899

 

 

572

2

iPayment Investors LP, 11.625%, 7/15/14

 

 

589,367

 

 

175

 

iPayment, Inc., 9.75%, 5/15/14

 

 

168,000

 

 

325

 

MetLife, Inc., 6.125%, 12/01/11

 

 

336,267

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

30

2

9.75%, 12/01/14

 

 

29,250

 

 

445

2

11.50%, 12/01/16

 

 

429,425

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

210

2

8.75%, 9/01/12

 

 

218,400

 

 

1,455

2

10.375%, 9/01/14

 

 

1,600,500

 

 

570

5

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

 

 

564,635

 

 

1,000

2

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

 

 

997,133

 

 

50

3

Universal City Florida Holding Co. I/II, 9.661%, 5/01/10

 

 

51,125

 

 

425

2

Wimar Opco LLC/Wimar Opco Finance Corp.,

 

 

 

 

 

 

 

9.625%, 12/15/14

 

 

318,750

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

9,974,317

 

               

Health Care—3.4%

 

 

 

 

 

1,000

 

Merck & Co., Inc., 4.375%, 2/15/13

 

 

969,871

 

 

320

 

Tenet Healthcare Corp., 6.50%, 6/01/12

 

 

271,200

 

 

1,000

 

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

 

 

966,030

 

 

1,000

 

Wyeth, 6.50%, 2/01/34

 

 

1,055,966

 

 

 

 

 

 

     

 

 

 

Total Health Care

 

 

3,263,067

 

               

Industrials—1.7%

 

 

 

 

 

260

2

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

 

 

256,100

 

 

100

 

Hexcel Corp., 6.75%, 2/01/15

 

 

98,250

 

 

300

 

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

 

 

279,750

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

350

 

9.50%, 8/01/14

 

 

361,375

 

 

225

 

11.75%, 8/01/16

 

 

238,500

 

 

470

1

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

 

 

451,200

 

 

 

 

 

 

     

 

 

 

Total Industrials

 

 

1,685,175

 

               

Media—14.4%

 

 

 

 

 

400

 

Adelphia Communications Corp., 10.50%, 12/31/49

 

 

66,000

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

435

 

10.125%, 10/15/13

 

 

453,487

 

 

220

 

11.50%, 10/15/15

 

 

229,350

 

 

125

 

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

 

 

119,688

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Media—(cont’d)

 

 

 

 

$

1,000

 

AOL Time Warner, Inc., 7.70%, 5/01/32

 

$

1,123,704

 

 

120

3

Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09

 

 

123,300

 

 

80

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

78,000

 

 

215

 

Charter Communications Holdings I LLC/Charter
Communications Holdings I Capital Corp.,

 

 

 

 

 

 

 

11.00%, 10/01/15

 

 

208,550

 

 

 

 

Charter Communications Holdings II LLC/Charter
Communications Holdings II Capital Corp.,

 

 

 

 

 

605

 

10.25%, 9/15/10

 

 

617,100

 

 

105

 

Ser. B, 10.25%, 9/15/10

 

 

106,838

 

 

500

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

459,375

 

 

1,000

 

Comcast Cable Communications, Inc., 6.875%, 6/15/09

 

 

1,025,415

 

 

50

 

Dex Media West LLC/Dex Media Finance Co., Ser. B,

 

 

 

 

 

 

 

9.875%, 8/15/13

 

 

53,313

 

 

100

 

DirecTV Holdings LLC/DirecTV Financing Co.,

 

 

 

 

 

 

 

8.375%, 3/15/13

 

 

104,500

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

550

 

5.75%, 10/01/08

 

 

548,625

 

 

210

 

7.00%, 10/01/13

 

 

218,662

 

 

45

 

7.125%, 2/01/16

 

 

47,025

 

 

500

2,3

ION Media Networks, Inc., 8.493%, 1/15/12

 

 

501,250

 

 

485

 

Idearc, Inc., 8.00%, 11/15/16

 

 

486,212

 

 

405

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

407,531

 

 

1,500

 

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

 

 

1,454,229

 

 

560

 

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

 

 

537,600

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

220

6

9.115%, 8/01/16

 

 

158,950

 

 

710

 

10.00%, 8/01/14

 

 

747,275

 

 

945

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

945,000

 

 

70

 

Sinclair Broadcast Group, Inc., 4.875%, 7/15/18

 

 

63,459

 

 

80

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

79,500

 

 

1,000

 

TCI Communications, Inc., 7.875%, 2/15/26

 

 

1,138,691

 

 

750

2

TL Acquisitions, Inc., 10.50%, 1/15/15

 

 

746,250

 

 

275

2

Univision Communications, Inc., 9.75%, 3/15/15

 

 

269,500

 

 

445

 

Vertis, Inc., 9.75%, 4/01/09

 

 

445,000

 

 

85

 

Viacom, Inc., 6.625%, 5/15/11

 

 

88,370

 

 

370

 

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

 

 

347,800

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

13,999,549

 

               

Real Estate—0.5%

 

 

 

 

 

500

 

ERP Operating LP, 6.95%, 3/02/11

 

 

521,745

 

               

Technology—3.8%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

50

 

7.75%, 5/15/13

 

 

48,375

 

 

90

 

9.25%, 6/01/16

 

 

92,025

 

 

565

 

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

 

 

542,400

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

540

 

9.125%, 12/15/14

 

 

488,700

 

 

100

3

9.569%, 12/15/14

 

 

91,875

 

 

340

 

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

321,300

 

 

345

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

302,738

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

140

 

9.125%, 8/15/13

 

 

142,800

 

 

610

 

10.25%, 8/15/15

 

 

635,925

 

 

1,010

 

Superior Essex Communications LLC/Essex Group, Inc.,

 

 

 

 

 

 

 

9.00%, 4/15/12

 

 

997,375

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

3,663,513

 

               

Telecommunications—12.2%

 

 

 

 

 

190

 

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

 

 

190,475

 

 

140

 

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

138,950

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

170

2

8.875%, 1/15/15

 

 

158,746

 

 

540

2

9.125%, 1/15/15

 

 

503,957

 

 

130

3

Hawaiian Telcom Communications, Inc., Ser. B,

 

 

 

 

 

 

 

10.318%, 5/01/13

 

 

131,625

 

 

355

 

Intelsat Corp., 9.00%, 6/15/16

 

 

362,987

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

45

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 

 


 

 

 

Portfolio of Investments as of October 31, 2007

 

BlackRock Strategic Bond Trust (BHD) (concluded)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

           

Telecommunications—(cont’d)

 

 

 

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

$

85

3

8.886%, 1/15/15

 

$

86,275

 

 

300

 

9.25%, 6/15/16

 

 

311,250

 

 

170

 

11.25%, 6/15/16

 

 

182,750

 

 

730

3

11.409%, 6/15/13

 

 

761,025

 

 

240

 

Intelsat Subsidiary Holding Co. Ltd.,
8.625%, 1/15/15 (Bermuda)

 

 

243,600

 

 

90

2

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

89,325

 

 

500

2

Nordic Telephone Co. Holdings A.p.S.,
8.875%, 5/01/16 (Denmark)

 

 

528,750

 

 

410

2,3

Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)

 

 

404,875

 

 

125

 

PanAmSat Corp., 9.00%, 8/15/14

 

 

127,500

 

 

 

 

Qwest Corp.,

 

 

 

 

 

200

 

7.875%, 9/01/11

 

 

211,000

 

 

340

3

8.944%, 6/15/13

 

 

362,525

 

 

1,500

 

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

 

 

1,558,848

 

 

1,000

 

Telecom Italia Capital S.A., 4.95%, 9/30/14 (Luxembourg)

 

 

957,141

 

 

2,000

 

Verizon New England, Inc., 6.50%, 9/15/11

 

 

2,078,264

 

 

1,000

 

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

 

 

1,057,537

 

 

590

 

West Corp., 11.00%, 10/15/16

 

 

618,025

 

 

250

2

Wind Acquisition Finance S.A., 10.75%,
12/01/15 (Luxembourg)

 

 

278,125

 

 

 

 

Windstream Corp.,

 

 

 

 

 

360

 

8.125%, 8/01/13

 

 

380,700

 

 

170

 

8.625%, 8/01/16

 

 

181,900

 

 

 

 

 

 

     

 

 

 

Total Telecommunications

 

 

11,906,155

 

               

Transportation—2.2%

 

 

 

 

 

125

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

123,438

 

 

80

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

84,000

 

 

500

 

Canadian National Railway Co., 6.90%, 7/15/28 (Canada)

 

 

542,396

 

 

475

 

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

 

 

459,562

 

 

425

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14
(Marshall Islands)

 

 

449,438

 

 

300

 

Overseas Shipholding Group, Inc., 8.25%, 3/15/13

 

 

309,750

 

 

2402

 

St. Acquisition Corp., 12.50%, 5/15/17

 

 

153,000

 

 

 

 

 

 

     

 

 

 

Total Transportation

 

 

2,121,584

 

 

 

 

 

 

     

 

 

 

Total Corporate Bonds

 

 

82,294,635

 

               

U.S. Government and Agency Securities—3.9%

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

 

130

 

4.75%, 2/15/37

 

 

129,929

 

 

410

 

5.375%, 2/15/31

 

 

444,210

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

810

 

4.125%, 8/15/10

 

 

813,924

 

 

1,075

 

4.25%, 8/15/13-8/15/15

 

 

1,077,249

 

 

550

 

4.875%, 8/15/16

 

 

567,359

 

 

710

 

4.75%, 5/15/14

 

 

729,691

 

 

 

 

 

 

     

 

 

 

Total U.S. Government and Agency Securities

 

 

3,762,362

 

               

Trust Preferred Stock—0.7%

 

 

 

 

 

650

2,3,7

Barclays Bank Plc, 8.55%
(United Kingdom)

 

 

699,144

 

               

 

 

 

 

 

 

 

 

Shares

 

Description

 

 

Value

 

               

Common Stocks—0.2%

 

 

 

 

 

396,568

1,8

Adelphia Recovery Trust

 

$

29,742

 

 

947

1,8

Critical Care Systems Intl., Inc.

 

 

5,919

 

 

6,388

8

Time Warner Cable, Inc.

 

 

182,633

 

 

 

 

 

 

     

 

 

 

Total Common Stocks

 

 

218,294

 

               

Preferred Stock—0.0%

 

 

 

 

 

50,000

1

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

31,000

 

 

 

 

 

 

     

 

 

 

Total Long-Term Investments
(cost $87,726,069)

 

 

87,005,435

 

               

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

             

SHORT-TERM INVESTMENT—9.3%

 

 

 

 

U.S. Government and Agency Discount Notes—9.3%

 

 

 

 

$

9,000

9

Federal Home Loan Bank Disc. Notes,
4.401%, 11/01/07 (cost $9,000,000)

 

 

9,000,000

 

               

Total investments—98.6% (cost $96,726,06910)

 

$

96,005,435

 

Other assets in excess of liabilities—1.4%

 

 

1,404,288

 

 

 

 

 

 

     

Net Assets—100%

 

$

97,409,723

 

 

 

 

 

 

     

 

 

         

 

 

1

Security is fair valued.

 

 

2

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2007, the Trust held 13.4% of its net assets, with a current market value of $13,035,212, in securities restricted as to resale.

 

 

3

Variable rate security. Rate shown is interest rate as of October 31, 2007.

 

 

4

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

 

 

5

Illiquid security. As of October 31, 2007, the Trust held 0.6% of its net assets, with a current market value of $564,635, in these securities.

 

 

6

Represents a step up bond; the interest rate shown reflects the effective yield at the time of purchase.

 

 

7

The security is a perpetual bond and has no stated maturity date.

 

 

8

Non-income producing security.

 

 

9

Rate shown is the yield to maturity as of the date of purchase.

 

 

10

Cost for federal income tax purposes is $96,796,459. The net unrealized depreciation on a tax basis is $791,024, consisting of $1,347,299 gross unrealized appreciation and $2,138,323 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

 

See Notes to Financial Statements.







ANNUAL REPORT

OCTOBER 31, 2007

46



 

 

 


 

 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

October 31, 2007

 

BlackRock
Broad
Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

BlackRock
Core
Bond Trust
(BHK)

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust
(BNA)

 

BlackRock
Income
Trust Inc.
(BKT)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value, unaffiliated2

 

$

39,361,651

 

$

667,583,920

 

$

59,618,159

 

$

725,931,579

 

$

483,248,453

 

Investments at value, affiliated3

 

 

 

 

933,463

 

 

 

 

100,407

 

 

50,019

 

Investments in affiliates

 

 

21,616

 

 

83,837

 

 

31,411

 

 

156,215

 

 

187,780

 

Cash

 

 

179,354

 

 

184,465

 

 

63,169

 

 

23,022

 

 

210,894

 

Foreign currency at value4

 

 

 

 

17,962

 

 

 

 

 

 

 

Receivable from investments sold

 

 

 

 

79,414,032

 

 

298,143

 

 

118,755,429

 

 

298,981,807

 

Variation margin receivable

 

 

 

 

285,126

 

 

 

 

196,616

 

 

2,503,972

 

Unrealized gain on foreign currency exchange contracts

 

 

 

 

21,131

 

 

 

 

 

 

 

Interest receivable

 

 

191,706

 

 

5,893,932

 

 

1,376,913

 

 

6,113,470

 

 

3,266,783

 

Unrealized appreciation on interest rate swaps

 

 

 

 

5,366,013

 

 

 

 

6,167,813

 

 

19,676,308

 

Other assets

 

 

 

 

1,126

 

 

1,105

 

 

1,684

 

 

2,960

 

 

 

                             

 

 

 

39,754,327

 

 

759,785,007

 

 

61,388,900

 

 

857,446,235

 

 

808,128,976

 

 

 

                             

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

 

 

103,353,692

 

 

 

 

105,261,512

 

 

33,895,363

 

Payable for investments purchased

 

 

 

 

194,609,753

 

 

1,124,884

 

 

264,757,861

 

 

252,599,751

 

Variation margin payable

 

 

 

 

 

 

 

 

 

 

 

Unrealized loss on foreign currency exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Loans payable

 

 

 

 

 

 

9,250,000

 

 

 

 

 

Borrowed bonds at value5

 

 

 

 

80,405,639

 

 

 

 

85,300,660

 

 

35,402,682

 

Investments sold short at value

 

 

 

 

 

 

 

 

 

 

 

Outstanding options written at value6

 

 

 

 

1,554,341

 

 

 

 

1,712,207

 

 

11,216,778

 

TBA sale commitments7

 

 

 

 

4,630,377

 

 

 

 

13,225,372

 

 

50,770,896

 

Unrealized depreciation on interest rate swaps

 

 

 

 

4,709,585

 

 

 

 

5,365,027

 

 

960,832

 

Unrealized depreciation on credit default swaps

 

 

 

 

462

 

 

 

 

98

 

 

 

Interest payable

 

 

 

 

982,884

 

 

46,037

 

 

1,321,187

 

 

1,030,721

 

Deferred income liability

 

 

 

 

 

 

 

 

 

 

 

Interest rate floors at value

 

 

 

 

 

 

 

 

 

 

3,683,965

 

Cash received as collateral

 

 

 

 

600,000

 

 

 

 

200,000

 

 

 

Dividends payable

 

 

6,990

 

 

58,217

 

 

3,833

 

 

51,466

 

 

86,657

 

Investment advisory fees payable

 

 

18,502

 

 

217,707

 

 

54,216

 

 

192,939

 

 

230,091

 

Administration fees payable

 

 

5,046

 

 

 

 

5,163

 

 

32,156

 

 

53,098

 

Deferred Trustees’ fees

 

 

21,616

 

 

83,837

 

 

31,411

 

 

156,215

 

 

187,780

 

Payable to affiliates

 

 

 

 

11,894

 

 

316

 

 

9,053

 

 

14,467

 

Trustees’ fees

 

 

8,518

 

 

7,882

 

 

1,667

 

 

7,560

 

 

6,507

 

Other accrued expenses

 

 

124,676

 

 

223,510

 

 

89,117

 

 

248,045

 

 

338,437

 

 

 

                             

 

 

 

185,348

 

 

391,449,780

 

 

10,606,644

 

 

477,841,358

 

 

390,478,025

 

 

 

                             

 

Preferred Shares at Redemption Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$0.001 par value per share and $25,000 liquidation value per share, including dividends payable8

 

 

 

 

 

 

 

 

 

 

 

 

 

                             

Net Assets Applicable to Common Shareholders

 

$

39,568,979

 

$

368,335,227

 

$

50,782,256

 

$

379,604,877

 

$

417,650,951

 

 

 

                             

Composition of Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par value9

 

$

29,571

 

$

27,019

 

$

6,419

 

$

344,497

 

$

639,425

 

Paid-in capital in excess of par

 

 

38,164,047

 

 

380,862,247

 

 

90,440,587

 

 

402,495,300

 

 

480,038,780

 

Cost of shares held in treasury10

 

 

 

 

 

 

 

 

(17,377,850

)

 

 

Undistributed (distributions in excess of) net investment income

 

 

4,863,653

 

 

(1,696,051

)

 

116,650

 

 

768,824

 

 

(6,313,294

)

Accumulated net realized gain (loss)

 

 

(3,222,230

)

 

(9,982,656

)

 

(36,529,058

)

 

(5,053,727

)

 

(62,361,817

)

Net unrealized appreciation (depreciation)

 

 

(266,062

)

 

(875,332

)

 

(3,252,342

)

 

(1,572,167

)

 

5,647,857

 

 

 

                             

Net assets applicable to common shareholders, October 31, 2007

 

$

39,568,979

 

$

368,335,227

 

$

50,782,256

 

$

379,604,877

 

$

417,650,951

 

 

 

                             

Net asset value11

 

$

13.38

 

$

13.63

 

$

7.91

 

$

11.02

 

$

6.53

 

 

 

                             

1 Consolidated Statement of Assets and Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2 Investments at cost, unaffiliated

 

$

39,627,713

 

$

669,290,048

 

$

62,870,501

 

$

728,241,712

 

$

489,276,096

 

3 Investments at cost, affiliated

 

$

 

$

926,771

 

$

 

$

105,884

 

$

52,584

 

4 Foreign currency at cost

 

$

 

$

17,603

 

$

 

$

 

$

 

5 Proceeds received

 

$

 

$

80,372,938

 

$

 

$

85,264,516

 

$

34,289,344

 

6 Premiums received

 

$

 

$

2,261,545

 

$

 

$

2,478,560

 

$

9,904,416

 

7 Proceeds for TBA sale commitments

 

$

 

$

4,627,832

 

$

 

$

13,086,862

 

$

49,863,740

 

8 Preferred shares outstanding

 

 

 

 

 

 

 

 

 

 

 

9 Par value per share

 

$

0.010

 

$

0.001

 

$

0.001

 

$

0.010

 

$

0.010

 

10 Shares held in treasury

 

 

 

 

 

 

 

 

1,757,400

 

 

 

11 Common shares outstanding

 

 

2,957,093

 

 

27,018,774

 

 

6,418,859

 

 

34,449,693

 

 

63,942,536

 


See Notes to Financial Statements.

 

 

 

 





47

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 

 

 

 

 

 

 

 

 

 

 

 

October 31, 2007

 

BlackRock
Limited
Duration
Income Trust
(BLW)

 

BlackRock
Preferred
and Equity
Advantage
Trust
(BTZ)

 

BlackRock
Strategic
Bond Trust
(BHD)

 

               

Assets

 

 

 

 

 

 

 

 

 

 

Investments at value, unaffiliated2

 

$

916,465,094

 

$

1,645,791,043

 

$

96,005,435

 

Investments at value, affiliated3

 

 

 

 

 

 

 

Investments in affiliates

 

 

77,688

 

 

 

 

16,994

 

Cash

 

 

459,217

 

 

2,433,274

 

 

25,014

 

Foreign currency at value4

 

 

131,351

 

 

 

 

 

Receivable from investments sold

 

 

7,605,343

 

 

17,269,931

 

 

381,617

 

Variation margin receivable

 

 

 

 

3,860,541

 

 

 

Unrealized gain on foreign currency exchange contracts

 

 

 

 

 

 

 

Interest receivable

 

 

14,216,297

 

 

18,988,818

 

 

1,752,232

 

Unrealized appreciation on interest rate swaps

 

 

 

 

 

 

 

Other assets

 

 

1,796

 

 

1,756

 

 

1,101

 

 

 

                 

 

 

 

938,956,786

 

 

1,688,345,363

 

 

98,182,393

 

 

 

                 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

109,286,907

 

 

88,290,625

 

 

413,123

 

Payable for investments purchased

 

 

140,394,085

 

 

7,757,330

 

 

152,692

 

Variation margin payable

 

 

39,234

 

 

 

 

 

Unrealized loss on foreign currency exchange contracts

 

 

922,551

 

 

 

 

 

Loans payable

 

 

 

 

 

 

 

Borrowed bonds at value5

 

 

 

 

13,759,975

 

 

 

Investments sold short at value

 

 

 

 

440,135

 

 

 

Outstanding options written at value6

 

 

 

 

4,130,100

 

 

 

TBA sale commitments7

 

 

 

 

 

 

 

Unrealized depreciation on interest rate swaps

 

 

 

 

 

 

 

Unrealized depreciation on credit default swaps

 

 

313,338

 

 

 

 

 

Interest payable

 

 

3,774,842

 

 

245,379

 

 

 

Deferred income liability

 

 

65,081

 

 

 

 

 

Interest rate floors at value

 

 

 

 

 

 

 

Cash received as collateral

 

 

 

 

 

 

 

Dividends payable

 

 

260,642

 

 

1,522,131

 

 

20,589

 

Investment advisory fees payable

 

 

371,728

 

 

929,772

 

 

49,601

 

Administration fees payable

 

 

 

 

 

 

 

Deferred Trustees’ fees

 

 

77,688

 

 

 

 

16,994

 

Payable to affiliates

 

 

22,039

 

 

25,990

 

 

6,950

 

Trustees’ fees

 

 

10,448

 

 

11,625

 

 

4,714

 

Other accrued expenses

 

 

308,782

 

 

421,347

 

 

108,007

 

 

 

                 

 

 

 

255,847,365

 

 

117,534,409

 

 

772,670

 

 

 

                 

 

Preferred Shares at Redemption Value

 

 

 

 

 

 

 

 

 

 

$0.001 par value per share and $25,000 liquidation value per share, including dividends payable8

 

 

 

 

462,276,473

 

 

 

Net Assets Applicable to Common Shareholders

 

$

683,109,421

 

$

1,108,534,481

 

$

97,409,723

 

 

 

                 

Composition of Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

Par value9

 

$

36,890

 

$

51,828

 

$

7,058

 

Paid-in capital in excess of par

 

 

701,305,214

 

 

1,206,156,456

 

 

98,443,594

 

Cost of shares held in treasury10

 

 

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

800,386

 

 

(276,473

)

 

197,208

 

Accumulated net realized gain (loss)

 

 

(172,492

)

 

(45,444,375

)

 

(517,503

)

Net unrealized appreciation (depreciation)

 

 

(18,860,577

)

 

(51,952,955

)

 

(720,634

)

 

 

                 

Net assets applicable to common shareholders, October 31, 2007

 

$

683,109,421

 

$

1,108,534,481

 

$

97,409,723

 

 

 

                 

Net asset value11

 

$

18.52

 

$

21.39

 

$

13.80

 

 

 

                 

1 Consolidated Statement of Assets and Liabilities

 

 

 

 

 

 

 

 

 

 

2 Investments at cost, unaffiliated

 

$

933,594,349

 

$

1,693,312,884

 

$

96,726,069

 

3 Investments at cost, affiliated

 

$

 

$

 

$

 

4 Foreign currency at cost

 

$

130,848

 

$

 

$

 

5 Proceeds received

 

$

 

$

14,285,318

 

$

 

6 Premiums received

 

$

 

$

5,426,127

 

$

 

7 Proceeds for TBA sale commitments

 

$

 

$

 

$

 

8 Preferred shares outstanding

 

 

 

 

18,480

 

 

 

9 Par value per share

 

$

0.001

 

$

0.001

 

$

0.001

 

10 Shares held in treasury

 

 

 

 

 

 

 

11 Common shares outstanding

 

 

36,889,650

 

 

51,828,157

 

 

7,058,402

 


 

 

 

 






ANNUAL REPORT

OCTOBER 31, 2007

48



 


 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the year ended October 31, 2007

 

BlackRock
Broad
Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

BlackRock
Core
Bond Trust
(BHK)

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust
(BNA)

 

BlackRock
Income
Trust Inc.
(BKT)

 

                       

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

Interest income

 

$

2,158,502

 

$

25,484,417

 

$

6,149,702

 

$

28,944,530

 

$

30,455,219

 

Dividend income

 

 

 

 

32,154

 

 

12,606

 

 

29,926

 

 

 

Foreign taxes withheld

 

 

 

 

 

 

 

 

(2,097

)

 

 

Income from affiliates

 

 

334

 

 

4,101

 

 

853

 

 

6,247

 

 

8,557

 

Affiliated income

 

 

 

 

52,860

 

 

 

 

63,456

 

 

3,731

 

 

 

                             

Total investment income

 

 

2,158,836

 

 

25,573,532

 

 

6,163,161

 

 

29,042,062

 

 

30,467,507

 

 

 

                             

 

                       

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

Investment advisory

 

 

221,437

 

 

2,263,497

 

 

727,265

 

 

2,268,956

 

 

2,680,534

 

Administration

 

 

60,392

 

 

 

 

69,263

 

 

378,159

 

 

618,585

 

Transfer agent

 

 

9,182

 

 

14,489

 

 

14,192

 

 

21,836

 

 

66,456

 

Custodian

 

 

63,355

 

 

249,091

 

 

113,949

 

 

231,868

 

 

268,396

 

Reports to shareholders

 

 

30,278

 

 

102,521

 

 

33,297

 

 

118,718

 

 

155,712

 

Directors/Trustees

 

 

10,093

 

 

35,499

 

 

5,698

 

 

35,718

 

 

36,317

 

Registration

 

 

932

 

 

11,073

 

 

10,987

 

 

15,345

 

 

25,782

 

Independent accountants

 

 

43,608

 

 

75,556

 

 

44,407

 

 

75,692

 

 

75,973

 

Legal

 

 

8,402

 

 

63,123

 

 

47,523

 

 

56,054

 

 

53,381

 

Officers’ fees

 

 

973

 

 

8,848

 

 

1,217

 

 

9,108

 

 

10,206

 

Insurance

 

 

2,087

 

 

20,151

 

 

3,620

 

 

22,254

 

 

25,791

 

Organization

 

 

 

 

 

 

 

 

 

 

 

Auction agent

 

 

 

 

 

 

 

 

 

 

 

Deferred Trustees’ fees

 

 

334

 

 

4,101

 

 

853

 

 

6,247

 

 

8,557

 

Miscellaneous

 

 

16,158

 

 

42,697

 

 

16,125

 

 

44,253

 

 

48,243

 

 

 

                             

Total expenses excluding interest expense and excise tax

 

 

467,231

 

 

2,890,646

 

 

1,088,396

 

 

3,284,208

 

 

4,073,933

 

Interest expense

 

 

 

 

2,986,285

 

 

1,050,907

 

 

4,308,893

 

 

7,442,611

 

Excise tax

 

 

283,057

 

 

 

 

 

 

 

 

 

 

 

                             

Total expenses

 

 

750,288

 

 

5,876,931

 

 

2,139,303

 

 

7,593,101

 

 

11,516,544

 

Less advisory fees waived

 

 

 

 

 

 

 

 

 

 

 

Less fees paid indirectly

 

 

 

 

(9,486

)

 

(8,027

)

 

(12,757

)

 

(22,750

)

 

 

                             

Net expenses

 

 

750,288

 

 

5,867,445

 

 

2,131,276

 

 

7,580,344

 

 

11,493,794

 

 

 

                             

Net investment income

 

 

1,408,548

 

 

19,706,087

 

 

4,031,885

 

 

21,461,718

 

 

18,973,713

 

 

 

                             

 

                       

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

Net realized gain on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

16,829

 

 

2,932,807

 

 

(2,479,994

)

 

2,379,781

 

 

5,100,250

 

Foreign currency

 

 

 

 

(243,679

)

 

 

 

1,864

 

 

 

Futures and swaps

 

 

 

 

(2,641,007

)

 

5,700

 

 

(561,310

)

 

(14,906,137

)

Interest rate floors

 

 

 

 

3,316

 

 

 

 

3,654

 

 

3,623

 

Options written

 

 

 

 

472,353

 

 

23,138

 

 

505,900

 

 

66,100

 

Short sales

 

 

 

 

(181,836

)

 

1,000

 

 

(216,750

)

 

(631,861

)

 

 

                             

 

 

 

16,829

 

 

341,954

 

 

(2,450,156

)

 

2,113,139

 

 

(10,368,025

)

 

 

                             

Net change in unrealized appreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

23,668

 

 

1,396,645

 

 

2,730,808

 

 

34,707

 

 

9,813,510

 

Foreign currency

 

 

 

 

84,610

 

 

 

 

 

 

 

Futures and swaps

 

 

 

 

(4,729,198

)

 

 

 

(5,924,500

)

 

14,400,816

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

(993,376

)

Options written

 

 

 

 

(224,655

)

 

 

 

(232,716

)

 

(2,301,793

)

Short sales and borrowed bonds

 

 

 

 

(35,246

)

 

 

 

39,033

 

 

(2,547,439

)

 

 

                             

 

 

 

23,668

 

 

(3,507,844

)

 

2,730,808

 

 

(6,083,476

)

 

18,371,718

 

 

 

                             

Net gain (loss)

 

 

40,497

 

 

(3,165,890

)

 

280,652

 

 

(3,970,337

)

 

8,003,693

 

 

 

                             

Dividends from Net Investment Income to Preferred Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

                             

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations

 

$

1,449,045

 

$

16,540,197

 

$

4,312,537

 

$

17,491,381

 

$

26,977,406

 

 

 

                             

 

 

1

Consolidated Statement of Operations.

2

Commencement of investment of operations for Preferred and Equity Advantage Trust was December 27, 2006. This information includes the initial investment by BlackRock Funding, Inc.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

49

ANNUAL REPORT

OCTOBER 31, 2007

 



 



 

 

 

 

 

 

 

 

 

 

 

For the year ended October 31, 2007

 

BlackRock
Limited
Duration
Income Trust
(BLW)

 

BlackRock
Preferred
and Equity
Advantage
Trust2
(BTZ)

 

BlackRock
Strategic
Bond Trust
(BHD)

 

               

Investment Income

 

 

 

 

 

 

 

 

 

 

               

Interest income

 

$

70,129,223

 

$

59,961,405

 

$

7,972,023

 

Dividend income

 

 

25,138

 

 

23,665,646

 

 

6,407

 

Foreign taxes withheld

 

 

 

 

(72,205

)

 

 

Income from affiliates

 

 

4,008

 

 

 

 

629

 

Affiliated income

 

 

 

 

 

 

 

 

 

                 

Total investment income

 

 

70,158,369

 

 

83,554,846

 

 

7,979,059

 

 

 

                 

 

               

Expenses

 

 

 

 

 

 

 

 

 

 

               

Investment advisory

 

 

4,890,429

 

 

9,017,835

 

 

791,363

 

Administration

 

 

 

 

 

 

 

Transfer agent

 

 

13,687

 

 

12,720

 

 

13,605

 

Custodian

 

 

458,823

 

 

194,874

 

 

99,288

 

Reports to shareholders

 

 

192,757

 

 

140,899

 

 

31,092

 

Directors/Trustees

 

 

42,093

 

 

42,388

 

 

10,395

 

Registration

 

 

16,509

 

 

14,642

 

 

10,969

 

Independent accountants

 

 

52,443

 

 

53,616

 

 

40,196

 

Legal

 

 

82,107

 

 

56,724

 

 

16,601

 

Officers’ fees

 

 

16,420

 

 

27,170

 

 

2,349

 

Insurance

 

 

47,141

 

 

55,998

 

 

5,517

 

Organization

 

 

 

 

15,000

 

 

 

Auction agent

 

 

 

 

766,268

 

 

 

Deferred Trustees’ fees

 

 

4,008

 

 

 

 

629

 

Miscellaneous

 

 

67,545

 

 

73,222

 

 

14,377

 

 

 

                 

Total expenses excluding interest expense and excise tax

 

 

5,883,962

 

 

10,471,356

 

 

1,036,381

 

Interest expense

 

 

9,171,719

 

 

8,445,410

 

 

389,572

 

Excise tax

 

 

 

 

14,538

 

 

 

 

 

                 

Total expenses

 

 

15,055,681

 

 

18,931,304

 

 

1,425,953

 

Less advisory fees waived

 

 

 

 

 

 

(176,670

)

Less fees paid indirectly

 

 

(116,925)

 

 

(150,583

)

 

(5,761

)

 

 

                 

Net expenses

 

 

14,938,756

 

 

18,780,721

 

 

1,243,522

 

 

 

                 

Net investment income

 

 

55,219,613

 

 

64,774,125

 

 

6,735,537

 

 

 

                 

 

               

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

               

Net realized gain on:

 

 

 

 

 

 

 

 

 

 

Investments

 

 

5,056,888

 

 

(1,920,106

)

 

999,009

 

Foreign currency

 

 

(2,379,054)

 

 

 

 

 

Futures and swaps

 

 

442,248

 

 

(29,263,030

)

 

 

Interest rate floors

 

 

 

 

 

 

 

Options written

 

 

 

 

(18,088,249

)

 

 

Short sales

 

 

 

 

3,748,880

 

 

 

 

 

                 

 

 

 

3,120,082

 

 

(45,522,505

)

 

999,009

 

 

 

                 

Net change in unrealized appreciation on:

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(19,529,245)

 

 

(47,521,841

)

 

(1,416,472

)

Foreign currency

 

 

(918,619)

 

 

 

 

 

Futures and swaps

 

 

(773,728)

 

 

(5,812,349

)

 

 

Interest rate floors

 

 

 

 

 

 

 

Options written

 

 

 

 

1,296,027

 

 

 

Short sales and borrowed bonds

 

 

 

 

85,208

 

 

 

 

 

                 

 

 

 

(21,221,592)

 

 

(51,952,955

)

 

(1,416,472

)

 

 

                 

Net gain (loss)

 

 

(18,101,510)

 

 

(97,475,460

)

 

(417,463

)

 

 

                 

Dividends from Net Investment Income to Preferred Shareholders

 

 

 

 

(16,313,570

)

 

 

 

 

                 

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations

 

$

37,118,103

 

$

(49,014,905

)

$

6,318,074

 

 

 

                 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

50



 


 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

For the Year Ended October 31, 2007

 

BlackRock
Core
Bond Trust
(BHK)

 

BlackRock
High
Yield Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust
(BNA)

 

               

Cash Flows Provided by (Used for) Operating Activities

Net increase (decrease) in net assets resulting from operations, excluding dividends to preferred shareholders

 

$

16,540,197

 

$

4,312,537

 

$

17,491,381

 

 

 

                 

 

               

Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from
Operations to Net Cash from Operating Activities

Purchases of long-term investments

 

 

(1,941,701,638

)

 

(45,730,396

)

 

(2,429,447,517

)

Proceeds from sales of long-term investments

 

 

1,733,431,910

 

 

53,761,581

 

 

2,211,685,787

 

Net proceeds (purchases) of short-term investments

 

 

889,872

 

 

1,609,785

 

 

4,896,196

 

Decrease (Increase) in borrowed bond agreements

 

 

(80,490,000

)

 

 

 

(85,383,875

)

Amortization of premium and discount on investments

 

 

2,145,093

 

 

(52,354

)

 

1,397,029

 

Net realized loss (gain) on investments

 

 

(2,931,258

)

 

2,479,994

 

 

(2,379,781

)

Decrease (Increase) in unrealized appreciation/depreciation on investments

 

 

(1,396,645

)

 

(2,730,808

)

 

(34,707

)

Net effect of exchange rates on foreign currency

 

 

243,678

 

 

 

 

(1,864

)

Increase in investments sold short and borrowed bonds

 

 

80,405,639

 

 

 

 

85,300,660

 

Increase (Decrease) in outstanding options written

 

 

(573,431

)

 

 

 

(610,347

)

Increase (Decrease) in TBA sale commitments

 

 

4,630,377

 

 

 

 

(12,762,315

)

Decrease in interest rate floor

 

 

 

 

 

 

 

Decrease (Increase) in unrealized appreciation (depreciation) on swaps

 

 

1,779,656

 

 

 

 

2,004,890

 

Decrease (Increase) in credit default swaps

 

 

(44,465

)

 

 

 

(49,874

)

Increase in investments in affiliates

 

 

(4,101

)

 

(852

)

 

(6,247

)

Decrease (Increase) in receivable for investments sold

 

 

(79,018,214

)

 

(76,424

)

 

(92,217,031

)

Decrease in unrealized gain on foreign currency exchange contracts

 

 

62,356

 

 

 

 

 

Decrease (Increase) in variation margin receivable

 

 

348,212

 

 

 

 

613,478

 

Decrease (Increase) in interest receivable

 

 

(541,245

)

 

187,539

 

 

(563,244

)

Decrease (Increase) in other assets

 

 

21,210

 

 

2,902

 

 

27,891

 

Increase (Decrease) in payable for investments purchased

 

 

183,643,965

 

 

1,064,252

 

 

251,167,512

 

Decrease in payable for dollar rolls

 

 

 

 

 

 

 

Increase in unrealized loss on foreign currency exchange contracts

 

 

 

 

 

 

 

Increase in variation margin payable

 

 

 

 

 

 

 

Increase (Decrease) in interest payable

 

 

300,147

 

 

(40,863

)

 

444,016

 

Increase in deferred income

 

 

 

 

 

 

 

Increase (Decrease) in investment advisory fee payable

 

 

70,571

 

 

9,609

 

 

(1,049

)

Increase (Decrease) in cash with brokers as collateral

 

 

 

 

 

 

(400,000

)

Increase (Decrease) in administration fee payable

 

 

 

 

3,006

 

 

(33,664

)

Increase in Deferred Directors/Trustees’ fees

 

 

4,101

 

 

852

 

 

6,247

 

Increase (Decrease) in payable to affiliates

 

 

(5,945

)

 

(664

)

 

3,248

 

Increase (Decrease) in Officers & Trustees fees

 

 

7,882

 

 

1,667

 

 

7,560

 

Increase in accrued expenses

 

 

44,363

 

 

11,260

 

 

77,837

 

 

 

                 

Total adjustments

 

 

(98,677,910

)

 

10,500,086

 

 

(66,259,164

)

 

 

                 

Net cash provided by (used for) operating activities

 

$

(82,137,713

)

$

14,812,623

 

$

(48,767,783

)

 

 

                 

Cash flows provided by (used for) financing activities:

 

 

 

 

 

 

 

 

 

 

Capital contributions

 

 

 

 

 

 

 

Increase (Decrease) in reverse repurchase agreements

 

 

99,442,604

 

 

 

 

70,935,354

 

Draws on loan

 

 

 

 

3,000,000

 

 

 

Payments on loan

 

 

 

 

(14,000,000

)

 

 

Increase in preferred shares at redemption value including dividends payable

 

 

 

 

 

 

 

Cash dividends paid

 

 

(21,664,877

)

 

(3,911,685

)

 

(22,685,337

)

Distributions to Preferred Shareholders

 

 

 

 

 

 

 

 

 

                 

Net cash provided by (used for) financing activities:

 

$

77,777,727

 

$

(14,911,685

)

$

48,250,017

 

 

 

                 

Net increase (decrease) in cash

 

 

(4,359,986

)

 

(99,062

)

 

(517,766

)

Cash and foreign currency at beginning of year

 

 

4,562,413

 

 

162,231

 

 

540,788

 

 

 

                 

Cash and foreign currency at end of year

 

$

202,427

 

$

63,169

 

$

23,022

 

 

 

                 

Cash paid during the period for interest

 

$

2,686,138

 

$

1,091,770

 

$

3,864,877

 

 

 

                 

Non cash financing activities not included herein consist of reinvestment of dividends of

 

$

 

$

12,289

 

$

 

 

 

                 

 

 

1

Commencement of investment of operations for Preferred and Equity Advantage Trust was December 27, 2006. This information includes the initial investment by BlackRock Funding, Inc.

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

51

ANNUAL REPORT

OCTOBER 31, 2007

 



 



 

 

 

 

 

 

 

 

 

 

 

For the Year Ended October 31, 2007

 

BlackRock
Income Trust Inc.
(BKT)

 

BlackRock
Limited
Duration
Income Trust
(BLW)

 

BlackRock
Preferred
and Equity
Advantage
Trust
(BTZ)1

 

               

Cash Flows Provided by (Used for) Operating Activities

Net increase (decrease) in net assets resulting from operations, excluding dividends to preferred shareholders

 

$

26,977,406

 

$

37,118,103

 

$

(32,701,335

)

 

 

                 

 

               

Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from
Operations to Net Cash from Operating Activities

Purchases of long-term investments

 

 

(2,648,040,603

)

 

(2,075,694,027

)

 

(3,036,455,711

)

Proceeds from sales of long-term investments

 

 

2,705,505,681

 

 

2,184,331,730

 

 

1,384,949,447

 

Net proceeds (purchases) of short-term investments

 

 

(453,891

)

 

(3,048,518

)

 

(29,250,052

)

Decrease (Increase) in borrowed bond agreements

 

 

25,681,719

 

 

 

 

(13,832,286

)

Amortization of premium and discount on investments

 

 

12,697,538

 

 

2,200,638

 

 

(644,388

)

Net realized loss (gain) on investments

 

 

(5,100,250

)

 

(5,056,888

)

 

1,920,106

 

Decrease (Increase) in unrealized appreciation/depreciation on investments

 

 

(9,813,510

)

 

19,529,245

 

 

47,521,841

 

Net effect of exchange rates on foreign currency

 

 

 

 

2,379,053

 

 

 

Increase in investments sold short and borrowed bonds

 

 

(25,665,758

)

 

 

 

14,200,110

 

Increase (Decrease) in outstanding options written

 

 

8,893,649

 

 

 

 

4,130,100

 

Increase (Decrease) in TBA sale commitments

 

 

34,189,494

 

 

 

 

 

Decrease in interest rate floor

 

 

1,789,109

 

 

 

 

 

Decrease (Increase) in unrealized appreciation (depreciation) on swaps

 

 

 

 

 

 

 

Decrease (Increase) in credit default swaps

 

 

(17,631,968

)

 

313,338

 

 

 

Increase in investments in affiliates

 

 

(8,558

)

 

(4,008

)

 

 

Decrease (Increase) in receivable for investments sold

 

 

(282,517,813

)

 

(4,213,569

)

 

(17,269,931

)

Decrease in unrealized gain on foreign currency exchange contracts

 

 

 

 

 

 

 

Decrease (Increase) in variation margin receivable

 

 

(2,503,972

)

 

 

 

(3,860,541

)

Decrease (Increase) in interest receivable

 

 

1,027,688

 

 

1,254,444

 

 

(18,988,818

)

Decrease (Increase) in other assets

 

 

24,976

 

 

56,737

 

 

(1,756

)

Increase (Decrease) in payable for investments purchased

 

 

252,599,751

 

 

828,336

 

 

7,757,330

 

Decrease in payable for dollar rolls

 

 

(15,527,433

)

 

 

 

 

Increase in unrealized loss on foreign currency exchange contracts

 

 

 

 

885,571

 

 

 

Increase in variation margin payable

 

 

(1,068,671

)

 

2,254

 

 

 

Increase (Decrease) in interest payable

 

 

(572,515

)

 

3,099,604

 

 

245,379

 

Increase in deferred income

 

 

 

 

65,081

 

 

 

Increase (Decrease) in investment advisory fee payable

 

 

2,351

 

 

(51,146

)

 

929,772

 

Increase (Decrease) in cash with brokers as collateral

 

 

 

 

 

 

 

Increase (Decrease) in administration fee payable

 

 

(43,151

)

 

 

 

 

Increase in Deferred Directors/Trustees’ fees

 

 

8,558

 

 

4,008

 

 

 

Increase (Decrease) in payable to affiliates

 

 

(33,285

)

 

3,531

 

 

25,990

 

Increase (Decrease) in Officers & Trustees fees

 

 

6,507

 

 

10,448

 

 

11,625

 

Increase in accrued expenses

 

 

174,675

 

 

83,711

 

 

421,347

 

 

 

                 

Total adjustments

 

 

33,620,318

 

 

126,979,573

 

 

(1,658,190,436

)

 

 

                 

Net cash provided by (used for) operating activities

 

 

60,597,724

 

$

164,097,676

 

$

(1,690,891,771

)

 

 

                 

Cash flows provided by (used for) financing activities:

 

 

 

 

 

 

 

 

 

 

Capital contributions

 

 

 

 

 

 

1,228,660,977

 

Increase (Decrease) in reverse repurchase agreements

 

 

(36,795,262

)

 

(110,712,624

)

 

88,290,625

 

Draws on loan

 

 

 

 

 

 

 

Payments on loan

 

 

 

 

 

 

 

Increase in preferred shares at redemption value including dividends payable

 

 

 

 

 

 

462,276,473

 

Cash dividends paid

 

 

(23,699,970

)

 

(52,954,140

)

 

(69,589,460

)

Distributions to Preferred Shareholders

 

 

 

 

 

 

(16,313,570

)

 

 

                 

Net cash provided by (used for) financing activities:

 

 

(60,495,232

)

$

(163,666,764

)

$

1,693,325,045

 

 

 

                 

Net increase (decrease) in cash

 

 

102,492

 

 

430,912

 

 

2,433,274

 

Cash and foreign currency at beginning of year

 

 

108,402

 

 

159,656

 

 

 

 

 

                 

Cash and foreign currency at end of year

 

 

210,894

 

$

590,568

 

$

2,433,274

 

 

 

                 

Cash paid during the period for interest

 

 

7,917,798

 

$

6,072,115

 

$

8,163,917

 

 

 

                 

Non cash financing activities not included herein consist of reinvestment of dividends of

 

$

 

$

2,057,525

 

$

1,748,836

 

 

 

                 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

52



 


Statements of Changes in Net Assets
For the years ended October 31, 2007 and 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Broad Investment Grade 2009
Term Trust Inc.1 (BCT)

 

BlackRock
Core Bond Trust
(BHK)

 

 

 

       

Net Increase (Decrease) in Net Assets

 

2007

 

2006

 

2007

 

2006

 

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

1,408,548

 

$

1,918,798

 

$

19,706,087

 

$

17,700,447

 

Net realized gain (loss)

 

 

16,829

 

 

(493,395

)

 

341,954

 

 

(8,285,073

)

Net change in unrealized appreciation/depreciation

 

 

23,668

 

 

341,005

 

 

(3,507,844

)

 

11,551,542

 

 

 

         

 

           

Net increase in net assets resulting from operations

 

 

1,449,045

 

 

1,766,408

 

 

16,540,197

 

 

20,966,916

 

 

 

         

 

           

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(2,661,384

)

 

(4,191,834

)

 

(16,495,698

)

 

(25,048,230

)

Net realized gains

 

 

 

 

(69,260

)

 

 

 

(7,914,351

)

Tax return of capital

 

 

 

 

 

 

(5,227,396

)

 

 

 

 

         

 

           

Total dividends and distributions

 

 

(2,661,384

)

 

(4,261,094

)

 

(21,723,094

)

 

(32,962,581

)

 

 

         

 

           
 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

 

 

 

 

 

 

 

 

 

         

 

           

Total increase (decrease)

 

 

(1,212,339

)

 

(2,494,686

)

 

(5,182,897

)

 

(11,995,665

)

 

 

         

 

           
 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of year

 

 

40,781,318

 

 

43,276,004

 

 

373,518,124

 

 

385,513,789

 

 

 

         

 

           

End of year

 

$

39,568,979

 

$

40,781,318

 

$

368,335,227

 

$

373,518,124

 

 

 

         

 

           

End of year undistributed (distribution in excess of) net investment income

 

$

4,863,653

 

$

5,833,604

 

$

(1,696,051

)

$

(5,693,238

)

 

 

         

 

           

 

 

1

Consolidated Statement of Changes in Net Assets.


 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Limited Duration Income Trust
(BLW)

 

BlackRock
Preferred and Equity
Advantage Trust1 (BTZ)

 

 

 

       

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders

 

2007

 

2006

 

2007

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

55,219,613

 

$

49,596,055

 

$

64,774,125

 

Net realized gain (loss)

 

 

3,120,082

 

 

(1,589,905

)

 

(45,522,505

)

Net change in unrealized appreciation/depreciation

 

 

(21,221,592

)

 

2,473,132

 

 

(51,952,955

)

Dividends from net investment income to Preferred Shareholders:

 

 

 

 

 

 

(16,313,570

)

 

 

         

 

     

Net increase (decrease) in net assets applicable to common shareholders resulting from operations

 

 

37,118,103

 

 

50,479,282

 

 

(49,014,905

)

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

                     

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(51,967,739

)

 

(55,725,066

)

 

(48,688,436

)

Net realized gains

 

 

(2,229,742

)

 

 

 

 

Tax return of capital distributions

 

 

(1,074,826

)

 

(760,960

)

 

(24,171,991

)

 

 

                 

Total dividends and distributions

 

 

(55,272,307

)

 

(56,486,026

)

 

(72,860,427

)

 

 

                 
 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

Net from the issuance of common shares

 

 

 

 

 

 

1,115,290,352

 

Net proceeds from the underwriters’ over-allotment exercised

 

 

 

 

 

 

113,370,625

 

Reinvestment of common dividends

 

 

2,057,525

 

 

251,427

 

 

1,748,836

 

 

 

         

 

     

 

 

 

2,057,525

 

 

251,427

 

 

1,230,409,813

 

 

 

                 

Total increase (decrease)

 

 

(16,096,679

)

 

(5,755,317

)

 

1,108,534,481

 

 

 

                 
 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

Beginning of period

 

 

699,206,100

 

 

704,961,417

 

 

 

 

 

         

 

     

End of period

 

$

683,109,421

 

$

699,206,100

 

$

1,108,534,481

 

 

 

         

 

     

End of period undistributed (distribution in excess of) net investment income

 

$

800,386

 

$

(36,700

)

$

(276,473

)

 

 

                 

 

 

1

Commencement of investment operations for Preferred and Equity Advantage Trust was December 27, 2006. This information includes the initial investment by BlackRock Funding, Inc.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

53

ANNUAL REPORT

OCTOBER 31, 2007

 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
High Yield Trust (BHY)

 

BlackRock
Income Opportunity Trust (BNA)

 

BlackRock
Income Trust Inc. (BKT)

 

 

 

           

Net Increase (Decrease) in Net Assets

 

2007

 

2006

 

2007

 

2006

 

2007

 

2006

 

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

4,031,885

 

$

4,211,671

 

$

21,461,718

 

$

19,514,794

 

$

18,973,713

 

$

20,352,044

 

Net realized gain (loss)

 

 

(2,450,156

)

 

(2,067,969

)

 

2,113,139

 

 

(7,330,378

)

 

(10,368,025

)

 

1,937,674

 

Net change in unrealized appreciation/depreciation

 

 

2,730,808

 

 

4,444,627

 

 

(6,083,476

)

 

7,965,246

 

 

18,371,718

 

 

1,267,311

 

 

 

         

 

         

 

           

Net increase in net assets resulting from operations

 

 

4,312,537

 

 

6,588,329

 

 

17,491,381

 

 

20,149,662

 

 

26,977,406

 

 

23,557,029

 

 

 

         

 

         

 

           

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(3,927,807

)

 

(4,175,232

)

 

(20,862,233

)

 

(22,238,524

)

 

(18,808,452

)

 

(21,910,288

)

Net realized gains

 

 

 

 

 

 

 

 

(8,976,694

)

 

 

 

 

Tax return of capital

 

 

 

 

 

 

(1,874,570

)

 

(2,162,198

)

 

(4,978,175

)

 

(5,576,693

)

 

 

         

 

         

 

         

 

Total dividends and distributions

 

 

(3,927,807

)

 

(4,175,232

)

 

(22,736,803

)

 

(33,377,416

)

 

(23,786,627

)

 

(27,486,981

)

 

 

         

 

         

 

         

 

 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

12,289

 

 

48,307

 

 

 

 

 

 

 

 

 

 

 

         

 

         

 

           

Total increase (decrease)

 

 

397,019

 

 

2,461,404

 

 

(5,245,422

)

 

(13,227,754

)

 

3,190,779

 

 

(3,929,952

)

 

 

         

 

         

 

           

 

                                       

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of year

 

 

50,385,237

 

 

47,923,833

 

 

384,850,299

 

 

398,078,053

 

 

414,460,172

 

 

418,390,124

 

 

 

         

 

         

 

           

End of year

 

$

50,782,256

 

$

50,385,237

 

$

379,604,877

 

$

384,850,299

 

$

417,650,951

 

$

414,460,172

 

 

 

         

 

         

 

           

End of year undistributed (distribution in excess of) net investment income

 

$

116,650

 

$

10,204

 

$

768,824

 

$

(900,730

)

$

(6,313,294

)

$

(519,359

)

 

 

         

 

         

 

           

 

 

 

 

 

 

 

 

 

 

BlackRock
Strategic Bond Trust
(BHD)

 

 

 

   

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders

 

2007

 

2006

 

 

Operations:

 

 

 

 

 

 

 

Net investment income

 

$

6,735,537

 

$

6,965,538

 

Net realized gain (loss)

 

 

999,009

 

 

(759,640

)

Net change in unrealized appreciation/depreciation

 

 

(1,416,472

)

 

2,082,388

 

Dividends from net investment income to Preferred Shareholders:

 

 

 

 

 

 

 

           

 

 

 

 

 

 

 

 

Net increase (decrease) in net assets applicable to common shareholders resulting from operations

 

 

6,318,074

 

 

8,288,286

 

 

 

           
 

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

Net investment income

 

 

(6,521,963

)

 

(6,969,104

)

Net realized gains

 

 

 

 

 

Tax return of capital distributions

 

 

 

 

(251,641

)

 

 

           

Total dividends and distributions

 

 

(6,521,963

)

 

(7,220,745

)

 

 

           
 

Capital Share Transactions:

 

 

 

 

 

 

 

Net from the issuance of common shares

 

 

 

 

 

Net proceeds from the underwriters’ over-allotment exercised

 

 

 

 

 

Reinvestment of common dividends

 

 

 

 

 

 

 

           

 

 

 

 

 

 

 

 

           

Total increase (decrease)

 

 

(203,889

)

 

1,067,541

 

 

 

           
 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

Beginning of period

 

 

97,613,612

 

 

96,546,071

 

 

 

           

End of period

 

$

97,409,723

 

$

97,613,612

 

 

 

           

End of period undistributed (distribution in excess of) net investment income

 

$

197,208

 

$

(16,366

)

 

 

           

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

54



 

 


 

Financial Highlights

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Net asset value, beginning of year

 

$

13.79

 

$

14.63

 

$

15.98

 

$

16.02

 

$

17.33

 

 

 

                             

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.48

 

 

0.65

 

 

0.80

 

 

0.61

 

 

1.28

 

Net realized and unrealized gain (loss)

 

 

0.01

 

 

(0.05

)

 

(0.87

)

 

0.25

 

 

(1.40

)

 

 

                             

Net increase (decrease) from investment operations

 

 

0.49

 

 

0.60

 

 

(0.07

)

 

0.86

 

 

(0.12

)

 

 

                             

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.90

)

 

(1.42

)

 

(1.03

)

 

(0.90

)

 

(1.19

)

Net realized gains

 

 

 

 

(0.02

)

 

(0.25

)

 

 

 

 

 

 

                             

Total dividends and distributions

 

 

(0.90

)

 

(1.44

)

 

(1.28

)

 

(0.90

)

 

(1.19

)

 

 

                             

Net asset value, end of year

 

$

13.38

 

$

13.79

 

$

14.63

 

$

15.98

 

$

16.02

 

 

 

                             

Market price, end of year

 

$

15.15

 

$

15.08

 

$

15.86

 

$

15.80

 

$

15.85

 

 

 

                             

 

                                 

Total Investment Returns1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

At net asset value

 

 

2.95

%

 

3.53

%

 

(0.82

)%

 

5.52

%

 

(0.61

)%

 

 

                             

At market value

 

 

6.60

%

 

4.44

%

 

8.74

%

 

5.45

%

 

5.32

%

 

 

                             

 

                                 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Total expenses

 

 

1.86

%

 

1.14

%

 

2.37

%

 

2.48

%

 

2.43

%

Net expenses

 

 

1.86

%

 

1.14

%

 

2.37

%

 

2.48

%

 

2.43

%

Net expenses excluding excise tax

 

 

1.16

%

 

1.14

%

 

1.19

%

 

1.11

%

 

1.18

%

Net investment income

 

 

3.50

%

 

4.50

%

 

5.23

%

 

3.83

%

 

7.54

%

 

                                 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Average net assets (000)

 

$

40,261

 

$

42,625

 

$

45,264

 

$

47,191

 

$

49,882

 

Portfolio turnover

 

 

10

%

 

8

%

 

116

%

 

20

%

 

39

%

Net assets, end of year (000)

 

$

39,569

 

$

40,781

 

$

43,276

 

$

47,255

 

$

47,381

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

 

$

 

$

 

$

19,263

 

$

19,953

 

Asset coverage, end of year2

 

$

 

$

 

$

 

$

3,453

 

$

3,375

 

Reverse repurchase agreements average daily balance (000)

 

$

 

$

 

$

7,865

 

$

22,055

 

$

19,409

 

Reverse repurchase agreements weighted average interest rate

 

 

%

 

%

 

2.32

%

 

1.20

%

 

1.21

%


 

 

1

Total investment return at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns excludes the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

 

 

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

55

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

 

Financial Highlights

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Net asset value, beginning of year

 

$

13.82

 

$

14.27

 

$

15.22

 

$

14.75

 

$

14.33

 

 

 

                             

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.74

 

 

0.66

 

 

0.78

 

 

0.92

 

 

0.83

 

Net realized and unrealized gain (loss)

 

 

(0.13

)

 

0.11

 

 

(0.37

)

 

0.66

 

 

0.77

 

 

 

                             

Net increase from investment operations

 

 

0.61

 

 

0.77

 

 

0.41

 

 

1.58

 

 

1.60

 

 

 

                             

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.61

)

 

(0.93

)

 

(1.01

)

 

(0.86

)

 

(1.00

)

Net realized gains

 

 

 

 

(0.29

)

 

(0.35

)

 

(0.25

)

 

(0.18

)

Tax return of capital

 

 

(0.19

)

 

 

 

 

 

 

 

 

 

 

                             

Total dividends and distributions

 

 

(0.80

)

 

(1.22

)

 

(1.36

)

 

(1.11

)

 

(1.18

)

 

 

                             

Net asset value, end of year

 

$

13.63

 

$

13.82

 

$

14.27

 

$

15.22

 

$

14.75

 

 

 

                             

Market price, end of year

 

$

12.23

 

$

12.86

 

$

13.69

 

$

14.02

 

$

13.57

 

 

 

                             

 

                                 

Total Investment Returns1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

At net asset value

 

 

5.04

%

 

6.20

%

 

3.18

%

 

11.79

%

 

11.76

%

 

 

                             

At market value

 

 

1.29

%

 

3.07

%

 

7.46

%

 

11.93

%

 

6.62

%

 

 

                             

 

                                 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Total expenses

 

 

1.60

%

 

1.08

%

 

1.50

%

 

1.32

%

 

1.05

%

Net expenses

 

 

1.60

%

 

1.08

%

 

1.50

%

 

1.32

%

 

1.05

%

Net expenses excluding interest expense

 

 

0.78

%

 

0.77

%

 

0.85

%

 

0.92

%

 

0.87

%

Net investment income

 

 

5.36

%

 

4.78

%

 

5.20

%

 

6.20

%

 

5.58

%

 

                                 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Average net assets (000)

 

$

367,577

 

$

370,219

 

$

402,783

 

$

401,212

 

$

401,049

 

Portfolio turnover

 

 

122

%

 

88

%

 

220

%

 

398

%

 

161

%

Net assets, end of year (000)

 

$

368,335

 

$

373,518

 

$

385,514

 

$

411,163

 

$

398,540

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

103,354

 

$

3,911

 

$

86,876

 

$

102,474

 

$

91,668

 

Asset coverage, end of year2

 

$

4,564

 

$

96,502

 

$

5,438

 

$

5,012

 

$

5,348

 

Reverse repurchase agreements average daily balance (000)

 

$

44,786

 

$

25,340

 

$

91,130

 

$

145,094

 

$

67,591

 

Reverse repurchase agreements weighted average interest rate

 

 

5.24

%

 

4.54

%

 

2.86

%

 

1.11

%

 

1.05

%


 

 

1

Total investment return at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns excludes the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

 

 

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

56



 

 


 

 

Financial Highlights

BlackRock High Yield Trust (BHY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Net asset value, beginning of year

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

$

6.13

 

 

 

                             

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.63

 

 

0.66

 

 

0.68

 

 

0.92

 

 

1.06

 

Net realized and unrealized gain (loss)

 

 

0.04

 

 

0.36

 

 

(0.36

)

 

1.02

 

 

0.89

 

 

 

                             

Net increase from investment operations

 

 

0.67

 

 

1.02

 

 

0.32

 

 

1.94

 

 

1.95

 

 

 

                             

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

(0.92

)

 

(1.07

)

Tax return of capital

 

 

 

 

 

 

 

 

(0.03

)

 

(0.05

)

 

 

                             

Total dividends and distributions

 

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

(0.95

)

 

(1.12

)

 

 

                             

Net asset value, end of year

 

$

7.91

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

 

 

                             

Market price, end of year

 

$

6.92

 

$

7.77

 

$

7.36

 

$

9.30

 

$

10.25

 

 

 

                             

 

                                 

Total Investment Returns1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

At net asset value

 

 

9.03

%

 

14.25

%

 

2.85

%

 

26.24

%

 

27.75

%

 

 

                             

At market value

 

 

(3.63

) %

 

14.93

%

 

(13.49

) %

 

0.28

%

 

32.87

%

 

 

                             

 

                                 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Total expenses

 

 

4.16

%

 

4.50

%

 

3.52

%

 

2.69

%

 

3.07

%

Net expenses

 

 

4.14

%

 

4.49

%

 

3.51

%

 

2.68

%

 

3.07

%

Net expenses excluding interest expense

 

 

2.10

%

 

2.19

%

 

2.10

%

 

1.96

%

 

2.22

%

Net investment income

 

 

7.84

%

 

8.74

%

 

8.71

%

 

12.16

%

 

16.37

%

 

                                 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Average net assets (000)

 

$

51,435

 

$

48,176

 

$

50,104

 

$

48,186

 

$

41,326

 

Portfolio turnover

 

 

69

%

 

85

%

 

102

%

 

156

%

 

30

%

Net assets, end of year (000)

 

$

50,782

 

$

50,385

 

$

47,924

 

$

50,914

 

$

44,438

 

Loan outstanding, end of year (000)

 

$

9,250

 

$

20,250

 

$

20,750

 

$

19,250

 

$

19,250

 

Asset coverage, end of year2

 

$

6,490

 

$

3,488

 

$

3,310

 

$

3,645

 

$

3,308

 

Loan average daily balance (000)

 

$

17,710

 

$

20,621

 

$

20,425

 

$

19,250

 

$

19,250

 

Loan weighted average interest rate

 

 

5.28

%

 

4.75

%

 

2.87

%

 

1.80

%

 

1.96

%


 

 

1

Total investment return at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns excludes the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

 

 

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

57

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

 

Financial Highlights

BlackRock Income Opportunity Trust (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Net asset value, beginning of year

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

$

11.83

 

 

 

                             

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.62

 

 

0.57

 

 

0.72

 

 

0.76

 

 

0.84

 

Net realized and unrealized gain (loss)

 

 

(0.11

)

 

0.01

 

 

(0.45

)

 

0.53

 

 

0.31

 

 

 

                             

Net increase from investment operations

 

 

0.51

 

 

0.58

 

 

0.27

 

 

1.29

 

 

1.15

 

 

 

                             

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.61

)

 

(0.65

)

 

(0.81

)

 

(0.84

)

 

(0.81

)

Net realized gains

 

 

 

 

(0.26

)

 

(0.28

)

 

 

 

(0.24

)

Tax return of capital

 

 

(0.05

)

 

(0.06

)

 

 

 

 

 

 

 

 

                             

Total dividends and distributions

 

 

(0.66

)

 

(0.97

)

 

(1.09

)

 

(0.84

)

 

(1.05

)

 

 

                             

Net asset value, end of year

 

$

11.02

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

 

 

                             

Market price, end of year

 

$

10.19

 

$

10.58

 

$

10.90

 

$

11.38

 

$

10.95

 

 

 

                             

 

                                 

Total Investment Returns1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

At net asset value

 

 

5.11

%

 

5.76

%

 

2.95

%

 

11.90

%

 

10.92

%

 

 

                             

At market value

 

 

2.62

%

 

6.27

%

 

5.53

%

 

12.04

%

 

14.71

%

 

 

                             

 

                                 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Total expenses

 

 

2.01

%

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

Net expenses

 

 

2.00

%

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

Net expenses excluding interest expense

 

 

0.87

%

 

0.89

%

 

0.87

%

 

0.84

%

 

0.89

%

Net investment income

 

 

5.68

%

 

5.11

%

 

5.97

%

 

6.29

%

 

6.99

%

 

                                 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Average net assets (000)

 

$

378,159

 

$

381,726

 

$

413,777

 

$

415,131

 

$

413,543

 

Portfolio turnover

 

 

196

%

 

131

%

 

396

%

 

300

%

 

46

%

Net assets, end of year (000)

 

$

379,605

 

$

384,850

 

$

398,078

 

$

426,643

 

$

410,981

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

105,262

 

$

34,326

 

$

120,179

 

$

94,644

 

$

103,378

 

Asset coverage, end of year2

 

$

4,606

 

$

12,212

 

$

4,312

 

$

5,508

 

$

4,976

 

Reverse repurchase agreements average daily balance (000)

 

$

68,241

 

$

59,691

 

$

122,457

 

$

97,264

 

$

136,172

 

Reverse repurchase agreements weighted average interest rate

 

 

5.27

%

 

4.59

%

 

2.87

%

 

1.14

%

 

1.22

%


 

 

1

Total investment return at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns excludes the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

 

 

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

58



 

 


 

Financial Highlights

BlackRock Income Trust Inc. (BKT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

$

8.13

 

 

 

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.30

 

 

0.32

 

 

0.44

 

 

0.51

 

 

0.61

 

Net realized and unrealized gain (loss)

 

 

0.12

 

 

0.05

 

 

(0.30

)

 

(0.16

)

 

(0.52

)

 

 

 

Net increase from investment operations

 

 

0.42

 

 

0.37

 

 

0.14

 

 

0.35

 

 

0.09

 

 

 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.29

)

 

(0.34

)

 

(0.48

)

 

(0.61

)

 

(1.01

)

Tax return of capital

 

 

(0.08

)

 

(0.09

)

 

(0.07

)

 

 

 

 

 

 

 

Total dividends and distributions

 

 

(0.37

)

 

(0.43

)

 

(0.55

)

 

(0.61

)

 

(1.01

)

 

 

 

Net asset value, end of year

 

$

6.53

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

 

 

 

Market price, end of year

 

$

5.81

 

$

6.07

 

$

5.90

 

$

7.50

 

$

7.71

 

 

 

 

 

 

 

 

Total Investment Returns1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value

 

 

7.06

%

 

6.06

%

 

2.12

%

 

5.01

%

 

1.20

%

 

 

 

At market value

 

 

1.69

%

 

10.18

%

 

(14.63

)%

 

5.97

%

 

15.41

%

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.77

%

 

2.85

%

 

2.80

%

 

1.37

%

 

1.36

%

Net expenses

 

 

2.76

%

 

2.84

%

 

2.79

%

 

1.37

%

 

1.36

%

Net expenses excluding interest expense

 

 

0.98

%

 

1.00

%

 

0.99

%

 

0.97

%

 

1.02

%

Net investment income

 

 

4.60

%

 

4.92

%

 

6.54

%

 

7.13

%

 

8.18

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

412,390

 

$

413,597

 

$

430,035

 

$

447,984

 

$

472,676

 

Portfolio turnover

 

 

250

%

 

80

%

 

60

%

 

120

%

 

64

%

Net assets, end of year (000)

 

$

417,651

 

$

414,460

 

$

418,390

 

$

442,635

 

$

457,301

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

33,895

 

$

70,691

 

$

149,558

 

$

223,736

 

$

121,767

 

Asset coverage, end of year2

 

$

13,322

 

$

6,863

 

$

3,798

 

$

2,978

 

$

4,756

 

Reverse repurchase agreements average daily balance (000)

 

$

93,325

 

$

104,393

 

$

180,553

 

$

158,278

 

$

135,804

 

Reverse repurchase agreements weighted average interest rate

 

 

5.21

%

 

4.54

%

 

2.81

%

 

1.12

%

 

1.17

%


 

 

1

Total investment return at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns excludes the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

59

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Financial Highlights

BlackRock Limited Duration Income Trust (BLW)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

For the Period
July 30, 20031
through October 31,
2003

 

 

 

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

19.01

 

$

19.17

 

$

20.13

 

$

19.74

 

 

$

19.10

2

 

 

 

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

1.50

 

 

1.35

 

 

1.46

 

 

1.46

 

 

 

0.33

 

 

Net realized and unrealized gain (loss)

 

 

(0.49

)

 

0.03

 

 

(0.94

)

 

0.43

 

 

 

0.60

 

 

 

 

 

Net increase from investment operations

 

 

1.01

 

 

1.38

 

 

0.52

 

 

1.89

 

 

 

0.93

 

 

 

 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.41

)

 

(1.52

)

 

(1.33

)

 

(1.49

)

 

 

(0.25

)

 

Net realized gains

 

 

(0.06

)

 

 

 

(0.15

)

 

(0.01

)

 

 

 

 

Tax return of capital

 

 

(0.03

)

 

(0.02

)

 

 

 

 

 

 

 

 

 

 

 

Total dividends and distributions

 

 

(1.50

)

 

(1.54

)

 

(1.48

)

 

(1.50

)

 

 

(0.25

)

 

 

 

 

Capital charges with respect to issuance of Common shares

 

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

 

 

 

Net asset value, end of year

 

$

18.52

 

$

19.01

 

$

19.17

 

$

20.13

 

 

$

19.74

 

 

 

 

 

Market price, end of year

 

$

16.68

 

$

18.85

 

$

17.48

 

$

19.95

 

 

$

18.80

 

 

 

 

 

 

 

 

 

Total Investment Returns3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value

 

 

5.66

%

 

7.85

%

 

2.93

%

 

10.17

%

 

 

4.71

%

 

 

 

 

At market value

 

 

(4.03

)%

 

17.31

%

 

(5.30

)%

 

14.64

%

 

 

(4.77

)%

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.16

%

 

2.20

%

 

1.71

%

 

1.26

%

 

 

0.82

%4

 

Net expenses

 

 

2.14

%

 

2.19

%

 

1.71

%

 

1.25

%

 

 

0.82

%4

 

Net expenses excluding interest expense

 

 

0.83

%

 

0.91

%

 

0.92

%

 

0.90

%

 

 

0.79

%4

 

Net investment income

 

 

7.92

%

 

7.10

%

 

7.42

%

 

7.34

%

 

 

6.87

%4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

696,946

 

$

698,382

 

$

722,668

 

$

730,369

 

 

$

686,655

 

 

Portfolio turnover

 

 

65

%

 

132

%

 

70

%

 

215

%

 

 

127

%

 

Net assets, end of year (000)

 

$

683,109

 

$

699,206

 

$

704,961

 

$

739,225

 

 

$

724,747

 

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

109,287

 

$

220,000

 

$

176,010

 

$

159,416

 

 

$

118,993

 

 

Asset coverage, end of year5

 

$

7,251

 

$

4,178

 

$

5,005

 

$

5,637

 

 

$

7,091

 

 

Reverse repurchase agreements average daily balance (000)

 

$

172,040

 

$

179,366

 

$

186,660

 

$

195,845

 

 

$

26,591

 

 

Reverse repurchase agreements weighted average interest rate

 

 

5.28

%

 

4.96

%

 

3.08

%

 

1.32

%

 

 

0.76

%

 


 

 

1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.

3

Total investment return at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns excludes the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

4

Annualized.

5

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

60



 

 


 

Financial Highlights

BlackRock Preferred and Equity Advantage Trust (BTZ)


 

 

 

 

 

 

 

 

 

For the Period
December 27, 20061
through October 31,
2007

 

 

Per Common Share Operating Performance

 

 

 

 

 

Net asset value, beginning of period

 

 

$

23.88

2

 

 

 

         

Investment operations:

 

 

 

 

 

 

Net investment income

 

 

 

1.25

 

 

Net realized and unrealized gain (loss)

 

 

 

(1.86

)

 

Dividends to preferred shareholders from net investment income

 

 

 

(0.31

)

 

 

 

         

Net increase (decrease) from investment operations

 

 

 

(0.92

)

 

 

 

         

Dividends and distributions to common shareholders from:

 

 

 

 

 

 

Net investment income

 

 

 

(0.93

)

 

Tax return of capital

 

 

 

(0.47

)

 

 

 

         

Total dividends and distributions

 

 

 

(1.40

)

 

 

 

         

Capital charges with respect to issuance of:

 

 

 

 

 

 

Common shares

 

 

 

(0.04

)

 

Preferred shares

 

 

 

(0.13

)

 

 

 

         

Total capital charges

 

 

 

(0.17

)

 

 

 

         

Net asset value, end of period

 

 

$

21.39

 

 

 

 

         

Market price, end of period

 

 

$

18.65

 

 

 

 

         

 

 

 

 

 

 

 

 

Total Investment Returns3

 

 

 

 

 

 

 

At net asset value

 

 

 

(4.42

)%

 

 

 

         

At market value

 

 

 

(20.34

)%

 

 

 

         

 

 

 

 

 

 

 

 

Ratios to Average Net Assets of Common Shareholders4,5

 

 

 

 

 

 

 

Total expenses

 

 

 

1.90

%

 

Net expenses

 

 

 

1.88

%

 

Net expenses excluding interest expense and excise tax

 

 

 

1.04

%

 

Net investment income available to common shareholders

 

 

 

4.86

%

 

Preferred share dividends

 

 

 

1.64

%

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

Average net assets of common shareholders (000)

 

 

$

1,177,716

 

 

Portfolio turnover

 

 

 

35

%

 

Net assets applicable to common shareholders, end of period (000)

 

 

$

1,108,534

 

 

Reverse repurchase agreements outstanding, end of period (000)

 

 

$

88,291

 

 

Asset coverage per preferred share, end of period3

 

 

$

89,737

 

 

Reverse repurchase agreements average daily balance (000)

 

 

$

96,468

 

 

Reverse repurchase agreements weighted average interest rate

 

 

 

5.32

%

 


 

 

1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $1.125 per share sales charge from the initial offering price of $25.00 per share.

3

Total investment return at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns excludes the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

4

Annualized.

5

Ratios are calculated on the basis of income and expenses applicable to both the common and preferred shares relative to the average net assets of the common shareholders.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

61

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Financial Highlights

BlackRock Strategic Bond Trust (BHD)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

$

12.63

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.95

 

 

0.99

 

 

1.10

 

 

1.39

 

 

1.59

 

Net realized and unrealized gain (loss)

 

 

(0.06

)

 

0.18

 

 

(1.13

)

 

0.25

 

 

2.34

 

 

 

 

Net increase (decrease) from investment operations

 

 

0.89

 

 

1.17

 

 

(0.03

)

 

1.64

 

 

3.93

 

 

 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.92

)

 

(0.98

)

 

(1.12

)

 

(1.61

)

 

(1.49

)

Tax return of capital

 

 

 

 

(0.04

)

 

(0.27

)

 

 

 

 

 

 

 

Total dividends and distributions

 

 

(0.92

)

 

(1.02

)

 

(1.39

)

 

(1.61

)

 

(1.49

)

 

 

 

Net asset value, end of year

 

$

13.80

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

 

 

 

Market price, end of year

 

$

11.88

 

$

12.85

 

$

12.45

 

$

16.70

 

$

15.27

 

 

 

 

 

 

 

 

Total Investment Returns1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value

 

 

7.26

%

 

9.58

%

 

(0.49

)%

 

11.35

%

 

32.55

%

 

 

 

At market value

 

 

(0.62

)%

 

11.87

%

 

(18.11

)%

 

21.54

%

 

37.36

%

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.45

%

 

2.25

%

 

2.14

%

 

1.49

%

 

2.01

%

Net expenses

 

 

1.27

%

 

2.00

%

 

1.87

%

 

1.23

%

 

1.71

%

Net expenses excluding interest expense

 

 

0.87

%

 

0.94

%

 

0.92

%

 

0.89

%

 

1.01

%

Net investment income

 

 

6.86

%

 

7.26

%

 

7.58

%

 

9.23

%

 

11.32

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

98,130

 

$

96,003

 

$

101,990

 

$

106,330

 

$

98,498

 

Portfolio turnover

 

 

34

%

 

56

%

 

51

%

 

31

%

 

32

%

Net assets, end of year (000)

 

$

97,410

 

$

97,614

 

$

96,546

 

$

106,433

 

$

106,045

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

413

 

$

14,951

 

$

31,883

 

$

13,188

 

$

45,872

 

Asset coverage, end of year2

 

$

236,789

 

$

7,529

 

$

4,028

 

$

9,071

 

$

3,312

 

Reverse repurchase agreements average daily balance (000)

 

$

7,240

 

$

21,104

 

$

30,406

 

$

27,562

 

$

46,036

 

Reverse repurchase agreements weighted average interest rate

 

 

5.34

%

 

4.81

%

 

3.20

%

 

1.33

%

 

1.51

%


 

 

1

Total investment return at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns excludes the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

62




Notes to Financial Statements

Note 1. Organization & Accounting Policies

BlackRock Broad Investment Grade 2009 Term Trust Inc. (“Broad Investment Grade”), BlackRock Core Bond Trust (“Core Bond”), BlackRock High Yield Trust (“High Yield”), BlackRock Income Opportunity Trust (“Income Opportunity”), BlackRock Income Trust Inc. (“Income Trust”), BlackRock Limited Duration Income Trust (“Limited Duration”) and BlackRock Strategic Bond Trust (“Strategic Bond”) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended (the “1940 Act”). BlackRock Preferred and Equity Advantage Trust (“Preferred and Equity”) is registered as a non-diversified, closed-end management investment company under the 1940 Act. Broad Investment Grade, Income Opportunity and Income Trust are organized as Maryland corporations. Core Bond, High Yield, Limited Duration and Strategic Bond are organized as Delaware statutory trusts. Broad Investment Grade, Core Bond, High Yield, Income Opportunity, Income Trust, Limited Duration, Preferred and Equity and Strategic Bond are individually referred to as a “Trust” and collectively as the “Trusts”.

Preferred and Equity was organized on October 26, 2006 and had no transactions until November 21, 2006 when the Trust sold 4,817 common shares for $115,006 to BlackRock Funding, Inc. Investment operations for Preferred and Equity commenced on December 27, 2006. The Trust incurred organization costs which were deferred from the organization date until the commencement of operations.

On December 3, 1999, Broad Investment Grade transferred a substantial portion of its total assets to a 100% owned registered investment company subsidiary called BCT Subsidiary, Inc. The financial statements and these notes to the financial statements for Broad Investment Grade are consolidated and include the operations of both Broad Investment Grade and its wholly owned subsidiary after elimination of all intercompany transactions and balances.

The following is a summary of significant accounting policies followed by the Trusts.

Investments Valuation: The Trusts value most of their investments on the basis of current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board (the “Board”) of Directors or Trustees, as appropriate (the “Trustees”). In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures based on valuation technology commonly employed in the market for such investments. Effective September 4, 2007, exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade and previously were valued at the last sales price as of the close of options trading on applicable exchanges. Swap quotations are provided by dealers selected under supervision of the Board. A futures contract is valued at the last sale price as of the close of the commodities exchange on which it trades. Short-term securities may be valued at amortized cost.

Bank loans (“loan interests”) are valued in accordance with guidelines established by the Board. Loan interests are valued at the average between the last available bid prices from one or more brokers or dealers as obtained from Loan Pricing Corporation (“LPC”). If no reliable price quotes are available, LPC values such interests through the use of pricing matrixes. If the pricing service does not provide a value for the loan interests, BlackRock Advisors, LLC (the “Manager”), an indirect, wholly owned subsidiary of BlackRock, Inc., will value the loan interests at fair value under methods approved by the Funds’ Board.

Investments or other assets for which such current market quotations are not readily available are valued at fair value (“Fair Value Assets”) as determined in good faith under procedures established by, and under the general supervision and responsibility of, each Trust’s Board. The investment advisor and/or sub-advisor will submit its recommendations regarding the valuation and/or valuation methodologies for Fair Value Assets to a valuation committee. The valuation committee may accept, modify or reject any recommendations. The pricing of all Fair Value Assets shall be subsequently reported to the Board.

When determining the price for a Fair Value Asset, the investment advisor and/or sub-advisor shall seek to determine the price that the Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Manager deems relevant.

In September 2006, Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. At this time, management is evaluating the implication of FAS 157 and its impact on the Trusts’ financial statements, if any, has not been determined.

In addition, in February 2007, Statement of Financial Accounting Standards No. 159, “The Fair Value Option for Financial Assets and Financial Liabilities” (“FAS 159”), was issued and is effective for fiscial years beginning after November 15, 2007. Early adoption is permitted as of the beginning of a fiscal year that begins on or before November 15, 2007, provided the entity also elects to apply the provisions of FAS 157. FAS 159 permits entities to choose to measure many financial instruments and certain other items at fair value that are not currently required to be measured at fair value. FAS 159 also establishes presentation and disclosure requirements designed to facilitate comparisons between entities that choose different measurement attributes for similar types of assets and liabilities. At this time, management is evaluating the implications of FAS 159 and its impact on the Trusts’ financial statements, if any, has not been determind.

Investment Transactions and Investment Income: Investment transactions are recorded on trade date. The cost of investments sold and the related gain or loss is determined by use of the specific identification method, generally first-in, first-out, for both financial reporting and federal income tax purposes. Each Trust records interest income on an accrual basis and amortizes premium and/or accretes discount on securities purchased using the interest method. Dividend income is recorded on the ex-dividend date.

 

 

 

 

 

 

 

 

 

63

ANNUAL REPORT

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Notes to Financial Statements (continued)

Each trust may from time to time purchase in the secondary market certain mortgage pass-through securities packaged or master serviced by affiliates or mortgage-related securities containing loans or mortgages originated by Merrill Lynch & Co., Inc. (“Merrill Lynch”) and The PNC Financial Services Group, Inc. (“PNC”), both principal owners of BlackRock, Inc., or their affiliates, including Midland Loan Services, Inc. It is possible under certain circumstances, that Merrill Lynch Mortgage Investors, Inc. and PNC Mortgage Securities Corp. or their affiliates, including Midland Loan Services, Inc., could have interest that are conflict with the holders of these mortgage-backed securities, and such holders could have rights against Merrill Lynch Mortgage Investors, Inc. and PNC Mortgage Securitites Corp. or their affiliates, including Midland Loan Services, Inc.

Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third-party broker-dealers as determined by and under the direction of the Trusts’ Board. Interest on the value of reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. At the time a Trust enters into a reverse repurchase agreement, it will establish and maintain a segregated account with the lender, containing liquid investment grade securities having a value not less than the repurchase price, including accrued interest of the reverse repurchase agreement.

Dollar Rolls: The Trusts may enter into dollar rolls in which a Trust sells securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. During the roll period the Trusts forgo principal and interest paid on the securities. The Trusts will be compensated by the interest earned on the cash proceeds of the initial sale and/or by the lower repurchase price at the future date.

Loan Payable: High Yield has a $32 million committed credit facility (the “facility”). Under the terms of the facility, the Trust borrows at the London Interbank Offered Rate (“LIBOR”) plus facility and administrative fees. In addition, the Trust pays a liquidity fee on the unused portion of the facility. The Trust may borrow up to 331/3% of its total assets up to the committed amount. In accordance with the terms of the facility, the Trust has pledged its portfolio assets as collateral for the borrowing.

Bank Loans: In the process of buying, selling and holding bank loans, a Trust may receive and/or pay certain fees. These fees are included in the purchase price and may include facility fees, commitment fees, amendment fees, commissions and prepayment penalty fees. These fees are amortized as premium and/or accreted as discount over the term of the loan. When a Trust buys a bank loan it may receive a facility fee and when it sells a bank loan it may pay a facility fee. On an ongoing basis, a Trust may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a bank loan. In certain circumstances, a Trust may receive a prepayment penalty fee upon the prepayment of a bank loan by a borrower. Other fees recieved by a Trust may include covenant waiver fees and covenant modification fees.

A Trust may invest in multiple series or tranches of an issuer. A different series or tranche may have varying terms and carry different associated risks.

Option Writing/Purchasing: When a Trust writes or purchases an option, an amount equal to the premium received or paid by the Trust is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or a loss on investment transactions. A Trust, as writer of an option, has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

Option writing and purchasing may be used by the Trusts as an attempt to manage the duration of positions, or collections of positions, so that changes in interest rates do not adversely affect the targeted duration of the portfolio unexpectedly. Duration is a measure of the price sensitivity of a security or a portfolio to relative changes in interest rates. For instance, a duration of “one” means that a portfolio’s or a security’s price would be expected to change by approximately one percent with a one percent change in interest rates, while a duration of five would imply that the price would move approximately five percent in relation to a one percent change in interest rates.

A call option gives the purchaser of the option the right (but not obligation) to buy, and obligates the writer to sell (when the option is exercised), the underlying position at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying position at the exercise price at any time or at a specified time during the option period. The main risk that is associated with purchasing options is that the option expires without being exercised. In this case, the option expires worthless and the premium paid for the option is considered the loss. The risk associated with writing call options is that a Trust may forgo the opportunity for a profit if the market value of the underlying position increases and the option is exercised. The risk in writing put options is that a Trust may incur a loss if the market value of the underlying position decreases and the option is exercised. In addition, the Trust risks not being able to enter into a closing transaction for the written option as the result of an illiquid market.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Trust may not fully recoup its initial

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

64




Notes to Financial Statements (continued)

investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Trustees.

Inverse Floating Rate Securities: The Trusts may invest in inverse floating rate securities that pay interest at a rate that varies inversely with interest rates. As interest rates rise, inverse floating rates decline. The market value of such securities is more volatile than comparable fixed rate securities.

Credit Default Swaps: Credit default swaps are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place. Risks arise from the possible inability of the counterparties to meet the terms of their contracts.

During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Total Return Swaps: Total return swaps are agreements in which one party commits to pay interest in exchange for a market-linked return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trust will receive a payment from or make a payment to the counterparty.

During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Interest Rate Swaps: In an interest rate swap, one investor pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, an investor may pay a fixed rate and receive a floating rate. Interest rate swaps are efficient as asset/liability management tools. In more complex swaps, the notional principal amount may decline (or amortize) over time.

During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Swap Options: Swap options are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. Premiums received or paid from writing or purchasing options are recorded as liabilities or assets and are subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commission, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or loss on investment transactions.

The main risk that is associated with purchasing swap options is that the swap option expires without being exercised. In this case, the option expires worthless and the premium paid for the swap option is considered the loss. The main risk that is associated with the writing of a swap option is the market risk of an unfavorable change in the value of the interest rate swap underlying the written swap option.

Swap options may be used by the Trusts to manage the duration of the Trusts’ portfolios in a manner similar to more generic options described above.

Interest Rate Floors: Interest rate floors are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the deficiency, if any, of a floating rate under a specified fixed or floating rate.

Interest rate floors are used by the Trusts to both manage the duration of the portfolios and their exposure to changes in short-term interest rates. Selling interest rate floors reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The Trusts’ leverage provides extra income in a period of falling rates. Selling floors reduces some of that extra income by partially monetizing it as an up front payment which the Trusts receive.

The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate floor. However, the Trusts do not anticipate non-performance by any counterparty.

Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate floor. The asset or liability is subsequently adjusted to the current market value of the interest rate floor purchased or sold. Changes in the value of the interest rate floor are recognized as unrealized gains and losses.

Financial Futures Contracts: A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin pay-

 

 

 

 

 

 

 

 

 

65

ANNUAL REPORT

OCTOBER 31, 2007

 




Notes to Financial Statements (continued)

ments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Trust records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract.

Financial futures contracts, when used by the Trusts, help in maintaining a targeted duration. Futures contracts can be sold to effectively shorten an otherwise longer duration portfolio. In the same sense, futures contracts can be purchased to lengthen a portfolio that is shorter than its duration target. Thus, by buying or selling futures contracts, the Trusts attempt to manage the duration of positions so that changes in interest rates do not change the duration of the portfolio unexpectedly.

Forward Currency Contracts: The Trusts enter into forward currency contracts primarily to facilitate settlement of purchases and sales of foreign securities and to help manage the overall exposure to foreign currency. A forward contract is a commitment to purchase or sell a foreign currency at a future date (usually the security transaction settlement date) at a negotiated forward rate. In the event that a security fails to settle within the normal settlement period, the forward currency contract is renegotiated at a new rate. The gain or loss arising from the difference between the settlement value of the original and renegotiated forward contracts is isolated and is included in net realized gains (losses) from foreign currency transactions. Risks may arise as a result of the potential inability of the counterparties to meet the terms of their contract.

Forward currency contracts, when used by the Trusts, help to manage the overall exposure to the foreign currency backing some of the investments held by the Trusts. Forward currency contracts are not meant to be used to eliminate all of the exposure to the foreign currency, rather they allow the Trusts to limit their exposure to foreign currency within a narrow band to the objectives of the Trusts.

Foreign Currency Translation: Foreign currency amounts are translated into United States dollars on the following basis:

(i)        market value of investment securities, assets and liabilities at the current rate of exchange.

(ii)       purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.

For fixed income securities, the Trusts isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at period end. Similarly, the Trusts isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period.

Net realized and unrealized foreign exchange gains and losses includes realized foreign exchange gains and losses from sales and maturities of foreign portfolio securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of interest and discount recorded on the Trusts’ books and the U.S. dollar equivalent amounts actually received or paid, and changes in unrealized foreign exchange gains and losses in the value of portfolio securities and other assets and liabilities arising as a result of changes in the exchange rate.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

Short Sales/Borrowed Bonds: The Trusts engage in short selling of securities as a method of managing potential price declines in similar securities owned by the Trust. When a Trust engages in short selling, it may enter into a borrowed bond agreement to borrow the security sold short and deliver it to the broker-dealer with which it engaged in the short sale. A gain, limited to the price at which a Trust sold the security short or pursuant to the borrowed bond agreement, or a loss, unlimited as to dollar amount, will be recognized upon the termination of a short sale or borrowed bond agreement if the market price is greater or less than the proceeds originally received.

Borrowed Bond Agreements: In a borrowed bond agreement, each Trust borrows securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Borrowed bond agreements are primarily entered into to settle short positions. In a borrowed bond agreement, the Trust’s prime broker or third party broker takes possession of cash as collateral. The Trusts receive interest income on the cash collateral relating to the borrowed bond agreement and are obligated to pay the prime broker or third party broker payments received on such borrowed securities. The cash collateral approximates the principal amount of the bonds borrowed transaction. To the extent that the bonds borrowed transactions exceed one business day, the value of the collateral with any counter-party is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Trust may be delayed or limited.

Trust Preferred Stock: These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for Federal income tax purposes. These securities can have a rating that is slightly below that of the issuing company’s senior debt securities.

TBA Purchase Commitments: The Trusts may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

66




Notes to Financial Statements (continued)

declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Trusts’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described under “Investments Valuation”.

Mortgage Dollar Rolls: The Trusts may enter into mortgage dollar rolls (principally using TBA commitments) in which the Trusts sell mortgage securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed upon price on a fixed date. The Trusts receive compensation, in either “fee” or “drop”, as consideration for entering into the commitment to repurchase. A Trust must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that a Trust is required to purchase may decline below the agreed upon repurchase price of those securities. In a “fee” roll, the compensation received is recorded as deferred income and amortized to income over the roll period. In a “drop” roll, the compensation is paid via a lower price for the security upon its repurchase. The counterparty receives all principal and interest payments, including prepayments, made in respect of a security subject to such a contract while it is the holder. Mortgage dollar rolls may be renewed with a new purchase and repurchase price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract. A Trust engages in dollar rolls for the purpose of enhancing its yield, principally by earning a negotiated fee.

Financing Transactions: The Trusts may enter into financing transactions consisting of sales by a Trust of securities together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Trust sells the security becomes insolvent, a Trust’s right to repurchase the security may be restricted. The value of the security may change over the term of the financing transaction.

Segregation: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (the “Commission”) require that each Trust segregate assets in connection with certain investments (e.g., when issued securities, reverse repurchase agreements, swaps or futures contracts), each Trust will, consistent with certain interpretive letters issued by the SEC, designate on its books and records cash or other liquid debt securities having a market value at least equal to the amount that would otherwise be required to be physically segregated.

Federal Income Taxes: It is each Trust’s intention to continue to be treated as a regulated investment company under the Internal Revenue Code and to distribute sufficient amounts of their taxable income to shareholders. Therefore, no federal income tax provisions have been recorded.

In July 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes — an interpretation of FAS Statement No. 109.” FIN 48 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity, including mutual funds, before being measured and recognized in the financial statements. Adoption of FIN 48 is required for the last net asset value calculation in the first required financial statement reporting period for fiscal years beginning after December 15, 2006. The impact on the Trusts’, excluding Preferred and Equity, financial statements, if any, from FIN 48 is currently being assessed.

Effective October 31, 2007, Preferred and Equity implemented Financial Accounting Standards Board (“FASB”) Interpretation No. 48, “Accounting for Uncertainty in Income Taxes — an interpretation of FASB Statement No. 109” (“FIN 48”). FIN 48 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity, including investment companies, before being measured and recognized in the financial statements. Management has evaluated the application of FIN 48 to Preferred and Equity and has determined that the adoption of FIN 48 does not have a material impact on the financial statements. Preferred and Equity will file its first Federal and state tax returns in 2008 for the period ended October 31, 2007.

Dividends and Distributions: Each Trust declares and pays dividends and distributions to common shareholders monthly from net investment income, net realized short-term capital gains and other sources, if necessary. Net long-term capital gains, if any, in excess of loss carryforwards may be distributed in accordance with the 1940 Act. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized captial gains, a portion of the total distribution may be treated as a tax-free return of capital. Dividends and distributions are recorded on the ex-dividend date. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. Dividends and distributions to preferred shareholders are accrued and determined as described in Note 7.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities including investment valuations at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates and such differences may be material.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, non-interested Trustees (“Independent Trustees”) defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of the other BlackRock Closed-End Funds selected by the Independent Trustees. These amounts are shown on the Statement of Assets and Liabilities as “Investments in Affiliates”. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in such Trusts.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Trust.

 

 

 

 

 

 

 

 

 

67

ANNUAL REPORT

OCTOBER 31, 2007

 




Notes to Financial Statements (continued)

Each Trust may, however, elect to invest in common shares of those Trusts selected by the Independent Trustees in order to match its deferred compensation obligations.

Other: Expenses that are directly related to one of the Trusts are charged directly to that Trust. Other operating expenses are generally prorated to the Trusts on the basis of relative net assets of all the BlackRock Closed-End Funds.

Note 2. Agreements and Other Transactions with Affiliates and Related Parties

Each Trust has an Investment Management Agreement with the Manager. BlackRock Financial Management, Inc. (“BFM”), a wholly owned subsidiary of BlackRock, Inc., serves as sub-advisor to Core Bond, Limited Duration, Preferred and Equity and Strategic Bond. BlackRock Investment Management, LLC (“BIM”), a wholly owned subsidiary of BlackRock, Inc., also serves as sub-advisor to Preferred and Equity. Merrill Lynch and PNC are principal owners of BlackRock, Inc.

Broad Investment Grade, High Yield, Income Opportunity and Income Trust each have an Administration Agreement with the Advisor. The Investment Management Agreement for Core Bond, Limited Duration, Preferred and Equity and Strategic Bond covers both investment advisory and administration services.

Each Trust’s investment advisory fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.55% for Broad Investment Grade, 0.60% for Income Opportunity and 0.65% for Income Trust, of each Trust’s average net assets and 0.55% for Core Bond and Limited Duration, 0.65% for Preferred and Equity, 1.05% for High Yield and 0.75% for Strategic Bond, of each Trust’s average managed assets. “Net assets” means the total assets of the Trust minus the sum of accrued liabilities. “Managed assets” means the total assets of a Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). The Advisor has voluntarily agreed to waive a portion of the investment advisory fees or other expenses on Strategic Bond as a percentage of its average weekly managed assets as follows: 0.20% for the first five years of the Trust’s operations from 2002 through February 28, 2007, 0.15% through February 28, 2008, 0.10% through February 28, 2009 and 0.05% through February 28, 2010.

The Advisor pays BFM fees for its sub-advisory services.

The administration fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.15% for Broad Investment Grade, 0.10% for Income Opportunity, and 0.15% for Income Trust, of each Trust’s average net assets and 0.10% for High Yield of the Trust’s average managed assets.

Pursuant to the advisory agreements, the Advisor provides continuous supervision of the investment portfolio and pays the compensation of officers of each Trust who are affiliated persons of the Advisor, as well as occupancy and certain clerical and accounting costs of each Trust. Each Trust bears all other costs and expenses, which include reimbursements to the Advisor for cost of employees that provide pricing and secondary market support to each Trust. These expenses are generally pro-rated to the Trusts on the basis of relative net assets of all the BlackRock Closed-End Funds. For the year ended October 31, 2007, the Trusts reimbursed the Advisor the following amounts, which are included in miscellaneous expenses in the Statements of Operations:

 

 

 

 

 

         

Trust

 

 

Amount

 

         

Broad Investment Grade

 

$

2,929

 

Core Bond

 

 

22,028

 

High Yield

 

 

2,530

 

Income Opportunity

 

 

22,733

 

Income Trust

 

 

26,282

 

Limited Duration

 

 

40,812

 

Preferred and Equity

 

 

25,990

 

Strategic Bond

 

 

5,617

 

         

Pursuant to the terms of their custody agreements, each Trust may receive earnings credits from its custodian for positive cash balances maintained, which are used to offset custody fees. These credits are shown on the Statements of Operations as “fees paid indirectly.”

During the year ended October 31, 2007, Merrill Lynch, through its affiliated broker dealer Merrill Lynch, Pierce, Fenner & Smith, Inc., earned commissions on transactions of securities as follows:

 

 

 

 

 

         

Trust

 

 

Commission
Amount

 

         

Core Bond

 

$

104,454

 

High Yield

 

 

8

 

Income Opportunity

 

 

110,446

 

Income Trust

 

 

66,166

 

Limited Duration

 

 

1,603

 

Preferred and Equity

 

 

757,239

 

Strategic Bond

 

 

28

 

         

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

68




Notes to Financial Statements (continued)

Investments in companies considered to be an affiliate of the Trusts, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                             

Trust

 

 

Portfolio
Company

 

Beginning
Principal
Amount

 

Purchases

 

Sales

 

Ending
Principal
Amount

 

Interest
Income

 

Market
Value of
Affiliates
at October
31, 2007

 

                                 

Core Bond

 

 

Merrill Lynch

 

$

1,509,548

 

$

 

$

1,509,548

 

$

 

$

45,271

 

$

 

 

 

 

Mortgage

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investors, Inc.,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ser. HE2,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A2A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

 

 

 

925,000

 

 

 

 

925,000

 

 

7,589

 

 

933,463

 

 

 

 

Mortgage Trust,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ser. C1,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class AM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income

 

 

Merrill Lynch

 

 

1,651,471

 

 

 

 

1,651,471

 

 

 

 

49,245

 

 

 

Opportunity

 

 

Mortgage

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investors, Inc.,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ser. HE2,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A2A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Merrill Projects,

 

 

152,326

 

 

 

 

102,166

 

 

50,160

 

 

10,465

 

 

50,662

 

 

 

 

Ser. 29

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Merrill Projects,

 

 

51,398

 

 

 

 

2,145

 

 

49,253

 

 

3,746

 

 

49,745

 

 

 

 

Ser. 42

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income

 

 

Merrill Projects,

 

 

51,249

 

 

 

 

1,726

 

 

49,523

 

 

3,731

 

 

50,019

 

Trust

 

 

Ser. 54

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                             

Certain officers and/or directors of the Trusts are officers and/or directors of BlackRock, Inc. or its affiliates.

Note 3. Portfolio Securities

Purchases and sales of investment securities, other than short-term investments, dollar rolls and U.S. government securities, for the year ended October 31, 2007 were as follows:

 

 

 

 

 

 

 

 

               

Trust

 

 

Purchases

 

 

Sales

 

               

Broad Investment Grade

 

$

3,771,896

 

$

4,504,593

 

Core Bond

 

 

722,652,874

 

 

440,021,114

 

High Yield

 

 

45,730,396

 

 

53,761,581

 

Income Opportunity

 

 

1,000,463,875

 

 

694,999,046

 

Income Trust

 

 

1,181,095,299

 

 

1,209,086,090

 

Limited Duration

 

 

654,114,184

 

 

991,030,609

 

Preferred and Equity

 

 

2,424,297,184

 

 

773,130,150

 

Strategic Bond

 

 

34,511,252

 

 

56,088,950

 

               

Purchases and sales of U.S. government securities for the year ended October 31, 2007, aggregated as follows:

 

 

 

 

 

 

 

 

               

Trust

 

 

Purchases

 

 

Sales

 

               

Broad Investment Grade

 

$

 

$

5,655,469

 

Core Bond

 

 

188,022,696

 

 

260,028,377

 

Income Opportunity

 

 

213,262,623

 

 

298,489,442

 

Income Trust

 

 

132,824,013

 

 

163,361,268

 

Limited Duration

 

 

 

 

10,000,000

 

Preferred and Equity

 

 

479,869,532

 

 

487,606,224

 

Strategic Bond

 

 

172,822

 

 

933,000

 

               

 

 

 

 

 

 

 

 

 

69

ANNUAL REPORT

OCTOBER 31, 2007

 




Notes to Financial Statements (continued)

Details of open forward currency contracts at October 31, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                     

Trust

 

Foreign
Currency

 

 

Settlement
Date

 

Contract to
Receive

 

Value at
Settlement
Date

 

Value at
Unrealized
October 31, 2007

 

Appreciation
(Depreciation)

 

                                     

Core

 

Bought:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bond

 

Japanese

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Yen

 

 

1/15/08

 

 

$

793,358,661

 

 

 

$

6,876,169

 

 

 

$

6,937,915

 

 

 

$

61,746

 

 

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

 

1/23/08

 

 

 

1,233,067

 

 

 

 

1,747,256

 

 

 

 

1,787,871

 

 

 

 

(40,615

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

21,131

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

Limited

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Duration

 

Euro

 

 

1/23/08

 

 

$

20,975,550

 

 

 

$

29,722,354

 

 

 

$

30,413,254

 

 

 

$

(690,900

)

 

 

 

British

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Pounds

 

 

1/23/08

 

 

 

5,195,000

 

 

 

 

10,540,239

 

 

 

 

10,771,890

 

 

 

 

(231,651

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(922,551

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

Income Trust held interest rate floors at October 31, 2007. Under the agreement, Income Trust pays the excess, if any, of a fixed rate over a floating rate. Income Trust received a transaction fee for the floor. Transaction fees are amortized through the termination of the agreement. Details of the interest rate floor held at October 31, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                                       

 

Notional
Amount
(000)

 

Variable
Rate

 

Counter Party

 

Floating Rate

 

Effective
Date

 

Termination
Date

 

Amortized
Cost

 

Value at
October 31, 2007

 

Unrealized
Appreciation
(Depreciation)

 

                                               

 

$

145,000

 

4.80

%

 

Goldman Sachs

 

3-month LIBOR

 

12/25/05

 

03/25/11

 

$

(1,603,115

)

 

$

(953,577

)

 

 

$

649,538

 

 

 

 

96,000

 

4.95

 

 

JPMorgan

 

3-month LIBOR

 

03/27/06

 

03/25/11

 

 

(1,243,216

)

 

 

(443,318

)

 

 

 

799,898

 

 

 

 

70,000

 

5.50

 

 

Union Bank of Switzerland

 

3-month LIBOR

 

12/15/06

 

03/15/10

 

 

(916,771

)

 

 

(1,244,600

)

 

 

 

(327,829

)

 

 

 

39,000

 

5.50

 

 

Citibank

 

3-month LIBOR

 

06/15/07

 

09/15/11

 

 

(716,795

)

 

 

(1,042,470

)

 

 

 

(325,675

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(4,479,897

)

 

$

(3,683,965

)

 

 

$

795,932

 

 

                                                       

Details of open interest rate swaps at October 31, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                         

Trust

 

Notional
Amount
(000)

 

Fixed Rate

 

Counter Party

 

Floating Rate

 

Effective Date

 

Termination Date

 

Unrealized
Appreciation
(Depreciation)

 

                                     

Core Bond

 

$

41,200

 

4.510

%(a)

 

Citibank

 

3-month LIBOR

 

10/29/04

 

10/29/14

 

 

$

1,063,372

 

 

 

 

 

2,800

 

4.500

(a)

 

JPMorgan

 

3-month LIBOR

 

05/26/05

 

05/26/15

 

 

 

62,565

 

 

 

 

 

4,800

 

4.372

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

06/30/05

 

06/30/15

 

 

 

(139,248

)

 

 

 

 

6,200

 

4.725

(b)

 

Morgan Stanley

 

3-month LIBOR

 

08/02/05

 

08/02/15

 

 

 

(121,184

)

 

 

 

 

4,600

 

5.000

(b)

 

Deutsche Bank

 

3-month LIBOR

 

11/07/05

 

11/07/10

 

 

 

98,394

 

 

 

 

 

5,000

 

4.870

(b)

 

Goldman Sachs

 

3-month LIBOR

 

01/25/06

 

01/25/16

 

 

 

5,336

 

 

 

 

 

4,800

 

5.723

(b)

 

JPMorgan

 

3-month LIBOR

 

07/14/06

 

07/14/16

 

 

 

296,976

 

 

 

 

 

25,100

 

5.496

(b)

 

Bank of America

 

3-month LIBOR

 

07/28/06

 

07/28/11

 

 

 

1,016,550

 

 

 

 

 

3,000

 

5.025

(b)

 

Deutsche Bank

 

3-month LIBOR

 

11/21/06

 

11/21/11

 

 

 

66,000

 

 

 

 

 

2,200

 

4.950

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

11/29/06

 

11/29/11

 

 

 

41,734

 

 

 

 

 

8,300

 

5.002

(a)

 

Union Bank of Switzerland

 

3-month LIBOR

 

01/08/07

 

01/08/12

 

 

 

(178,865

)

 

 

 

 

8,545

 

5.411

(b)

 

JPMorgan

 

3-month LIBOR

 

02/05/07

 

08/15/22

 

 

 

147,914

 

 

 

 

 

11,300

 

5.295

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

02/08/07

 

02/08/17

 

 

 

187,806

 

 

 

 

 

13,500

 

4.922

(a)

 

Lehman Brothers

 

3-month LIBOR

 

03/22/07

 

03/22/11

 

 

 

(98,145

)

 

 

 

 

700

 

5.250

(b)

 

Goldman Sachs

 

3-month LIBOR

 

04/12/07

 

04/12/17

 

 

 

8,291

 

 

 

 

 

1,400

 

5.411

(b)

 

Goldman Sachs

 

3-month LIBOR

 

04/30/07

 

04/30/27

 

 

 

18,746

 

 

 

 

 

1,600

 

5.545

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/07/07

 

06/07/17

 

 

 

(77,360

)

 

 

 

 

1,200

 

5.740

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/13/07

 

06/13/17

 

 

 

(76,656

)

 

 

 

 

900

 

5.850

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/14/07

 

06/14/17

 

 

 

(65,367

)

 

 

 

 

4,600

 

5.683

(a)

 

Lehman Brothers

 

3-month LIBOR

 

06/29/07

 

06/29/17

 

 

 

(278,070

)

 

 

 

 

6,500

 

5.643

(a)

 

Citibank

 

3-month LIBOR

 

07/05/07

 

07/05/17

 

 

 

(369,720

)

 

 

 

 

12,300

 

5.775

(a)

 

Deutsche Bank

 

3-month LIBOR

 

07/09/07

 

07/09/17

 

 

 

(828,528

)

 

 

 

 

42,000

 

5.589

(a)

 

Goldman Sachs

 

3-month LIBOR

 

07/16/07

 

07/16/12

 

 

 

(1,940,683

)

 

 

 

 

19,500

 

5.105

(b)

 

Goldman Sachs

 

3-month LIBOR

 

08/20/07

 

08/20/12

 

 

 

226,522

 

 

 

 

 

82,500

 

5.076

(b)

 

Citibank

 

3-month LIBOR

 

08/21/07

 

08/21/12

 

 

 

884,400

 

 

 

 

 

49,300

 

5.057

(b)

 

Bank of America

 

3-month LIBOR

 

08/22/07

 

08/22/12

 

 

 

485,112

 

 

 

 

 

27,800

 

4.771

(b)

 

Lehman Brothers

 

3-month LIBOR

 

08/23/07

 

08/23/09

 

 

 

42,812

 

 

 

 

 

40,200

 

4.880

(b)

 

Lehman Brothers

 

3-month LIBOR

 

08/24/07

 

08/24/09

 

 

 

143,514

 

 

 

 

 

40,000

 

5.076

(b)

 

Morgan Stanley

 

3-month LIBOR

 

08/28/07

 

08/28/12

 

 

 

416,828

 

 

 

 

 

30,000

 

4.903

(b)

 

Barclays

 

3-month LIBOR

 

09/07/07

 

09/07/12

 

 

 

54,879

 

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

70




Notes to Financial Statements (continued)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                         

Trust

 

Notional
Amount
(000)

 

Fixed Rate

 

Counter Party

 

Floating Rate

 

Effective Date

 

Termination Date

 

Unrealized
Appreciation
(Depreciation)

 

                                     

Core Bond

 

$

12,500

 

5.040

%(a)

 

Deutsche Bank

 

3-month LIBOR

 

09/12/07

 

09/12/17

 

 

$

67,500

 

 

(cont’d)

 

 

50,000

 

4.624

(b)

 

Credit Suisse International

 

3-month LIBOR

 

09/20/07

 

09/20/09

 

 

 

(52,500

)

 

 

 

 

8,000

 

5.365

%(a)

 

Bank of America

 

3-month LIBOR

 

09/21/07

 

09/21/27

 

 

 

(55,120

)

 

 

 

 

10,900

 

5.155

(a)

 

Citibank

 

3-month LIBOR

 

09/21/07

 

09/21/17

 

 

 

(51,666

)

 

 

 

 

5,100

 

5.261

(a)

 

Morgan Stanley

 

3-month LIBOR

 

09/28/07

 

09/28/17

 

 

 

(61,132

)

 

 

 

 

13,800

 

5.308

(a)

 

Barclays

 

3-month LIBOR

 

10/15/07

 

10/15/17

 

 

 

(226,458

)

 

 

 

 

5,400

 

5.307

(a)

 

Deutsche Bank

 

3-month LIBOR

 

10/18/07

 

10/18/17

 

 

 

(88,884

)

 

 

 

 

9,400

 

4.856

(b)

 

Deutsche Bank

 

3-month LIBOR

 

10/19/07

 

10/19/12

 

 

 

14,194

 

 

 

 

 

9,500

 

5.005

(b)

 

JPMorgan

 

3-month LIBOR

 

10/22/07

 

10/22/14

 

 

 

16,569

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

656,428

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income

 

 

27,500

 

4.399

%(a)

 

Deutsche Bank

 

3-month LIBOR

 

10/25/04

 

10/25/14

 

 

 

896,225

 

 

Opportunity

 

 

13,800

 

4.510

(a)

 

Citibank

 

3-month LIBOR

 

10/29/04

 

10/29/14

 

 

 

356,178

 

 

Trust

 

 

3,000

 

4.500

(a)

 

JPMorgan

 

3-month LIBOR

 

05/26/05

 

05/26/15

 

 

 

67,034

 

 

 

 

 

5,200

 

4.372

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

06/30/05

 

06/30/15

 

 

 

(150,852

)

 

 

 

 

8,000

 

4.670

(b)

 

Goldman Sachs

 

3-month LIBOR

 

09/20/05

 

09/20/15

 

 

 

(191,440

)

 

 

 

 

5,000

 

5.000

(b)

 

Deutsche Bank

 

3-month LIBOR

 

11/07/05

 

11/07/10

 

 

 

106,950

 

 

 

 

 

5,200

 

5.723

(b)

 

JPMorgan

 

3-month LIBOR

 

07/14/06

 

07/14/16

 

 

 

321,724

 

 

 

 

 

27,900

 

5.496

(b)

 

Bank of America

 

3-month LIBOR

 

07/28/06

 

07/28/11

 

 

 

1,129,608

 

 

 

 

 

3,200

 

5.025

(b)

 

Deutsche Bank

 

3-month LIBOR

 

11/21/06

 

11/21/11

 

 

 

70,400

 

 

 

 

 

3,100

 

4.950

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

11/29/06

 

11/29/11

 

 

 

58,807

 

 

 

 

 

10,000

 

4.897

(b)

 

JPMorgan

 

3-month LIBOR

 

12/12/06

 

12/12/11

 

 

 

163,300

 

 

 

 

 

12,000

 

5.002

(a)

 

Union Bank of Switzerland

 

3-month LIBOR

 

01/08/07

 

01/08/12

 

 

 

(258,600

)

 

 

 

 

12,000

 

5.295

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

02/08/07

 

02/08/17

 

 

 

199,440

 

 

 

 

 

14,800

 

4.922

(a)

 

Lehman Brothers

 

3-month LIBOR

 

03/22/07

 

03/22/11

 

 

 

(107,596

)

 

 

 

 

5,000

 

5.071

(a)

 

Union Bank of Switzerland

 

3-month LIBOR

 

03/26/07

 

03/26/17

 

 

 

950

 

 

 

 

 

800

 

5.250

(b)

 

Goldman Sachs

 

3-month LIBOR

 

04/12/07

 

04/12/17

 

 

 

9,475

 

 

 

 

 

1,550

 

5.411

(b)

 

Goldman Sachs

 

3-month LIBOR

 

04/30/07

 

04/30/27

 

 

 

20,755

 

 

 

 

 

1,800

 

5.545

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/07/07

 

06/07/17

 

 

 

(87,030

)

 

 

 

 

1,400

 

5.740

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/13/07

 

06/13/17

 

 

 

(89,432

)

 

 

 

 

1,000

 

5.850

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/14/07

 

06/14/17

 

 

 

(72,630

)

 

 

 

 

5,100

 

5.683

(a)

 

Lehman Brothers

 

3-month LIBOR

 

06/29/07

 

06/29/17

 

 

 

(308,295

)

 

 

 

 

7,200

 

5.643

(a)

 

Citibank

 

3-month LIBOR

 

07/05/07

 

07/05/17

 

 

 

(409,536

)

 

 

 

 

13,600

 

5.775

(a)

 

Deutsche Bank

 

3-month LIBOR

 

07/09/07

 

07/09/17

 

 

 

(916,096

)

 

 

 

 

46,800

 

5.589

(a)

 

Goldman Sachs

 

3-month LIBOR

 

07/16/07

 

07/16/12

 

 

 

(2,184,663

)

 

 

 

 

9,405

 

5.411

(b)

 

JPMorgan

 

3-month LIBOR

 

08/15/07

 

08/15/22

 

 

 

162,801

 

 

 

 

 

21,600

 

5.105

(b)

 

Goldman Sachs

 

3-month LIBOR

 

08/20/07

 

08/20/12

 

 

 

250,916

 

 

 

 

 

91,000

 

5.076

(b)

 

Citibank

 

3-month LIBOR

 

08/21/07

 

08/21/12

 

 

 

975,520

 

 

 

 

 

54,600

 

5.057

(b)

 

Bank of America

 

3-month LIBOR

 

08/22/07

 

08/22/12

 

 

 

537,264

 

 

 

 

 

30,700

 

4.771

(b)

 

Lehman Brothers

 

3-month LIBOR

 

08/23/07

 

08/23/09

 

 

 

47,278

 

 

 

 

 

44,500

 

4.880

(b)

 

Lehman Brothers

 

3-month LIBOR

 

08/24/07

 

08/24/09

 

 

 

158,865

 

 

 

 

 

45,000

 

5.076

(b)

 

Morgan Stanley

 

3-month LIBOR

 

08/28/07

 

08/28/12

 

 

 

468,932

 

 

 

 

 

35,000

 

4.903

(b)

 

Barclays

 

3-month LIBOR

 

09/07/07

 

09/07/12

 

 

 

64,026

 

 

 

 

 

12,500

 

5.040

(a)

 

Deutsche Bank

 

3-month LIBOR

 

09/12/07

 

09/12/17

 

 

 

67,500

 

 

 

 

 

50,000

 

4.624

(b)

 

Credit Suisse International

 

3-month LIBOR

 

09/20/07

 

09/20/09

 

 

 

(52,500

)

 

 

 

 

8,900

 

5.365

(a)

 

Bank of America

 

3-month LIBOR

 

09/21/07

 

09/21/27

 

 

 

(61,321

)

 

 

 

 

12,000

 

5.155

(a)

 

Citibank

 

3-month LIBOR

 

09/21/07

 

09/21/17

 

 

 

(56,880

)

 

 

 

 

5,700

 

5.261

(a)

 

Morgan Stanley

 

3-month LIBOR

 

09/28/07

 

09/28/17

 

 

 

(68,324

)

 

 

 

 

15,300

 

5.308

(a)

 

Barclays

 

3-month LIBOR

 

10/15/07

 

10/15/17

 

 

 

(251,073

)

 

 

 

 

6,000

 

5.307

(a)

 

Deutsche Bank

 

3-month LIBOR

 

10/18/07

 

10/18/17

 

 

 

(98,760

)

 

 

 

 

10,300

 

4.856

(b)

 

Deutsche Bank

 

3-month LIBOR

 

10/19/07

 

10/19/12

 

 

 

15,553

 

 

 

 

 

10,500

 

5.005

(b)

 

JPMorgan

 

3-month LIBOR

 

10/22/07

 

10/22/14

 

 

 

18,313

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

802,786

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Trust

 

 

19,000

 

4.889

%(a)

 

Goldman Sachs

 

3-month LIBOR

 

04/22/04

 

04/22/14

 

 

 

51,374

 

 

 

 

 

12,500

 

4.399

% (a)

 

Deutsche Bank

 

3-month LIBOR

 

10/25/04

 

10/25/14

 

 

 

407,375

 

 

 

 

 

25,000

 

4.883

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

03/21/05

 

03/21/15

 

 

 

(151,000

)

 

 

 

 

16,000

 

4.925

(a)

 

Deutsche Bank

 

3-month LIBOR

 

03/22/05

 

03/22/15

 

 

 

53,760

 

 

 

 

 

3,000

 

4.500

(a)

 

JPMorgan

 

3-month LIBOR

 

05/26/05

 

05/26/15

 

 

 

67,034

 

 

 

 

 

4,500

 

4.442

(b)

 

Morgan Stanley

 

3-month LIBOR

 

07/11/05

 

07/11/15

 

 

 

(114,160

)

 

 

 

 

12,000

 

4.320

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

09/08/05

 

09/08/10

 

 

 

(132,240

)

 

 

 

 

2,800

 

5.940

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

12/07/05

 

12/07/15

 

 

 

213,220

 

 

 

 

 

5,500

 

4.870

(b)

 

Goldman Sachs

 

3-month LIBOR

 

01/25/06

 

01/25/16

 

 

 

5,869

 

 

 

 

 

5,400

 

5.723

(b)

 

JPMorgan

 

3-month LIBOR

 

07/14/06

 

07/14/16

 

 

 

334,098

 

 

 

 

 

3,000

 

5.025

(b)

 

Deutsche Bank

 

3-month LIBOR

 

11/21/06

 

11/21/11

 

 

 

66,000

 

 


 

 

 

 

 

 

 

 

71

ANNUAL REPORT

OCTOBER 31, 2007

 




Notes to Financial Statements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                         

Trust

 

Notional
Amount
(000)

 

Fixed Rate

 

Counter Party

 

Floating Rate

 

Effective Date

 

Termination Date

 

Unrealized
Appreciation
(Depreciation)

 

                                     

Income Trust

 

$

4,400

 

4.950

%(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

11/29/06

 

11/29/11

 

 

$

83,468

 

 

(cont’d)

 

 

11,900

 

5.295

(b)

 

Union Bank of Switzerland

 

3-month LIBOR

 

02/08/07

 

02/08/17

 

 

 

197,778

 

 

 

 

 

800

 

5.250

(b)

 

Goldman Sachs

 

3-month LIBOR

 

04/12/07

 

04/12/17

 

 

 

9,475

 

 

 

 

 

64,000

 

5.393

(b)

 

Credit Suisse International

 

3-month LIBOR

 

06/05/07

 

06/05/12

 

 

 

2,403,840

 

 

 

 

 

1,800

 

5.545

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/07/07

 

06/07/17

 

 

 

(87,030

)

 

 

 

 

1,400

 

5.740

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/13/07

 

06/13/17

 

 

 

(89,432

)

 

 

 

 

1,000

 

5.850

(a)

 

Deutsche Bank

 

3-month LIBOR

 

06/14/07

 

06/14/17

 

 

 

(72,630

)

 

 

 

 

5,200

 

5.683

(a)

 

Lehman Brothers

 

3-month LIBOR

 

06/29/07

 

06/29/17

 

 

 

(314,340

)

 

 

 

 

200,000

 

5.383

(b)

 

Credit Suisse International

 

3-month LIBOR

 

07/16/07

 

07/16/09

 

 

 

5,234,000

 

 

 

 

 

187,370

 

5.376

(b)

 

Bank of America

 

3-month LIBOR

 

07/20/07

 

07/20/09

 

 

 

4,950,315

 

 

 

 

 

165,647

 

5.505

(b)

 

Bank of America

 

3-month LIBOR

 

08/03/07

 

08/03/17

 

 

 

5,401,736

 

 

 

 

 

9,565

 

5.411

(b)

 

JPMorgan

 

3-month LIBOR

 

02/05/07

 

08/15/22

 

 

 

165,570

 

 

 

 

 

18,800

 

4.778

(b)

 

Citibank

 

3-month LIBOR

 

08/23/07

 

08/23/09

 

 

 

31,396

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

18,715,476

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 


 

 

(a)

Trust pays fixed interest rate and receives floating rate.

(b)

Trust pays floating interest rate and receives fixed rate.

Details of open credit default swaps at October 31, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                         

Trust

 

Notional
(000)

 

Fixed Rate

 

Counter Party

 

Effective Date

 

Termination Date

 

Unrealized
(Depreciation)

 

                                         

Core Bond

 

 

$

340

(a)

 

0.950

%

 

Deutsche Bank

 

08/02/07

 

09/20/12

 

 

$

(462

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

Income Opportunity Trust

 

 

 

375

(a)

 

0.950

 

 

Deutsche Bank

 

08/02/07

 

09/20/12

 

 

$

(98

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

Limited Duration

 

 

 

4,500

(b)

 

1.200

 

 

Morgan Stanley

 

05/23/07

 

06/20/12

 

 

$

(156,669

)

 

 

 

 

 

4,500

(b)

 

1.200

 

 

JP Morgan

 

05/23/07

 

06/20/12

 

 

 

(156,669

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(313,338

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 


 

 

(a)

The terms were to receive the quarterly notional amount multiplied by the fixed rate and pay the counterparty, upon default of Lehman Brothers Holdings, Inc., the par value of the notional amount of Lehman Brothers Holdings, Inc.

(b)

The terms were to receive the quarterly notional amount multiplied by the fixed rate and pay the counterparty, upon default of LCDX, the par value of the notional amount of LCDX.

Transaction in options written during the year ended October 31, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

Puts

 

 

 

 

 

 

 

Trust

 

Contracts/
Notional
Amount

 

Premium
Received

 

Contracts/
Notional
Amount

 

Premium
Received

 

                   

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

at October 31, 2006

 

$

21,300,000

 

$

991,347

 

$

135,100,037

 

$

2,068,284

 

Options written

 

 

18,200,000

 

 

455,276

 

 

18,200,000

 

 

455,276

 

Options closed

 

 

(11,600,000

)

 

(315,851

)

 

(125,400,037

)

 

(1,392,787

)

 

 

   

 

   

 

   

 

   

 

Options outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

at October 31, 2007

 

$

27,900,000

 

$

1,130,772

 

$

27,900,000

 

$

1,130,773

 

 

 

   

 

   

 

   

 

   

 

Income Opportunity Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

at October 31, 2006

 

$

23,400,000

 

$

1,085,069

 

$

148,200,041

 

$

2,236,554

 

Options written

 

 

19,700,000

 

 

491,847

 

 

19,700,000

 

 

491,847

 

Options closed

 

 

(12,400,000

)

 

(337,634

)

 

(137,200,041

)

 

(1,489,123

)

 

 

   

 

   

 

   

 

   

 

Options outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

at October 31, 2007

 

$

30,700,000

 

$

1,239,282

 

$

30,700,000

 

$

1,239,278

 

 

 

   

 

   

 

   

 

   

 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

at October 31, 2006

 

$

23,500,000

 

$

1,088,815

 

$

150,100,000

 

$

2,223,745

 

Options written

 

 

160,860,047

 

 

4,960,873

 

 

160,860,000

 

 

4,875,117

 

Options closed

 

 

(46,835,007

)

 

(1,047,343

)

 

 

 

 

Options expired

 

 

(16

)

 

(27,150

)

 

(173,435,000

)

 

(2,169,641

)

 

 

   

 

   

 

   

 

   

 

Options outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

at October 31, 2007

 

$

137,525,024

 

$

4,975,195

 

$

137,525,000

 

$

4,929,221

 

 

 

   

 

   

 

   

 

   

 


 

 

 

 

 

 

 

 

 

 

Calls

 

 

 

 

 

Trust

 

Contracts/
Notional
Amount

 

Premium
Received

 

               

Preferred and Equity

 

 

 

 

 

 

 

Options outstanding

 

 

 

 

 

 

 

at beginning of period

 

$

 

$

 

Options written

 

 

3,335,500

 

 

57,773,808

 

Options closed

 

 

(3,079,500

)

 

(52,286,976

)

Options expired

 

 

(10,500

)

 

(60,705

)

 

 

   

 

   

 

Options outstanding

 

 

 

 

 

 

 

at October 31, 2007

 

$

245,500

 

$

5,426,127

 

 

 

   

 

   

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

72




 

Notes to Financial Statements

Note 4. Borrowings

Details of open reverse repurchase agreements at October 31, 2007 were as follows (please see Corresponding Underlying Collateral Chart):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Rate

 

Trade
Date

 

Maturity
Date1

 

Net Closing
Amount

 

Par

 

 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclay’s Bank

 

5.250

%

09/06/07

 

TBD

 

$

6,920,063

 

$

6,865,000

 

 

 

5.270

 

09/06/07

 

TBD

 

 

3,189,475

 

 

3,164,000

 

 

 

5.270

 

09/06/07

 

TBD

 

 

2,980,808

 

 

2,957,000

 

 

 

5.290

 

09/06/07

 

TBD

 

 

3,003,076

 

 

2,979,000

 

 

 

5.290

 

09/06/07

 

TBD

 

 

2,589,763

 

 

2,569,000

 

 

 

5.290

 

09/24/07

 

TBD

 

 

1,707,280

 

 

1,698,048

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

20,232,048

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Credit Suisse First

 

 

 

 

 

 

 

 

 

 

 

 

 

Boston LLC

 

5.100

 

09/17/07

 

TBD

 

 

2,014,479

 

$

2,002,000

 

 

 

5.100

 

09/17/07

 

TBD

 

 

1,771,977

 

 

1,761,000

 

 

 

4.900

 

10/11/07

 

11/13/07

 

 

60,535,343

 

 

60,371,000

 

 

 

5.100

 

10/11/07

 

TBD

 

 

2,016,020

 

 

2,010,325

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

66,144,325

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Lehman Brothers

 

4.200

 

10/02/07

 

TBD

 

 

9,963,295

 

$

9,929,700

 

 

 

4.600

 

10/23/07

 

TBD

 

 

3,000,939

 

 

2,997,875

 

 

 

4.600

 

10/26/07

 

TBD

 

 

2,423,047

 

 

2,421,500

 

 

 

4.150

 

10/31/07

 

11/07/07

 

 

1,051,794

 

 

1,051,794

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

16,400,869

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Morgan Stanley

 

0.000

 

10/19/07

 

TBD

 

 

576,450

 

$

576,450

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclay’s Bank

 

5.120

 

08/06/07

 

TBD

 

 

7,317,925

 

$

7,229,500

 

 

 

5.120

 

08/06/07

 

TBD

 

 

1,973,243

 

 

1,949,400

 

 

 

5.120

 

08/07/07

 

TBD

 

 

643,038

 

 

635,357

 

 

 

5.140

 

08/13/07

 

TBD

 

 

1,407,495

 

 

1,391,796

 

 

 

5.140

 

08/15/07

 

TBD

 

 

2,362,693

 

 

2,337,000

 

 

 

5.120

 

08/17/07

 

TBD

 

 

1,335,584

 

 

1,321,488

 

 

 

5.140

 

08/17/07

 

TBD

 

 

2,054,810

 

 

2,033,040

 

 

 

5.140

 

08/17/07

 

TBD

 

 

2,528,732

 

 

2,501,940

 

 

 

5.140

 

08/17/07

 

TBD

 

 

1,628,615

 

 

1,611,360

 

 

 

5.120

 

08/21/07

 

TBD

 

 

1,082,805

 

 

1,071,980

 

 

 

5.140

 

08/22/07

 

TBD

 

 

2,766,799

 

 

2,739,420

 

 

 

5.140

 

08/22/07

 

TBD

 

 

1,716,619

 

 

1,699,632

 

 

 

5.140

 

09/13/07

 

TBD

 

 

1,171,977

 

 

1,164,000

 

 

 

5.160

 

09/13/07

 

TBD

 

 

1,681,490

 

 

1,670,000

 

 

 

5.160

 

09/13/07

 

TBD

 

 

1,490,686

 

 

1,480,500

 

 

 

5.140

 

09/13/07

 

TBD

 

 

1,800,757

 

 

1,788,500

 

 

 

5.140

 

09/13/07

 

TBD

 

 

845,757

 

 

840,000

 

 

 

5.160

 

09/13/07

 

TBD

 

 

1,929,182

 

 

1,916,000

 

 

 

5.290

 

09/14/07

 

TBD

 

 

2,083,390

 

 

2,069,100

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

37,450,013

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Credit Suisse

 

 

 

 

 

 

 

 

 

 

 

 

 

First Boston LLC

 

5.100

 

08/20/07

 

TBD

 

 

2,207,211

 

$

2,184,925

 

 

 

5.100

 

08/20/07

 

TBD

 

 

1,977,972

 

 

1,958,000

 

 

 

5.100

 

08/20/07

 

TBD

 

 

2,099,423

 

 

2,078,225

 

 

 

5.100

 

08/20/07

 

TBD

 

 

1,914,329

 

 

1,895,000

 

 

 

5.100

 

08/20/07

 

TBD

 

 

614,394

 

 

608,190

 

 

 

5.100

 

08/30/07

 

TBD

 

 

1,593,878

 

 

1,580,000

 

 

 

5.100

 

08/30/07

 

TBD

 

 

1,187,338

 

 

1,177,000

 

 

 

5.100

 

08/30/07

 

TBD

 

 

1,174,224

 

 

1,164,000

 

 

 

5.600

 

08/31/07

 

11/01/07

 

 

1,933,171

 

 

1,915,000

 

 

 

5.100

 

08/31/07

 

TBD

 

 

1,603,740

 

 

1,590,000

 

 

 

4.900

 

10/10/07

 

11/13/07

 

 

26,408,268

 

 

26,333,000

 

 

 

4.900

 

10/11/07

 

11/13/07

 

 

4,518,266

 

 

4,506,000

 

 

 

5.100

 

10/18/07

 

TBD

 

 

4,278,469

 

 

4,270,000

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

51,259,340

 

 

 

 

 

 

 

 

 

 

 

 

   

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Rate

 

Trade
Date

 

Maturity
Date1

 

Net Closing
Amount

 

Par

 

 

Income Opportunity (cont’d)

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

4.200

%

10/01/07

 

TBD

 

$

8,485,395

 

$

8,455,800

 

 

 

4.900

 

10/11/07

 

11/01/07

 

 

1,973,232

 

 

1,967,875

 

 

 

4.800

 

10/25/07

 

11/13/07

 

 

4,322,455

 

 

4,319,000

 

 

 

4.150

 

10/31/07

 

11/07/07

 

 

1,165,916

 

 

1,165,781

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

15,908,456

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Morgan Stanley

 

0.000

 

10/19/07

 

TBD

 

 

643,703

 

$

643,703

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

4.600

 

11/01/07

 

TBD

 

 

24,280,081

 

$

24,280,113

 

 

 

4.800

 

11/01/07

 

11/02/07

 

 

3,035,595

 

 

3,036,000

 

 

 

4.800

 

11/01/07

 

11/02/07

 

 

1,073,107

 

 

1,073,250

 

 

 

4.900

 

11/01/07

 

11/02/07

 

 

5,505,251

 

 

5,506,000

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

33,895,363

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Limited Duration

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclay’s Bank

 

5.220

 

04/24/07

 

TBD

 

 

967,952

 

$

942,000

 

 

 

5.220

 

05/01/07

 

TBD

 

 

4,508,542

 

 

4,392,000

 

 

 

5.200

 

05/01/07

 

TBD

 

 

4,834,245

 

 

4,709,751

 

 

 

5.170

 

05/01/07

 

TBD

 

 

5,005,043

 

 

4,876,875

 

 

 

5.220

 

05/01/07

 

TBD

 

 

4,890,798

 

 

4,764,375

 

 

 

5.220

 

05/01/07

 

TBD

 

 

4,775,313

 

 

4,651,875

 

 

 

5.220

 

05/01/07

 

TBD

 

 

3,093,874

 

 

3,013,900

 

 

 

5.220

 

05/01/07

 

TBD

 

 

571,375

 

 

556,605

 

 

 

5.200

 

05/17/07

 

TBD

 

 

3,091,825

 

 

3,019,000

 

 

 

5.220

 

07/09/07

 

TBD

 

 

771,546

 

 

759,000

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

31,685,381

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Credit Suisse

 

 

 

 

 

 

 

 

 

 

 

 

 

First Boston LLC

 

5.375

 

11/26/13

 

TBD

 

 

1,809,853

 

$

1,722,000

 

 

 

5.100

 

12/05/06

 

TBD

 

 

5,565,373

 

 

5,316,812

 

 

 

5.100

 

12/05/06

 

TBD

 

 

7,491,361

 

 

7,156,781

 

 

 

5.100

 

12/07/06

 

TBD

 

 

2,997,342

 

 

2,864,250

 

 

 

5.100

 

12/07/06

 

TBD

 

 

4,817,122

 

 

4,603,225

 

 

 

5.100

 

01/18/07

 

TBD

 

 

2,295,602

 

 

2,206,213

 

 

 

5.300

 

01/18/07

 

TBD

 

 

2,491,177

 

 

2,390,523

 

 

 

5.300

 

04/17/07

 

TBD

 

 

1,604,750

 

 

1,559,520

 

 

 

0.000

 

10/04/07

 

TBD

 

 

2,784,000

 

 

2,784,000

 

 

 

5.300

 

05/16/07

 

TBD

 

 

1,796,358

 

 

1,753,000

 

 

 

5.300

 

06/11/07

 

TBD

 

 

3,966,218

 

 

3,885,000

 

 

 

5.300

 

06/11/07

 

TBD

 

 

5,165,782

 

 

5,060,000

 

 

 

5.300

 

06/29/07

 

TBD

 

 

2,878,082

 

 

2,826,483

 

 

 

5.300

 

07/09/07

 

TBD

 

 

1,511,957

 

 

1,487,000

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

45,614,807

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Lehman Brothers

 

5.100

 

7/26/06

 

TBD

 

 

1,474,583

 

$

1,384,000

 

 

 

4.750

 

09/06/06

 

TBD

 

 

937,210

 

 

888,000

 

 

 

5.000

 

11/27/06

 

TBD

 

 

349,679

 

 

334,000

 

 

 

4.550

 

01/09/07

 

TBD

 

 

3,472,764

 

 

3,347,938

 

 

 

4.510

 

01/12/07

 

TBD

 

 

17,203,359

 

 

16,596,250

 

 

 

4.470

 

02/12/07

 

TBD

 

 

1,841,028

 

 

1,783,238

 

 

 

4.520

 

02/28/07

 

TBD

 

 

709,164

 

 

688,000

 

 

 

4.520

 

03/01/07

 

TBD

 

 

5,395,680

 

 

5,235,293

 

 

 

1.250

 

09/07/07

 

TBD

 

 

1,733,244

 

 

1,730,000

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

31,986,719

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Preferred and Equity Advantage

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

 

 

 

 

 

 

 

 

 

 

 

 

First Boston LLC

 

0.000

 

10/04/07

 

TBD

 

 

4,988,000

 

$

4,988,000

 

 

 

4.000

 

10/22/07

 

TBD

 

 

5,290,535

 

 

5,285,250

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

10,273,250

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Lehman Brothers

 

5.000

 

10/23/07

 

TBD

 

 

27,566,470

 

$

27,535,875

 

 

 

5.000

 

10/23/07

 

TBD

 

 

25,046,799

 

 

25,019,000

 

 

 

5.000

 

10/23/07

 

TBD

 

 

25,490,792

 

 

25,462,500

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

$

78,017,375

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

Morgan Stanley

 

0.000

 

10/19/07

 

TBD

 

 

413,123

 

$

413,123

 

 

 

 

 

 

 

 

 

 

 

 

   

 


 

 

1

TBD — To be determined


 

 

 

 

 

 

 

 

73

ANNUAL REPORT

OCTOBER 31, 2007

 



 


 

Notes to Financial Statements (continued)

Details of underlying collateral for open reverse repurchase agreements at October 31, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Description

 

Rate

 

Maturity Date

 

Original Face

 

Current Face

 

Market Value

 

 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclay’s Bank

 

General Electric Capital Corp.

 

6.150

%

8/7/2037

 

$

6,855,000

 

$

6,855,000

 

$

7,103,041

 

 

 

Deutsche Telekom Intl. Finance BV

 

5.750

 

3/23/2016

 

 

3,000,000

 

 

3,000,000

 

 

3,007,887

 

 

 

Verizon Virginia, Inc.

 

4.625

 

3/15/2013

 

 

3,150,000

 

 

3,150,000

 

 

3,024,873

 

 

 

AT&T, Inc.

 

6.500

 

9/1/2037

 

 

2,600,000

 

 

2,600,000

 

 

2,742,532

 

 

 

Intl. Business Machines Corp.

 

5.700

 

9/14/2017

 

 

1,760,000

 

 

1,760,000

 

 

1,786,375

 

 

 

Morgan Stanley

 

5.493

 

1/19/2012

 

 

3,300,000

 

 

3,300,000

 

 

3,246,860

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

20,911,568

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Credit Suisse

 

Eli Lilly & Co.

 

5.550

 

3/15/2037

 

 

2,275,000

 

 

2,275,000

 

$

2,172,347

 

 

 

U.S. Bank

 

6.500

 

2/1/2008

 

 

1,800,000

 

 

1,800,000

 

 

1,803,074

 

 

 

Federal Home Loan Mortgage Corp.

 

5.500

 

11/1/2018

 

 

2,832,896

 

 

1,169,936

 

 

1,175,041

 

 

 

Federal National Mortgage Assoc.

 

5.000

 

1/1/2018

 

 

3,536,110

 

 

1,041,164

 

 

1,029,288

 

 

 

Federal National Mortgage Assoc.

 

5.000

 

7/1/2036

 

 

6,784,029

 

 

6,254,571

 

 

6,004,420

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

2/1/2036

 

 

1,116,625

 

 

894,711

 

 

901,470

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

4/1/2036

 

 

1,091,509

 

 

908,081

 

 

914,940

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

4/1/2036

 

 

1,018,042

 

 

895,122

 

 

882,170

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

2/1/2036

 

 

1,134,707

 

 

891,461

 

 

898,195

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

9/1/2036

 

 

1,039,072

 

 

863,698

 

 

870,222

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

12/1/2035

 

 

44,000,000

 

 

42,351,254

 

 

41,778,926

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

10/1/2036

 

 

3,304,703

 

 

3,100,363

 

 

3,123,783

 

 

 

Federal National Mortgage Assoc.

 

5.000

 

3/1/2037

 

 

1,009,339

 

 

997,326

 

 

957,244

 

 

 

Federal National Mortgage Assoc.

 

5.000

 

5/1/2037

 

 

4,257,973

 

 

4,204,831

 

 

4,035,841

 

 

 

Royal Bank of Scotland Group PLC

 

7.640

 

N/A1

 

 

2,000,000

 

 

2,000,000

 

 

2,073,024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

68,619,985

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Lehman

 

U.S. Treasury Inflation Indexed Bonds

 

2.375

 

1/15/2027

 

 

5,220,000

 

 

5,220,000

 

$

5,523,085

 

 

 

U.S. Treasury Notes

 

4.750

 

8/15/2017

 

 

10,750,000

 

 

10,750,000

 

 

10,986,833

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

16,509,918

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Morgan Stanley

 

Michaels Stores, Inc.

 

11.375

 

11/1/2016

 

 

600,000

 

 

600,000

 

$

598,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclay’s Bank

 

General Electric Capital Corp.

 

6.150

 

8/7/2037

 

 

7,610,000

 

 

7,610,000

 

$

7,885,360

 

 

 

General Electric Capital Corp.

 

6.750

 

3/15/2032

 

 

1,900,000

 

 

1,900,000

 

 

2,120,377

 

 

 

Berkshire Hathaway Finance Corp.

 

3.375

 

10/15/2008

 

 

2,025,000

 

 

2,025,000

 

 

1,997,982

 

 

 

Morgan Stanley

 

5.493

 

1/9/2012

 

 

3,620,000

 

 

3,620,000

 

 

3,561,707

 

 

 

Citigroup, Inc.

 

4.125

 

2/22/2010

 

 

2,425,000

 

 

2,425,000

 

 

2,384,488

 

 

 

Bank of America Corp.

 

7.800

 

2/15/2010

 

 

2,450,000

 

 

2,450,000

 

 

2,597,750

 

 

 

Eli Lilly & Co.

 

5.550

 

3/15/2037

 

 

1,800,000

 

 

1,800,000

 

 

1,718,780

 

 

 

Johnson & Johnson

 

5.950

 

8/15/2037

 

 

1,120,000

 

 

1,120,000

 

 

1,171,362

 

 

 

Bank of America Corp.

 

6.000

 

9/1/2017

 

 

2,850,000

 

 

2,850,000

 

 

2,905,373

 

 

 

Bank of America NA

 

6.100

 

6/15/17

 

 

1,740,000

 

 

1,740,000

 

 

1,780,847

 

 

 

Morgan Stanley

 

6.250

 

8/28/2017

 

 

1,200,000

 

 

1,200,000

 

 

1,228,642

 

 

 

Kraft Foods, Inc.

 

7.000

 

8/11/2037

 

 

1,670,000

 

 

1,670,000

 

 

1,813,260

 

 

 

Societe Generale

 

5.922

 

N/A1

 

 

1,575,000

 

 

1,575,000

 

 

1,498,912

 

 

 

AstraZeneca Plc

 

6.450

 

9/15/2037

 

 

1,825,000

 

 

1,825,000

 

 

1,923,044

 

 

 

Citigroup, Inc.

 

6.125

 

8/25/2036

 

 

900,000

 

 

900,000

 

 

877,919

 

 

 

AT&T, Inc.

 

6.500

 

9/1/2037

 

 

1,980,000

 

 

1,980,000

 

 

2,088,544

 

 

 

Intl. Business Machines Corp.

 

5.700

 

9/14/2017

 

 

2,200,000

 

 

2,200,000

 

 

2,232,968

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

39,787,315

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Credit Suisse

 

UBS Preferred Funding Trust I

 

8.622

 

N/A1

 

 

2,000,000

 

 

2,000,000

 

$

2,170,314

 

 

 

Morgan Stanley

 

6.250

 

8/9/2026

 

 

2,100,000

 

 

2,100,000

 

 

2,069,773

 

 

 

Wells Fargo Bank NA

 

7.550

 

6/21/10

 

 

2,000,000

 

 

2,000,000

 

 

2,124,152

 

 

 

Allstate Corp.

 

6.500

 

5/15/2057

 

 

2,150,000

 

 

2,150,000

 

 

2,084,728

 

 

 

General Electric Capital Corp.

 

6.750

 

3/15/2032

 

 

570,000

 

 

570,000

 

 

636,113

 

 

 

Vodafone Group Plc

 

5.288

 

12/28/2007

 

 

1,615,000

 

 

1,615,000

 

 

1,615,326

 

 

 

United Technologies Corp.

 

4.875

 

5/1/2015

 

 

1,250,000

 

 

1,250,000

 

 

1,209,314

 

 

 

Amgen, Inc.

 

5.585

 

11/28/2008

 

 

1,200,000

 

 

1,200,000

 

 

1,197,836

 

 

 

ConocoPhillips Australia Funding Co.

 

5.343

 

4/9/2009

 

 

1,970,000

 

 

1,970,000

 

 

1,964,845

 

 

 

Wyeth

 

5.950

 

4/1/2037

 

 

1,690,000

 

 

1,690,000

 

 

1,671,373

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

1/1/2033

 

 

16,270,578

 

 

6,219,377

 

 

6,147,618

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

2/1/2033

 

 

17,464,674

 

 

6,144,495

 

 

6,073,600

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

2/1/2035

 

 

5,014,015

 

 

3,066,745

 

 

3,030,676

 

 

 

Federal National Mortgage Assoc.

 

5.000

 

7/1/2035

 

 

15,659,841

 

 

13,178,821

 

 

12,661,887

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

10/1/2020

 

 

1,641,812

 

 

1,178,209

 

 

1,180,664

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

3/1/2021

 

 

677,502

 

 

561,380

 

 

562,448

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

6/1/2036

 

 

1,001,094

 

 

912,150

 

 

898,951

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

3/1/2021

 

 

654,254

 

 

539,250

 

 

540,276

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

6/1/2037

 

 

910,396

 

 

896,952

 

 

903,619

 

 

 

JP Morgan Chase Capital XXV

 

6.800

 

10/1/2037

 

 

4,375,000

 

 

4,375,000

 

 

4,370,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

53,113,688

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

74



 


 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Description

 

Rate

 

Maturity Date

 

Original Face

 

Current Face

 

Market Value

 

 

Income Opportunity (cont’d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

U.S. Treasury Notes

 

4.750

%

8/15/2017

 

$

9,415,000

 

$

9,415,000

 

$

9,622,422

 

 

 

Resolution Funding Corp.

 

0.000

 

4/15/2030

 

 

6,055,000

 

 

6,055,000

 

 

2,018,561

 

 

 

Federal Home Loan Mortgage Corp.

 

5.067

 

1/1/2035

 

 

7,644,276

 

 

1,881,935

 

 

1,858,585

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

7/1/2016

 

 

1,539,074

 

 

481,759

 

 

484,728

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

3/1/2018

 

 

4,172,428

 

 

485,682

 

 

488,057

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

11/1/2017

 

 

3,217,577

 

 

496,702

 

 

499,351

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

8/1/2017

 

 

3,622,323

 

 

1,075,243

 

 

1,080,979

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

16,052,683

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Morgan Stanley

 

Michaels Stores, Inc.

 

11.375

 

11/1/2016

 

 

670,000

 

 

670,000

 

$

668,325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

U.S. Treasury Strip Principal

 

0.000

 

11/15/2024

 

 

56,630,000

 

 

56,630,000

 

$

24,656,589

 

 

 

Resolution Funding Corp.

 

0.000

 

4/15/2030

 

 

12,440,000

 

 

12,440,000

 

 

4,147,135

 

 

 

Federal Home Loan Mortgage Corp.

 

5.500

 

3/1/2022

 

 

6,083,988

 

 

5,641,353

 

 

5,650,273

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

34,453,997

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Limited Duration

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclay’s Bank

 

Huntsman LLC

 

11.625

 

10/15/2010

 

 

1,495,000

 

 

1,495,000

 

$

1,584,700

 

 

 

Midwest Generation LLC

 

8.560

 

1/2/2016

 

 

5,180,000

 

 

4,324,265

 

 

4,648,585

 

 

 

Turkey

 

7.000

 

9/26/2016

 

 

5,093,000

 

 

5,093,000

 

 

5,328,806

 

 

 

Columbia

 

9.750

 

4/23/2009

 

 

5,000,000

 

 

6,144,495

 

 

6,543,887

 

 

 

Group 1 Automotive, Inc.

 

8.250

 

8/15/2013

 

 

5,000,000

 

 

5,000,000

 

 

5,000,000

 

 

 

Rite Aid Corp.

 

8.125

 

5/1/2010

 

 

3,429,659

 

 

5,000,000

 

 

5,031,250

 

 

 

Freeport-McMoRan Copper & Gold, Inc.

 

8.375

 

4/1/2017

 

 

3,034,000

 

 

3,034,000

 

 

3,322,230

 

 

 

Comcast Cable Communications LLC

 

6.875

 

6/15/2009

 

 

2,907,000

 

 

2,907,000

 

 

2,980,881

 

 

 

Reynolds American, Inc.

 

7.625

 

6/1/2016

 

 

756,000

 

 

756,000

 

 

817,930

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

35,258,269

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Credit Suisse

 

Rouse Co. LP

 

5.375

 

11/26/2013

 

 

2,000,000

 

 

2,000,000

 

$

1,812,352

 

 

 

Deutsche Telekom Intl. Finance BV

 

8.000

 

6/15/2010

 

 

5,000,000

 

 

5,000,000

 

 

5,361,380

 

 

 

Daimler Finance North America LLC

 

4.050

 

6/4/2008

 

 

7,500,000

 

 

7,500,000

 

 

7,439,415

 

 

 

DR Horton, Inc.

 

5.875

 

7/1/2013

 

 

3,000,000

 

 

3,000,000

 

 

2,688,714

 

 

 

JC Penney Corp., Inc.

 

8.000

 

3/1/2010

 

 

4,400,000

 

 

4,400,000

 

 

4,687,540

 

 

 

Comcast Cable Communications LLC

 

6.875

 

6/15/2009

 

 

2,185,000

 

 

2,185,000

 

 

2,240,532

 

 

 

Windstream Corp.

 

8.125

 

8/1/2013

 

 

2,340,000

 

 

2,340,000

 

 

2,474,550

 

 

 

Sanmina-SCI Corp.

 

8.125

 

3/1/2016

 

 

1,710,000

 

 

1,710,000

 

 

1,500,525

 

 

 

Michaels Stores, Inc.

 

11.375

 

11/1/2016

 

 

2,800,000

 

 

2,800,000

 

 

2,793,000

 

 

 

Celestica, Inc.

 

7.625

 

7/1/2013

 

 

1,965,000

 

 

1,965,000

 

 

1,886,400

 

 

 

Chesapeake Energy Corp.

 

7.500

 

9/15/2013

 

 

4,000,000

 

 

4,000,000

 

 

4,110,000

 

 

 

American Real Estate Partners LP/American

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Real Estate Finance Corp.

 

8.125

 

6/1/2012

 

 

5,390,000

 

 

5,390,000

 

 

5,430,425

 

 

 

Qwest Corp.

 

8.875

 

3/15/2012

 

 

2,640,000

 

 

2,640,000

 

 

2,890,800

 

 

 

Rite Aid Corp.

 

7.500

 

3/1/2017

 

 

1,628,000

 

 

1,628,000

 

 

1,514,040

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

46,829,673

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Lehman Brothers

 

NewPage Corp

 

11.606

 

5/1/2012

 

 

1,500,000

 

 

1,500,000

 

$

1,616,250

 

 

 

Metaldyne Corp.

 

10.000

 

11/1/13

 

 

1,000,000

 

 

1,000,000

 

 

930,000

 

 

 

Grant Prideco Inc

 

6.125

 

8/15/2015

 

 

380,000

 

 

380,000

 

 

381,900

 

 

 

U.S. Treasury Notes

 

3.375

 

9/15/2009

 

 

3,425,000

 

 

3,425,000

 

 

3,391,284

 

 

 

U.S. Treasury Notes

 

3.375

 

12/15/2008

 

 

17,000,000

 

 

17,000,000

 

 

16,881,799

 

 

 

U.S. Treasury Notes

 

4.250

 

8/15/2015

 

 

1,815,000

 

 

1,815,000

 

 

1,801,388

 

 

 

U.S. Treasury Notes

 

3.875

 

5/15/2009

 

 

5,945,000

 

 

5,945,000

 

 

5,937,105

 

 

 

Sally Holdings LLC

 

10.500

 

11/15/2016

 

 

1,790,000

 

 

1,790,000

 

 

1,781,050

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

32,720,776

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Preferred and Equity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

Michaels Stores, Inc.

 

11.375

 

11/1/2016

 

 

5,000,000

 

 

5,000,000

 

$

4,987,500

 

 

 

ICICI Bank Ltd.

 

7.250

 

N/A1

 

 

6,600,000

 

 

6,600,000

 

 

6,128,298

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

11,115,798

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Lehman Brothers

 

BOI Capital Funding No. 3

 

6.107

 

N/A1

 

 

30,000,000

 

 

30,000,000

 

$

27,601,950

 

 

 

State Street Capital Trust IV

 

6.694

 

6/15/2037

 

 

28,305,000

 

 

28,305,000

 

 

25,559,273

 

 

 

Swiss Re Capital I LP

 

6.854

 

N/A1

 

 

25,000,000

 

 

25,000,000

 

 

25,215,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

78,376,398

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Morgan Stanley

 

Michaels Stores, Inc.

 

11.375

 

11/1/2016

 

 

430,000

 

 

430,000

 

$

428,925

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 


 

 

1

The security is a perpetual bond and has no stated maturity date.


 

 

 

 

 

 

 

 

75

ANNUAL REPORT

OCTOBER 31, 2007

 



 


 

Notes to Financial Statements (continued)

Note 5. Commitments

Bridge Debt Commitments: Limited Duration may invest in floating rate senior loans. In connection with these investments, Limited Duration may, with its Manager, also enter into senior unsecured bridge financing commitments. Bridge financing commitments may obligate Limited Duration to furnish temporary financing to a borrower until permanent financing can be arranged. These commitments range in duration from 43 to 294 days. At October 31, 2007, Limited Duration had outstanding bridge financing commitments of $20,740,000. In connection with these commitments, Limited Duration earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is classified in the statement of operations as interest income, is recognized ratably over the commitment period. During the year ended October 31, 2007, Limited Duration earned $254,615 in commitment fee income and the unrecognized commitment fee income is recoded on the statement of assets and liabilities as “deferred income liability.”

Note 6. Income Tax Information

No provision is made for U.S. federal taxes as it is the portfolios intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and to make the requisite distributions to its shareholders which will be sufficient to relieve it from federal income and excise taxes.

Dividends from net investment income and distributions from net capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States. These Book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in-capital, undistributed net investment income, or accumulated net realized gain, as appropriate, in the period the difference arise.

Reclassification of Capital Accounts: The following permanent differences as of October 31, 2007, attributable to swap income/(loss), transactions involving foreign securities and currencies, expiration of capital loss carryfor-wards and other differences between financial reporting and tax accounting were reclassified to the following accounts.

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Undistributed Net
Investment Income/
Distributions in Excess
of Net Investment Income

 

Accumulated
Gain/(Loss)

 

Paid In
Capital

 

 

Broad Investment Grade

 

 

$

282,885

 

 

$

172

 

$

(283,057

)

Core Bond

 

 

 

786,797

 

 

 

(786,797

)

 

 

High Yield

 

 

 

2,368

 

 

 

2,556,500

 

 

(2,558,868

)

Income Opportunity

 

 

 

1,070,069

 

 

 

(1,070,069

)

 

 

Income Trust

 

 

 

(5,959,196

)

 

 

39,067,148

 

 

(33,107,952

)

Limited Duration

 

 

 

(2,414,790

)

 

 

2,414,790

 

 

 

Preferred and Equity

 

 

 

(48,592

)

 

 

78,130

 

 

(29,538

)

The tax character of distributions paid during the year ended October 31, 2007 and 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended October 31, 2007

 

 

Distributions
Paid from:

 

Ordinary
Income

 

Non-taxable
Return of
Capital

 

Long-term
Capital Gains

 

Total
Distributions

 

 

Broad Investment Grade

 

$

4,490,035

 

$

 

$

 

$

4,490,035

 

Core Bond

 

 

11,064,934

 

 

5,227,386

 

 

 

 

16,292,320

 

High Yield

 

 

3,927,807

 

 

 

 

 

 

3,927,807

 

Income Opportunity

 

 

20,862,233

 

 

1,874,570

 

 

 

 

22,736,803

 

Income Trust

 

 

18,808,452

 

 

4,978,175

 

 

 

 

23,786,627

 

Limited Duration

 

 

51,967,739

 

 

1,074,826

 

 

2,229,742

 

 

55,272,307

 

Preferred and Equity

 

 

65,002,006

 

 

24,171,991

 

 

 

 

89,173,997

 

Strategic Bond

 

 

6,521,963

 

 

 

 

 

 

6,521,963

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended October 31, 2006

 

 

Distributions
Paid from:

 

Ordinary
Income

 

Non-taxable
Return of
Capital

 

Long-term
Capital Gains

 

Total
Distributions

 

 

Broad Investment Grade

 

$

4,241,016

 

$

 

$

20,078

 

$

4,261,094

 

Core Bond

 

 

25,048,230

 

 

 

 

7,914,351

 

 

32,962,581

 

High Yield

 

 

4,175,232

 

 

 

 

 

 

4,175,232

 

Income Opportunity

 

 

22,238,533

 

 

2,162,198

 

 

8,976,685

 

 

33,377,416

 

Income Trust

 

 

21,910,288

 

 

5,576,693

 

 

 

 

27,486,981

 

Limited Duration

 

 

55,725,066

 

 

760,960

 

 

 

 

56,486,026

 

Strategic Bond

 

 

6,969,104

 

 

251,641

 

 

 

 

7,220,745

 

As of October 31, 2007, the components of distributable earnings on a tax basis were as follows:

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Undistributed
Ordinary
Income

 

Undistributed
Long-term
Gains/
Capital Loss
Carryforward
Amount

 

Unrealized
Gain/(Loss)
Net

 

 

Broad Investment Grade

 

$

4,855,266

 

$

(3,222,226

)

$

(287,678

)

Core Bond

 

 

(2,423,603

)

 

(9,296,969

)

 

(833,467

)

High Yield

 

 

148,061

 

 

(36,514,583

)

 

(3,298,228

)

Income Opportunity

 

 

 

 

(4,794,548

)

 

(1,062,523

)

Income Trust

 

 

 

 

(66,753,313

)

 

3,726,058

 

Limited Duration

 

 

 

 

 

 

(18,232,683

)

Preferred and Equity

 

 

 

 

(49,741,712

)

 

(47,853,961

)

Strategic Bond

 

 

214,202

 

 

(447,113

)

 

(808,018

)


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

76




Notes to Financial Statements (concluded)

For federal income tax purposes, the following Trusts had capital loss carry-forward as of their last respective tax year-end. These amounts may be used to offset future realized capital gains, if any:

 

 

 

 

 

 

 

 

Trust

 

Capital Loss
Carryforward
Amount

 

Expires

 

           

Broad Investment Grade

 

$

2,061,303

 

2011

 

 

 

 

 

684,360

 

2012

 

 

 

 

 

479,567

 

2014

 

 

 

 

   

 

 

 

 

 

 

$

3,225,230

 

 

 

 

 

 

   

 

 

 

 

 

Core Bond

 

$

6,643,266

 

2014

 

 

 

 

   

 

 

 

 

 

High Yield

 

$

3,270,311

 

2008

 

 

 

 

 

15,159,280

 

2009

 

 

 

 

 

8,468,860

 

2010

 

 

 

 

 

4,771,417

 

2011

 

 

 

 

 

316,410

 

2012

 

 

 

 

 

2,060,533

 

2014

 

 

 

 

 

2,467,773

 

2015

 

 

 

 

   

 

 

 

 

 

 

$

36,514,584

 

 

 

 

 

 

   

 

 

 

 

 

Income Opportunity

 

$

2,451,626

 

2014

 

 

 

 

 

2,342,922

 

2015

 

 

 

 

   

 

 

 

 

 

 

$

4,794,548

 

 

 

 

 

 

   

 

 

 

 

 

Income Trust

 

$

1,352,206

 

2008

 

 

 

 

 

13,940,898

 

2009

 

 

 

 

 

21,960,613

 

2011

 

 

 

 

 

10,100,201

 

2012

 

 

 

 

 

3,861,222

 

2013

 

 

 

 

 

6,952,429

 

2014

 

 

 

 

 

8,585,744

 

2015

 

 

 

 

   

 

 

 

 

 

 

$

66,753,313

 

 

 

 

 

 

   

 

 

 

 

 

Preferred and Equity

 

$

49,741,712

 

2015

 

 

 

 

   

 

 

 

 

 

Strategic Bond

 

$

447,113

 

2014

 

 

 

 

   

 

Note 7. Capital

There are 200 million of $0.01 par value common shares authorized for Broad Investment Grade, Income Opportunity and Income Trust. There are an unlimited number of $0.001 par value common shares authorized for Core Bond, High Yield, Limited Duration, Preferred and Equity and Strategic Bond. At October 31, 2007, the shares owned by an affiliate of the Advisor of Limited Duration and Preferred and Equity were 6,021 and 4,817, respectively.

Preferred and Equity, which commenced on December 27, 2006, issued 47,004,817 common shares under the initial public offering. On February 1, 2007, an additional 4,750,000 shares were issued by the underwriters exercising their over-allotment option. Offering costs incurred in connection with the offering of common shares have been charged against the proceeds from the initial common share offering in the amount of $1,367,957.

During the years ended October 31, 2007 and 2006, the following Trusts issued additional shares under their respective dividend reinvestment plan:

 

 

 

 

 

 

 

 

               

Trust

 

October 31, 2007

 

October 31, 2006

 

               

High Yield

 

1,496

 

 

6,259

 

 

Limited Duration

 

107,367

 

 

13,785

 

 

Preferred and Equity

 

73,340

 

 

 

 

As of October 31, 2007, Preferred and Equity has the following series of preferred shares outstanding as listed in the table below. The preferred shares have a liquidation value of $25,000 per share plus any accumulated unpaid dividends.

 

 

 

 

 

         

Series

 

 

Shares

 

         

T7

 

 

4,620

 

W7

 

 

4,620

 

R7

 

 

4,620

 

F7

 

 

4,620

 

Dividends on seven-day preferred shares are cumulative at a rate which is reset every seven days based on the results of an auction. The dividend ranges on the preferred shares for Preferred and Equity for the period ended October 31, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

                     

Series

 

Low

 

High

 

Average

 

               

T7

 

 

5.05

%

 

6.40

%

 

5.38

%

W7

 

 

5.08

 

 

6.40

 

 

5.39

 

R7

 

 

4.99

 

 

6.30

 

 

5.39

 

F7

 

 

5.00

 

 

6.35

 

 

5.36

 

Note 8. Subsequent Events

Subsequent to October 31, 2007, the Board of each of the Trusts declared dividends per common share payable November 30, 2007, to shareholders of record on November 15, 2007. The per share common dividends declared were as follows:

 

 

 

 

 

         

Trust

 

Common Dividend
Per Share

 

         

Broad Investment Grade

 

 

$

0.04900

 

 

Core Bond

 

 

 

0.06700

 

 

High Yield

 

 

 

0.05100

 

 

Income Opportunity

 

 

 

0.05500

 

 

Income Trust

 

 

 

0.03100

 

 

Limited Duration

 

 

 

0.12500

 

 

Preferred and Equity

 

 

 

0.15625

 

 

Strategic Bond

 

 

 

0.07700

 

 

The dividends declared on preferred shares for the period November 1, 2007 to November 30, 2007 for Preferred and Equity were as follows:

 

 

 

 

 

         

Series

 

Dividends
Declared

 

         

T7

 

$

458,581

 

W7

 

 

455,301

 

R7

 

 

567,983

 

F7

 

 

574,127

 

On November 29, 2007, Broad Investment Grade’s Board of Trustees approved a Plan of Liquidation and Dissolution. Accordingly, the Broad Investment Grade will liquidate substantially all of its assets on or about the close of business on December 31, 2009.

 

 

 

 

 

 

 

 

77

ANNUAL REPORT

OCTOBER 31, 2007

 




Report of Independent Registered Public Accounting Firm

To the Directors/Trustees and Shareholders of:
     BlackRock Broad Investment Grade 2009 Term Trust Inc.
     BlackRock Core Bond Trust
     BlackRock High Yield Trust
     BlackRock Income Opportunity Trust
     BlackRock Income Trust Inc.
     BlackRock Limited Duration Income Trust
     BlackRock Preferred and Equity Advantage Trust
     BlackRock Strategic Bond Trust
     (Collectively the “Trusts”)

We have audited the accompanying statements of assets and liabilities of the Trusts, including the portfolios of investments, as of October 31, 2007, and the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the periods presented. We have also audited the statements of cash flows of BlackRock Core Bond Trust, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, BlackRock Income Trust Inc., BlackRock Limited Duration Income Trust and BlackRock Preferred and Equity Advantage Trust, for the year ended October 31, 2007. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2007, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Trusts as of October 31, 2007, the results of their operations and the cash flows of BlackRock Core Bond Trust, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, BlackRock Income Trust Inc., BlackRock Limited Duration Income Trust and BlackRock Preferred and Equity Advantage Trust, for the year then ended, the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts
December 28, 2007

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

78




The Benefits and Risks of Leveraging (unaudited)

The Trusts may utilize leveraging through borrowings or issuance of short-term debt securities or shares of Preferred Stock. The concept of leveraging is based on the premise that the cost of assets to be obtained from leverage will be based on short-term interest rates on borrowings or dividend rates on the Preferred Stock, which normally will be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s Common Stock shareholders will be the beneficiaries of the incremental yield.

As of October 31, 2007, the Trusts had the following leverage amounts to total net assets before the deduction of leverage of:

 

 

 

 

 

         

Trust

 

 

Leverage%

 

         

Core Bond

 

 

22%

 

High Yield

 

 

15%

 

Income Opportunity

 

 

22%

 

Income Trust

 

 

8%

 

Limited Duration

 

 

14%

 

Preferred and Equity

 

 

33%

 

Leverage creates risks for holders of Common Stock including the likelihood of greater net asset value and market price volatility. In addition, there is the risk that fluctuations in interest rates on borrowings or in the dividend rates on any Preferred Stock may reduce the Common Stock’s yield and negatively impact its net asset value and market price. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, each Trust’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Stock shareholders will be reduced.

 

 

 

 

 

 

 

 

79

ANNUAL REPORT

OCTOBER 31, 2007

 




Dividend Reinvestment Plans (unaudited)

Pursuant to each Trust’s respective Dividend Reinvestment Plan (the “Plan”), common shareholders of Broad Investment Grade, Income Opportunity and Income Trust may elect, while shareholders of Core Bond, High Yield, Limited Duration, Preferred and Equity and Strategic Bond are automatically enrolled, to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Plan Agent”) in the respective Trust’s shares pursuant to the Plan. Shareholders who do not participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Plan Agent, which serves as agent for the shareholders in administering the Plan.

After Broad Investment Grade declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, by the purchase of outstanding shares on the open market, on the Trust’s primary exchange or elsewhere (“open market purchases”). The Trust will not issue any new shares under the Plan.

After Core Bond, High Yield, Income Trust, Limited Duration, Preferred and Equity and/or Strategic Bond declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, depending upon the circumstances described below, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by open market purchases. If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as “market premium”), the Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the payment date, the dollar amount of the dividend will be divided by 95% of the market price on the payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus estimated brokerage commissions (such condition being referred to herein as “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases.

At a meeting of the Board of Trustees of the Income Opportunity Trust on November 21, 2006, the Board approved an amendment to the Dividend Reinvestment Plan of the Income Opportunity Trust. The Plan previously operated in a manner similar to Broad Investment Grade’s Plan, and permitted shares to be purchased only on the open market. As a result of the amendment, the Plan will permit purchases of newly issued shares on terms similar to the Plans described in the next paragraph. This amendment took effect on April 1, 2007.

The Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any Federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, each Trust reserves the right to amend the Plan to include a service charge payable by the participants. Participants who request a sale of shares through the Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Plan should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021 or (800) 699-1BFM.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their nonpublic personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal nonpublic information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our Web sites.

BlackRock does not sell or disclose to nonaffiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to service Client accounts. These nonaffiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to nonpublic personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the nonpublic personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

80




Additional Information (unaudited)

TAX NOTICE

The following information is provided with respect to the distributions paid by the BlackRock Closed-End Funds for the fiscal year ended October 31, 2007:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

 

 

 

Payable Date

 

Federal
Obligation
Interest1

 

Interest Related
Dividends for
Non- U.S.
Residents2

 

Long-Term
Capital Gains
Per Share ($)

 

                     

Broad Investment Grade 2009 Term Trust (BCT)

 

 

11/30/06 –1/31/07

 

3.48

%

 

8.50

%

 

 

 

 

 

 

2/28/07 – 10/31/07

 

2.13

%

 

42.10

%

 

 

 

High Yield Trust (BHY)

 

 

11/30/06 – 1/31/07

 

2.08

%

 

58.91

%

 

 

 

 

 

 

2/28/07 – 10/31/07

 

1.78

%

 

87.67

%

 

 

 

Income Opportunity Trust (BNA)

 

 

11/30/06 – 1/31/06

 

8.24

%

 

51.11

%

 

 

 

 

 

 

2/28/07 – 10/31/07

 

1.97

%

 

100

%

 

 

 

 

Income Trust (BKT)

 

 

11/30/06 – 1/31/07

 

7.80

%

 

58.17

%

 

 

 

 

 

 

2/28/07 – 10/31/07

 

12.22

%

 

84.45

%

 

 

 

Limited Duration Income Trust (BLW)

 

 

11/30/06 – 1/31/07

 

2.41

%

 

57.97

%

 

 

 

 

 

 

2/28/07 – 9/30/07

 

1.93

%

 

100

%

 

 

 

 

 

 

10/31/07

 

1.93

%

 

100

%

 

0.060444

 

 

Preferred and Equity Advantage Trust (BTZ)*

 

 

1/31/07 – 10/31/07

 

2.31

%

 

37.89

%

 

 

 

Strategic Bond Trust (BHD)

 

 

11/30/06 – 1/31/07

 

2.50

%

 

57.18

%

 

 

 

 

 

 

2/28/07 – 10/31/07

 

3.76

%

 

100

%

 

 

 

                           

 

 

*

Of the ordinary distributions paid by Preferred and Equity Advantage Trust, 37 percent consist of qualified dividend income for individuals and dividends qualifying for the dividends received deduction for corporations.

 

 

1

The law varies in each state as to whether and what percentage of dividend income attributable to Federal Obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

 

 

2

Represents the portion of the distributions paid that are exempt from U.S withholding tax for nonresident aliens and foreign corporations.

In January 2008, a form 1099-DIV will be sent to shareholders which will state the amount and composition of distributions and provide information with respect to their appropriate tax treatment.

 

 

 

 

 

 

 

 

81

ANNUAL REPORT

OCTOBER 31, 2007

 



 


Additional Information (unaudited) (continued)

Shareholder Meetings

The Joint Annual Meeting of Shareholders was held on August 16, 2007 for shareholders of record on June 20, 2007, to elect director or trustee nominees of each Trust. This proposal was part of the reorganization of the Trust’s Boards of Trustees (the “Boards”) to take effect on or about November 1, 2007. The Board is organized into three classes one class of which is elected annually. Each Trustee serves a three-year term concurrent with the class into which he or she is elected.

Approved the Class I Directors/Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

               

 

 

G. Nicholas Beckwith, III

 

Kent Dixon

 

R. Glenn Hubbard

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

                           

Broad Investment Grade

 

 

2,600,006

 

 

20,037

 

 

2,600,006

 

 

20,037

 

 

2,600,006

 

 

20,037

 

Core Bond

 

 

21,540,504

 

 

205,001

 

 

21,534,431

 

 

211,073

 

 

21,540,366

 

 

205,138

 

High Yield

 

 

5,938,569

 

 

96,163

 

 

5,941,585

 

 

93,147

 

 

5,937,943

 

 

96,789

 

Income Opportunity

 

 

27,451,182

 

 

274,088

 

 

27,449,422

 

 

275,848

 

 

27,444,122

 

 

281,147

 

Income Trust

 

 

54,004,899

 

 

878,220

 

 

54,007,568

 

 

875,552

 

 

54,012,161

 

 

870,958

 

Limited Duration

 

 

31,528,458

 

 

301,321

 

 

31,522,202

 

 

307,576

 

 

31,527,975

 

 

301,804

 

Preferred and Equity

 

 

49,178,575

 

 

636,127

 

 

49,172,672

 

 

642,030

 

 

49,178,097

 

 

636,605

 

Strategic Bond

 

 

5,838,976

 

 

188,565

 

 

5,839,626

 

 

187,915

 

 

5,838,876

 

 

188,665

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

 

 

W. Carl Kester

 

Robert S. Salomon, Jr.

 

 

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

                   

Broad Investment Grade

 

 

2,600,006

 

 

20,037

 

 

2,600,006

 

 

20,037

 

Core Bond

 

 

21,542,541

 

 

202,963

 

 

21,532,904

 

 

212,601

 

High Yield

 

 

5,940,393

 

 

94,339

 

 

5,941,060

 

 

93,672

 

Income Opportunity

 

 

27,459,822

 

 

265,448

 

 

27,427,963

 

 

297,307

 

Income Trust

 

 

540,145,471

 

 

868,572

 

 

53,998,127

 

 

884,992

 

Limited Duration

 

 

31,535,465

 

 

294,314

 

 

31,529,737

 

 

300,042

 

Preferred and Equity

 

 

12,415

1 

 

63

1 

 

49,178,951

 

 

635,751

 

Strategic Bond

 

 

5,839,476

 

 

188,065

 

 

5,839,776

 

 

187,765

 

Approved the Class II Directors/Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                       

 

 

Richard S. Davis

 

Frank J. Fabozzi

 

James T. Flynn

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

                           

Broad Investment Grade

 

 

2,600,006

 

 

20,037

 

 

2,600,006

 

 

20,037

 

 

2,600,006

 

 

20,037

 

Core Bond

 

 

21,528,535

 

 

216,970

 

 

21,543,679

 

 

201,825

 

 

21,535,708

 

 

209,796

 

High Yield

 

 

5,939,343

 

 

95,389

 

 

5,938,756

 

 

95,976

 

 

5,941,378

 

 

93,354

 

Income Opportunity

 

 

27,452,493

 

 

272,777

 

 

27,456,158

 

 

269,112

 

 

27,447,610

 

 

277,660

 

Income Trust

 

 

54,011,445

 

 

871,675

 

 

54,017,461

 

 

865,659

 

 

54,012,426

 

 

870,694

 

Limited Duration

 

 

31,533,743

 

 

296,036

 

 

31,534,354

 

 

295,425

 

 

31,531,608

 

 

298,171

 

Preferred and Equity

 

 

49,181,551

 

 

633,151

 

 

12,415

1 

 

63

1 

 

49,179,416

 

 

635,286

 

Strategic Bond

 

 

5,839,276

 

 

188,265

 

 

5,836,791

 

 

190,750

 

 

5,839,776

 

 

187,765

 


 

 

 

 

 

 

 

 

               

 

 

Karen P. Robards

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

           

Broad Investment Grade

 

 

2,600,006

 

 

20,037

 

Core Bond

 

 

21,546,810

 

 

198,695

 

High Yield

 

 

5,939,791

 

 

94,941

 

Income Opportunity

 

 

27,457,771

 

 

267,499

 

Income Trust

 

 

54,006,888

 

 

876,232

 

Limited Duration

 

 

31,534,697

 

 

295,081

 

Preferred and Equity

 

 

49,180,119

 

 

634,583

 

Strategic Bond

 

 

5,839,676

 

 

187,865

 


 

 

1

Voted on by holders of preferred shares only.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

82



 


Additional Information (unaudited) (concluded)

Approved the Class III Directors/Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

               

 

 

Richard E. Cavanagh

 

Kathleen F. Feldstein

 

Henry Gabbay

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

                           

Broad Investment Grade

 

 

2,600,006

 

 

20,037

 

 

2,600,006

 

 

20,037

 

 

2,600,006

 

 

20,037

 

Core Bond

 

 

21,545,394

 

 

200,110

 

 

21,537,449

 

 

208,056

 

 

21,528,340

 

 

217,164

 

High Yield

 

 

5,939,949

 

 

94,783

 

 

5,937,482

 

 

97,250

 

 

5,939,881

 

 

94,851

 

Income Opportunity

 

 

27,447,696

 

 

277,574

 

 

27,434,374

 

 

290,896

 

 

27,449,506

 

 

275,764

 

Income Trust

 

 

54,014,874

 

 

868,245

 

 

53,992,362

 

 

890,757

 

 

54,015,668

 

 

867,452

 

Limited Duration

 

 

31,529,595

 

 

300,184

 

 

31,523,085

 

 

306,693

 

 

31,527,485

 

 

302,294

 

Preferred and Equity

 

 

49,151,157

 

 

663,545

 

 

49,177,230

 

 

637,472

 

 

49,184,426

 

 

630,276

 

Strategic Bond

 

 

5,839,176

 

 

188,365

 

 

5,838,876

 

 

188,665

 

 

5,839,926

 

 

187,615

 

               

 

 

 

 

 

 

 

 

 

 

Jerrold B. Harris

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

           

Broad Investment Grade

 

 

2,600,006

 

 

20,037

 

Core Bond

 

 

21,544,954

 

 

200,551

 

High Yield

 

 

5,941,378

 

 

93,354

 

Income Opportunity

 

 

27,441,156

 

 

284,114

 

Income Trust

 

 

54,010,458

 

 

872,661

 

Limited Duration

 

 

31,525,195

 

 

304,584

 

Preferred and Equity

 

 

49,180,428

 

 

634,274

 

Strategic Bond

 

 

5,838,976

 

 

188,565

 

The following Trusts had an additional proposal (Proposal #2) to amend their respective Declarations of Trust to increase the maximum number of Board Members to 15:

 

 

 

 

 

 

 

 

 

 

 

               

 

 

Votes For

 

Votes
Against

 

Votes
Abstain

 

               

Core Bond

 

 

21,397,280

 

 

273,953

 

 

74,272

 

High Yield

 

 

5,853,627

 

 

164,515

 

 

16,590

 

Limited Duration

 

 

30,858,715

 

 

452,424

 

 

518,639

 

Preferred and Equity

 

 

48,460,779

 

 

990,861

 

 

363,061

 

Strategic Bond

 

 

5,817,653

 

 

131,815

 

 

78,074

 

Each Trust listed for trading on the New York Stock Exchange (“NYSE”) has filed with the NYSE its annual chief executive officer certification regarding compliance with the NYSE’s listing standards and each Trust listed for trading on the American Stock Exchange (“AMEX”) has filed with the AMEX its corporate governance certification regarding compliance with the AMEX’s listing standards. All of the Trusts have filed with the Securities and Exchange Commission the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

The Trusts do not make available copies of their respective Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of such Trust’s offering and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in any Trust’s investment objective or policies or to any Trust’s charters or by-laws that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts.

Quarterly performance and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended, to incorporate BlackRock’s website into this report.

 

 

 

 

 

 

 

 

83

ANNUAL REPORT

OCTOBER 31, 2007

 



 


Section 19 Notices (unaudited)

The amounts and sources of distributions reported are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Trust’s investment experience during the remainder of its fiscal year and may be subject to changes based on the tax regulations. The Trust will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

           

 

 

Total Fiscal Year to Date Cumulative
Distributions by Character

 

Percentage of Fiscal Year to Date Cumulative
Distributions by Character

 

 

 

 

 

 

 

Trust

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

                                   

Core Bond

 

$

0.72

 

$

 

$

0.09

 

$

0.80

 

 

89

%

 

%

 

11

%

 

100

%

Income Opportunity

 

 

0.61

 

 

 

 

0.05

 

 

0.66

 

 

92

 

 

 

 

8

 

 

100

 

Income Trust

 

 

0.32

 

 

 

 

0.05

 

 

0.37

 

 

85

 

 

 

 

15

 

 

100

 

Preferred and Equity

 

 

0.89

 

 

 

 

0.52

 

 

1.41

 

 

63

 

 

 

 

37

 

 

100

 

Each Trust estimates that it has distributed more than its income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to the shareholder. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with ‘yield’ or ‘income’.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

84





Directors/Trustees Information (unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

Name, Address and
Year of Birth

 

Current Positions
Held With the
Trusts

 

Term of Office
and Length of
Time Served

 

Principal Occupations
During the Past Five Years

 

Number of
Portfolios
Overseen
Within the
Fund
Complex1

 

Other Directorships
Held Outside the
Fund Complex1

 

Events or Transactions by
Reason of Which the
Trustee is an Interested
Person as Defined in
Section 2(a) (19) of the
1940 Act

 

Interested Director/Trustee2

 

 

 

 

 

 

 

Ralph L. Schlosstein

BlackRock, Inc.
40 East 52nd Street
New York, NY 10022

1951

 

Chairman of the Board3

 

3 years4/ since inception

 

Director from 1999 to 2007 and President of BlackRock, Inc. from 1998 to 2007. Chairman and President of the BlackRock Liquidity Funds.

 

70

 

None

 

Former Director and President of the Advisor until September 2007.

 

 

 

1

The Fund Complex means two or more registered investment companies that: (1) hold themselves out to investors as related companies for purposes of investment and investor services; or (2) have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies.

2

Interested Director/Trustee as defined by Section 2(a)(19) of the Investment Company Act of 1940.

3

Director/Trustee since inception; appointed Chairman of the Board on August 22, 2002.

4

The Board is classified into three classes of which one class is elected annually. Each Director/Trustee serves a three-year term concurrent with the class from which they are elected.


 

 

 

 

 

 

 

 

85

ANNUAL REPORT

OCTOBER 31, 2007

 





Directors/Trustees Information (unaudited) (continued)

 

 

 

 

 

 

 

 

 

 

 

Name, Address and
Year of Birth

 

Current Positions Held
With the Trusts

 

Term of Office and
Length of Time
Served

 

Principal Occupations
During the Past Five Years

 

Number of
Portfolios Overseen
Within the Fund
Complex1

 

Other Directorships
Held Outside the
Fund Complex

 

Independent Directors/Trustees

 

 

 

 

 

Richard E. Cavanagh

P.O. Box 4546
New York, NY
10163-4546

1946

 

Lead Trustee Audit Committee Member2

 

3 years3/since inception

 

Trustee, Aircraft Finance Trust (AFT) from 1999 to the present; Director, The Guardian Life Insurance Company of America and The Mutual Life Insurance Company from 1998 to the present; Trustee, Educational Testing Service (ETS) from 1997 until the present; Director, the Freemont Group from 1996 until the present. President and Chief Executive Officer of The Conference Board, Inc. (a leading global busi- ness research organization) from 1995 to 2007.

 

60

 

Arch Chemical (Chemicals and Allied Products).

 

Kent Dixon

P.O. Box 4546
New York, NY
10163-4546

1937

 

Trustee Audit Committee Member2

 

3 years3/since
inception

 

Consultant/Investor since 1988.

 

60

 

None

 

Frank J. Fabozzi

P.O. Box 4546
New York, NY
10163-4546

1948

 

Trustee Audit Committee Member2

 

3 years3/since inception

 

Consultant/Editor of, “The Journal of Portfolio Management”; Yale University, School of Management, Professor in the Practice of Finance and Becton Fellow from 2006 until present; Adjunct Professor of Finance and Becton Fellow from 2005 to 2006; Professor in the practice of Finance from 2003 to 2005; Adjunct Professor of Finance from 1994 to 2003; Author and Editor.

 

60

 

None

 

 

 

1

The Fund Complex means two or more registered investments companies that: (1) hold themselves out to investors as related companies for purposes of investment and investor services; or (2) have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies.

2

The Board of each Trust has determined that each Trust has three Audit Committee financial experts serving on its Audit Committee, Mr. Cavanagh, Mr. Dixon and Mr. Fabozzi, each of whom is independent for the purpose of the definition of Audit Committee financial expert as applicable to the Trusts.

3

The Board is classified into three classes of which one class is elected annually. Each Director/Trustee serves a three-year term concurrent with the class from which they are elected.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

86





Directors/Trustees Information (unaudited) (concluded)

 

 

 

 

 

 

 

 

 

 

 

Name, Address and
Year of Birth

 

Current Positions Held
With the Trusts

 

Term of Office and
Length of Time
Served

 

Principal Occupations
During the Past Five Years

 

Number of
Portfolios Overseen
Within the Fund
Complex1

 

Other Directorships
Held Outside the
Fund Complex

 

Independent Directors/Trustees

 

 

 

 

 

Kathleen F. Feldstein

P.O. Box 4546
New York, NY
10163-4546

1941

 

Trustee

 

3 years3/since January 19, 2005

 

President of Economic Studies, Inc., (a Belmont MA-based private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital since 2000. Member of the Board of Partners Community Healthcare, Inc. from 2005 until the present; Member of the Board of Partners HealthCare and Sherrill House from 1990 to the present; Trustee, Museum of Fine Arts, Boston from 1992 until the present and a Member of the Visiting Committee to the Harvard University Art Museum from 2003 to the present; Trustee, The Committee for Economic Development (a research organization of business leaders and educators) from 1990 to the present; Member of the Advisory Board to the International School of Business, Brandeis University from 2002 to the present.

 

60

 

Director, The McClatchy
Company.

 

R. Glenn Hubbard

P.O. Box 4546
New York, NY
10163-4546

1958

 

Trustee

 

3 years3/since November 16, 2004

 

Dean of Columbia Business School since 2004; Columbia faculty member since 1988; Co-director of Columbia Business School’s Entrepreneurship Program 1997 to 2004; Visiting Professor at the John F. Kennedy School of Government at Harvard University and the Harvard Business School from 1985, as well as the University of Chicago from 1994; Deputy Assistant Secretary of the U.S. Treasury Department for Tax Policy from 1991 to 1993; Chairman of the U.S. Council of Economic Advisers under the President of the United States from 2001 to 2003.

 

60

 

ADP, KKR Financial Corporation, Duke Realty, Metropolitan Life Insurance Company.


 

 

1

The Fund Complex means two or more registered investments companies that: (1) hold themselves out to investors as related companies for purposes of investment and investor services; or (2) have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies.

2

The Board of each Trust has determined that each Trust has three Audit Committee financial experts serving on its Audit Committee, Mr. Cavanagh, Mr. Dixon and Mr. Fabozzi, each of whom is independent for the purpose of the definition of Audit Committee financial expert as applicable to the Trusts.

3

The Board is classified into three classes of which one class is elected annually. Each Director/Trustee serves a three-year term concurrent with the class from which they are elected.


 

 

 

 

 

 

 

 

87

ANNUAL REPORT

OCTOBER 31, 2007

 





 

BlackRock Closed-End Funds

 

Officers

Robert S. Kapito, President

Donald C. Burke, Treasurer

Bartholomew Battista, Chief Compliance Officer

Anne Ackerley, Vice President

Vincent B. Tritto, Secretary

 

Investment Advisor

BlackRock Advisors, LLC

100 Bellevue Parkway

Wilmington, DE 19809

(800) 227-7BFM

 

Sub-Advisor

BlackRock Financial Management, Inc.1

40 East 52nd Street

New York, NY 10022

 

BlackRock Investment Management, LLC2

40 East 52nd Street

New York, NY 10022

 

Accounting Agent and Custodian

State Street Bank and Trust Company

2 Avenue De Lafayette

Boston, MA 02111

 

Transfer Agent

Computershare Trust Company, N.A.

250 Royall Street

Canton, MA 02021

(800) 699-1BFM

 

Auction Agent2

Bank of New York

101 Barclay Street, 7 West

New York, NY 10286

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Four Times Square

New York, NY 10036

 

Legal Counsel – Independent Trustees

Debevoise & Plimpton LLP

919 Third Avenue

New York, NY 10022

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change.

BlackRock Closed-End Funds
c/o BlackRock Advisors, LLC
100 Bellevue Parkway
Wilmington, DE 19809
(800) 227-7BFM

 

 


1

For Core Bond, Limited Duration, Preferred and Equity and Strategic Bond.

2

For Preferred and Equity.

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact the Trusts at (800) 699-1BFM.

The Trusts have delegated to the Advisor the voting of proxies relating to their voting securities pursuant to the Advisor’s proxy voting policies and procedures. You may obtain a copy of these proxy voting policies and procedures, without charge, by calling (800) 699-1BFM. These policies and procedures are also available on the website of the Securities and Exchange Commission (the “Commission”) at http://www.sec.gov.

Information on how proxies relating to the Trusts’ voting securities were voted by the Advisor during the most recent 12-month period ended June 30th is available without charge, upon request, by calling (800) 699-1BFM or on the website of the Commission at http://www.sec.gov.

The Trusts file their complete schedule of portfolio holdings for the first and third quarters of their respective fiscal years with the Commission on Form N-Q. Each Trust’s Form N-Q is available on the Commission’s website at http://www.sec.gov. Each Trust’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information regarding the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. Each Trust’s Form N-Q may also be obtained without charge, upon request, by calling (800) 699-1BFM.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 

This report is for shareholder information. This is not a prospectus intended for
use in the purchase or sale of Trust shares. Statements and other information
contained in this report are as dated and are subject to change.

 

 

 

CEF-ANN-3-1007

(BLACKROCK LOGO)




Item 2 –   Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant's principal executive officer, principal financial officer and principal accounting officer, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.
   
Item 3 – Audit Committee Financial Expert – The registrant's board of directors or trustees, as applicable (the “board of directors”) has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:
Kent Dixon
Frank J. Fabozzi
Dr. Andrew F. Brimmer (retired as of December 31, 2006)
Robert S. Salomon, Jr. (term began effective November 1, 2007)
W. Carl Kester (term began effective November 1, 2007)
James T. Flynn (term began effective November 1, 2007)
Karen P. Robards (term began effective November 1, 2007)
   
 

The registrant's board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is the member of the Audit Committees of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.

 



Item 4 – Principal Accountant Fees and Services

    (a) Audit Fees    (b) Audit-Related Fees1   (c) Tax Fees2   (d) All Other Fees3
    Current   Previous   Current   Previous   Current   Previous   Current   Previous
    Fiscal Year   Fiscal Year   Fiscal Year   Fiscal Year   Fiscal Year   Fiscal Year   Fiscal Year   Fiscal Year
Entity Name   End   End   End   End   End   End   End   End

 

  BlackRock Limited                                
  Duration Income   $37,000   $37,000   $0   $0   $6,100   $8,000   $1,042   $4,700
  Trust                                 
1 The nature of the services include assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.
2 The nature of the services include tax compliance, tax advice and tax planning.
3 The nature of the services include a review of compliance procedures and attestation thereto.

 

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

       The registrant has polices and procedures (the "Policy") for the pre-approval by the registrant's audit committee of Audit, Audit-Related, Tax and Other Services (as each is defined in the Policy) provided by the Fund's independent auditor (the "Independent Auditor") to the registrant and other "Covered Entities" (as defined below). The term of any such pre-approval is 12 months from the date of pre-approval, unless the audit committee specifically provides for a different period. The amount of any such pre-approval is set forth in the appendices to the Policy (the "Service Pre-Approval Documents"). At its first meeting of each calendar year, the audit committee will review and re-approve the Policy and approve or re-approve the Service Pre-Approval Documents for that year, together with any changes deemed necessary or desirable by the audit committee. The audit committee may, from time to time, modify the nature of the services pre-approved, the aggregate level of fees pre-approved or both.

       For the purposes of the Policy, "Covered Services" means (A) all engagements for audit and non-audit services to be provided by the Independent Auditor to the Fund and (B) all engagements for non-audit services related directly to the operations and financial reporting or the Fund to be provided by the Independent Auditor to any Covered Entity, "Covered Entities" means (1) the Advisor or (2) any entity controlling, controlled by or under common control with the Advisor that provides ongoing services to the Fund.

       In the intervals between the scheduled meetings of the audit committee, the audit committee delegates pre-approval authority under this Policy to the Chairman of the audit committee (the "Chairman"). The Chairman shall report any pre-approval decisions under this Policy to the audit committee at its next scheduled meeting. At each scheduled meeting, the audit committee will review with the Independent Auditor the Covered Services pre-approved by the Chairman pursuant to delegated authority, if any, and the fees related thereto. Based on these reviews, the audit committee can modify, at its discretion, the pre-approval originally granted by the Chairman pursuant to delegated authority. This modification can be to the nature of services pre-approved, the aggregate level of fees approved, or both. Pre-approval of Covered Services by the Chairman pursuant to delegated authority is expected to be the exception rather than the rule and the audit committee may modify or withdraw this delegated authority at any time the audit committee determines that it is appropriate to do so.

       Fee levels for all Covered Services to be provided by the Independent Auditor and pre-approved under this Policy will be established annually by the audit committee and set forth in the Service Pre-Approval Documents. Any increase in pre-approved fee levels will require specific pre-approval by the audit committee (or the Chairman pursuant to delegated authority).

 



 

       The terms and fees of the annual Audit services engagement for the Fund are subject to the specific pre-approval of the audit committee. The audit committee (or the Chairman pursuant to delegated authority) will approve, if necessary, any changes in terms, conditions or fees resulting from changes in audit scope, Fund structure or other matters.

       In addition to the annual Audit services engagement specifically approved by the audit committee, any other Audit services for the Fund not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the audit committee (or the Chairman pursuant to delegated authority).

       Audit-Related services are assurance and related services that are not required for the audit, but are reasonably related to the performance of the audit or review of the financial statements of the registrant and, to the extent they are Covered Services, the other Covered Entities (as defined in the Joint Audit Committee Charter) or that are traditionally performed by the Independent Auditor. Audit-Related services that are Covered Services and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the audit committee (or the Chairman pursuant to delegated authority).

       The audit committee believes that the Independent Auditor can provide Tax services to the Covered Entities such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the audit committee will not permit the retention of the Independent Auditor in connection with a transaction initially recommended by the Independent Auditor, the sole business purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. Tax services that are Covered Services and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the audit committee (or the Chairman pursuant to delegated authority).

       All Other services that are covered and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the audit committee (or the Chairman pursuant to delegated authority).

       Requests or applications to provide Covered Services that require approval by the audit committee (or the Chairman pursuant to delegated authority) must be submitted to the audit committee or the Chairman, as the case may be, by both the Independent Auditor and the Chief Financial Officer of the respective Covered Entity, and must include a joint statement as to whether, in their view, (a) the request or application is consistent with the rules of the Securities and Exchange Commission ("SEC") on auditor independence and (b) the requested service is or is not a non-audit service prohibited by the SEC. A request or application submitted to the Chairman between scheduled meetings of the audit committee should include a discussion as to why approval is being sought prior to the next regularly scheduled meeting of the audit committee.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) Affiliates’ Aggregate Non-Audit Fees:


      Current Fiscal Year   Previous Fiscal Year
                 Entity Name   End   End

 

           
  BlackRock Limited Duration
Income Trust
  $291,642   $298,900



 

(h) The registrant’s audit committee has considered and determined that the provision of non audit services that were rendered to the registrant’s investment adviser (not including any non-affiliated sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by the registrant’s investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Regulation S-X Rule 2-01(c)(7)(ii) – $284,500, 0%

   
Item 5 –  

Audit Committee of Listed Registrants – The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)):

Dr. Andrew F. Brimmer (retired as of December 31, 2006)
Richard E. Cavanagh (not reappointed to Audit Committee as of November 1, 2007)
Kent Dixon
Frank J. Fabozzi
Robert S. Salomon, Jr. (term began effective November 1, 2007)
W. Carl Kester (term began effective November 1, 2007)
James T. Flynn (term began effective November 1, 2007)
Karen P. Robards (term began effective November 1, 2007)

   
Item 6 – Schedule of Investments – The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
   
Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The registrant has delegated the voting of proxies relating to Fund portfolio securities to its investment adviser, BlackRock Advisors, LLC and its sub-adviser, as applicable. The Proxy Voting Policies and Procedures of the adviser and sub-adviser are attached hereto as Exhibit 99.PROXYPOL.

Information about how the Fund voted proxies relating to securities held in the Fund’s portfolio during the most recent 12 month period ended June 30 is available without charge (1) at www.blackrock.com and (2) on the Commission’s web site at http://www.sec.gov.

   
Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – as of October 31, 2007.

(a)(1) BlackRock Limited Duration Income Trust is managed by a team of investment professionals comprised of Scott Amero, Managing Director at BlackRock, Jeffrey Gary, CPA, Managing Director at BlackRock, Mark J. Williams, Managing Director at BlackRock, Kevin J. Booth, CFA, Managing Director at BlackRock and James E. Keenan, CFA, Director at BlackRock. Each is a member of BlackRock’s fixed income portfolio management group. Messrs. Amero and Gary are responsible for setting the Fund’s overall credit strategy. Mr. Williams is responsible for setting overall investment strategy and overseeing management of the Fund. Messrs. Booth and Keenan are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Amero has been a member of the Fund’s

 



 

management team since 2003, Mr. Gary has been a member of the Fund’s management team since 2006 and Mr. Williams has been a member of the Fund’s management team since 2007. Messrs. Booth and Keenan have been the Fund’s co-portfolio managers since 2007.

Scott Amero is co-head of BlackRock’s fixed income portfolio management group. He is a member of the Management Committee and the Investment Strategy Group. Mr. Amero is a senior strategist and portfolio manager with responsibility for overseeing all fixed income sector strategy and the overall management of client portfolios. He is also the head of global credit research. He is a director of Anthracite Capital, Inc., BlackRock’s publicly-traded real estate investment trust. Mr. Amero has been with BlackRock since 1990.

Jeffrey Gary is the head of BlackRock’s high yield team within the Fixed Income Portfolio Management Group. Prior to joining BlackRock in 2003, Mr. Gary was a Managing Director and portfolio manager with AIG (American General) Investment Group.

Mr. Williams is the head of BlackRock’s bank loan group and a member of the Investment Strategy Group. His primary responsibility is originating and evaluating bank loan investments for the firm's collateralized bond obligations. He is also involved in the evaluation and sourcing of mezzanine investments. Prior to joining BlackRock in 1998, Mr. Williams spent eight years with PNC Bank's New York office and was a founding member of the bank's Leveraged Finance Group. In that capacity he was responsible for structuring proprietary middle market leveraged deals and sourcing and evaluating broadly syndicated leveraged loans in the primary and secondary markets for PNC Bank's investment portfolio. From 1984 until 1990, Mr. Williams worked in PNC Bank's Philadelphia office in a variety of marketing and corporate finance positions.

Kevin Booth is co-head of the high yield team within BlackRock’s Fixed Income Portfolio Management Group. His primary responsibilities are managing portfolios and directing investment strategy. He specializes in hybrid high yield portfolios, consisting of leveraged bank loans, high yield bonds, and distressed obligations. Prior to joining BlackRock, Mr. Booth was a Managing Director (Global Fixed Income) of Merrill Lynch Investment Managers (“MLIM”) in 2006, a Director from 1998 to 2006 and was a Vice President of MLIM from 1991 to 1998. He has been a portfolio manager with BlackRock or MLIM since 1992, and was a member of MLIM’s bank loan group from 2000 to 2006.

James Keenan is a high yield portfolio manager and trader within BlackRock’s Fixed Income Portfolio Management Group. His primary responsibilities are managing client portfolios, executing trades and ensuring consistency across high yield portfolios. Mr. Keenan has been with BlackRock since 2004. Prior to joining BlackRock, he was a senior high yield trader at Columbia Management Group. Mr. Keenan began his investment career at UBS Global Asset Management where he held roles as a trader, research analyst and a portfolio analyst from 1998 through 2003.

 



(a)(2) As of October 31, 2007:


(iii) Number of Other Accounts and
(ii) Number of Other Accounts Managed Assets for Which Advisory Fee is
and Assets by Account Type Performance-Based
Other Other
(i) Name of Registered Other Pooled Registered Other Pooled
Portfolio Investment Investment Other Investment Investment Other
Manager

 

Companies

 

Vehicles

 

Accounts

 

Companies

 

Vehicles

 

Accounts
  Scott Amero   48   38   258   0   3   21
    $40,182,202,768   $6,954,333,971   $95,887,026,723   $0   $2,577,310,124   $6,366,579,342
  Jeffrey Gary   17   12   17   0   5   5
    $7,990,123,814   $3,521,329,269   $7,450,262,711   $0   $2,134,982,068   $929,839,511
  Mark Williams   9   17   2   0   11   1
    $3,797,096,245   $5,624,729,433   $180,860,442   $0   $4,255,521,628   $27,911,281
  Kevin Booth   23   9   7   0   3   3
    $10,847,789,334   $2,807,991,314   $1,342,876,998   $0   $983,503,746   $597,096,279
  James Keenan   17   9   16   0   2   5
    $7,990,123,814   $2,533,806,875   $3,031,198,440   $0   $1,211,076,381   $780,980,221

(iv) Potential Material Conflicts of Interest

BlackRock, Inc. and its affiliates (collectively, herein “BlackRock”) has built a professional working environment, firm wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, its affiliates and any officer, director, stockholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, or any of its affiliates, or any officer, director, stockholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock’s (or its affiliates’) officers, directors or employees are directors or officers, or companies as to which BlackRock or any of its affiliates or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Each portfolio manager also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for the Fund. In this connection, it should be noted that certain portfolio managers currently manage certain accounts that are subject to performance fees. In addition, certain portfolio managers assist in managing certain hedge funds and may be entitled to receive a portion of any incentive fees earned on such funds and a portion of such incentive fees may be voluntarily or involuntarily deferred. Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees.



As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock has adopted a policy that is intended to ensure that investment opportunities are allocated fairly and equitably among client accounts over time. This policy also seeks to achieve reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base.

(a)(3) As of October 31, 2007:

Portfolio Manager Compensation

       The portfolio manager compensation program of BlackRock is critical to BlackRock’s ability to attract and retain the most talented asset management professionals. This program ensures that compensation is aligned with maximizing investment returns and it provides a competitive pay opportunity for competitive performance.

Compensation Program

       The elements of total compensation for BlackRock portfolio managers are: fixed base salary, annual performance-based cash and stock compensation (cash and stock bonus) and other benefits. BlackRock has balanced these components of pay to provide portfolio managers with a powerful incentive to achieve consistently superior investment performance. By design, portfolio manager compensation levels fluctuate — both up and down — with the relative investment performance of the portfolios that they manage.

Base Salary

       Under the BlackRock approach, like that of many asset management firms, fixed base salaries represent a relatively small portion of a portfolio manager’s total compensation. This approach serves to enhance the motivational value of the performance-based (and therefore variable) compensation elements of the compensation program.

Performance-Based Compensation

       BlackRock believes that the best interests of investors are served by recruiting and retaining exceptional asset management talent and managing their compensation within a consistent and disciplined framework that emphasizes pay for performance in the context of an intensely competitive market for talent. To that end, the portfolio manager incentive compensation is based on a formulaic compensation program.

       BlackRock’s formulaic portfolio manager compensation program includes: pre-tax investment performance relative to the appropriate competitors or benchmarks over 1-, 3- and 5-year performance periods and a measure of operational efficiency. If a portfolio manager’s tenure is less than 5 years, performance periods will reflect time in position. Portfolio managers are compensated based on products they manage. For these purposes, the performance of the Fund is compared to



the Lipper Closed-end High Current Yield Funds classification. A smaller discretionary element of portfolio manager compensation may include consideration of: financial results, expense control, profit margins, strategic planning and implementation, quality of client service, market share, corporate reputation, capital allocation, compliance and risk control, leadership, workforce diversity, supervision, technology and innovation. All factors are considered collectively by BlackRock management.

Cash Bonus

       Performance-based compensation is distributed to portfolio managers in a combination of cash and stock. Typically, the cash bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers.

Stock Bonus

       A portion of the dollar value of the total annual performance-based bonus is paid in restricted shares of stock of BlackRock, Inc. (the “Company”). Paying a portion of annual bonuses in stock puts compensation earned by a portfolio manager for a given year “at risk” based on the Company’s ability to sustain and improve its performance over future periods. The ultimate value of stock bonuses is dependent on future Company stock price performance. As such, the stock bonus aligns each portfolio manager’s financial interests with those of the Company’s shareholders and encourages a balance between short-term goals and long-term strategic objectives. Management strongly believes that providing a significant portion of competitive performance-based compensation in stock is in the best interests of investors and shareholders. This approach ensures that portfolio managers participate as shareholders in both the “downside risk” and “upside opportunity” of the Company’s performance. Portfolio managers, therefore, have a direct incentive to protect the Company’s reputation for integrity.

Other Benefits

       Portfolio managers are also eligible to participate in broad-based plans offered generally to BlackRock employees, including broad-based retirement, 401(k), health, and other employee benefit plans. For example, BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP) and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 6% of eligible pay contributed to the plan capped at $4,000 per year, and a company retirement contribution equal to 3% of eligible compensation, plus an additional contribution of 2% for any year in which BlackRock has positive net operating income. The RSP offers a range of investment options, including registered investment companies managed by the firm. Company contributions follow the investment direction set by participants for their own contributions or absent, employee investment direction, are invested into a stable value fund. The ESPP allows for investment in BlackRock common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000. Each portfolio manager is eligible to participate in these plans.



  (a)(4) Beneficial Ownership of Securities. As of October 31, 2007, none of Messrs. Williams, Gary, Keenan or Booth beneficially owned any stock issued by the Fund. As of October 31, 2007, Mr. Amero beneficially owned stock issued by the Fund in the range of $10,001 to $50,000.
   
Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.
   
Item 10 – Submission of Matters to a Vote of Security Holders – The registrant’s Nominating and Governance Committee will consider nominees to the Board recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations which include biographical information and set forth the qualifications of the proposed nominee to the registrant’s Secretary. There have been no material changes to these procedures.
   
Item 11 – Controls and Procedures
   
11(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 and Exchange Act of 1934, as amended.
   
11(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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
   
Item 12 –   Exhibits attached hereto
   
12(a)(1) –   Code of Ethics – See Item 2
   
12(a)(2) – Certifications – Attached hereto
   
12(a)(3) – Not Applicable
   
12(b) – 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 Limited Duration Income Trust

By:  /s/ Donald C. Burke                                
        Donald C. Burke,
        Chief Executive Officer of
        BlackRock Limited Duration Income Trust

Date: December 19, 2007

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/ Donald C. Burke                                
        Donald C. Burke,

        Chief Executive Officer (principal executive officer) of
        BlackRock Limited Duration Income Trust

Date: December 19, 2007

By: /s/ Neal J. Andrews                                 
        Neal J. Andrews,

        Chief Financial Officer (principal financial officer) of
        BlackRock Limited Duration Income Trust

Date: December 19, 2007