N-CSRS 1 i00190_bkt-ncsrs.htm

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 811-05542

Name of Fund: BlackRock Income Trust, Inc. (BKT)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2012

Date of reporting period: 02/29/2012

Item 1 – Report to Stockholders

insert

February 29, 2012

Semi-Annual Report (Unaudited)
BlackRock Core Bond Trust (BHK)
BlackRock Corporate High Yield Fund V, Inc. (HYV)
BlackRock Corporate High Yield Fund VI, Inc. (HYT)
BlackRock High Income Shares (HIS)
BlackRock High Yield Trust (BHY)
BlackRock Income Opportunity Trust, Inc. (BNA)
BlackRock Income Trust, Inc. (BKT)
BlackRock Strategic Bond Trust (BHD)

Not FDIC Insured § No Bank Guarantee § May Lose Value

Table of Contents

	Page
Dear
Shareholder	3
Semi-Annual
Report:
Trust
Summaries	4
The
Benefits and Risks of Leveraging	20
Derivative
Financial Instruments	20
Financial Statements:
Schedules of Investments	21
Statements of Assets and Liabilities	99
Statements of Operations	103
Statements of Changes in Net Assets	105
Statements of Cash Flows	107
Financial
Highlights	109
Notes
to Financial Statements	117
Officers
and Trustees	132
Additional
Information	133

2 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

D ear Shareholder

Risk assets were advancing at this time last year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poors downgraded the US governments credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the regions debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack of definitive details about Europes rescue plan eventually raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets, but investor confidence was easily tempered by sobering news flow.

Investors showed more optimism at the start of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized. In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout plan and restructuring the nations debt. Nevertheless, considerable head-winds remain. Europe faces a prolonged recession, the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth in China weigh heavily on the future of the global economy.

Risk assets, including equities and high yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound. Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times. Visit blackrock.com/newworld for more information.

Sincerely,

Rob Kapito President, BlackRock Advisors, LLC

For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times.

Rob Kapito President, BlackRock Advisors, LLC

Total Returns as of February 29, 2012

| US large cap
equities (S&P 500 ® Index) | 6-month — 13.31 % | 12-month — 5.12 | % |
| --- | --- | --- | --- |
| US small cap
equities (Russell 2000 ® Index) | 12.40 | (0.15 | ) |
| International
equities (MSCI Europe, Australasia, Far East Index) | 4.13 | (7.45 | ) |
| Emerging
market equities (MSCI Emerging Markets Index) | 5.27 | (0.11 | ) |
| 3-month
Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index) | 0.00 | 0.08 | |
| US Treasury
securities (BofA Merrill Lynch 10- Year US Treasury Index) | 3.70 | 17.22 | |
| US
investment grade bonds (Barclays US Aggregate Bond Index) | 2.73 | 8.37 | |
| Tax-exempt
municipal bonds (S&P Municipal Bond Index) | 5.93 | 12.88 | |
| US high
yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index) | 8.62 | 6.92 | |
| Past performance is no
guarantee of future results. Index performance is shown for illustrative
purposes only. You cannot invest directly in an index. | | | |

THIS PAGE NOT PART OF YOUR FUND REPORT 3

T rust Summary as of February 29, 2012 BlackRock Core Bond Trust

Investment Objective

BlackRock Core Bond Trusts (BHK) (the Trust) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trusts investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trusts investment objective will be achieved.

Portfolio Management Commentary

How did the Trust perform?

| | For the six months ended
February 29, 2012, the Trust returned 15.20% based on market price and
8.63% based on net asset value (NAV). For the same period, the closed-end
Lipper Corporate Debt Funds BBB-Rated category posted an average return of
8.84% based on market price and 5.79% based on NAV. All returns reflect
reinvestment of dividends. The Trusts discount to NAV, which narrowed during
the period, accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance
based on NAV. |
| --- | --- |
| What
factors influenced performance? | |
| | Spread sectors
outperformed government-related debt for the six-month period as
improving US economic fundamentals and accommodative monetary policy provided
a backdrop conducive for credit spread compression. As a result, the Trust
benefited from its allocations to investment grade credit and high yield
corporate credit. Within corporate credit, relative value trading in industrials
was additive to performance. The Trust also benefited from exposure to
commercial mortgage-backed securities (CMBS), which outperformed most other
securitized debt sectors. Finally, the Trusts duration stance (sensitivity
to interest rate movements) contributed to returns as rates generally moved
lower throughout the period. |
| | The Trust actively traded
exposure to financials within investment grade credit. Although these
positions performed well toward period end, the overall effect was a drag on
performance as European sovereign debt fear caused weakness in US financial
names. |
| Describe
recent portfolio activity. | |
| | During the period, the
Trust reduced its allocation to investment grade securities in the
banking industry while increasing exposure to companies with strong cash flow
and high earnings visibility in the energy and telecommunications space.
Toward period end, the Trust increased its portfolio duration, primarily by
adding exposure to US Treasury bonds. |
| Describe
portfolio positioning at period end. | |
| | At period end, the Trust
maintained a diversified exposure to non-government spread sectors,
including investment grade credit, high yield corporate credit, CMBS,
asset-backed securities and non-agency residential mortgage-backed securities
(MBS). The Trust also held allocations to government-related sectors such
as US Treasuries, agency debt and agency MBS. The Trust ended the reporting
period with a long duration profile. |

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

4 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

BlackRock Core Bond Trust

Trust Information
Symbol on
New York Stock Exchange (NYSE)	BHK
Initial
Offering Date	November 27, 2001
Yield on
Closing Market Price as of February 29, 2012 ($14.19) 1	5.67%
Current
Monthly Distribution per Common Share 2	$0.067
Current
Annualized Distribution per Common Share 2	$0.804
Economic
Leverage as of February 29, 2012 3	29%

| 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 rate is
not constant and is subject to change. |
| 3 | Represents loan outstanding
as a percentage of total managed assets, which is the total assets of the
Trust (including any assets attributable to borrowings) minus the sum of
liabilities (other than borrowings representing financial leverage). For a
discussion of leveraging techniques utilized by the Trust, please see The
Benefits and Risks of Leveraging on page 20. |

The table below summarizes the changes in the Trusts market price and NAV per share:

	2/29/12	8/31/11	Change	High	Low
Market Price	$14.19	$12.69	11.82%	$14.24	$12.59
Net Asset
Value	$14.53	$13.78	5.44%	$14.56	$13.65

The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond and US Government securities:

Portfolio Composition	2/29/12	8/31/11
Corporate
Bonds	53 %	52 %
US Treasury
Obligations	22	16
Non-Agency
Mortgage-Backed Securities	11	12
US
Government Sponsored Agency Securities	5	13
Asset-Backed
Securities	5	4
Foreign
Agency Obligations	2	1
Taxable
Municipal Bonds	1	1
Preferred
Securities	1	1
Credit
Quality Allocations 4
	2/29/12	8/31/11
AAA/Aaa 5	38 %	40 %
AA/Aa	6	8
A	18	17
BBB/Baa	16	16
BB/Ba	9	6
B	10	11
CCC/Caa	2	2
Not Rated	1

| 4 | Using the higher of
Standard & Poors (S&Ps) or Moodys Investors Service (Moodys)
ratings. |
| --- | --- |
| 5 | Includes US Government
Sponsored Agency Securities, which were deemed AAA/Aaa by the investment
advisor. |

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 5

Trust Summary as of February 29, 2012 BlackRock Corporate High Yield Fund V, Inc.

Investment Objective

BlackRock Corporate High Yield Fund V, Inc.s (HYV) (the Trust) investment objective is to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (BB or lower by S&P or Ba or lower by Moodys) or in unrated securities considered by the Trusts investment adviser to be of comparable quality. The Trust also seeks to provide shareholders with capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield debt instruments, including high yield bonds (commonly referred to as junk bonds) and high yield corporate loans which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.


Portfolio Management Commentary

| How did
the Trust perform? | |
| --- | --- |
| | For the six months ended
February 29, 2012, the Trust returned 16.85% based on market price and
11.05% based on NAV. For the same period, the closed-end Lipper High Current
Yield Funds (Leveraged) category posted an average return of 13.38% based on
market price and 10.05% based on NAV. All returns reflect reinvestment of
dividends. The Trust moved from a discount to NAV to a premium by period end,
which accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance
based on NAV. |
| What
factors influenced performance? | |
| | The Trust delivered strong
returns for the six-month period as risk assets rallied. High yield
debt posted solid gains, outpacing government, emerging market and investment
grade corporate sectors. Across the high yield credit spectrum, security
selection in the mid- to higher-quality tiers boosted the Trusts returns.
Among sectors, security selection in the consumer service and non-captive
diversified financials was rewarding. The Trusts exposure to Delphi
Automotive Plc stock received in connection with the companys reorganization
also added to performance. |
| | Detracting from
performance was the Trusts tactical allocations to bank loans and
investment grade credit, which underperformed relative to high yield debt in
the risk asset rally. Exposure to select lower- and non-rated names in the
high yield market hurt performance, as did security selection in the paper,
metals & mining and non-cable media sectors. |
| Describe
recent portfolio activity. | |
| | The period began with
severe market volatility in reaction to headwinds from Europes debt
crisis and a possible US government shut-down. However, the environment
shifted in December when the European Central Bank announced a long-term
refinancing operation. This liquidity program provided a much-needed
short-term panacea for the financial markets and mitigated the risk of a
collapse in the European banking system. Moreover, it was the catalyst for a
positive turn in the valuation of risk assets. |
| | Given these
developments, the Trust maintained its higher-quality income- oriented
bias, but started selectively adding back some risk in names with appealing
risk-reward characteristics. Despite this modest shift to risk-on, the
Trust continued to seek issuers with superior fundamentals (solid cash flows,
earnings visibility and attractive downside protection), while generally
remaining cautious of higher-beta credits (i.e., those with higher
sensitivity to market volatility) and the more cyclical sectors. |
| Describe
portfolio positioning at period end. | |
| | At period end, the Trust
held 76% of its total portfolio in corporate bonds, 15% in floating
rate loan interests (bank loans), with the remainder in common stocks,
preferred stocks and other interests. The Trusts largest sector exposures
included non-cable media, wireless and independent energy, while its
portfolio holdings reflected less emphasis on the more cyclical segments of
the market such as gaming, building materials and technology. The Trust ended
the period with economic leverage at 24% of its total managed assets. |

6 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

BlackRock Corporate High Yield Fund V, Inc.
Trust Information

| Symbol on
NYSE | HYV |
| --- | --- |
| Initial
Offering Date | November 30, 2001 |
| Yield on
Closing Market Price as of February 29, 2012 ($12.88) 1 | 8.01% |
| Current
Monthly Distribution per Common Share 2 | $0.086 |
| Current
Annualized Distribution per Common Share 2 | $1.032 |
| Economic
Leverage as of February 29, 2012 3 | 24% |

The table below summarizes the changes in the Trusts market price and NAV per share:

	2/29/12	8/31/11	Change	High	Low
Market Price	$12.88	$11.55	11.52%	$13.05	$10.13
Net Asset
Value	$12.41	$11.71	5.98%	$12.41	$10.91

The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond investments:

Portfolio Composition — 2/29/12	8/31/11
Corporate Bonds	76 %	79 %
Floating Rate Loan Interests	15	13
Common Stocks	7	3
Preferred Stocks	2	2
Other Interests		3
Credit Quality Allocations 4
2/29/12	8/31/11
A	1 %
BBB/Baa	7	7 %
BB/Ba	38	34
B	43	45
CCC/Caa	10	11
D		1
Not Rated	1	2

4 Using the higher of S&Ps or Moodys ratings.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 7

Trust Summary as of February 29, 2012
Investment Objective

BlackRock Corporate High Yield Fund VI, Inc.s (HYT) (the Trust) primary investment objective is to provide shareholders with current income. The Trusts secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield securities, including high yield bonds (commonly referred to as junk bonds), corporate loans, convertible debt securities and preferred securities which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.


Portfolio Management Commentary

| | How did
the Trust perform? |
| --- | --- |
| | For the six months ended
February 29, 2012, the Trust returned 16.21% based on market price and
10.55% based on NAV. For the same period, the closed-end Lipper High Current
Yield Funds (Leveraged) category posted an average return of 13.38% based on
market price and 10.05% based on NAV. All returns reflect reinvestment of
dividends. The Trust moved from a discount to NAV to a premium by period end,
which accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance
based on NAV. |
| | What
factors influenced performance? |
| | The Trust delivered strong
returns for the six-month period as risk assets rallied. High yield debt
posted solid gains, outpacing government, emerging market and investment
grade corporate sectors. Across the high yield credit spectrum, security
selection in the mid- to higher-quality tiers boosted the Trusts returns.
Among sectors, security selection in the consumer service and non-captive
diversified financials was rewarding. The Trusts exposure to Delphi
Automotive Plc stock received in connection with the companys reorganization
also added to performance. |
| | Detracting from
performance was the Trusts tactical allocations to bank loans and
investment grade credit, which underperformed relative to high yield debt in
the risk asset rally. Exposure to select lower- and non-rated names in the
high yield market hurt performance, as did security selection in the paper,
metals & mining and non-cable media sectors. |
| | Describe
recent portfolio activity. |
| | The period began with
severe market volatility in reaction to headwinds from Europes debt
crisis and a possible US government shut-down. However, the environment
shifted in December when the European Central Bank announced a long-term
refinancing operation. This liquidity program provided a much-needed
short-term panacea for the financial markets and mitigated the risk of a
collapse in the European banking system. Moreover, it was the catalyst for a
positive turn in the valuation of risk assets. |
| | Given these
developments, the Trust maintained its higher-quality income-oriented
bias, but started selectively adding back some risk in names with appealing
risk-reward characteristics. Despite this modest shift to risk-on, the
Trust continued to seek issuers with superior fundamentals (solid cash flows,
earnings visibility and attractive downside protection), while generally
remaining cautious of higher-beta credits (i.e., those with higher
sensitivity to market volatility) and the more cyclical sectors. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 77% of its total portfolio in corporate bonds, 15% in floating
rate loan interests (bank loans), with the remainder in common stocks,
preferred stocks and other interests. The Trusts largest sector exposures
included non-cable media, wireless and independent energy, while its
portfolio holdings reflected less emphasis on the more cyclical segments of
the market such as gaming, building materials and technology. The Trust ended
the period with economic leverage at 24% of its total managed assets. |
| | The views expressed reflect
the opinions of BlackRock as of the date of this report and are subject to
change based on changes in market, economic or other conditions. These views
are not intended to be a forecast of future events and are no guarantee of
future results. |

8 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

| BlackRock Corporate High Yield Fund VI,
Inc. |
| --- |
| Trust Information |

| Symbol on
NYSE | HYT |
| --- | --- |
| Initial
Offering Date | May 30, 2003 |
| Yield on
Closing Market Price as of February 29, 2012 ($12.44) 1 | 8.05% |
| Current
Monthly Distribution per Common Share 2 | $0.0835 |
| Current
Annualized Distribution per Common Share 2 | $1.0020 |
| Economic
Leverage as of February 29, 2012 3 | 24% |

The table below summarizes the changes in the Trusts market price and NAV per share:

	2/29/12	8/31/11	Change	High	Low
Market Price	$12.44	$11.21	10.97%	$12.67	$ 9.95
Net Asset
Value	$12.13	$11.49	5.57%	$12.13	$10.72

The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond investments:

Portfolio Composition — 2/29/12	8/31/11
Corporate Bonds	77 %	79 %
Floating Rate Loan Interests	15	13
Common Stocks	6	3
Preferred Stocks	2	2
Other Interests		3
Credit Quality Allocations 4
2/29/12	8/31/11
A	1 %
BBB/Baa	6	7 %
BB/Ba	38	35
B	43	45
CCC/Caa	11	11
D		1
Not Rated	1	1

4 Using the higher of S&Ps or Moodys ratings.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 9

Trust Summary as of February 29, 2012
Investment Objective

BlackRock High Income Shares (HIS) (the Trust) primary investment objective is to provide the highest current income attainable consistent with reasonable risk as determined by the Trusts investment adviser, through investment in a professionally managed, diversified portfolio of high yield, high risk fixed income securities (commonly referred to as junk bonds). The Trusts secondary objective is to provide capital appreciation, but only when consistent with its primary objective. The Trust seeks to achieve its objectives by investing primarily in high yield, high risk debt instruments rated in the medium to lower categories by nationally recognized rating services (BBB or lower by S&P or Baa or lower by Moodys) or non-rated securities, which, in the investment advisers opinion, are of comparable quality. Under normal market conditions, the average maturity of the Trusts portfolio is between eight and twelve years. The Trust may invest directly in such securities or synthetically through the use of derivatives.


Portfolio Management Commentary

| | How did
the Trust perform? |
| --- | --- |
| | For the six months ended
February 29, 2012, the Trust returned 16.70% based on market price and
8.54% based on NAV. For the same period, the closed-end Lipper High Current
Yield Funds (Leveraged) category posted an average return of 13.38% based on
market price and 10.05% based on NAV. All returns reflect reinvestment of
dividends. The Trust moved from a discount to NAV to a premium by period end,
which accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance
based on NAV. |
| | What
factors influenced performance? |
| | The Trust delivered strong
returns for the six-month period as risk assets rallied. High yield
debt posted solid gains, outpacing government, emerging market and investment
grade corporate sectors. Across the high yield credit spectrum, security
selection in the higher-quality tiers boosted the Trusts returns. Among
sectors, security selection in the consumer service and non-captive
diversified financials was rewarding. The Trusts exposure to preferred stock
also added to performance. |
| | Detracting from performance
was the Trusts tactical allocations to bank loans and investment
grade credit, which underperformed relative to high yield debt in the risk
asset rally. Exposure to select mid-, lower- and non-rated names in the high
yield market hurt performance, as did security selection in the paper, metals
& mining and non-cable media sectors. |
| | Describe
recent portfolio activity. |
| | The period began with
severe market volatility in reaction to headwinds from Europes debt
crisis and a possible US government shut-down. However, the environment
shifted in December when the European Central Bank announced a long-term
refinancing operation. This liquidity program provided a much-needed
short-term panacea for the financial markets and mitigated the risk of a
collapse in the European banking system. Moreover, it was the catalyst for a
positive turn in the valuation of risk assets. |
| | Given these
developments, the Trust maintained its higher-quality income- oriented
bias, but started selectively adding back some risk in names with appealing
risk-reward characteristics. Despite this modest shift to risk-on, the
Trust continued to seek issuers with superior fundamentals (solid cash flows,
earnings visibility and attractive downside protection), while generally
remaining cautious of higher-beta credits (i.e., those with higher
sensitivity to market volatility) and the more cyclical sectors. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 81% of its total portfolio in corporate bonds, 16% in floating
rate loan interests (bank loans), with the remainder in preferred securities
and common stocks. The Trusts largest sector exposures included non-cable
media, wireless and independent energy, while its portfolio holdings reflected
less emphasis on the more cyclical segments of the market such as gaming,
building materials and technology. The Trust ended the period with economic
leverage at 19% of its total managed assets. |
| | The views expressed reflect
the opinions of BlackRock as of the date of this report and are subject to
change based on changes in market, economic or other conditions. These views
are not intended to be a forecast of future events and are no guarantee of
future results. |

10 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

BlackRock High Income Shares

Trust Information
Symbol on
NYSE	HIS
Initial Offering Date	August 10, 1988
Yield on Closing Market Price as of
February 29, 2012 ($2.32) 1	7.34%
Current Monthly Distribution per Common
Share 2	$ 0.0142
Current Annualized Distribution per Common
Share 2	$ 0.1704
Economic Leverage as of February 29, 2012 3	19%

The table below summarizes the changes in the Trusts market price and NAV per share:

	2/29/12	8/31/11		High	Low
Market Price	$ 2.32	$ 2.10	10.48 %	$ 2.35	$ 1.81
Net Asset Value	$ 2.24	$ 2.18	2.75 %	$ 2.24	$ 2.04

The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond investments:

Portfolio Composition — 2/29/12	8/31/11
Corporate Bonds	81 %	83 %
Floating Rate Loan Interests	16	14
Preferred Securities	2	2
Common Stocks	1	1

Credit Quality Allocations 4 — 2/29/12	8/31/11
A	1 %
BBB/Baa	7	7 %
BB/Ba	38	34
B	41	45
CCC/Caa	12	12
D		1
Not Rated	1	1

4 Using the higher of S&Ps or Moodys ratings.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 11

Trust Summary as of February 29, 2012 BlackRock High Yield Trust

Investment Objective

BlackRock High Yield Trusts (BHY) (the Trust) primary investment objective is to provide high current income. The Trusts secondary investment objective is to provide capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in high-risk, high yield bonds and other such securities, such as preferred stocks, which are rated below investment grade. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trusts investment objectives will be achieved.

Portfolio Management Commentary

| | How did
the Trust perform? |
| --- | --- |
| | For the six months ended
February 29, 2012, the Trust returned 13.56% based on market price and
10.07% based on NAV. For the same period, the closed-end Lipper High Current
Yield Funds (Leveraged) category posted an average return of 13.38% based on
market price and 10.05% based on NAV. All returns reflect reinvestment of
dividends. The Trust moved from a discount to NAV to a premium by period end,
which accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance
based on NAV. |
| | What
factors influenced performance? |
| | The Trust delivered strong
returns for the six-month period as risk assets rallied. High yield
debt posted solid gains, outpacing government, emerging market and investment
grade corporate sectors. Across the high yield credit spectrum, security
selection in the higher-quality tiers and among non-rated investments boosted
the Trusts returns. Among sectors, security selection in the consumer
service and non-captive diversified financials was rewarding. The Trusts
exposure to Delphi Automotive Plc stock received in connection with the
companys reorganization also added to performance. |
| | Detracting from
performance was the Trusts tactical allocations to bank loans and
investment grade credit, which underperformed relative to high yield debt in
the risk asset rally. Exposure to select lower-rated names in the high yield
market hurt performance, as did security selection in the paper and non-cable
media sectors. |
| | Describe
recent portfolio activity. |
| | The period began with
severe market volatility in reaction to headwinds from Europes debt
crisis and a possible US government shut-down. However, the environment
shifted in December when the European Central Bank announced a long-term
refinancing operation. This liquidity program provided a much-needed
short-term panacea for the financial markets and mitigated the risk of a
collapse in the European banking system. Moreover, it was the catalyst for a
positive turn in the valuation of risk assets. |
| | Given these
developments, the Trust maintained its higher-quality income- oriented
bias, but started selectively adding back some risk in names with appealing
risk-reward characteristics. Despite this modest shift to risk-on, the
Trust continued to seek issuers with superior fundamentals (solid cash flows,
earnings visibility and attractive downside protection), while generally
remaining cautious of higher-beta credits (i.e., those with higher
sensitivity to market volatility) and the more cyclical sectors. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 79% of its total portfolio in corporate bonds, 16% in floating
rate loan interests (bank loans), with the remainder in common stocks and
other interests. The Trusts largest sector exposures included non-cable
media, wireless and independent energy, while its portfolio holdings
reflected less emphasis on the more cyclical segments of the market such as
banking, building materials and technology. The Trust ended the period with
economic leverage at 21% of its total managed assets. |

12 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

BlackRock High Yield Trust

Trust Information
Symbol on
NYSE	BHY
Initial
Offering Date	December 23, 1998
Yield on
Closing Market Price as of February 29, 2012 ($7.21) 1	7.24%
Current
Monthly Distribution per Common Share 2	$ 0.0435
Current Annualized
Distribution per Common Share 2	$ 0.5220
Economic
Leverage as of February 29, 2012 3	21%

The table below summarizes the changes in the Trusts market price and NAV per share:

	2/29/12	8/31/11		High	Low
Market Price	$ 7.21	$ 6.60	9.24%	$ 7.25	$ 5.92
Net Asset
Value	$ 7.19	$ 6.79	5.89%	$ 7.19	$ 6.36

The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond investments:

Portfolio Composition — 2/29/12	8/31/11
Corporate Bonds	79 %	82 %
Floating Rate Loan Interests	16	15
Common Stocks	3
Preferred Securities	2	1
Other Interests		2

Credit Quality Allocations 4 — 2/29/12	8/31/11
A	1 %
BBB/Baa	6	8 %
BB/Ba	40	35
B	42	46
CCC/Caa	9	9
D		1
Not Rated	2	1

4 Using the higher of S&Ps or Moodys ratings.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 13

Trust Summary as of February 29, 2012 BlackRock Income Opportunity Trust, Inc.

Investment Objective

BlackRock Income Opportunity Trust, Inc.s (BNA) (the Trust) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trusts investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trusts investment objective will be achieved.

Portfolio Management Commentary

| | How did
the Trust perform? |
| --- | --- |
| | For the six months ended
February 29, 2012, the Trust returned 12.86% based on market price and
8.48% based on NAV. For the same period, the closed-end Lipper Corporate Debt
Funds BBB-Rated category posted an average return of 8.84% based on market
price and 5.79% based on NAV. All returns reflect reinvestment of dividends.
The Trusts discount to NAV, which narrowed during the period, accounts for
the difference between performance based on price and performance based on
NAV. The following discussion relates to performance based on NAV. |
| | What
factors influenced performance? |
| | Spread sectors
outperformed government-related debt for the six-month period as
improving US economic fundamentals and accommodative monetary policy provided
a backdrop conducive for credit spread compression. As a result, the Trust
benefited from its allocations to investment grade credit and high yield
corporate credit. Within corporate credit, relative value trading in
industrials was additive to performance. The Trust also benefited from
exposure to commercial mortgage-backed securities (CMBS), which
outperformed most other securitized debt sectors. Finally, the Trusts
duration stance (sensitivity to interest rate movements) contributed to
returns as rates generally moved lower throughout the period. |
| | The Trust actively traded
exposure to financials within investment grade credit. Although these
positions performed well toward period end, the overall effect was a drag on
performance as European sovereign debt fear caused weakness in US financial
names. |
| | Describe
recent portfolio activity. |
| | During the period, the
Trust reduced its allocation to investment grade securities in the
banking industry while increasing exposure to companies with strong cash flow
and high earnings visibility in the energy and telecommunications space.
Toward period end, the Trust increased its portfolio duration, primarily by
adding exposure to US Treasury bonds. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
maintained a diversified exposure to non-government spread sectors,
including investment grade credit, high yield corporate credit, CMBS,
asset-backed securities and non-agency residential mortgage-backed securities
(MBS). The Trust also held allocations to government-related sectors such
as US Treasuries, agency debt and agency MBS. The Trust ended the reporting
period with a long duration profile. |

14 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

BlackRock Income Opportunity Trust, Inc.
Trust Information

| Symbol on
NYSE | BNA |
| --- | --- |
| Initial
Offering Date | December 20, 1991 |
| Yield on
Closing Market Price as of February 29, 2012 ($10.78) 1 | 5.90% |
| Current
Monthly Distribution per Common Share 2 | $0.053 |
| Current
Annualized Distribution per Common Share 2 | $0.636 |
| Economic
Leverage as of February 29, 2012 3 | 30% |

| 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 rate is
not constant and is subject to change. |
| 3 | Represents reverse
repurchase agreements outstanding as a percentage of total managed assets,
which is the total assets of the Trust (including any assets attributable to
borrowings) minus the sum of liabilities (other than borrowings representing
financial leverage). For a discussion of leveraging techniques utilized by
the Trust, please see The Benefits and Risks of Leveraging on page 20. |

The table below summarizes the changes in the Trusts market price and NAV per share:

	2/29/12	8/31/11	Change	High	Low
Market Price	$10.78	$ 9.85	9.44%	$10.81	$ 9.66
Net Asset
Value	$11.33	$10.77	5.20%	$11.37	$10.68

The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond and US Government securities:

Portfolio Composition — 2/29/12	8/31/11
Corporate Bonds	52 %	52 %
US Treasury Obligations	24	16
Non-Agency Mortgage-Backed Securities	10	12
US Government Sponsored Agency Securities	5	13
Asset-Backed Securities	4	4
Foreign Agency Obligations	2	1
Taxable Municipal Bonds	2	1
Preferred Securities	1	1
Credit Quality Allocations 4
2/29/12	8/31/11
AAA/Aaa 5	40 %	40 %
AA/Aa	5	7
A	17	19
BBB/Baa	18	16
BB/Ba	8	7
B	9	9
CCC/Caa	2	2
Not Rated	1

| 4 | Using the higher of S&Ps
or Moodys ratings. |
| --- | --- |
| 5 | Includes US Government
Sponsored Agency Securities, which were deemed AAA/Aaa by the investment
advisor. |

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 15

Trust Summary as of February 29, 2012
Investment Objective

BlackRock Income Trust, Inc.s (BKT) (the Trust) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Trust invests at least 80% of its assets in securities that are (i) issued or guaranteed by the US government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P or Aaa by Moodys. Securities issued or guaranteed by the US government or its agencies or instrumentalities are generally considered to be of the same or higher credit or quality as privately issued securities rated AAA or Aaa. The Trust may invest directly in such securities or synthetically through the use of derivatives.


Portfolio Management Commentary

| | How did
the Trust perform? |
| --- | --- |
| | For the six months ended
February 29, 2012, the Trust returned 8.48% based on market price and
3.29% based on NAV. For the same period, the closed-end Lipper US Mortgage
Funds category posted an average return of 5.62% based on market price and
4.03% based on NAV. All returns reflect reinvestment of dividends. The
Trusts discount to NAV, which narrowed during the period, accounts for the
difference between performance based on price and performance based on NAV. The
following discussion relates to performance based on NAV. |
| | What
factors influenced performance? |
| | The agency mortgage-backed
securities (MBS) sector exhibited elevated volatility during the
period as debt problems in Europe weighed on market sentiment and the future
of government policy on mortgage pre-payment remained uncertain. While these
headwinds challenged the sector, the US Federal Reserves MBS purchase
program provided support, and agency MBS outperformed US Treasuries for the
period. Given these market conditions, the Trust benefited from increasing
its allocation to pre-payment-sensitive agency MBS during the fourth quarter
of 2011 after spreads widened in the space due to increased policy risk.
These purchases were focused on securities where the impact of the potential
policy changes would be limited while their spread widening was commensurate
with the rest of the sector. These holdings were significant contributors to
the Trusts performance as they generated strong returns in the first two
months of 2012. |
| | Detracting slightly from
performance were the Trusts interest rate hedges designed to protect
the portfolio from market volatility. The Trust uses interest rate
derivatives including futures, options, swaps and swaptions, mainly for the
purpose of managing duration, convexity and yield curve positioning. During
the period, the Trust held short positions in US Treasury futures in order to
reduce the overall duration profile of the portfolio. These positions served
as a drag on performance as the US Treasury market broadly advanced during
the period. |
| | Describe
recent portfolio activity. |
| | The Trust increased its
allocation to agency MBS in the fourth quarter of 2011, as discussed
above. Near the end of the period, the Trust took profits on these holdings.
The sales were mainly among the lower-coupon securities, where the potential
for their extension was greatest. The Trust maintained a strong level of
yield by increasing exposure to pre-payment-sensitive securities. The Trust
also maintained a limited exposure to commercial mortgage-backed securities
(CMBS), which performed well later in the period. The Trust slightly
reduced its small allocation to non-agency MBS. |
| | Describe
portfolio positioning at period end. |
| | The backdrop for agency
MBS appears constructive given the impact of the Federal Reserves
mortgage reinvestment program in curtailing net supply along with the pending
conclusion of the US Treasury portfolio liquidation, subdued mortgage
refinance and purchase activity, and the sectors attractive yields relative
to other high-quality asset classes in a low interest rate environment.
However, the extension potential for lower-coupon agency MBS remains high
and, therefore, the Trust maintains a cautious stance. The Trust maintains
exposure to high-quality agency MBS with varying maturities and coupon rates.
The Trust also holds small allocations to non-agency MBS and CMBS. The Trust
ended the reporting period with a slightly short duration profile. |
| | The views expressed reflect
the opinions of BlackRock as of the date of this report and are subject to
change based on changes in market, economic or other conditions. These views
are not intended to be a forecast of future events and are no guarantee of future
results. |

16 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

BlackRock Income Trust, Inc.
Trust Information

| Symbol on
NYSE | BKT |
| --- | --- |
| Initial
Offering Date | July 22, 1988 |
| Yield on
Closing Market Price as of February 29, 2012 ($7.55) 1 | 6.44% |
| Current
Monthly Distribution per Common Share 2 | $0.0405 |
| Current
Annualized Distribution per Common Share 2 | $0.4860 |
| Economic
Leverage as of February 29, 2012 3 | 24% |

| 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 rate is
not constant and is subject to change. |
| 3 | Represents reverse
repurchase agreements outstanding as a percentage of total managed assets,
which is the total assets of the Trust (including any assets attributable to
borrowings) minus the sum of liabilities (other than borrowings representing
financial leverage). For a discussion of leveraging techniques utilized by
the Trust, please see the Benefits and Risks of Leveraging on page 20. |

The table below summarizes the changes in the Trusts market price and NAV per share:

	2/29/12	8/31/11	Change	High	Low
Market Price	$7.55	$7.18	5.15%	$7.58	$7.00
Net Asset
Value	$7.97	$7.96	0.13%	$8.12	$7.95

The following charts show the portfolio composition and credit quality allocations of the Trusts long-term investments:

Portfolio Composition — 2/29/12	8/31/11
US Government Sponsored Agency Securities	82 %	84 %
US Treasury Obligations	15	12
Non-Agency Mortgage-Backed Securities	2	3
Asset-Backed Securities	1	1
Credit Quality Allocations 4
2/29/12	8/31/11
AAA/Aaa 5	100 %	100 %

| 4 | Using the higher of
S&Ps or Moodys ratings. |
| --- | --- |
| 5 | Includes US Government
Sponsored Agency Securities, which were deemed AAA/Aaa by the investment
advisor. |

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 17

Trust Summary as of February 29, 2012
Investment Objective

BlackRock Strategic Bond Trusts (BHD) (the Trust) investment objective is to provide total return through high current income and capital appreciation. The Trust seeks to achieve its investment objective by investing primarily in a diversified portfolio of fixed income securities including corporate bonds, US government and agency securities, mortgage-related and asset-backed securities and other types of fixed income securities. The Trust invests, under normal market conditions, a significant portion of its assets in corporate fixed income securities that are below investment grade quality, including high-risk, high yield bonds (commonly referred to as junk bonds) and other such securities, such as preferred stocks. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trusts investment objective will be achieved.

Portfolio Management Commentary

| | How did
the Trust perform? |
| --- | --- |
| | For the six months ended
February 29, 2012, the Trust returned 12.07% based on market price and
10.13% based on NAV. For the same period, the closed-end Lipper High Current
Yield Funds (Leveraged) category posted an average return of 13.38% based on
market price and 10.05% based on NAV. All returns reflect reinvestment of
dividends. The Trusts discount to NAV, which narrowed during the period,
accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance
based on NAV. |
| | What
factors influenced performance? |
| | Security selection among
higher-quality credit instruments had a positive impact on the Trusts
performance. While the surge in risk assets benefited overall performance,
the Trusts tactical exposure to equity securities was particularly helpful
as equities outperformed high yield bonds, bank loans and investment grade
credits amid improving investor demand for riskier assets over the six-month
period. |
| | The Trust differs from its
Lipper category competitors,which invest primarily in high yield
bonds, in that the Trust also invests in floating rate loan interests (bank
loans) and investment grade credits. While the Trusts allocations to bank
loans and investment grade credit did not detract from performance on an
absolute basis, these asset classes underperformed high yield bonds for the
period. |
| | Describe
recent portfolio activity. |
| | In the early part of the
period, as the outlook for global growth worsened and the potential for
further spreading of the ongoing debt crisis in Europe increased, the Trust
shifted its positioning to a more conservative posture. Specifically, the Trust
reduced positions in the more cyclical credits and increased exposure to
market sectors with more stable cash flows. |
| | However, the environment
shifted in December when the European Central Bank announced a
long-term refinancing operation. This liquidity program provided a
much-needed short-term panacea for the financial markets and mitigated the
risk of a collapse in the European banking system. Moreover, it was the
catalyst for a positive turn in the valuation of risk assets. Given these
developments, the Trust maintained its higher-quality income-oriented bias,
but started selectively adding back some risk in names with appealing
risk-reward characteristics. Despite this modest shift to risk-on, the
Trust continued to seek issuers with superior fundamentals while avoiding
higher-beta credits (i.e., those with higher sensitivity to market
volatility) and the more economically sensitive areas of the market. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 82% of its total portfolio in corporate bonds, 14% in floating
rate loan interests (bank loans), with the remainder in other interests,
preferred securities and US Treasury Obligations. The Trusts largest sector
exposures included non-cable media, independent energy and wireless. The
Trust ended the period with economic leverage at 20% of its total managed
assets. |
| | The views expressed reflect
the opinions of BlackRock as of the date of this report and are subject to
change based on changes in market, economic or other conditions. These views
are not intended to be a forecast of future events and are no guarantee of
future results. |

18 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

BlackRock Strategic Bond Trust

Trust Information
Symbol on
NYSE	BHD
Initial
Offering Date	February 26,
2002
Yield on
Closing Market Price as of February 29, 2012 ($13.87) 1	7.31%
Current
Monthly Distribution per Common Share 2	$ 0.0845
Current
Annualized Distribution per Common Share 2	$ 1.0140
Economic
Leverage as of February 29, 2012 3	20%

The table below summarizes the changes in the Trusts market price and NAV per share:

	2/29/12	8/31/11		High	Low
Market Price	$ 13.87	$ 12.93	7.27 %	$ 13.88	$ 11.86
Net Asset
Value	$ 14.21	$ 13.48	5.42 %	$ 14.21	$ 12.72

The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond securities:

| Portfolio
Composition | 2/29/12 | 8/31/11 |
| --- | --- | --- |
| Corporate Bonds | 82 % | 85 % |
| Floating Rate Loan
Interests | 14 | 12 |
| Other Interests | 2 | 2 |
| Preferred Securities | 1 | 1 |
| US Treasury Obligations | 1 | |

| Credit
Quality Allocations 4 — 2/29/12 | 8/31/11 | |
| --- | --- | --- |
| AA/Aa | 2 % | 3 % |
| A | 13 | 13 |
| BBB/Baa | 17 | 16 |
| BB/Ba | 33 | 26 |
| B | 29 | 34 |
| CCC/Caa | 5 | 6 |
| D | | 1 |
| Not Rated | 1 | 1 |

4 Using the higher of S&Ps or Moodys ratings.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 19

T he Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the yield and NAV of their common shares (Common Shares). However, these objectives cannot be achieved in all interest rate environments.

The Trusts may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements and treasury roll transactions. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally 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 Trusts shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trusts capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Trusts long-term investments, and therefore the Trusts shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates whereas the Trusts total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts borrowings does not fluctuate in relation to interest rates.

As a result, changes in interest rates can influence the Trusts NAVs positively or negatively in addition to the impact on Trust performance from leverage from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Trusts, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts 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 Trusts net income will be less than if leverage had not been used, and therefore the amount available for distribution to Shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trusts ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by Shareholders and may reduce income.

Under the Investment Company Act of 1940, as amended (the 1940 Act), the Trusts are permitted to issue senior securities representing indebtedness up to 33 1 / 3 % of their total managed assets (each Trusts net assets plus the proceeds of any outstanding borrowings). If the Trusts segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Trust voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of February 29, 2012, the Trusts had aggregate economic leverage from reverse repurchase agreements, treasury roll transactions and/or borrowings through a credit facility as a percentage of their total managed assets as follows:

	Percent of Economic Leverage
BHK	29%
HYV	24%
HYT	24%
HIS	19%
BHY	21%
BNA	30%
BKT	24%
BHD	20%

D erivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate, foreign currency exchange rate and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts ability to use a derivative financial instrument successfully depends on the investment advisors ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts investments in these instruments are discussed in detail in the Notes to Financial Statements.

20 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

S chedule of Investments February 29, 2012 (Unaudited)
(Percentages
shown are based on Net Assets)

Asset-Backed Securities	Par (000)		Value
Asset-Backed
Securities 6.1%
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a)	USD	808	$ 814,447
AH Mortgage Advance Trust, Series SART-3, Class 1A1, 2.98%, 3/13/43 (a)		630	624,706
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17		400	409,022
CarMax Auto Owner Trust:
Series 2012-1, Class B, 1.76%, 8/15/17		210	209,783
Series 2012-1, Class C, 2.20%, 10/16/17		125	124,845
Series 2012-1, Class D, 3.09%, 8/15/18		155	154,815
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25		1,105	1,118,781
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.39%, 1/25/37 (b)		1,153	793,063
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a)		1,980	1,984,470
DT Auto Owner Trust (a):
Series 2011-2A, Class C, 3.05%, 2/16/16		1,500	1,498,858
Series 2011-3A, Class C, 4.03%, 2/15/17		255	257,829
Ford Credit Floorplan
Master Owner Trust:
Series 2012-1, Class B, 1.15%, 1/15/16 (b)		180	180,002
Series 2012-1, Class C, 1.75%, 1/15/16 (b)		475	475,004
Series 2012-1, Class D, 2.35%, 1/15/16 (b)		445	445,003
Series 2012-2, Class B, 2.32%, 1/15/19		245	245,023
Series 2012-2, Class C, 2.86%, 1/15/19		105	104,921
Series 2012-2, Class D, 3.51%, 1/15/19		200	199,843
Globaldrive BV, Series 2008-2, Class A, 4.00%, 10/20/16	EUR	234	314,378
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.35%, 7/25/37 (b)	USD	120	117,302
Nelnet Student Loan Trust
(b):
Series 2006-1, Class A5, 0.60%, 8/23/27		525	488,049
Series 2008-3, Class A4, 2.14%, 11/25/24		615	634,037
PFS Financing Corp., Series 2012-AA, Class A, 1.46%, 2/15/16 (a)(b)		480	480,000
Santander Consumer Acquired
Receivables Trust (a):
Series 2011-S1A, Class B, 1.66%, 8/15/16		596	596,319
Series 2011-S1A, Class C, 2.01%, 8/15/16		437	432,086
Series 2011-S1A, Class D, 3.15%, 8/15/16		452	451,249
Series 2011-WO, Class C, 3.19%, 10/15/15		580	579,242
Santander Drive Auto
Receivables Trust:
Series 2010-2, Class B, 2.24%, 12/15/14		860	863,669
Series 2010-2, Class C, 3.89%, 7/17/17		1,010	1,021,202
Series 2010-B, Class B, 2.10%, 9/15/14 (a)		700	704,040
Series 2010-B, Class C, 3.02%, 10/17/16 (a)		740	735,407
Series 2011-1, Class D, 4.01%, 2/15/17		940	944,687
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)		357	354,894
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)		388	384,887
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)		919	919,399
Series 2012-1, Class B, 2.72%, 5/16/16		240	240,290
Series 2012-1, Class C, 3.78%, 11/15/17		325	325,521

Asset-Backed Securities	Par (000)		Value
Asset-Backed
Securities (concluded)
SLM Student Loan Trust:
Series 2004-B, Class A2, 0.75%, 6/15/21 (b)	USD	213	$ 204,187
Series 2008-5, Class A3, 1.86%, 1/25/18 (b)		515	523,075
Series 2008-5, Class A4, 2.26%, 7/25/23 (b)		615	629,850
Series 2012-A, Class A1, 1.66%, 8/15/25 (a)(b)		380	380,085
Series 2012-A, Class A2, 3.83%, 1/17/45 (a)		345	345,338
Small Business
Administration, Class 1:
Series 2003-P10B, 5.14%, 8/10/13		262	273,767
Series 2004-P10B, 4.75%, 8/10/14		174	184,522
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32		1,406	1,283,799
			24,051,696
Interest
Only Asset-Backed Securities 0.2%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)		4,107	318,310
Sterling Coofs Trust,
Series 1, 2.36%, 4/15/29		6,359	492,822
			811,132
Total
Asset-Backed Securities 6.3%			24,862,828

Common Stocks (c) 0.0%
Software
0.0%
Bankruptcy Management
Solutions, Inc.	135	3

Corporate Bonds	Par (000)
Aerospace
& Defense 0.6%
United Technologies Corp.:
4.88%, 5/01/15	USD	1,125	1,263,058
6.13%, 7/15/38		700	929,554
			2,192,612
Airlines
0.3%
Continental Airlines, Inc., Series 2010-1, Class B, 6.00%, 7/12/20		672	651,508
United Air Lines, Inc.,
12.75%, 7/15/12		334	345,594
			997,102
Auto
Components 0.1%
BorgWarner, Inc., 4.63%,
9/15/20		265	284,247
Beverages
0.1%
Crown European Holdings SA,
7.13%, 8/15/18 (a)	EUR	355	506,665
Building
Products 0.1%
Momentive Performance Materials, Inc., 11.50%, 12/01/16	USD	510	428,400

Portfolio Abbreviations

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

AUD	Australian Dollar
CAD	Canadian Dollar
CHF	Swiss Franc
ETF	Exchange-Traded Fund
EUR	Euro
EURIBOR	Euro Interbank Offered Rate
FKA	Formerly Known As
GBP	British Pound
JPY	Japanese Yen
LIBOR	London Interbank Offered
Rate
NZD	New Zealand Dollar
PHP	Philippine Peso
RB	Revenue Bonds
SGD	Singapore Dollar
SPDR	Standard and Poors
Depositary Receipts
USD	US Dollar

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 21 |
| --- | --- | --- |

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Capital
Markets 5.6%
American Capital Ltd.,
8.96%, 12/31/13 (d)	USD	720	$ 733,349
CDP Financial, Inc., 5.60%,
11/25/39 (a)		2,935	3,549,838
Credit Suisse AG:
2.60%, 5/27/16 (a)		570	583,207
5.40%, 1/14/20		1,565	1,572,146
E*Trade Financial Corp.,
12.50%, 11/30/17		1,570	1,829,050
Goldman Sachs Group, Inc.:
5.38%, 3/15/20		1,220	1,250,169
5.25%, 7/27/21		3,165	3,170,171
5.75%, 1/24/22		3,450	3,601,248
Morgan Stanley:
3.01%, 5/14/13 (b)		1,890	1,892,682
4.20%, 11/20/14		490	491,830
4.00%, 7/24/15		410	410,372
6.25%, 8/28/17		1,930	2,023,202
5.63%, 9/23/19		630	629,901
5.50%, 7/28/21		360	356,676
			22,093,841
Chemicals
0.5%
American Pacific Corp.,
9.00%, 2/01/15		250	243,750
The Dow Chemical Co.,
4.13%, 11/15/21		350	372,474
Ineos Finance Plc, 8.38%,
2/15/19 (a)		265	281,562
Lyondell Chemical Co.,
11.00%, 5/01/18		680	745,450
LyondellBasell Industries
NV, 6.00%, 11/15/21 (a)		240	263,400
			1,906,636
Commercial
Banks 5.4%
CIT Group, Inc. (a):
7.00%, 5/02/16		110	110,138
7.00%, 5/02/17		1,035	1,036,294
DEPFA ACS Bank, 5.13%,
3/16/37 (a)		3,775	2,638,178
Discover Bank, 8.70%,
11/18/19		250	300,923
DnB NOR Boligkreditt (a):
2.10%, 10/14/16		4,020	4,062,712
2.90%, 3/29/17		2,600	2,694,936
Eksportfinans ASA, 5.50%,
6/26/17		950	911,884
HSBC Bank Brasil SA Banco Multiplo, 4.00%, 5/11/16 (a)		1,400	1,393,000
HSBC Bank Plc, 3.10%,
5/24/16 (a)		700	716,034
HSBC Holdings Plc, 6.10%,
1/14/42		305	363,539
Sparebanken 1 Boligkreditt
(a):
1.25%, 10/25/14		1,580	1,581,657
2.63%, 5/27/17		1,675	1,714,687
Wachovia Corp., 5.25%,
8/01/14		3,425	3,697,606
			21,221,588
Commercial
Services & Supplies 0.1%
ARAMARK Corp., 8.50%,
2/01/15		18	18,473
AWAS Aviation Capital Ltd.,
7.00%, 10/17/16 (a)		136	141,702
Mobile Mini, Inc., 7.88%,
12/01/20		320	336,000
			496,175
Construction
& Engineering 0.1%
Abengoa SA, 8.50%, 3/31/16	EUR	150	204,881
Construction
Materials 0.0%
Lafarge SA, 7.13%, 7/15/36	USD	135	124,670
Consumer
Finance 0.6%
Ford Motor Credit Co. LLC:
7.80%, 6/01/12		340	344,191
5.88%, 8/02/21		270	301,313
SLM Corp.:
6.25%, 1/25/16		661	690,745
Series A, 0.86%, 1/27/14 (b)		550	523,388
Toll Brothers Finance
Corp., 5.88%, 2/15/22		345	357,846
			2,217,483

Corporate Bonds	Par (000)		Value
Containers
& Packaging 0.6%
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)	EUR	425	$ 597,370
Smurfit Kappa Acquisitions
(a):
7.25%, 11/15/17		725	1,033,531
7.75%, 11/15/19		410	588,577
			2,219,478
Diversified
Financial Services 7.3%
Ally Financial, Inc.:
8.30%, 2/12/15	USD	1,500	1,657,500
6.25%, 12/01/17		160	165,379
8.00%, 3/15/20		560	634,200
Capital One Financial
Corp., 4.75%, 7/15/21		960	1,012,109
Citigroup, Inc.:
5.00%, 9/15/14		285	296,700
4.59%, 12/15/15		6,390	6,768,141
General Electric Capital
Corp.:
2.13%, 12/21/12 (e)		515	522,987
6.15%, 8/07/37 (e)		4,150	4,682,055
6.88%, 1/10/39		135	166,638
JPMorgan Chase & Co.:
3.70%, 1/20/15 (e)		3,425	3,636,209
6.30%, 4/23/19		2,000	2,351,116
4.50%, 1/24/22		750	796,909
Series BKNT, 6.00%, 10/01/17		2,050	2,300,188
Reynolds Group Issuer, Inc.
(a):
7.75%, 10/15/16	EUR	550	778,563
7.88%, 8/15/19	USD	660	722,700
6.88%, 2/15/21		1,215	1,287,900
WMG Acquisition Corp. (a):
9.50%, 6/15/16		160	176,800
11.50%, 10/01/18		785	834,062
			28,790,156
Diversified
Telecommunication Services 2.9%
Level 3 Financing, Inc.
(a):
8.13%, 7/01/19		698	731,155
8.63%, 7/15/20		740	789,950
Qwest Communications International, Inc., 7.50%, 2/15/14		1,200	1,204,200
Telecom Italia Capital SA:
4.95%, 9/30/14		1,075	1,084,406
6.00%, 9/30/34		1,550	1,290,375
Verizon Communications,
Inc.:
3.50%, 11/01/21		500	523,076
6.40%, 2/15/38		3,483	4,364,011
8.95%, 3/01/39		900	1,426,869
Windstream Corp., 7.88%,
11/01/17		40	45,100
			11,459,142
Electric
Utilities 5.7%
Alabama Power Co.:
3.95%, 6/01/21		460	499,779
6.00%, 3/01/39		1,275	1,647,876
The Cleveland Electric
Illuminating Co.:
8.88%, 11/15/18		121	161,070
5.95%, 12/15/36		217	238,477
Constellation Energy Group,
Inc., 7.60%, 4/01/32		200	267,491
Duke Energy Carolinas LLC:
6.10%, 6/01/37		315	399,949
6.00%, 1/15/38		825	1,084,208
4.25%, 12/15/41		375	395,793
E.ON International Finance
BV, 6.65%, 4/30/38 (a)		1,525	1,997,058
EDF SA, 5.60%, 1/27/40 (a)		1,400	1,490,042
Florida Power Corp.:
6.35%, 9/15/37		1,325	1,785,846
6.40%, 6/15/38		430	585,411
Jersey Central Power &
Light Co., 7.35%, 2/01/19		245	310,546

| See Notes to Financial
Statements. — 22 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

Corporate Bonds	Par (000)		Value
Electric Utilities (concluded)
Ohio Power Co., Series D, 6.60%, 3/01/33	USD	1,500	$ 1,893,546
PacifiCorp., 6.25%, 10/15/37		575	762,992
Public Service Co. of Colorado, 6.25%, 9/01/37		1,200	1,614,450
Southern California Edison Co.:
5.63%, 2/01/36		625	782,376
Series 08-A, 5.95%, 2/01/38		1,075	1,414,934
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14	EUR	1,350	1,680,796
The Toledo Edison Co., 6.15%, 5/15/37	USD	350	413,908
Trans-Allegheny Interstate Line Co., 4.00%, 1/15/15 (a)		250	264,907
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37		2,000	2,581,362
			22,272,817
Energy Equipment & Services 2.8%
Calfrac Holdings LP, 7.50%, 12/01/20 (a)(e)		565	565,000
Ensco Plc:
3.25%, 3/15/16		160	166,976
4.70%, 3/15/21		1,745	1,910,543
Frac Tech Services LLC, 7.63%, 11/15/18 (a)		1,110	1,184,925
Noble Holding International Ltd., 5.25%, 3/15/42		350	370,145
Peabody Energy Corp., 6.25%, 11/15/21 (a)		3,845	4,027,637
Pride International, Inc., 6.88%, 8/15/20		230	280,173
Transocean, Inc.:
5.05%, 12/15/16		850	929,948
6.50%, 11/15/20		350	408,186
6.38%, 12/15/21		840	991,326
			10,834,859
Food & Staples Retailing 0.9%
Wal-Mart Stores, Inc.:
6.50%, 8/15/37		1,900	2,585,685
6.20%, 4/15/38 (e)		850	1,120,925
			3,706,610
Food Products 1.0%
Darling International, Inc., 8.50%, 12/15/18		335	376,875
Kraft Foods, Inc., 5.38%, 2/10/20		3,000	3,497,868
			3,874,743
Health Care Equipment & Supplies 0.9%
Boston Scientific Corp., 6.25%, 11/15/15		1,251	1,390,957
DJO Finance LLC:
10.88%, 11/15/14		810	824,175
7.75%, 4/15/18		735	632,100
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (a)		152	168,340
Teleflex, Inc., 6.88%, 6/01/19		385	414,837
			3,430,409
Health Care Providers & Services 2.2%
Aviv Healthcare Properties LP, 7.75%, 2/15/19		175	178,937
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)	EUR	494	682,837
HCA, Inc.:
6.50%, 2/15/20	USD	2,115	2,268,337
7.88%, 2/15/20		135	148,838
Health Management Associates, Inc., 7.38%, 1/15/20 (a)		850	886,125
IASIS Healthcare LLC, 8.38%, 5/15/19		1,000	955,000
INC Research LLC, 11.50%, 7/15/19 (a)		545	523,200
inVentiv Health, Inc., 10.00%, 8/15/18 (a)		155	141,050
Omnicare, Inc., 7.75%, 6/01/20		805	896,569
Symbion, Inc., 8.00%, 6/15/16		455	439,075
Tenet Healthcare Corp.:
10.00%, 5/01/18		200	233,000
8.88%, 7/01/19		1,150	1,311,000
UnitedHealth Group, Inc., 3.38%, 11/15/21		160	168,580
			8,832,548

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Health Care Technology 0.8% | | | |
| Amgen, Inc.: | | | |
| 3.88%, 11/15/21 | USD | 1,500 | $ 1,558,739 |
| 6.40%, 2/01/39 | | 750 | 896,546 |
| 5.15%, 11/15/41 | | 750 | 784,909 |
| | | | 3,240,194 |
| Hotels, Restaurants & Leisure 0.6% | | | |
| El Dorado Resorts LLC, 8.63%, 6/15/19 (a) | | 180 | 171,450 |
| MGM Resorts International, 11.13%, 11/15/17 | | 265 | 301,438 |
| Punch Taverns Finance B Ltd., Series A7, 4.77%, 6/30/33 | GBP | 1,721 | 1,964,615 |
| | | | 2,437,503 |
| Household Durables 0.9% | | | |
| Beazer Homes USA, Inc., 12.00%, 10/15/17 | USD | 1,050 | 1,144,500 |
| Standard Pacific Corp., 10.75%, 9/15/16 | | 2,100 | 2,412,375 |
| | | | 3,556,875 |
| Household Products 0.1% | | | |
| Ontex IV SA, 7.50%, 4/15/18 (a) | EUR | 190 | 232,886 |
| Independent Power Producers & Energy Traders 0.6% | | | |
| Energy Future Holdings Corp., 10.00%, 1/15/20 | USD | 1,425 | 1,540,781 |
| Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20 | | 742 | 805,998 |
| | | | 2,346,779 |
| Industrial Conglomerates 0.7% | | | |
| Sequa Corp. (a): | | | |
| 11.75%, 12/01/15 | | 690 | 733,125 |
| 13.50%, 12/01/15 | | 1,940 | 2,071,368 |
| | | | 2,804,493 |
| Insurance 2.5% | | | |
| Allianz Finance II BV, 5.75%, 7/08/41 (b) | EUR | 500 | 633,705 |
| American International Group, Inc., 5.45%, 5/18/17 | USD | 800 | 850,281 |
| AXA SA, 5.25%, 4/16/40 (b) | EUR | 250 | 279,985 |
| CNO Financial Group, Inc., 9.00%, 1/15/18 (a) | USD | 478 | 514,447 |
| Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a) | | 820 | 804,094 |
| Hartford Financial Services Group, Inc., 6.00%, 1/15/19 | | 345 | 368,167 |
| Hartford Life Global Funding Trusts, 0.73%, 6/16/14 (b) | | 425 | 402,955 |
| Lincoln National Corp., 6.25%, 2/15/20 | | 630 | 722,091 |
| Manulife Financial Corp., 3.40%, 9/17/15 | | 1,630 | 1,696,700 |
| Metropolitan Life Global Funding I, 5.13%, 6/10/14 (a) | | 775 | 836,546 |
| MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | | 340 | 303,450 |
| Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) | EUR | 200 | 270,465 |
| Prudential Financial, Inc.: | | | |
| 7.38%, 6/15/19 | USD | 250 | 309,444 |
| 5.38%, 6/21/20 | | 250 | 282,002 |
| 4.50%, 11/15/20 | | 450 | 479,050 |
| 5.70%, 12/14/36 | | 675 | 728,359 |
| Series D, 5.90%, 3/17/36 | | 500 | 549,010 |
| | | | 10,030,751 |
| IT Services 0.8% | | | |
| First Data Corp. (a): | | | |
| 7.38%, 6/15/19 | | 205 | 207,306 |
| 8.25%, 1/15/21 | | 80 | 77,400 |
| SunGard Data Systems, Inc.: | | | |
| 7.38%, 11/15/18 | | 1,080 | 1,161,000 |
| 7.63%, 11/15/20 | | 1,730 | 1,868,400 |
| | | | 3,314,106 |

See Notes to Financial Statements. — SEMI-ANNUAL REPORT	FEBRUARY 29, 2012	23

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Machinery 0.5% | | | |
| Joy Global, Inc., 5.13%, 10/15/21 | USD | 225 | $ 247,153 |
| Navistar International Corp.: | | | |
| 3.00%, 10/15/14 (f) | | 518 | 583,397 |
| 8.25%, 11/01/21 | | 14 | 15,312 |
| UR Financing Escrow Corp. (a)(g): | | | |
| 5.75%, 7/15/18 | | 194 | 199,335 |
| 7.38%, 5/15/20 | | 495 | 507,994 |
| 7.63%, 4/15/22 | | 452 | 467,820 |
| | | | 2,021,011 |
| Marine 0.3% | | | |
| Nakilat, Inc., Series A, 6.07%, 12/31/33 (a) | | 1,050 | 1,128,750 |
| Media 8.7% | | | |
| Affinion Group, Inc., 7.88%, 12/15/18 | | 1,045 | 935,275 |
| AMC Networks, Inc., 7.75%, 7/15/21 (a) | | 320 | 356,800 |
| CBS Corp.: | | | |
| 4.63%, 5/15/18 | | 810 | 874,123 |
| 8.88%, 5/15/19 | | 325 | 433,344 |
| 5.75%, 4/15/20 | | 250 | 287,944 |
| CCH II LLC, 13.50%, 11/30/16 | | 2,300 | 2,645,432 |
| Clear Channel Communications, Inc., 9.00%, 3/01/21 | | 680 | 625,600 |
| Clear Channel Worldwide Holdings, Inc., Series B, 9.25%, 12/15/17 | | 2,172 | 2,389,200 |
| Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 | | 600 | 887,318 |
| Comcast Corp., 6.45%, 3/15/37 | | 790 | 986,479 |
| Cox Communications, Inc., 8.38%, 3/01/39 (a) | | 905 | 1,279,889 |
| Cox Enterprises, Inc.: | | | |
| Loan Close 2, 4.00%, 8/15/18 | | 963 | 977,628 |
| Loan Close 3, 4.00%, 8/15/18 | | 1,102 | 1,117,709 |
| Shares Loan, 4.00%, 8/15/18 | | 1,136 | 1,152,751 |
| DIRECTV Holdings LLC, 6.38%, 3/01/41 | | 260 | 312,960 |
| Gray Television, Inc., 10.50%, 6/29/15 | | 1,055 | 1,114,344 |
| Intelsat Luxembourg SA: | | | |
| 11.25%, 6/15/16 | | 450 | 475,875 |
| 11.25%, 2/04/17 | | 520 | 536,250 |
| 11.50%, 2/04/17 (h) | | 415 | 427,450 |
| Interactive Data Corp., 10.25%, 8/01/18 | | 1,330 | 1,499,575 |
| NBC Universal Media LLC: | | | |
| 5.15%, 4/30/20 | | 1,983 | 2,292,812 |
| 4.38%, 4/01/21 | | 1,015 | 1,111,845 |
| The New York Times Co., 6.63%, 12/15/16 | | 1,800 | 1,876,500 |
| News America, Inc.: | | | |
| 4.50%, 2/15/21 | | 40 | 43,122 |
| 7.63%, 11/30/28 | | 385 | 460,393 |
| TCI Communications, Inc., 7.88%, 2/15/26 | | 610 | 804,450 |
| Time Warner Cable, Inc.: | | | |
| 7.30%, 7/01/38 | | 930 | 1,195,128 |
| 5.88%, 11/15/40 | | 465 | 528,001 |
| 5.50%, 9/01/41 | | 920 | 1,012,976 |
| Time Warner, Inc.: | | | |
| 4.70%, 1/15/21 | | 350 | 390,302 |
| 6.10%, 7/15/40 | | 215 | 254,966 |
| Unitymedia Hessen GmbH & Co. KG (FKA UPC Germany GmbH), 8.13%, 12/01/17 (a) | | 2,370 | 2,571,450 |
| Virgin Media Secured Finance Plc, 6.50%, 1/15/18 | | 525 | 572,250 |
| Ziggo Finance BV, 6.13%, 11/15/17 (a) | EUR | 1,135 | 1,568,866 |
| | | | 33,999,007 |

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Metals & Mining 3.5% | | | |
| Alcoa, Inc., 5.40%, 4/15/21 | USD | 1,450 | $ 1,509,501 |
| AngloGold Ashanti Holdings Plc, 5.38%, 4/15/20 | | 245 | 252,252 |
| Barrick Gold Corp., 2.90%, 5/30/16 | | 1,690 | 1,781,390 |
| Barrick North America Finance LLC, 4.40%, 5/30/21 | | 15 | 16,508 |
| Cliffs Natural Resources, Inc., 4.80%, 10/01/20 | | 240 | 253,865 |
| Falconbridge Ltd., 6.20%, 6/15/35 | | 1,250 | 1,309,683 |
| Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/01/22 | | 540 | 537,419 |
| New World Resources NV, 7.88%, 5/01/18 | EUR | 215 | 290,741 |
| Newcrest Finance Pty Ltd., 4.45%, 11/15/21 (a) | USD | 475 | 487,131 |
| Novelis, Inc., 8.75%, 12/15/20 | | 4,120 | 4,593,800 |
| Teck Resources Ltd., 5.38%, 10/01/15 | | 2,359 | 2,631,266 |
| | | | 13,663,556 |
| Multiline Retail 0.4% | | | |
| Macys Retail Holdings, Inc.: | | | |
| 5.90%, 12/01/16 | | 800 | 920,615 |
| 7.45%, 7/15/17 | | 581 | 713,135 |
| | | | 1,633,750 |
| Oil, Gas & Consumable Fuels 8.5% | | | |
| Anadarko Petroleum Corp.: | | | |
| 5.95%, 9/15/16 | | 1,916 | 2,218,197 |
| 6.38%, 9/15/17 | | 1,824 | 2,189,387 |
| Bill Barrett Corp., 9.88%, 7/15/16 | | 40 | 44,200 |
| BP Capital Markets Plc, 3.13%, 10/01/15 | | 330 | 353,344 |
| Burlington Resources Finance Co., 7.40%, 12/01/31 | | 875 | 1,191,593 |
| Cenovus Energy, Inc., 6.75%, 11/15/39 | | 750 | 1,022,706 |
| Chesapeake Midstream Partners LP, 6.13%, 7/15/22 (a) | | 400 | 414,000 |
| ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 | | 535 | 669,913 |
| Crosstex Energy LP, 8.88%, 2/15/18 | | 130 | 141,050 |
| Devon Energy Corp., 7.95%, 4/15/32 | | 625 | 910,312 |
| El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20 | | 240 | 267,419 |
| EnCana Corp.: | | | |
| 6.50%, 8/15/34 | | 670 | 757,430 |
| 6.63%, 8/15/37 | | 700 | 819,783 |
| Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 | | 540 | 598,050 |
| Enterprise Products Operating LLC: | | | |
| 6.13%, 10/15/39 | | 700 | 835,938 |
| Series L, 6.30%, 9/15/17 | | 575 | 679,820 |
| KeySpan
Gas East Corp., 5.82%, 4/01/41 (a) | | 505 | 611,284 |
| Kinder Morgan Energy Partners LP: | | | |
| 5.95%, 2/15/18 | | 1,300 | 1,547,482 |
| 6.55%, 9/15/40 | | 110 | 126,146 |
| 6.38%, 3/01/41 | | 150 | 170,532 |
| Linn Energy LLC, 6.25%, 11/01/19 (a) | | 590 | 589,263 |
| Marathon Petroleum Corp., 6.50%, 3/01/41 | | 997 | 1,126,789 |
| MidAmerican Energy Co., 5.80%, 10/15/36 | | 700 | 848,567 |
| MidAmerican Energy Holdings Co.: | | | |
| 5.95%, 5/15/37 | | 800 | 969,312 |
| 6.50%, 9/15/37 | | 1,900 | 2,462,212 |
| Nexen, Inc., 7.50%, 7/30/39 | | 1,000 | 1,284,406 |
| Niska Gas Storage US LLC, 8.88%, 3/15/18 | | 305 | 292,800 |
| Petrobras International Finance Co.: | | | |
| 3.88%, 1/27/16 | | 1,340 | 1,397,553 |
| 5.75%, 1/20/20 | | 1,725 | 1,897,500 |

| See Notes to Financial
Statements. — 24 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Oil, Gas & Consumable Fuels (concluded) | | | |
| Premier Oil Plc, 5.00%, 6/09/18 (a) | USD | 1,900 | $ 1,961,750 |
| Range Resources Corp., 5.75%, 6/01/21 | | 935 | 1,000,450 |
| Rockies Express Pipeline LLC, 3.90%, 4/15/15 (a) | | 804 | 771,840 |
| Suncor Energy, Inc., 6.10%, 6/01/18 | | 1,750 | 2,134,933 |
| Western Gas Partners LP, 5.38%, 6/01/21 | | 710 | 757,591 |
| Woodside Finance, Ltd., 4.60%, 5/10/21 (a) | | 205 | 214,411 |
| | | | 33,277,963 |
| Paper & Forest Products 0.9% | | | |
| Boise Paper Holdings LLC: | | | |
| 9.00%, 11/01/17 | | 430 | 473,000 |
| 8.00%, 4/01/20 | | 210 | 230,475 |
| Clearwater Paper Corp., 10.63%, 6/15/16 | | 620 | 704,475 |
| International Paper Co.: | | | |
| 7.50%, 8/15/21 | | 75 | 96,316 |
| 4.75%, 2/15/22 | | 420 | 457,552 |
| 6.00%, 11/15/41 | | 435 | 502,718 |
| NewPage Corp., 11.38%, 12/31/14 (c)(e)(i) | | 430 | 259,075 |
| Verso Paper Holdings LLC, 11.50%, 7/01/14 | | 670 | 683,400 |
| | | | 3,407,011 |
| Pharmaceuticals 0.6% | | | |
| Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a) | EUR | 200 | 286,445 |
| Jaguar Holding Co. II, 9.50%, 12/01/19 (a) | USD | 620 | 678,125 |
| Teva Pharmaceutical Finance Co. BV, Series 2, 3.65%, 11/10/21 | | 205 | 213,889 |
| Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21 | | 1,000 | 1,043,362 |
| | | | 2,221,821 |
| Real Estate Investment Trusts (REITs) 0.5% | | | |
| ERP Operating LP, 4.63%, 12/15/21 | | 500 | 535,722 |
| Ventas Realty LP, 4.75%, 6/01/21 | | 275 | 283,342 |
| Vornado Realty LP, 5.00%, 1/15/22 | | 1,185 | 1,249,283 |
| | | | 2,068,347 |
| Real Estate Management & Development 0.3% | | | |
| Realogy Corp. (a)(e): | | | |
| 7.88%, 2/15/19 | | 434 | 420,980 |
| 7.63%, 1/15/20 | | 520 | 536,900 |
| WEA Finance LLC, 4.63%, 5/10/21 (a) | | 305 | 321,743 |
| | | | 1,279,623 |
| Road & Rail 0.6% | | | |
| Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 | | 950 | 1,151,968 |
| Florida East Coast Railway Corp., 8.13%, 2/01/17 | | 490 | 494,900 |
| The Hertz Corp., 7.38%, 1/15/21 | | 650 | 703,625 |
| | | | 2,350,493 |
| Semiconductors & Semiconductor Equipment 0.1% | | | |
| Spansion LLC, 7.88%, 11/15/17 | | 390 | 383,175 |
| Software 0.2% | | | |
| Oracle Corp., 5.38%, 7/15/40 | | 775 | 942,406 |
| Specialty Retail 0.3% | | | |
| Home Depot, Inc., 5.88%, 12/16/36 | | 830 | 1,038,021 |
| QVC, Inc. (a): | | | |
| 7.50%, 10/01/19 | | 35 | 38,850 |
| 7.38%, 10/15/20 | | 35 | 38,763 |
| | | | 1,115,634 |

Corporate Bonds	Par (000)		Value
Thrifts & Mortgage Finance 0.6%
Northern Rock Plc, 5.63%, 6/22/17 (a)	USD	290	$ 308,892
Radian Group, Inc.:
5.63%, 2/15/13		1,400	1,211,000
5.38%, 6/15/15		1,400	1,029,000
			2,548,892
Wireless Telecommunication Services 2.1%
America Movil SAB de CV, 2.38%, 9/08/16		795	811,760
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)		1,560	1,756,490
Digicel Group Ltd. (a):
9.13%, 1/15/15		560	571,200
8.25%, 9/01/17		150	159,000
MetroPCS Wireless, Inc., 6.63%, 11/15/20		960	988,800
Rogers Communications, Inc., 7.50%, 8/15/38		1,150	1,562,431
SBA Tower Trust, 5.10%, 4/15/17 (a)		360	385,920
Sprint Capital Corp., 6.88%, 11/15/28		595	464,100
Sprint Nextel Corp. (a):
9.00%, 11/15/18		530	590,950
7.00%, 3/01/20		770	782,513
			8,073,164
Total Corporate Bonds 72.9%			286,173,252

Foreign Agency Obligations — Hellenic Republic Government Bond, 4.60%, 9/20/40	EUR	160	42,634
Hydro-Quebec:
9.40%, 2/01/21	USD	390	584,676
8.40%, 1/15/22		730	1,046,735
8.05%, 7/07/24		1,900	2,801,945
Italy Buoni Poliennali Del Tesoro, 5.00%, 3/01/22	EUR	1,700	2,230,482
Italy Government International Bond, 5.38%, 6/15/33	USD	455	429,795
Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13 (j)		660	667,363
Mexico Government International Bond:
5.63%, 1/15/17		370	426,425
5.13%, 1/15/20		145	165,663
Poland Government International Bond, 5.13%, 4/21/21		705	756,113
Russian Foreign Bond Eurobond, 7.50%, 3/31/30 (k)		1,386	1,652,924
Turkey Government International Bond, 6.25%, 9/26/22		1,500	1,608,750
Total Foreign Agency Obligations 3.2%			12,413,505

Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations 3.0%
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37	1,100	863,258
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 14A1, 5.37%, 11/25/34 (b)	368	340,709
Countrywide Alternative Loan Trust:
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35	1,533	1,149,721
Series 2006-0A21, Class A1, 0.44%, 3/20/47 (b)	819	376,607
Series 2006-41CB, Class 1A4, 5.75%, 1/25/37	748	506,865
Series 2007-HY4, Class 4A1, 5.29%, 6/25/47 (b)	872	572,733

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 25 |
| --- | --- | --- |

Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

| Non-Agency Mortgage-Backed
Securities | Par (000) | | Value |
| --- | --- | --- | --- |
| Collateralized
Mortgage Obligations (concluded) | | | |
| Countrywide Home Loan Mortgage Pass-Through Trust: | | | |
| Series 2006-0A5, Class 2A1, 0.44%, 4/25/46 (b) | USD | 336 | $ 177,404 |
| Series 2007-10, Class A22, 6.00%, 7/25/37 | | 675 | 520,090 |
| Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.70%, 7/27/36 (a)(b) | | 1,383 | 1,315,130 |
| CS First Boston Mortgage Securities Corp., Series 2005-12, Class 6A1, 6.00%, 1/25/36 | | 841 | 583,096 |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-0A1, Class A1, 0.44%, 2/25/47 (b) | | 257 | 151,713 |
| GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.10%, 6/19/35 (b) | | 1,232 | 1,158,735 |
| GSR Mortgage Loan Trust: | | | |
| Series 2006-4F, Class 1A1, 5.00%, 5/25/36 | | 657 | 565,875 |
| Series 2007-4F, Class 3A1, 6.00%, 7/25/37 | | 788 | 671,020 |
| Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.42%, 12/25/36 (b) | | 636 | 400,839 |
| IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37 | | 967 | 810,519 |
| JPMorgan Mortgage Trust: | | | |
| Series 2006-S3, Class 1A12, 6.50%, 8/25/36 | | 409 | 378,737 |
| Series 2007-S1, Class 2A22, 5.75%, 3/25/37 | | 452 | 361,764 |
| Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.84%, 5/25/36 (b) | | 710 | 466,114 |
| Residential Funding Mortgage Securities I, Series 2007-S6, Class 1A16, 6.00%, 6/25/37 | | 462 | 373,766 |
| Wells Fargo Mortgage-Backed
Securities Trust: | | | |
| Series 2006-9, Class 1A29, 6.00%, 8/25/36 | | 158 | 157,581 |
| Series 2007-10, Class 1A21, 6.00%, 7/25/37 | | 54 | 48,718 |
| | | | 11,950,994 |
| Commercial
Mortgage-Backed Securities 11.9% | | | |
| Banc of America Merrill
Lynch | | | |
| Commercial Mortgage, Inc.: | | | |
| Series 2007-1, Class A4, 5.45%, 1/15/49 | | 500 | 563,501 |
| Series 2007-2, Class A4, 5.66%, 4/10/49 (b) | | 750 | 832,763 |
| Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42 | | 800 | 879,736 |
| Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.07%, 12/10/49 (b) | | 1,370 | 1,592,362 |
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 | | 1,093 | 1,091,264 |
| Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class AM, 5.78%, 6/10/46 (b) | | 1,750 | 1,812,758 |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37 | | 705 | 620,444 |
| Credit Suisse Mortgage
Capital Certificates: | | | |
| Series 2006-C3, Class AM, 5.81%, 6/15/38 (b) | | 1,000 | 1,056,006 |
| Series 2006-C5, Class AM, 5.34%, 12/15/39 | | 1,750 | 1,751,489 |
| Series 2010-RR2, Class 2A, 5.79%, 9/15/39 (a)(b) | | 1,010 | 1,110,067 |
| DBRR Trust, Series 2011-C32, Class A3A, 5.74%, 6/17/49 (a)(b) | | 365 | 396,307 |
| Extended Stay America
Trust, Series 2010-ESHA (a): | | | |
| Class A, 2.95%, 11/05/27 | | 489 | 493,750 |
| Class B, 4.22%, 11/05/27 | | 2,000 | 2,025,276 |
| Class D, 5.50%, 11/05/27 | | 210 | 213,275 |
| GMAC Commercial Mortgage Securities, Inc., Series 2002-C3, Class A2, 4.93%, 7/10/39 | | 2,053 | 2,084,653 |
| Greenwich Capital
Commercial Funding Corp.: | | | |
| Series 2006-GG7, Class A4, 5.88%, 7/10/38 (b) | | 1,165 | 1,327,709 |
| Series 2007-GG9, Class A4, 5.44%, 3/10/39 | | 2,190 | 2,431,340 |
| Non-Agency Mortgage-Backed
Securities | Par (000) | | Value |
| Commercial
Mortgage-Backed Securities (concluded) | | | |
| GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.79%, 8/10/45 (b) | USD | 435 | $ 486,326 |
| JPMorgan Chase Commercial Mortgage Securities Corp.: | | | |
| Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (a) | | 2,300 | 2,397,605 |
| Series 2004-CBX, Class A4, 4.53%, 1/12/37 | | 519 | 519,339 |
| Series 2004-LN2, Class A2, 5.12%, 7/15/41 | | 820 | 877,614 |
| Series 2006-CB14, Class AM, 5.45%, 12/12/44 (b) | | 330 | 342,646 |
| Series 2006-CB16, Class AJ, 5.62%, 5/12/45 | | 730 | 600,073 |
| LB-UBS Commercial Mortgage
Trust (b): | | | |
| Series 2004-C8, Class C, 4.93%, 12/15/39 | | 1,385 | 1,345,115 |
| Series 2007-C6, Class A4, 5.86%, 7/15/40 | | 1,761 | 1,994,429 |
| Series 2007-C7, Class A3, 5.87%, 9/15/45 | | 1,460 | 1,658,566 |
| Merrill Lynch Mortgage
Trust (b): | | | |
| Series 2004-BPC1, Class A3, 4.47%, 10/12/41 | | 409 | 413,070 |
| Series 2004-KEY2, Class A4, 4.86%, 8/12/39 | | 1,000 | 1,077,270 |
| Morgan Stanley, Series 2007-XLC1, Class A2, 0.56%, 7/17/17 | | 610 | 567,747 |
| Morgan Stanley Capital I: | | | |
| Series 2004-HQ4, Class A7, 4.97%, 4/14/40 | | 1,000 | 1,065,040 |
| Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b) | | 4,000 | 4,507,196 |
| Morgan Stanley Reremic Trust, Series 2011-IO, Class A, 2.50%, 3/23/51 (a) | | 1,092 | 1,095,604 |
| Titan Europe Plc, Series 2006-4FSX, Class A1, 9.14%, 9/03/14 (b) | GBP | 255 | 389,708 |
| Wachovia Bank Commercial
Mortgage Trust: | | | |
| Series 2006-C28, Class A2, 5.50%, 10/15/48 | USD | 4,592 | 4,626,234 |
| Series 2007-C33, Class A4, 5.90%, 2/15/51 (b) | | 2,185 | 2,408,753 |
| | | | 46,655,035 |
| Total
Non-Agency Mortgage-Backed Securities 14.9% | | | 58,606,029 |
| Preferred Securities | | | |
| Capital Trusts | | | |
| Capital
Markets 0.0% | | | |
| State Street Capital Trust
IV, 1.55%, 6/15/37 (b) | | 70 | 49,417 |
| Commercial
Banks 0.2% | | | |
| Barclays Bank Plc, 5.93%
(a)(b)(l) | | 250 | 215,625 |
| Fifth Third Capital Trust
IV, 6.50%, 4/15/67 (b) | | 505 | 501,212 |
| JPMorgan Chase Capital XXV, Series Y, 6.80%, 10/01/37 | | 210 | 212,100 |
| | | | 928,937 |
| Consumer
Finance 0.2% | | | |
| Capital One Capital VI,
8.88%, 5/15/40 | | 690 | 713,074 |
| Capital One Financial Corp. Capital V, 10.25%, 8/15/39 | | 200 | 208,500 |
| | | | 921,574 |
| Insurance
1.2% | | | |
| The Allstate Corp., 6.50%,
5/15/67 (b) | | 1,950 | 1,911,000 |
| American International
Group, Inc., 8.18%, 5/15/68 (b) | | 195 | 206,456 |
| Lincoln National Corp.,
6.05%, 4/20/67 (b) | | 675 | 619,313 |
| MetLife Capital Trust IV,
7.88%, 12/15/67 (a) | | 120 | 132,000 |
| Swiss Re Capital I LP,
6.85% (a)(b)(l) | | 1,060 | 956,422 |
| XL Group Plc, Series E,
6.50% (b)(l) | | 815 | 690,712 |
| | | | 4,515,903 |
| Total
Capital Trusts 1.6% | | | 6,415,831 |

| See Notes to Financial
Statements. — 26 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Trust Preferreds 0.1%	Par (000)		Value
Commercial
Banks 0.1%
Citigroup Capital XIII,
7.88%, 10/30/40	USD	14,773	$ 397,186
Total
Preferred Securities 1.7%			6,813,017
Taxable Municipal Bonds
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40		950	1,202,310
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40		1,275	1,590,907
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39		625	898,906
New York City Municipal
Water Finance Authority:
Second General Resolution, Series EE, 5.50%, 6/15/43		465	535,610
RB, 5.72%, 6/15/42		700	890,379
RB, Build America Bonds, Second General Resolution, Series EE, 5.38%, 6/15/43		385	436,725
New York State Dormitory
Authority:
5.63%, 3/15/39		550	656,178
5.60%, 3/15/40		950	1,155,399
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29		385	477,970
University of California, RB, Build America Bonds, 5.95%, 5/15/45		445	529,222
Total
Taxable Municipal Bonds 2.1%			8,373,606
US Government Sponsored Agency
Securities
Agency
Obligations 3.2%
Fannie Mae:
6.12%, 10/09/19 (e)(m)		7,055	5,489,192
5.63%, 7/15/37 (n)		775	1,065,921
Federal Home Loan Bank (e):
5.25%, 12/09/22		675	848,550
5.37%, 9/09/24		1,075	1,329,662
Resolution Funding Corp.
(m):
1.62%, 7/15/18		525	473,753
1.69%, 10/15/18		525	469,887
Tennessee Valley Authority,
5.25%, 9/15/39 (e)		2,355	2,947,869
			12,624,834
Collateralized
Mortgage Obligations 0.8%
Fannie Mae Mortgage-Backed Securities, Series 2005-5, Class PK, 5.00%, 12/25/34		708	774,120
Freddie Mac Mortgage-Backed
Securities:
Series 2825, Class VP, 5.50%, 6/15/15		634	677,146
Series K013, Class A2, 3.97%, 1/25/21 (b)		940	1,035,249
Series K706, Class X1, 1.60%, 10/25/18 (b)		2,605	226,666
FREMF Mortgage Trust
(a)(b):
Series 2012-K706, Class B, 4.02%, 11/25/44		145	141,595
Series 2012-K706, Class C, 4.02%, 11/25/44		165	145,369
			3,000,145
Interest
Only Collateralized Mortgage Obligations 0.1%
Freddie Mac Mortgage-Backed
Securities:
Series 2579, Class HI, 5.00%, 8/15/17		232	4,191
Series 2611, Class QI, 5.50%, 9/15/32		1,798	213,585
			217,776
US Government Sponsored Agency
Securities	Par (000)		Value
Mortgage-Backed
Securities 2.7%
Fannie Mae Mortgage-Backed
Securities (o):
4.00%, 3/15/27	USD	4,100	$ 4,340,875
5.00%, 3/15/27 03/14/42		3,900	4,209,469
5.50%, 3/15/27		300	326,344
3.50%, 3/14/42 (b)		700	723,406
Freddie Mac Mortgage-Backed
Securities:
6.00%, 2/01/13 12/01/18		721	778,519
4.50%, 3/14/42 (o)		100	106,203
5.00%, 3/14/42 (o)		100	107,656
Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33		86	96,400
			10,688,872
Total US
Government Sponsored Agency Securities 6.8%			26,531,627
US Treasury Obligations
US Treasury Bonds (e):
8.13%, 8/15/21		1,550	2,407,465
6.25%, 8/15/23		5,720	8,117,933
3.50%, 2/15/39		330	359,133
4.25%, 5/15/39		6,045	7,449,520
4.38%, 5/15/40		6,375	8,017,557
4.75%, 2/15/41		1,630	2,174,012
4.38%, 5/15/41		800	1,007,500
3.13%, 11/15/41		30,855	31,110,510
3.13%, 2/15/42		3,255	3,279,412
US Treasury Inflation Indexed Bonds, 2.13%, 2/15/41 (e)		3,808	5,263,761
US Treasury Notes:
0.63%, 1/31/13 (n)		200	200,789
0.25%, 1/31/14 (e)		1,415	1,413,729
0.25%, 2/15/15 (e)		8,145	8,104,275
2.50%, 4/30/15 (e)		965	1,026,066
0.88%, 1/31/17 (e)		7,600	7,607,129
2.25%, 7/31/18 (e)		2,495	2,649,573
2.63%, 8/15/20 (e)		1,105	1,186,580
2.00%, 2/15/22 (e)		29,150	29,209,204
Total US
Treasury Obligations 30.7%			120,584,148
Warrants (p)	Shares
Media
0.0%
Cumulus Media, Inc.
(Expires 3/26/19)		13,751	99,323
Software
0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)		90
Total
Warrants 0.0%			99,323
Total
Long-Term Investments (Cost $518,319,515) 138.6%			544,457,338
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.11% (q)(r)		163,811	163,811
Total
Short-Term Securities (Cost $163,811) 0.1%			163,811

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 27 |
| --- | --- | --- |

Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Options Purchased	Contracts		Value
Exchange-Traded
Put Options 0.0%
Eurodollar 1-Year Mid-Curve Options, Strike Price USD 99.00, Expires 3/16/12		221	$ 1,381
	Notional Amount (000)
Over-the-Counter
Interest Rate Call Swaptions 0.0%
Receive a fixed rate of 2.65% and pay a floating rate based on 3-month LIBOR, Expires 5/01/12, Broker Bank of America NA	USD	3,600	68,976
Over-the-Counter
Put Options 0.0%
EUR Put Option, Strike Price USD 1.30, Expires 3/21/12, Broker Citibank NA		8,810	26,926
Over-the-Counter
Interest Rate Put Swaptions 0.1%
Pay a fixed rate of 0.65% and receive a floating rate based on 3-month LIBOR, Expires 7/05/12, Broker Morgan Stanley Capital Services, Inc.		59,900	28,848
Pay a fixed rate of 3.50% and receive a floating rate based on a 6-month EURIBOR, Expires 11/08/12, Broker Citibank NA	EUR	4,000	42,282
			71,130
Total
Options Purchased (Cost $693,411) 0.1%			168,413
Total
Investments Before TBA Sale Commitments and Options Written (Cost $519,176,737) 138.8%			544,789,562
TBA Sale Commitments (o)	Par (000)
Fannie Mae Mortgage-Backed
Securities:
4.00%, 3/15/27	USD	4,100	(4,340,875	)
5.00%, 3/15/27 3/14/42		3,900	(4,209,469	)
5.50%, 3/15/27		300	(326,344	)
3.50%, 3/14/42		700	(723,406	)
Freddie Mac Mortgage-Backed
Securities:
4.50%, 3/14/42		100	(106,203	)
5.00%, 3/14/42		100	(107,656	)
Total TBA
Sale Commitments (Proceeds $9,811,934) (2.5)%			(9,813,953	)
Options Written	Notional Amount (000)		Value
Over-the-Counter
Interest Rate Call Swaptions (0.3)%
Pay a fixed rate of 2.45% and receive a floating rate based on 3-month LIBOR, Expires 02/22/13 Broker Citibank NA	USD	25,000	$ (963,422	)
Pay a fixed rate of 2.60% and receive a floating rate based on 3-month LIBOR, Expires 12/16/13, Broker JPMorgan Chase Bank		1,400	(63,784	)
Pay a fixed rate of 2.09% and receive a floating rate based on 3-month LIBOR, Expires 01/03/14, Broker Deutsche Bank AG		4,200	(107,326	)
Pay a fixed rate of 1.97% and receive a floating rate based on 3-month LIBOR, Expires 01/27/14, Broker Citibank NA		2,400	(51,669	)
			(1,186,201	)
Over-the-Counter
Put Options (0.0)%
EUR Put Option, Strike Price USD 1.25, Expires 3/21/12, Broker Citibank NA		8,810	(1,162	)
Over-the-Counter
Interest Rate Put Swaptions (0.7)%
Receive a fixed rate of 1.50% and pay a floating rate based on 3-month LIBOR, Expires 05/21/12, Broker JPMorgan Chase Bank		124,600	(279,465	)
Receive a fixed rate of 1.55% and pay a floating rate based on 3-month LIBOR, Expires 07/30/12, Broker Citibank NA		200,000	(925,440	)
Receive a fixed rate of 1.70% and pay a floating rate based on 3-month LIBOR, Expires 08/10/12, Broker Bank of America NA		3,900	(14,293	)
Receive a fixed rate of 1.75% and pay a floating rate based on 3-month LIBOR, Expires 08/23/12, Broker Royal Bank of Scotland Plc		142,500	(531,682	)
Receive a fixed rate of 2.90% and pay a floating rate based on 3-month LIBOR, Expires 01/09/13, Broker Citibank NA		6,000	(89,089	)
Receive a fixed rate of 2.45% and pay a floating rate based on 3-month LIBOR, Expires 02/22/13, Broker Citibank NA		25,000	(766,158	)
Receive a fixed rate of 2.60% and pay a floating rate based on 3-month LIBOR, Expires 12/16/13, Broker JPMorgan Chase Bank		1,400	(64,530	)
Receive a fixed rate of 2.09% and pay a floating rate based on 3-month LIBOR, Expires 01/03/14, Broker Deutsche Bank AG		4,200	(79,290	)
Receive a fixed rate of 1.97% and pay a floating rate based on 3-month LIBOR, Expires 01/27/14, Broker Citibank NA		2,400	(53,147	)
			(2,803,094	)
Total
Options Written (Premiums Received $4,225,523) (1.0)%			(3,990,457	)
Total
Investments, Net of TBA Sale
Commitments
and Options Written 135.3%			530,985,152
Liabilities
in Excess of Other Assets (35.3)%			(138,407,350	)
Net Assets 100.0%			$ 392,577,802

| See Notes to Financial
Statements. — 28 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

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

| (a) | Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration to qualified
institutional investors. |
| --- | --- |
| (b) | Variable rate security.
Rate shown is as of report date. |
| (c) | Non-income producing security. |
| (d) | Represents a step-down bond
that pays an initial coupon rate for the first period and then a lower coupon
rate for the following periods. Rate shown is as of report date. |
| (e) | All or a portion of
security has been pledged as collateral in connection with open reverse
repurchase agreements. |
| (f) | Convertible security. |
| (g) | When-issued security.
Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation
Morgan Stanley & Co.,
Inc.	$ 1,175,149	$ 34,149

| (h) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| --- | --- |
| (i) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (j) | All or a portion of
security has been pledged as collateral in connection with swaps. |
| (k) | Represents a step-up bond that pays an initial coupon rate for the first
period and then a higher coupon rate for the following periods. Rate shown is
as of report date. |
| (l) | Security is perpetual in
nature and has no stated maturity date. |
| (m) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (n) | All or a
portion of security has been pledged as collateral in connection with open
financial futures contracts. |
| (o) | Represents or includes a
to-be-announced (TBA) transaction. Unsettled TBA transactions as of
February 29, 2012 were as follows: |

| Counterparty — BNP Paribas Securities
Corp. | Value — $ 310,031 | | Unrealized Appreciation (Depreciation) — $ (141 | ) |
| --- | --- | --- | --- | --- |
| Credit Suisse Securities
(USA) LLC | $ 3,455,000 | | $ 4,000 | |
| Deutsche Bank Securities,
Inc. | $ 326,344 | | $ 891 | |
| Goldman Sachs & Co.,
Inc. | $ 4,014,531 | | $ 363 | |
| JPMorgan Securities, Inc. | $ (3,765,031 | ) | $ (1,250 | ) |
| Morgan Stanley & Co.,
Inc. | $ (754,069 | ) | $ (90 | ) |
| RBS Greenwich Capital | $ (4,340,875 | ) | $ (641 | ) |
| UBS Securities | $ 754,469 | | $ 1,422 | |

| (p) | Warrants entitle the Trust
to purchase a predetermined number of shares of common stock and are
non-income producing. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date, if any. |
| --- | --- |
| (q) | Represents the current
yield as of report date. |
| (r) | Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of
Section 2(a)(3) of the 1940 Act, as amended, were as follows: |

Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class	4,711,687	(4,547,876	)	163,811	Income — $ 2,089

Reverse repurchase agreements outstanding as of February 29, 2012 were as follows:

Counterparty — Credit Suisse Securities (USA) LLC	Interest Rate — 0.13	%	Trade Date — 11/29/11	Maturity Date — Open	$ 2,449,822	$ 2,449,000
Credit Suisse Securities (USA) LLC	0.17	%	11/29/11	Open	2,992,163	2,990,850
BNP Paribas Securities Corp.	0.13	%	12/02/11	Open	360,642	360,525
Deutsche Bank AG	(0.50	)%	1/17/12	Open	344,819	345,030
UBS Securities LLC	0.35	%	1/19/12	Open	3,409,267	3,407,875
BNP Paribas Securities Corp.	0.14	%	1/24/12	Open	1,190,808	1,190,637
Barclays Capital, Inc.	0.10	%	1/25/12	Open	2,597,260	2,597,000
Barclays Capital, Inc.	0.12	%	1/25/12	Open	8,209,185	8,208,200
Barclays Capital, Inc.	0.13	%	1/25/12	Open	1,372,147	1,371,969
Deutsche Bank AG	(0.12	)%	1/25/12	Open	259,152	262,300
Deutsche Bank AG	0.12	%	1/25/12	Open	2,660,613	2,660,294
Deutsche Bank AG	0.13	%	1/25/12	Open	2,184,484	2,184,200
UBS Securities LLC	(0.25	)%	2/01/12	Open	475,916	476,012
UBS Securities LLC	(1.25	)%	2/02/12	Open	440,272	440,700
BofA Merrill Lynch	0.11	%	2/07/12	Open	4,832,996	4,832,656
BofA Merrill Lynch	0.12	%	2/07/12	Open	8,009,208	8,008,594
BofA Merrill Lynch	0.01	%	2/13/12	Open	1,415,007	1,415,000
Deutsche Bank AG	0.25	%	2/13/12	3/12/12	1,901,814	1,901,444
BNP Paribas Securities Corp.	0.15	%	2/16/12	Open	1,015,059	1,015,000
BNP Paribas Securities Corp.	0.16	%	2/16/12	Open	1,036,233	1,036,169
BofA Merrill Lynch	0.17	%	2/16/12	Open	857,307	857,250
BNP Paribas Securities Corp.	0.13	%	2/28/12	Open	5,311,600	5,311,562
BNP Paribas Securities Corp.	0.32	%	2/28/12	Open	1,602,229	1,602,200
Deutsche Bank AG	0.16	%	2/28/12	Open	5,467,674	5,467,625
BofA Merrill Lynch	0.12	%	2/29/12	3/01/12	8,114,483	8,114,456
BNP Paribas Securities Corp.	0.09	%	2/29/12	3/01/12	7,628,519	7,628,500
BNP Paribas Securities Corp.	0.18	%	2/29/12	3/01/12	15,522,041	15,521,963
BNP Paribas Securities Corp.	0.19	%	2/29/12	3/01/12	31,626,542	31,626,375
BNP Paribas Securities Corp.	0.32	%	2/29/12	Open	4,520,540	4,520,500
Credit Suisse Securities (USA) LLC	(0.06	)%	2/29/12	3/01/12	29,332,139	29,332,188
Total					$ 157,139,941	$ 157,136,074

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 29 |
| --- | --- | --- |

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

Financial futures contracts purchased as of February 29, 2012 were as follows:

Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation
2	Long-Term UK Gilt Bond	London International Financial Futures and Options Exchange	March 2012	GBP	232,760	$ 10,878
257	30-Year
US Treasury Bond	Chicago
Board of Trade	June 2012	USD	36,405,656	82,066
Total						$ 92,944

Financial futures contracts sold as of February 29, 2012 were as follows:

Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
8	Euro-Bund	Eurex	March 2012	EUR	1,119,120	$ (1,291	)
312	Euro-Schatz	Eurex	March 2012	EUR	34,451,040	(23,057	)
67	2-Year
US Treasury Note	Chicago
Board of Trade	June 2012	USD	14,755,703	4,060
48	5-Year
US Treasury Note	Chicago
Board of Trade	June 2012	USD	5,912,250	6,259
114	10-Year
US Treasury Note	Chicago
Board of Trade	June 2012	USD	14,928,656	43,810
40	90-Day Euro-Dollar	Chicago Mercantile	March 2015	USD	9,867,000	(1,370	)
40	90-Day Euro-Dollar	Chicago Mercantile	June 2015	USD	9,850,000	(1,687	)
40	90-Day Euro-Dollar	Chicago Mercantile	September 2015	USD	9,834,000	(2,733	)
40	90-Day Euro-Dollar	Chicago Mercantile	December 2015	USD	9,817,500	(3,722	)
Total						$ 20,269

Foreign currency exchange contracts as of February 29, 2012 were as follows:

Currency Purchased		Currency Sold		Counterparty
USD	2,295,352	EUR	1,707,000	Deutsche
Bank AG	3/01/12	$ 21,117
GBP	799,000	USD	1,268,804	UBS
Securities LLC	3/02/12	2,325
EUR	863,000	USD	1,142,931	UBS
Securities LLC	3/05/12	6,855
GBP	693,000	USD	1,103,178	Deutsche
Bank AG	3/05/12	(684	)
USD	1,137,468	EUR	863,000	Citibank
NA	3/05/12	(12,319	)
EUR	8,790,000	CHF	10,593,532	UBS
Securities LLC	3/06/12	555
EUR	1,700,000	USD	2,221,135	Citibank
NA	3/07/12	43,813
EUR	1,470,000	USD	1,920,140	Royal
Bank of Scotland Plc	3/07/12	38,373
USD	1,131,750	EUR	863,000	Citibank
NA	3/07/12	(18,044	)
AUD	1,220,000	USD	1,308,670	UBS
Securities LLC	3/13/12	(1,916	)
NZD	1,710,000	USD	1,420,711	Royal
Bank of Scotland Plc	3/13/12	5,117
USD	1,314,294	AUD	1,220,000	HSBC
Bank USA	3/13/12	7,540

Foreign currency exchange contracts as of February 29, 2012 were as follows (concluded):

Currency Purchased		Currency Sold		Counterparty	Unrealized Appreciation (Depreciation)
USD	1,427,183	NZD	1,710,000	Morgan
Stanley Capital Services, Inc.	3/13/12	$ 1,355
USD	1,616,393	EUR	1,220,000	Citibank
NA	3/14/12	(9,079	)
JPY	78,276,510	USD	975,000	Citibank
NA	3/16/12	(11,950	)
JPY	74,259,462	USD	925,000	Deutsche
Bank AG	3/16/12	(11,373	)
USD	1,950,000	JPY	152,438,520	BNP
Paribas Securities Corp.	3/16/12	74,522
USD	1,102,885	GBP	693,000	Deutsche
Bank AG	4/11/12	713
USD	1,268,447	GBP	799,000	UBS
Securities LLC	4/11/12	(2,311	)
USD	28,767	JPY	2,210,000	Citibank
NA	4/11/12	1,571
PHP	53,125,804	USD	1,250,000	Royal
Bank of Scotland Plc	4/17/12	(11,607	)
SGD	1,551,750	USD	1,250,000	HSBC
Bank USA	4/17/12	(9,196	)
USD	1,250,000	PHP	53,387,500	Morgan
Stanley Capital Services, Inc.	4/17/12	5,507
USD	1,250,000	SGD	1,577,488	Standard
Chartered Bank	4/17/12	(11,385	)
EUR	1,707,000	USD	2,295,790	Deutsche
Bank AG	4/18/12	(21,143	)
USD	9,495,666	EUR	7,392,500	Citibank
NA	4/18/12	(355,142	)
USD	2,131,107	EUR	1,629,000	Citibank
NA	4/18/12	(39,602	)
USD	367,592	EUR	280,000	Citibank
NA	4/18/12	(5,520	)
USD	193,204	EUR	146,000	Citibank
NA	4/18/12	(1,347	)
USD	2,977,160	EUR	2,264,000	Deutsche
Bank AG	4/18/12	(39,712	)
Total					$ (352,967	)

Credit default swaps on single-name issues buy protection outstanding as of February 29, 2012 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
Radian	5.00 %	Citibank
NA	3/20/13	$ 1,400	$ 188,478
Group, Inc.
Radian	5.00 %	Citibank
NA	6/20/15	$ 1,400	303,681
Group, Inc.
The New York	1.00 %	Barclays
Bank, Inc.	12/20/16	$ 1,800	385
Times Co.
Sara Lee Corp.	1.00 %	JPMorgan Chase Bank NA	3/20/17	$ 404	(626	)
Total					$ 491,918

| See Notes to Financial
Statements. — 30 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

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

Credit default swaps on single-name issues sold protection outstanding as of February 29, 2012 were as follows:

| Issuer — Aviva USA Corp. | 1.00% | Counterparty — Deutsche Bank AG | 5/25/12 | Not
Rated | | Notional Amount (000) 2 — $ 1,150 | Unrealized Appreciation (Depreciation) — $ (619 |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Assured Guaranty Corp. | 5.00% | Citibank
NA | 12/20/14 | AA | | $ 3 | 336 |
| Assured Guaranty Corp. | 5.00% | Citibank
NA | 3/20/15 | AA | | $ 10 | 1,330 |
| MetLife, Inc. | 1.00% | Credit
Suisse Securities (USA) LLC | 9/20/16 | A | | $ 535 | 20,656 |
| MetLife, Inc. | 1.00% | Deutsche Bank AG | 9/20/16 | A | | $ 730 | 22,969 |
| MetLife, Inc. | 1.00% | Goldman Sachs & Co. | 9/20/16 | A | | $ 500 | 14,705 |
| MetLife, Inc. | 1.00% | Morgan
Stanley & Co., Inc. | 9/20/16 | A | | $ 900 | 26,986 |
| MetLife, Inc. | 1.00% | Morgan
Stanley & Co., Inc. | 9/20/16 | A | | $ 275 | 6,017 |
| Assured Guaranty Corp. | 5.00% | Citibank
NA | 12/20/16 | AA | | $ 146 | 25,075 |
| MetLife, Inc. | 1.00% | Citibank
NA | 12/20/16 | A | | $ 298 | 6,143 |
| MetLife, Inc. | 1.00% | Citibank
NA | 12/20/16 | A | | $ 285 | 7,565 |
| Total | | | | | | | $ 131,163 |

1	Using S&Ps rating.
2	The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement.

Credit default swaps on traded indexes buy protection outstanding as of February 29, 2012 were as follows:

Index	Pay Fixed Rate	Counterparty		Notional Amount (000)	Unrealized Depreciation
Dow Jones CDX Emerging Markets Series 14	5.00%	Morgan
Stanley & Co., Inc.	12/20/15	$ 990	$ (202	)
Dow Jones CDX North America Investment Grade Index Series 16	1.00%	Credit
Suisse Securities (USA) LLC	6/20/16	$ 388	(5,485	)
Dow Jones CDX North America Investment Grade Index Series 16	1.00%	JPMorgan Chase & Co.	6/20/16	$ 22	(264	)
Dow Jones CDX North America Investment Grade Index Series 16	1.00%	Morgan
Stanley & Co., Inc.	6/20/16	$ 1,480	(28,844	)
Total					$ (34,795	)

Credit default swaps on traded indexes sold protection outstanding as of February 29, 2012 were as follows:

Index	Receive Fixed Rate	Counterparty	Expiration Date	Credit Rating 3	Unrealized Appreciation
Markit CMBX North America AAA Index Series 3	0.08%	Morgan
Stanley & Co., Inc.	12/13/49	AA	$ 525	$ 28,946
Markit CMBX North America AAA Index Series 4	0.35%	Morgan
Stanley & Co., Inc.	2/17/51	A	$ 525	28,839
Total					$ 57,785

| | 3 | Using S&Ps rating of
the underlying securities. |
| --- | --- | --- |
| | 4 | The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement. |
| | Interest rate swaps
outstanding as of February 29, 2012 were as follows: | |

Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)		Unrealized Appreciation (Depreciation)
1.24% 5	6-month
EURIBOR	Citibank
NA	12/13/13	EUR	40,010	$ 204,880
3.27% 6	3-month
LIBOR	Deutsche Bank AG	5/16/21	USD	910	(102,530	)
3.85% 6	3-month
LIBOR	UBS
Securities LLC	12/14/21	USD	300	(37,959	)
3.02% 5	3-month
LIBOR	Goldman Sachs & Co.	1/17/22	USD	1,000	(2,991	)
1.97% 6	3-month
LIBOR	Deutsche Bank AG	2/02/22	USD	2,200	17,832
2.01% 6	3-month
LIBOR	Credit
Suisse Securities (USA) LLC	2/08/22	USD	600	2,810
2.14% 6	3-month
LIBOR	JPMorgan Chase Bank NA	2/24/22	USD	25,000	(188,488	)
2.58% 6	6-month
EURIBOR	Deutsche Bank AG	11/11/41	EUR	350	(5,803	)
2.68% 6	6-month
EURIBOR	Deutsche Bank AG	11/18/41	EUR	745	(33,512	)
2.70% 6	3-month
LIBOR	Deutsche Bank AG	1/11/42	USD	1,000	16,294
2.85% 6	3-month
LIBOR	Bank
of America NA	2/09/42	USD	1,100	(16,737	)
2.86% 6	3-month
LIBOR	JPMorgan Chase Bank NA	2/24/42	USD	10,000	(164,984	)
Total						$ (311,188	)

| 5 | Trust pays a floating
interest rate and receives fixed rate. |
| --- | --- |
| 6 | Trust pays a fixed interest
rate and receives floating rate. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 31 |
| --- | --- | --- |

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

Total return swaps outstanding as of February 29, 2012 were as follows:

| Reference
Entity | Trust Pays/ Receives the Total Return of the Reference Entity | Fixed Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Depreciation | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Change in Return of the Consumer Price Index for All Urban Consumers | Pays | 2.18% 1 | Bank
of America NA | 10/06/21 | $ 1,880 | $ (77,284 | ) |
| 1 Net
payment made at termination. | | | | | | | |

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trusts investments and derivative financial instruments:

| Valuation
Inputs | Level 1 | Level 2 | | | Total | |
| --- | --- | --- | --- | --- | --- | --- |
| Assets: | | | | | | |
| Investments: | | | | | | |
| Long-Term Investments: | | | | | | |
| Asset-Backed Securities | | $ 19,268,906 | $ | 5,593,922 | $ 24,862,828 | |
| Common Stocks | | | | 3 | 3 | |
| Corporate Bonds | | 280,963,414 | | 5,209,838 | 286,173,252 | |
| Foreign Agency Obligations | | 12,413,505 | | | 12,413,505 | |
| Non-Agency Mortgage-Backed Securities | | 57,641,975 | | 964,054 | 58,606,029 | |
| Preferred Securities | $ 397,186 | 6,415,831 | | | 6,813,017 | |
| Taxable Municipal Bonds | | 8,373,606 | | | 8,373,606 | |
| US Government Sponsored Agency Securities | | 26,531,627 | | | 26,531,627 | |
| US Treasury Obligations | | 120,584,148 | | | 120,584,148 | |
| Warrants | | 99,323 | | | 99,323 | |
| Short-Term Securities | 163,811 | | | | 163,811 | |
| Liabilities: | | | | | | |
| TBA Sale Commitments | | (9,813,953 | ) | | (9,813,953 | ) |
| Total | $ 560,997 | $ 522,478,382 | $ | 11,767,817 | $ 534,807,196 | |

| Valuation
Inputs | Level 1 | | | | Level 3 | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Derivative Financial Instruments 2 | | | | | | | | |
| Assets: | | | | | | | | |
| Credit contracts | | $ | 682,111 | | | | $ 682,111 | |
| Foreign currency exchange contracts | | | 236,289 | | | | 236,289 | |
| Interest rate contracts | $ 148,454 | | 381,922 | | | | 530,376 | |
| Liabilities: | | | | | | | | |
| Credit contracts | | | (35,421 | ) | $ (619 | ) | (36,040 | ) |
| Foreign currency exchange contracts | | | (563,492 | ) | | | (563,492 | ) |
| Interest rate contracts | (33,860 | ) | (4,542,299 | ) | | | (4,576,159 | ) |
| Other contracts | | | (77,284 | ) | | | (77,284 | ) |
| Total | $ 114,594 | $ | (3,918,174 | ) | $ (619 | ) | $ (3,804,199 | ) |

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

| See Notes to Financial
Statements. — 32 | SEMI-ANNUAL
REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

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

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

	Asset-Backed Securities
Assets:
Balance, as of August 31,
2011	$ 6,120,404			$	5,241,393	$	1,960,958	$	191	$	102,281	$	77,670	$	13,502,897
Accrued discounts/premiums	(146,593	)			190		62								(146,341	)
Net realized gain (loss)	89				17,862		40,781								58,732
Net change in unrealized
appreciation/depreciation 1	97,835	$	(1,584	)	(60,374	)	30,880		(191	)	(102,281	)	(1	)	(35,716	)
Purchases	1,364,968				62,767		960,976								2,388,711
Sales	(513,437	)			(52,000	)	(1,676,933	)							(2,242,370	)
Transfers in 2			1,587												1,587
Transfers out 2	(1,329,344	)					(352,670	)					(77,669	)	(1,759,683	)
Balance,
as of February 29, 2012	$ 5,593,922	$	3	$	5,209,838	$	964,054							$	11,767,817

| 1 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on investments
still held at February 29, 2012 was $61,330. |
| --- | --- |
| 2 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the event. |

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

	Credit Contracts
Liabilities:
Balance, as of August 31,
2011	$ (941	)
Accrued discounts/premiums
Net realized gain (loss)
Net change in unrealized
appreciation/depreciation 3	322
Purchases
Issuances 4
Sales
Settlements 5
Transfers in 6
Transfers out 6
Balance,
as of February 29, 2012	$ (619	)

| 3 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on derivative
financial instruments still held at February 29, 2012 was $322. |
| --- | --- |
| 4 | Issuances represent upfront
cash received on certain derivative financial instruments. |
| 5 | Settlements represent
periodic contractual cash flows and/or cash flows to terminate certain
derivative financial instruments. |
| 6 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

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

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 33 |
| --- | --- | --- |

| Consolidated Schedule of
Investments February 29,
2012 (Unaudited) |
| --- |
| (Percentages
shown are based on Net Assets) |

Common Stocks		Value
Auto
Components 3.0%
Delphi Automotive Plc	25,885	$ 828,330
Delphi Automotive Plc (180-day lock) (Acquired 11/17/11, cost $3,421,472) (a)	360,536	11,248,714
		12,077,044
Capital
Markets 0.3%
E*Trade Financial Corp. (b)	109,400	1,053,522
Commercial
Banks 0.3%
CIT Group, Inc. (b)	24,890	1,013,272
Communications
Equipment 0.3%
Loral Space &
Communications Ltd. (b)	19,132	1,362,964
Diversified
Financial Services 0.6%
Kcad Holdings I Ltd.	280,076,816	2,564,103
Diversified
Telecommunication Services 0.1%
Level 3 Communications,
Inc. (b)	22,720	552,323
Electrical
Equipment 0.0%
Medis Technologies Ltd. (b)	109,685	549
Energy
Equipment & Services 1.2%
Laricina Energy Ltd. (b)	70,588	3,031,977
Osum Oil Sands Corp. (b)	120,000	1,515,994
Transocean Ltd.	8,000	426,720
		4,974,691
Hotels,
Restaurants & Leisure 0.0%
Buffets Restaurants
Holdings, Inc. (b)	1,854	185
Travelport Worldwide Ltd.	113,632	56,816
		57,001
Media
1.7%
Belo Corp., Class A	69,821	500,617
Charter Communications,
Inc. (b)	98,748	6,261,611
Clear Channel Outdoor
Holdings, Inc., Class A (b)	14,202	187,892
		6,950,120
Metals
& Mining 0.1%
African Minerals Ltd. (b)	65,551	599,272
Paper
& Forest Products 0.2%
Ainsworth Lumber Co. Ltd.
(b)	181,600	286,317
Ainsworth Lumber Co. Ltd.
(b)	208,741	329,108
Western Forest Products,
Inc. (b)	74,889	72,660
Western Forest Products,
Inc. (b)	74,936	72,705
		760,790
Professional
Services 0.0%
Pendrell Corp. (b)	5,100	12,342
Road &
Rail 0.2%
Dollar Thrifty Automotive
Group, Inc. (b)	8,900	675,599
Semiconductors
& Semiconductor
Equipment
0.3%
Spansion, Inc., Class A (b)	94,583	1,210,662
SunPower Corp. (b)	200	1,506
		1,212,168
Software
0.0%
Bankruptcy Management
Solutions, Inc. (b)	737	15
HMH Holdings/EduMedia	133,690	33,422
		33,437
Total
Common Stocks 8.3%		33,899,197

Corporate Bonds	Par (000)		Value
Aerospace
& Defense 0.5%
Huntington Ingalls
Industries, Inc.:
6.88%, 3/15/18 (c)	USD	340	$ 357,850
7.13%, 3/15/21		480	514,200
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		1,114	1,200,335
			2,072,385
Air
Freight & Logistics 0.5%
National Air Cargo Group,
Inc.:
Series 1, 12.38%, 9/02/15		945	985,460
Series 2, 12.38%, 8/16/15		956	996,161
			1,981,621
Airlines
2.1%
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23		1,663	1,762,780
Continental Airlines, Inc.:
6.75%, 9/15/15 (c)		900	909,000
Series 1997-4-B, 6.90%, 7/02/18		50	49,466
Series 2010-1, 6.00%, 7/12/20		672	651,508
Delta Air Lines, Inc.:
Series 2009-1-B, 9.75%, 6/17/18		277	293,314
Series 2010-1-B, 6.38%, 7/02/17		800	748,000
United Air Lines, Inc.,
12.75%, 7/15/12		2,838	2,937,549
US Airways Pass-Through
Trust, 10.88%, 10/22/14		1,020	1,020,000
			8,371,617
Auto
Components 1.8%
Allison Transmission, Inc.,
11.00%, 11/01/15 (c)		110	116,188
B-Corp Merger Sub, Inc.,
8.25%, 6/01/19 (c)		310	316,200
Dana Holding Corp., 6.75%,
2/15/21		660	714,450
Delphi Corp., 6.13%,
5/15/21 (c)		260	278,850
Icahn Enterprises LP,
8.00%, 1/15/18		4,815	5,103,900
International Automotive Components Group, SL, 9.13%, 6/01/18 (c)		70	62,300
Titan International, Inc.,
7.88%, 10/01/17		685	727,812
			7,319,700
Beverages
0.4%
Cott Beverages, Inc.,
8.13%, 9/01/18		394	434,385
Crown European Holdings SA:
7.13%, 8/15/18	EUR	396	565,181
7.13%, 8/15/18 (c)		447	637,970
			1,637,536
Biotechnology
0.1%
QHP Pharma, 10.25%, 3/15/15
(c)	USD	327	329,008
Building
Products 0.7%
Building Materials Corp. of
America (c):
7.00%, 2/15/20		670	726,950
6.75%, 5/01/21		1,510	1,642,125
Momentive Performance Materials, Inc., 11.50%, 12/01/16		710	596,400
			2,965,475
Capital
Markets 1.0%
American Capital Ltd.,
7.96%, 12/31/13 (d)		1,040	1,059,282
E*Trade Financial Corp.
(c):
12.50%, 11/30/17		1,575	1,834,875
3.46%, 8/31/19 (e)(f)		356	336,865
KKR Group Finance Co.,
6.38%, 9/29/20 (c)		970	1,032,290
			4,263,312

| See Notes to Financial
Statements. — 34 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Chemicals
3.8%
American Pacific Corp.,
9.00%, 2/01/15	USD	1,300	$ 1,267,500
Ashland, Inc., 9.13%,
6/01/17		635	712,787
Basell Finance Co. BV,
8.10%, 3/15/27 (c)		735	841,575
Celanese US Holdings LLC,
5.88%, 6/15/21		2,640	2,877,600
Chemtura Corp., 7.88%,
9/01/18		555	596,625
Hexion U.S. Finance Corp.,
9.00%, 11/15/20		460	450,800
Huntsman International LLC,
8.63%, 3/15/21		250	282,500
Ineos Finance Plc, 8.38%,
2/15/19 (c)		695	738,437
Kinove German Bondco GmbH,
10.00%, 6/15/18	EUR	561	767,974
KRATON Polymers LLC, 6.75%,
3/01/19	USD	185	188,700
Lyondell Chemical Co.,
11.00%, 5/01/18		4,017	4,404,179
LyondellBasell Industries
NV, 6.00%, 11/15/21 (c)		245	268,888
Nexeo Solutions LLC, 8.38%,
3/01/18 (c)		275	275,000
PolyOne Corp., 7.38%,
9/15/20		320	344,800
Solutia, Inc., 7.88%,
3/15/20		910	1,066,975
TPC Group LLC, 8.25%,
10/01/17		495	522,225
			15,606,565
Commercial
Banks 2.3%
CIT Group, Inc.:
7.00%, 5/02/16 (c)		4,958	4,964,197
7.00%, 5/01/17		0.00	0.00
7.00%, 5/02/17 (c)		3,555	3,559,444
5.50%, 2/15/19 (c)		890	908,913
Glitnir Banki HF, 6.38%,
9/25/12 (b)(c)(g)		1,005
			9,432,554
Commercial
Services & Supplies 2.0%
ACCO Brands Corp., 10.63%,
3/15/15		490	540,842
Aviation Capital Group
Corp., 6.75%, 4/06/21 (c)		800	792,992
AWAS Aviation Capital Ltd.,
7.00%, 10/17/16 (c)		250	260,732
Brickman Group Holdings,
Inc., 9.13%, 11/01/18 (c)		38	36,100
Casella Waste Systems,
Inc., 7.75%, 2/15/19		969	964,155
Clean Harbors, Inc., 7.63%,
8/15/16		540	572,400
Iron Mountain, Inc., 7.75%,
10/01/19		620	685,100
Mobile Mini, Inc., 7.88%,
12/01/20		545	572,250
RSC Equipment Rental, Inc.:
10.00%, 7/15/17 (c)		870	1,009,200
8.25%, 2/01/21		1,287	1,364,220
Verisure Holding AB:
8.75%, 9/01/18	EUR	274	368,701
8.75%, 12/01/18		134	158,890
WCA Waste Corp., 7.50%,
6/15/19 (c)	USD	490	496,125
West Corp., 8.63%, 10/01/18		205	224,987
			8,046,694
Communications
Equipment 0.8%
Avaya, Inc., 9.75%,
11/01/15		1,110	1,110,000
Frontier Communications
Corp., 6.25%, 1/15/13		1,330	1,373,225
Hughes Satellite Systems
Corp., 6.50%, 6/15/19		550	583,000
			3,066,225
Computers
& Peripherals 0.1%
SanDisk Corp., 1.50%,
8/15/17 (f)		330	395,175
Construction
& Engineering 0.1%
Abengoa SA, 8.50%, 3/31/16	EUR	150	204,881
Boart Longyear Management Ltd., 7.00%, 4/01/21 (c)	USD	275	289,438
			494,319
Construction
Materials 0.2%
Xefin Lux SCA:
8.00%, 6/01/18	EUR	100	133,896
8.00%, 6/01/18 (c)		376	503,449
			637,345
Corporate Bonds	Par (000)		Value
Consumer
Finance 1.7%
Credit Acceptance Corp.,
9.13%, 2/01/17	USD	660	$ 702,900
Ford Motor Credit Co. LLC:
7.80%, 6/01/12		300	303,698
7.00%, 4/15/15		3,030	3,363,300
12.00%, 5/15/15		1,090	1,370,613
6.63%, 8/15/17		193	218,701
5.88%, 8/02/21		641	715,338
Springleaf Finance (FKA AGFS Funding Co.), 6.90%, 12/15/17		155	120,125
			6,794,675
Containers
& Packaging 1.3%
Ardagh Packaging Finance
Plc:
7.38%, 10/15/17 (c)		210	225,750
7.38%, 10/15/17 (c)	EUR	600	843,346
7.38%, 10/15/17		100	140,558
9.13%, 10/15/20 (c)	USD	590	609,175
Berry Plastics Corp.:
4.42%, 9/15/14 (h)		445	426,087
8.25%, 11/15/15		175	188,125
9.75%, 1/15/21		530	567,100
GCL Holdings SCA, 9.38%,
4/15/18 (c)	EUR	394	468,496
Graphic Packaging International, Inc., 7.88%, 10/01/18	USD	550	605,000
OI European Group BV,
6.88%, 3/31/17	EUR	233	322,843
Sealed Air Corp., 8.38%,
9/15/21 (c)	USD	375	429,375
Smurfit Kappa Acquisitions,
7.75%, 11/15/19 (c)	EUR	418	600,061
			5,425,916
Diversified
Consumer Services 1.5%
Service Corp.
International, 7.00%, 6/15/17	USD	4,425	4,956,000
ServiceMaster Co., 8.00%,
2/15/20 (c)		970	1,023,350
			5,979,350
Diversified
Financial Services 5.3%
Ally Financial, Inc.:
7.50%, 12/31/13		460	489,900
8.30%, 2/12/15		930	1,027,650
6.25%, 12/01/17		760	785,550
7.50%, 9/15/20		1,000	1,101,250
8.00%, 11/01/31		1,705	1,903,206
8.00%, 11/01/31		920	998,251
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16		552	588,570
Boparan Holdings Ltd. (c):
9.75%, 4/30/18	EUR	155	203,202
9.88%, 4/30/18	GBP	210	329,078
DPL, Inc., 7.25%, 10/15/21
(c)	USD	1,165	1,328,100
FCE Bank Plc, 4.75%,
1/19/15	EUR	1,614	2,204,068
General Motors Financial
Co., Inc., 6.75%, 6/01/18	USD	460	496,413
Lehman Brothers Holdings,
Inc. (b)(g):
5.38%, 10/17/12	EUR	200	73,010
5.75%, 5/17/13	USD	915	248,194
4.75%, 1/16/14	EUR	1,130	412,507
1.00%, 2/05/14		2,350	876,653
8.80%, 3/01/15	USD	255	69,169
Leucadia National Corp.,
8.13%, 9/15/15		1,148	1,277,150
Reynolds Group Issuer,
Inc.:
8.75%, 10/15/16 (c)		848	903,120
8.75%, 10/15/16 (c)	EUR	394	557,734
8.75%, 10/15/16		726	1,027,702
7.13%, 4/15/19 (c)	USD	365	385,987
7.88%, 8/15/19 (c)		1,585	1,735,575
9.88%, 8/15/19 (c)		1,615	1,669,506

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 35 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Diversified Financial Services (concluded) | | | |
| WMG
Acquisition Corp. (c): | | | |
| 9.50%, 6/15/16 | USD | 180 | $ 198,900 |
| 11.50%, 10/01/18 | | 865 | 919,062 |
| | | | 21,809,507 |
| Diversified Telecommunication Services 3.2% | | | |
| Broadview Networks Holdings, Inc., 11.38%, 9/01/12 | | 1,530 | 1,373,175 |
| GCI, Inc.,
6.75%, 6/01/21 | | 424 | 429,300 |
| ITC
Deltacom, Inc., 10.50%, 4/01/16 | | 420 | 437,850 |
| Level 3
Escrow, Inc., 8.13%, 7/01/19 (c) | | 3,569 | 3,738,527 |
| Level 3
Financing, Inc., 8.63%, 7/15/20 (c) | | 1,570 | 1,675,975 |
| Qwest
Communications International, Inc.: | | | |
| 7.50%, 2/15/14 | | 2,010 | 2,017,035 |
| 8.00%, 10/01/15 | | 940 | 1,009,032 |
| Qwest Corp.,
7.63%, 6/15/15 | | 850 | 966,950 |
| Videotron
Ltee, 5.00%, 7/15/22 (c) | | 210 | 210,525 |
| Windstream
Corp.: | | | |
| 8.13%, 8/01/13 | | 510 | 546,975 |
| 7.88%, 11/01/17 | | 630 | 710,325 |
| | | | 13,115,669 |
| Electric Utilities 0.8% | | | |
| The Tokyo
Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 2,450 | 3,050,333 |
| Electronic Equipment, Instruments & Components 0.2% | | | |
| Elster
Finance BV, 6.25%, 4/15/18 (c) | | 165 | 222,907 |
| Jabil
Circuit, Inc., 8.25%, 3/15/18 | USD | 350 | 416,500 |
| NXP BV/NXP
Funding LLC, 9.75%, 8/01/18 (c) | | 300 | 339,375 |
| | | | 978,782 |
| Energy Equipment & Services 3.1% | | | |
| Antero Resources Finance Corp., 7.25%, 8/01/19 (c) | | 245 | 258,475 |
| Atwood
Oceanics, Inc., 6.50%, 2/01/20 | | 205 | 215,763 |
| Calfrac
Holdings LP, 7.50%, 12/01/20 (c) | | 585 | 585,000 |
| Compagnie Générale de Géophysique-Veritas, 7.75%, 5/15/17 | | 365 | 380,056 |
| Forbes
Energy Services Ltd., 9.00%, 6/15/19 | | 540 | 531,900 |
| Frac Tech
Services LLC, 7.63%, 11/15/18 (c) | | 2,595 | 2,770,162 |
| Key Energy
Services, Inc., 6.75%, 3/01/21 | | 665 | 696,588 |
| MEG Energy
Corp., 6.50%, 3/15/21 (c) | | 1,455 | 1,556,850 |
| Oil States
International, Inc., 6.50%, 6/01/19 | | 470 | 505,250 |
| Peabody
Energy Corp., 6.25%, 11/15/21 (c) | | 3,870 | 4,053,825 |
| Transocean,
Inc., 6.38%, 12/15/21 | | 1,115 | 1,315,867 |
| | | | 12,869,736 |
| Food Products 0.2% | | | |
| Darling
International, Inc., 8.50%, 12/15/18 | | 360 | 405,000 |
| Post
Holdings, Inc., 7.38%, 2/15/22 (c) | | 335 | 356,775 |
| | | | 761,775 |
| Health Care Equipment & Supplies 2.2% | | | |
| Biomet,
Inc.: | | | |
| 10.00%, 10/15/17 | | 285 | 309,581 |
| 10.38%, 10/15/17 (i) | | 2,145 | 2,335,369 |
| DJO Finance
LLC: | | | |
| 10.88%, 11/15/14 | | 3,425 | 3,484,937 |
| 7.75%, 4/15/18 | | 155 | 133,300 |
| Fresenius Medical Care US Finance II, Inc.,
5.88%, 1/31/22 (c) | | 965 | 1,018,075 |
| Fresenius Medical Care US Finance, Inc.,
6.50%, 9/15/18 (c) | | 308 | 341,110 |
| Fresenius US
Finance II, Inc., 9.00%, 7/15/15 (c) | | 800 | 924,000 |
| Teleflex,
Inc., 6.88%, 6/01/19 | | 435 | 468,713 |
| | | | 9,015,085 |

Corporate Bonds	Par (000)		Value
Health
Care Providers & Services 5.6%
Aviv Healthcare Properties
LP, 7.75%, 2/15/19	USD	615	$ 628,837
ConvaTec Healthcare E SA,
7.38%, 12/15/17 (c)	EUR	694	959,289
Crown Newco 3 Plc, 7.00%,
2/15/18	GBP	547	858,257
HCA, Inc.:
8.50%, 4/15/19	USD	200	224,000
6.50%, 2/15/20		2,950	3,163,875
7.88%, 2/15/20		135	148,838
7.25%, 9/15/20		3,840	4,185,600
5.88%, 3/15/22		405	415,125
Health Management Associates, Inc., 7.38%, 1/15/20 (c)		1,385	1,443,862
IASIS Healthcare LLC,
8.38%, 5/15/19		1,120	1,069,600
INC Research LLC, 11.50%,
7/15/19 (c)		605	580,800
inVentiv Health, Inc.,
10.00%, 8/15/18 (c)		195	177,450
Omnicare, Inc., 7.75%,
6/01/20		1,460	1,626,075
PSS World Medical, Inc.,
6.38%, 3/01/22 (c)		425	442,000
Symbion, Inc., 8.00%,
6/15/16		510	492,150
Tenet Healthcare Corp.:
10.00%, 5/01/18		807	940,155
6.25%, 11/01/18 (c)		485	517,131
8.88%, 7/01/19		4,400	5,016,000
			22,889,044
Health
Care Technology 1.0%
IMS Health, Inc., 12.50%,
3/01/18 (c)		3,550	4,224,500
Hotels,
Restaurants & Leisure 2.6%
Caesars Entertainment
Operating Co., Inc.:
11.25%, 6/01/17		510	558,450
10.00%, 12/15/18		2,155	1,664,737
Caesars Operating Escrow,
LLC., 8.50%, 2/15/20 (c)		1,060	1,081,200
Diamond Resorts Corp.,
12.00%, 8/15/18		1,770	1,867,350
El Dorado Resorts LLC,
8.63%, 6/15/19 (c)		200	190,500
Enterprise Inns Plc, 6.50%,
12/06/18	GBP	477	614,676
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (c)	USD	433	381,040
MGM Resorts International:
10.38%, 5/15/14		395	449,313
4.25%, 4/15/15 (f)		795	852,638
11.13%, 11/15/17		2,085	2,371,687
Travelport LLC:
5.15%, 9/01/14 (h)		245	125,563
9.88%, 9/01/14		55	31,488
9.00%, 3/01/16		180	95,400
6.58%, 12/01/16 (c)(h)(i)		599	422,358
Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (b)(g)		475
			10,706,400
Household
Durables 1.5%
Beazer Homes USA, Inc.,
12.00%, 10/15/17		1,960	2,136,400
Jarden Corp., 7.50%,
1/15/20	EUR	447	601,493
Ryland Group, Inc., 6.63%,
5/01/20	USD	500	510,000
Standard Pacific Corp.:
10.75%, 9/15/16		2,210	2,538,737
8.38%, 1/15/21		435	462,188
			6,248,818
Household
Products 0.5%
Ontex IV SA, 7.50%, 4/15/18
(c)	EUR	220	269,657
Spectrum Brands Holdings,
Inc.:
9.50%, 6/15/18	USD	530	604,200
9.50%, 6/15/18 (c)		865	986,100
			1,859,957

| See Notes to Financial
Statements. — 36 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Independent
Power Producers & Energy Traders 2.7%
The AES Corp., 7.38%,
7/01/21 (c)	USD	965	$ 1,100,100
Calpine Corp. (c):
7.25%, 10/15/17		265	280,900
7.50%, 2/15/21		150	162,750
7.88%, 1/15/23		420	457,800
Energy Future Holdings
Corp., 10.00%, 1/15/20		4,640	5,017,000
Energy Future Intermediate
Holding Co. LLC:
10.00%, 12/01/20		1,413	1,534,871
11.75%, 3/01/22 (c)		1,260	1,291,500
Laredo Petroleum, Inc.,
9.50%, 2/15/19		755	832,388
QEP Resources, Inc., 5.38%,
10/01/22		488	492,880
			11,170,189
Industrial
Conglomerates 2.4%
Sequa Corp. (c):
11.75%, 12/01/15		3,550	3,771,875
13.50%, 12/01/15		5,797	6,188,059
			9,959,934
Insurance
1.0%
Alliant Holdings I, Inc.,
11.00%, 5/01/15 (c)(j)		2,500	2,628,125
CNO Financial Group, Inc.,
9.00%, 1/15/18 (c)		543	584,404
Genworth Financial, Inc.,
7.63%, 9/24/21		630	653,640
MPL 2 Acquisition Canco,
Inc., 9.88%, 8/15/18 (c)		375	334,687
			4,200,856
IT
Services 1.7%
Eagle Parent Canada, Inc.,
8.63%, 5/01/19 (c)		820	848,700
First Data Corp.:
7.38%, 6/15/19 (c)		285	288,206
8.88%, 8/15/20 (c)		795	860,588
8.25%, 1/15/21 (c)		950	919,125
12.63%, 1/15/21		2,150	2,257,500
SunGard Data Systems, Inc.:
7.38%, 11/15/18		650	698,750
7.63%, 11/15/20		880	950,400
			6,823,269
Machinery
0.8%
Navistar International
Corp.:
3.00%, 10/15/14 (f)		493	555,241
8.25%, 11/01/21		180	196,875
SPX Corp., 6.88%, 9/01/17		260	288,600
UR Financing Escrow Corp.
(c)(k):
5.75%, 7/15/18		379	389,423
7.38%, 5/15/20		520	533,650
7.63%, 4/15/22		1,406	1,455,210
			3,418,999
Media
14.2%
Affinion Group, Inc.,
7.88%, 12/15/18		1,200	1,074,000
AMC Networks, Inc., 7.75%,
7/15/21 (c)		330	367,950
CCH II LLC, 13.50%,
11/30/16		4,549	5,231,387
CCO Holdings LLC:
7.88%, 4/30/18		160	174,800
7.38%, 6/01/20		390	429,000
6.50%, 4/30/21		724	769,250
Checkout Holding Corp.,
10.96%, 11/15/15 (c)(e)		995	447,750
Cinemark USA, Inc., 8.63%,
6/15/19		375	417,187
Clear Channel
Communications, Inc., 9.00%, 3/01/21		815	749,800
Clear Channel Worldwide
Holdings, Inc.:
9.25%, 12/15/17		2,201	2,410,095
7.63%, 3/15/20 (c)		1,545	1,545,000
Series B, 9.25%, 12/15/17		8,680	9,548,000
Corporate Bonds	Par (000)		Value
Media
(concluded)
Cox Enterprises, Inc.:
Loan Close 2, 4.00%, 8/15/18	USD	1,028	$ 1,042,802
Loan Close 3, 4.00%, 8/15/18		1,175	1,192,222
Shares Loan, 4.00%, 8/15/18		1,212	1,229,600
CSC Holdings LLC, 8.50%,
4/15/14		580	643,800
DISH DBS Corp.:
7.00%, 10/01/13		140	150,325
6.75%, 6/01/21		610	677,100
Gray Television, Inc.,
10.50%, 6/29/15		1,420	1,499,875
Harland Clarke Holdings
Corp.:
6.00%, 5/15/15 (h)		510	348,075
9.50%, 5/15/15		460	362,250
Intelsat Luxembourg SA:
11.25%, 6/15/16		2,240	2,368,800
11.25%, 2/04/17		530	546,562
11.50%, 2/04/17 (i)		1,945	2,003,350
Interactive Data Corp.,
10.25%, 8/01/18		1,990	2,243,725
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17		500	572,500
Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (c)	EUR	988	1,408,454
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (c)		505	709,876
Lamar Media Corp., 5.88%,
2/01/22 (c)	USD	295	307,906
Live Nation Entertainment,
Inc., 8.13%, 5/15/18 (c)		1,130	1,202,037
Musketeer GmbH, 9.50%,
3/15/21	EUR	518	745,342
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (c)	USD	825	907,500
Nielsen Finance LLC:
11.63%, 2/01/14		91	105,788
7.75%, 10/15/18		3,340	3,715,750
Odeon & UCI Finco Plc,
9.00%, 8/01/18 (c)	GBP	308	483,872
ProQuest LLC, 9.00%,
10/15/18 (c)	USD	745	659,325
Unitymedia GmbH:
9.63%, 12/01/19	EUR	235	338,138
9.63%, 12/01/19		845	1,215,856
Unitymedia Hessen GmbH & Co. KG (FKA UPC Germany GmbH):
8.13%, 12/01/17 (c)	USD	935	1,014,475
8.13%, 12/01/17	EUR	662	948,131
UPC Holding BV, 9.88%,
4/15/18 (c)	USD	640	710,400
UPCB Finance II Ltd.,
6.38%, 7/01/20 (c)	EUR	1,218	1,614,627
UPCB Finance II, Ltd.,
6.38%, 7/01/20		514	681,378
Virgin Media Secured
Finance Plc, 7.00%, 1/15/18	GBP	476	817,850
Ziggo Bond Co. BV, 8.00%,
5/15/18	EUR	583	821,393
Ziggo Finance BV, 6.13%,
11/15/17 (c)		1,085	1,499,753
			57,953,056
Metals
& Mining 3.1%
Goldcorp, Inc., 2.00%,
8/01/14 (f)	USD	1,575	1,996,312
New World Resources NV,
7.88%, 5/01/18	EUR	990	1,338,761
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (f)	USD	2,170	2,994,600
Novelis, Inc., 8.75%,
12/15/20		4,920	5,485,800
Taseko Mines Ltd., 7.75%,
4/15/19		605	580,800
Vedanta Resources Plc,
8.25%, 6/07/21 (c)		415	382,838
			12,779,111
Multiline
Retail 1.7%
Dollar General Corp.,
11.88%, 7/15/17 (h)		6,421	7,047,112
Oil, Gas
& Consumable Fuels 10.6%
Alpha Natural Resources,
Inc., 6.25%, 6/01/21		595	577,150
Aurora USA Oil & Gas,
Inc., 9.88%, 2/15/17 (c)		660	679,800
Berry Petroleum Co., 8.25%,
11/01/16		750	781,875
Bill Barrett Corp., 9.88%,
7/15/16		35	38,675
BreitBurn Energy Partners
LP, 7.88%, 4/15/22 (c)		375	392,812

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 37 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Oil, Gas
& Consumable Fuels (concluded)
Carrizo Oil & Gas,
Inc., 8.63%, 10/15/18	USD	190	$ 197,600
Chesapeake Midstream Partners LP, 6.13%, 7/15/22 (c)		405	419,175
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (c)		80	81,600
Coffeyville Resources LLC,
9.00%, 4/01/15 (c)		392	419,440
Concho Resources, Inc.,
7.00%, 1/15/21		610	686,250
Consol Energy, Inc., 8.25%,
4/01/20		2,895	3,155,550
Continental Resources,
Inc., 7.13%, 4/01/21		545	604,950
Copano Energy LLC, 7.13%,
4/01/21		495	524,700
Crosstex Energy LP, 8.88%,
2/15/18		265	287,525
Crown Oil Partners IV LP,
15.00%, 3/07/15		869	868,882
Denbury Resources, Inc.:
8.25%, 2/15/20		935	1,065,900
6.38%, 8/15/21		520	573,300
Energy XXI Gulf Coast,
Inc.:
9.25%, 12/15/17		825	913,687
7.75%, 6/15/19		1,330	1,403,150
EV Energy Partners LP,
8.00%, 4/15/19		215	225,750
Hilcorp Energy I LP, 7.63%,
4/15/21 (c)		1,115	1,215,350
Holly Energy Partners LP,
6.50%, 3/01/20 (c)		230	234,888
Kodiak Oil & Gas Corp.,
8.13%, 12/01/19 (c)		480	513,600
Linn Energy LLC:
6.50%, 5/15/19 (c)		145	147,900
6.25%, 11/01/19 (c)		2,680	2,676,650
8.63%, 4/15/20		330	366,300
7.75%, 2/01/21		305	327,875
MarkWest Energy Partners
LP, 6.75%, 11/01/20		195	213,038
Newfield Exploration Co.,
6.88%, 2/01/20		1,390	1,501,200
Niska Gas Storage US LLC,
8.88%, 3/15/18		835	801,600
Oasis Petroleum, Inc.:
7.25%, 2/01/19		480	508,800
6.50%, 11/01/21		430	442,900
OGX Petroleo e Gas Participações SA, 8.50%, 6/01/18 (c)		6,975	7,271,437
PBF Holding Co. LLC, 8.25%,
2/15/20 (c)		505	505,000
PetroBakken Energy, Ltd.,
8.63%, 2/01/20 (c)		1,285	1,365,312
Petrohawk Energy Corp.:
10.50%, 8/01/14		555	616,744
7.88%, 6/01/15		695	734,094
7.25%, 8/15/18		470	537,562
Petroleum Geo-Services ASA,
7.38%, 12/15/18 (c)		650	682,500
Pioneer Natural Resources
Co.:
6.88%, 5/01/18		680	798,777
7.50%, 1/15/20		215	265,691
Plains Exploration & Production Co.:
6.63%, 5/01/21		1,180	1,274,400
6.75%, 2/01/22		750	821,250
Precision Drilling Corp.,
6.50%, 12/15/21 (c)		440	469,700
Range Resources Corp.:
8.00%, 5/15/19		515	574,225
5.75%, 6/01/21		1,445	1,546,150
5.00%, 8/15/22 (k)		644	650,440
Ruby Pipeline LLC, 6.00%,
4/01/22 (c)		575	573,847
Samson Investment Co.,
9.75%, 2/15/20 (c)		940	989,350
SandRidge Energy, Inc.,
7.50%, 3/15/21		675	681,750
SM Energy Co., 6.63%,
2/15/19		195	209,138
			43,415,239
Corporate Bonds	Par (000)		Value
Paper
& Forest Products 2.5%
Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (c)(i)	USD	1,816	$ 1,325,406
Boise Paper Holdings LLC:
9.00%, 11/01/17		645	709,500
8.00%, 4/01/20		240	263,400
Clearwater Paper Corp.:
10.63%, 6/15/16		585	664,706
7.13%, 11/01/18		865	921,225
Georgia-Pacific LLC, 8.25%,
5/01/16 (c)		2,395	2,653,246
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (c)		505	518,888
NewPage Corp., 11.38%,
12/31/14 (b)(g)		3,130	1,885,825
Sappi Papier Holding GmbH,
6.63%, 4/15/21 (c)		200	187,500
Verso Paper Holdings LLC,
11.50%, 7/01/14		1,139	1,161,780
			10,291,476
Pharmaceuticals
0.6%
Capsugel Finance Co. SCA:
9.88%, 8/01/19	EUR	100	143,222
9.88%, 8/01/19 (c)		300	429,667
Jaguar Holding Co. II,
9.50%, 12/01/19 (c)	USD	620	678,125
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (c)		1,265	1,290,300
			2,541,314
Professional
Services 0.4%
FTI Consulting, Inc.,
6.75%, 10/01/20		1,370	1,481,313
Real
Estate Investment Trusts (REITs) 0.7%
Felcor Lodging LP, 6.75%,
6/01/19		2,070	2,116,575
The Rouse Co. LP, 6.75%,
11/09/15		770	805,612
			2,922,187
Real
Estate Management & Development 2.4%
CB Richard Ellis Services,
Inc., 6.63%, 10/15/20		500	531,250
Forest City Enterprises,
Inc., 7.63%, 6/01/15		2,300	2,265,500
Realogy Corp.:
11.50%, 4/15/17		575	526,125
12.00%, 4/15/17		145	133,400
7.88%, 2/15/19 (c)		3,455	3,351,350
7.63%, 1/15/20 (c)		750	774,375
9.00%, 1/15/20 (c)		535	537,675
Shea Homes LP, 8.63%,
5/15/19 (c)		1,775	1,792,750
			9,912,425
Road & Rail 1.6%
Avis Budget Car Rental LLC,
8.25%, 1/15/19		190	198,075
Florida East Coast Railway
Corp., 8.13%, 2/01/17		610	616,100
Hertz Corp.:
7.50%, 10/15/18		960	1,035,600
6.75%, 4/15/19 (c)		430	450,425
6.75%, 4/15/19		165	172,837
7.38%, 1/15/21		730	790,225
Hertz Holdings Netherlands
BV:
8.50%, 7/31/15	EUR	277	398,571
8.50%, 7/31/15 (c)		1,975	2,841,795
			6,503,628
Semiconductors
& Semiconductor Equipment 0.2%
Spansion LLC, 7.88%,
11/15/17	USD	850	835,125
Software
0.2%
Sophia LP, 9.75%, 1/15/19
(c)		645	693,375

| See Notes to Financial
Statements. — 38 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Specialty
Retail 2.4%
Asbury Automotive Group,
Inc., 8.38%, 11/15/20	USD	540	$ 579,150
Hillman Group, Inc.,
10.88%, 6/01/18		790	827,525
House of Fraser Funding
Plc:
8.88%, 8/15/18 (c)	GBP	420	598,019
8.88%, 8/15/18		221	314,672
Limited Brands, Inc.:
8.50%, 6/15/19	USD	1,170	1,398,150
5.63%, 2/15/22		235	242,050
Phones4u Finance Plc,
9.50%, 4/01/18 (c)	GBP	545	760,828
QVC, Inc. (c):
7.13%, 4/15/17	USD	340	365,500
7.50%, 10/01/19		920	1,021,200
7.38%, 10/15/20		440	487,300
Sally Holdings LLC, 6.88%,
11/15/19 (c)		805	865,375
Sonic Automotive, Inc.,
9.00%, 3/15/18		550	598,125
Toys R US-Delaware, Inc.,
7.38%, 9/01/16 (c)		220	226,050
United Auto Group, Inc.,
7.75%, 12/15/16		1,550	1,615,891
			9,899,835
Transportation
Infrastructure 0.2%
Aguila 3 SA, 7.88%, 1/31/18
(c)		632	664,390
Wireless
Telecommunication Services 5.3%
Cricket Communications,
Inc., 7.75%, 5/15/16		900	958,500
Digicel Group Ltd. (c):
8.88%, 1/15/15		1,030	1,048,025
9.13%, 1/15/15		2,787	2,842,740
8.25%, 9/01/17		1,650	1,749,000
10.50%, 4/15/18		800	872,000
iPCS, Inc., 2.67%, 5/01/13
(h)		1,460	1,405,250
Matterhorn Mobile Holdings
SA, 8.25%, 2/15/20	EUR	400	548,907
MetroPCS Wireless, Inc.,
6.63%, 11/15/20	USD	1,600	1,648,000
NII Capital Corp., 7.63%,
4/01/21		992	1,014,320
Sprint Capital Corp.,
6.88%, 11/15/28		3,540	2,761,200
Sprint Nextel Corp. (c):
9.00%, 11/15/18		3,240	3,612,600
7.00%, 3/01/20		2,970	3,018,263
			21,478,805
Total
Corporate Bonds 101.8%			416,340,716
Floating Rate Loan Interests (h)
Airlines
0.2%
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, 4/20/17		854	833,427
Auto
Components 0.2%
Schaeffler AG, Term Loan
C2, 5.29%, 1/27/17		735	737,146
Building
Products 0.2%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		748	759,414
Capital
Markets 0.4%
Nuveen Investments, Inc., Incremental Term Loan (First Lien):
7.25%, 5/13/17		995	1,001,965
7.25%, 3/14/19		615	620,381
			1,622,346
Chemicals
0.2%
PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan B (First Lien), 3.50%, 7/30/14		348	339,356
Styron Sarl LLC, Term Loan B,
6.00% 6.75%, 8/02/17		692	624,186
			963,542
Floating Rate Loan Interests (h)	Par (000)		Value
Commercial
Services & Supplies 0.7%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16	USD	707	$ 704,788
Delos Aircraft, Inc., Term
Loan B2, 7.00%, 3/17/16		875	875,936
Volume Services America, Inc. (FKA Centerplate), Term Loan B, 10.50% 10.75%, 9/16/16		1,481	1,487,427
			3,068,151
Communications
Equipment 0.1%
Avaya, Inc., Term Loan B1,
3.24%, 10/24/14		290	283,756
Construction
& Engineering 0.7%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17		3,000	3,000,000
Consumer
Finance 1.7%
Springleaf Finance Corp. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		7,480	6,818,843
Diversified
Consumer Services 0.0%
ServiceMaster Co.:
Delayed Draw Term Loan, 2.75%, 7/24/14		13	12,461
Term Loan, 2.77% 3.03%, 7/24/14		127	125,134
			137,595
Diversified
Telecommunication Services 0.5%
Level 3 Financing, Inc.:
Term Loan B, 5.75%, 8/31/18		1,200	1,208,256
Tranche A Term Loan, 2.83%, 3/13/14		750	737,625
			1,945,881
Electronic
Equipment, Instruments & Components 0.1%
CDW LLC (FKA CDW Corp.):
Extended Term Loan, 4.00%, 7/14/17		410	400,701
Term Loan, 3.75%, 10/10/14		155	153,990
			554,691
Energy
Equipment & Services 2.2%
CCS Corp., Incremental Term Loan, 5.62%, 10/17/14		405	405,405
Dynegy Midwest Generation LLC., Coal Co. Term Loan, 9.25%, 8/04/16		2,943	2,926,418
Dynegy Power LLC., Gas Co. Term Loan, 9.25%, 8/04/16		5,386	5,555,832
			8,887,655
Food & Staples Retailing 0.1%
US Foodservice, Inc., Term
Loan B, 2.74%, 7/03/14		250	241,250
Food
Products 0.3%
Advance Pierre Foods, Term Loan (Second Lien), 11.25%, 9/29/17		1,300	1,301,079
Health
Care Equipment & Supplies 0.3%
Hupah Finance, Inc., Term
Loan B, 6.25%, 1/21/19		1,120	1,119,306
Health Care
Providers & Services 0.7%
Harden Healthcare LLC:
Term Loan A, 8.50%, 3/02/15		574	562,318
Tranche A Additional Term Loan, 7.75%, 3/02/15		659	645,584
Health Management Associates, Inc., Term Loan B, 4.50%, 11/16/18		580	576,230
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		1,237	1,189,088
			2,973,220

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 39 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

| Floating
Rate Loan Interests (h) | Par (000) | | Value |
| --- | --- | --- | --- |
| Hotels, Restaurants & Leisure 1.3% | | | |
| Caesars Entertainment Operating Co., Inc.: | | | |
| Term Loan B-3, 3.00% 3.58%, 1/28/15 | USD | 3,081 | $ 2,886,683 |
| Term Loan B-4, 9.50%, 10/31/16 | | 720 | 740,621 |
| OSI Restaurant Partners LLC: | | | |
| Revolver, 2.56% 2.79%, 6/14/13 | | 14 | 13,572 |
| Term Loan B, 2.56%, 6/14/14 | | 141 | 137,678 |
| Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16 | | 1,550 | 1,397,588 |
| Travelport LLC (FKA Travelport, Inc.): | | | |
| Extended Tranche A Term Loan, 6.54%, 9/28/12 | | 276 | 130,985 |
| Extended Tranche B Term Loan, 14.04%, 12/01/16 | | 857 | 192,775 |
| | | | 5,499,902 |
| Independent Power Producers & Energy Traders 0.1% | | | |
| Texas Competitive Electric Holdings Co. LLC (FKA TXU), Extended Term Loan, 4.76%, 10/10/17 | | 1,103 | 615,276 |
| Industrial Conglomerates 0.2% | | | |
| Sequa Corp., Incremental Term Loan, 6.25%, 12/03/14 | | 650 | 652,165 |
| IT Services 0.3% | | | |
| First Data Corp., Extended Term Loan B, 4.24%, 3/23/18 | | 1,160 | 1,040,914 |
| Leisure Equipment & Products 0.2% | | | |
| Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/20/13 | | 865 | 875,544 |
| Media 5.1% | | | |
| Cengage Learning Acquisitions, Inc. (FKA Thomson Learning): | | | |
| Term Loan, 2.49%, 7/03/14 | | 485 | 450,080 |
| Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | | 2,412 | 2,334,094 |
| Cequel Communications LLC, Term Loan B, 4.00%, 2/11/19 | | 865 | 856,151 |
| Clear Channel Communication: | | | |
| Term Loan B, 3.89%, 1/28/16 | | 3,180 | 2,609,805 |
| Term Loan C, 3.89%, 1/28/16 | | 567 | 449,112 |
| HMH Publishing Co. Ltd., Tranche A Term Loan, 6.51%, 6/12/14 | | 1,348 | 833,119 |
| Intelsat Jackson Holdings SA (FKA Intelsat Jackson Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18 | | 10,669 | 10,651,237 |
| Interactive Data Corp., Term Loan B, 4.50%, 2/12/18 | | 75 | 74,831 |
| Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | | 2,150 | 2,211,812 |
| Univision Communications, Inc., Extended First Lien Term Loan, 4.52%, 3/31/17 | | 500 | 464,325 |
| | | | 20,934,566 |
| Multiline Retail 0.3% | | | |
| HEMA Holding BV, Mezzanine, 9.19%, 7/05/17 (i) | EUR | 1,407 | 1,433,892 |
| Oil, Gas & Consumable Fuels 0.6% | | | |
| Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | USD | 2,453 | 2,464,830 |
| Paper & Forest Products 0.5% | | | |
| NewPage Corp., DIP Term Loan, 8.00%, 3/07/13 | | 900 | 906,750 |
| Verso Paper Finance Holdings LLC, Term Loan, 6.79% 7.54%, 2/01/13 (i) | | 2,162 | 1,080,868 |
| | | | 1,987,618 |

Floating Rate Loan Interests (h)	Par (000)		Value
Pharmaceuticals 0.5%
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17	USD	1,485	$ 1,472,378
Pharmaceutical Product Development, Inc., Term Loan, 9.50%, 12/05/18		580	585,075
			2,057,453
Real Estate Investment Trusts (REITs) 0.6%
iStar Financial, Inc., Term Loan (Second Lien), 5.00%, 6/28/13		2,506	2,494,721
Real Estate Management & Development 0.3%
Realogy Corp.:
Extended Letter of Credit, 4.53%, 10/10/16		164	152,237
Extended Term Loan, 4.77%, 10/10/16		1,084	1,006,096
			1,158,333
Semiconductors & Semiconductor Equipment 0.0%
NXP BV, Term Loan A-2, 5.50%, 3/03/17		100	99,250
Software 0.2%
Infor Enterprise Solutions Holdings, Inc., Extended Delayed Draw Term Loan, 6.29%, 7/28/15		675	659,813
Specialty Retail 0.2%
Claires Stores, Inc., Term Loan B, 2.99% 3.30%, 5/29/14		778	736,782
Wireless Telecommunication Services 1.3%
Crown Castle International Corp., Term Loan B, 4.00%, 1/25/19		345	343,430
Vodafone Americas Finance 2, Inc. (i):
Term Loan, 6.88%, 8/11/15		3,046	3,045,701
Term Loan B, 6.25%, 7/11/16		1,908	1,903,043
			5,292,174
Total Floating Rate Loan Interests 20.3%			83,250,535

| Other
Interests (l) | | |
| --- | --- | --- |
| Auto Components 0.0% | | |
| Lear Corp. Escrow | 790 | 7,900 |
| Chemicals 0.0% | | |
| Wellman Holdings, Inc., Litigation Trust Certificate | 4,650 | 46 |
| Hotels, Restaurants & Leisure 0.0% | | |
| Buffets, Inc. (b) | 970 | 10 |
| Media 0.0% | | |
| Adelphia Escrow (b) | 1,250 | 12 |
| Adelphia Recovery Trust (b) | 1,568 | 157 |
| | | 169 |
| Total Other Interests 0.0% | | 8,125 |

| Preferred
Securities | | |
| --- | --- | --- |
| Capital
Trusts 0.2% | | |
| Insurance
0.2% | | |
| Genworth Financial, Inc.,
6.15%, 11/15/66 (h) | 1,270 | 871,538 |

| See Notes to Financial
Statements. — 40 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

| Consolidated Schedule of
Investments (continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

| Preferred
Stocks | | Value |
| --- | --- | --- |
| Auto Components 0.8% | | |
| Dana Holding Corp., 4.00% (c)(f) | 25,990 | $ 3,498,904 |
| Diversified Financial Services 1.1% | | |
| Ally Financial, Inc., 7.00% (c) | 5,010 | 4,347,114 |
| Media 0.1% | | |
| TRA Global, Inc., 0.00% (b) | 420,689 | 517,448 |
| Real Estate Investment Trusts (REITs) 0.0% | | |
| MPG Office Trust, Inc., Series A, 7.63% (b) | 13,326 | 189,229 |
| Thrifts & Mortgage Finance 0.1% | | |
| Fannie Mae, Series O, 7.00% (b)(h) | 40,000 | 74,000 |
| Freddie Mac, Series Z, 8.38% (b)(h) | 108,377 | 160,398 |
| | | 234,398 |
| Total Preferred Stocks 2.1% | | 8,787,093 |

Trust Preferreds
Diversified Financial Services 0.9%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f)	109,590	2,564,683
RBS Capital Funding Trust VII, 6.08%, 12/31/49 (f)	67,000	915,890
Total Trust Preferreds 0.9%		3,480,573
Total Preferred Securities 3.2%		13,139,204

Warrants (m)
Containers & Packaging 0.0%
MDP Acquisitions Plc (Expires 10/10/13)	1,100	58,653
Health Care Providers & Services 0.0%
HealthSouth Corp. (Expires 1/16/14)	52,465	1
Hotels, Restaurants & Leisure 0.0%
Buffets Restaurants Holdings, Inc. (Expires 4/29/14)	819
Media 0.1%
Cumulus Media, Inc. (Expires 3/26/19)	62,894	454,271
New Vision Holdings LLC (Expires 9/30/14)	26,189
		454,271
Software 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)	491
HMH Holdings/EduMedia (Expires 3/09/17)	20,878
Total Warrants 0.1%		512,925
Total Long-Term Investments
(Cost $533,487,280) 133.7%		547,150,702

Options Purchased	Contracts
Exchange-Traded Put Options 0.1%
SPDR S&P 500 ETF Trust:
Strike Price USD 134.00, Expires 3/17/12	1,725	162,150
Strike Price USD 136.00, Expires 3/17/12	300	47,400
Strike Price USD 136.00, Expires 4/21/12	300	95,700
Total Options Purchased (Cost $664,541) 0.1%		305,250
Total Investments Before Options Written (Cost $534,151,821) 133.8%		547,455,952

Options Written		Value
Exchange-Traded Put Options (0.0)%
SPDR S&P 500 ETF Trust, Strike Price USD 125.00, Expires 3/17/12	1,725	$ (25,013	)
Total Options Written (Premiums Received $123,355) (0.0)%		(25,013	)
Total Investments, Net of Options Written 133.8%		547,430,939
Liabilities in Excess of Other Assets (33.8)%		(138,255,059	)
Net Assets 100.0%		$ 409,175,880

| (a) | Restricted security as to
resale. As of report date the Trust held 2.7% of its net assets, with a
current value of $11,248,714 in this security. |
| --- | --- |
| (b) | Non-income producing
security. |
| (c) | Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration to
qualified institutional investors. |
| (d) | Represents a step-down bond
that pays an initial coupon rate for the first period and then a lower coupon
rate for the following periods. Rate shown is as of report date. |
| (e) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (f) | Convertible security. |
| (g) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (h) | Variable rate security. Rate
shown is as of report date. |
| (i) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (j) | All or a portion of
security has been pledged as collateral in connection with swaps. |
| (k) | When-issued security. Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation
Bank of America Securities, Inc.	$ 650,440	$ 6,440
Morgan Stanley & Co., Inc.	$ 2,378,283	$ 73,283

| (l) | Other interests represent
beneficial interests in liquidation trusts and other reorganization or
private entities. |
| --- | --- |
| (m) | Warrants entitle the Trust
to purchase a predetermined number of shares of common stock and are
non-income producing. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date, if any. |
| | Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the
Investment Company Act of 1940, as amended, were as follows: |

Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class	1,171,689	(1,171,689	)		Income — $ 397

Financial futures contracts sold as of February 29, 2012 were as follows:

Contracts	Issue	Exchange	Expiration
179	S&P
500	Chicago	March
2012	$ 12,211,380	$ (387,946	)
	Index
E-Mini	Mercantile

See Notes to Financial Statements. — SEMI-ANNUAL REPORT	FEBRUARY 29, 2012	41

Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund V, Inc. (HYV)

Foreign currency exchange contracts as of February 29, 2012 were as follows:

| Currency Purchased — GBP | 110,000 | Currency Sold — USD | 172,509 | Royal
Bank of Scotland Plc | Settlement Date — 4/11/12 | Unrealized Appreciation (Depreciation) — $ 2,440 |
| --- | --- | --- | --- | --- | --- | --- |
| USD | 1,461,430 | CAD | 1,500,000 | Citibank
NA | 4/11/12 | (53,214) |
| USD | 3,457,588 | CAD | 3,531,000 | Royal
Bank of Scotland Plc | 4/11/12 | (107,884) |
| USD | 4,940,604 | GBP | 3,223,000 | UBS
Securities LLC | 4/11/12 | (185,410) |
| EUR | 170,000 | USD | 220,118 | Citibank
NA | 4/18/12 | 6,417 |
| EUR | 480,000 | USD | 646,239 | Deutsche
Bank AG | 4/18/12 | (6,610) |
| USD | 27,919,892 | EUR | 21,736,000 | Citibank
NA | 4/18/12 | (1,044,650) |
| USD | 389,040 | EUR | 296,000 | Citibank
NA | 4/18/12 | (5,398) |
| USD | 809,101 | EUR | 610,000 | Citibank
NA | 4/18/12 | (3,761) |
| USD | 194,527 | EUR | 147,000 | Citibank
NA | 4/18/12 | (1,359) |
| USD | 153,982 | EUR | 119,000 | Deutsche
Bank AG | 4/18/12 | (4,593) |
| USD | 66,299 | EUR | 50,000 | Deutsche
Bank AG | 4/18/12 | (329) |
| USD | 1,178,909 | EUR | 905,000 | Royal
Bank of Scotland Plc | 4/18/12 | (27,058) |
| USD | 501,389 | EUR | 378,000 | Royal
Bank of Scotland Plc | 4/18/12 | (2,319) |
| USD | 627,484 | EUR | 475,000 | UBS
Securities LLC | 4/18/12 | (5,482) |
| Total | | | | | | $ (1,439,210) |

Credit default swaps on single-name issues buy protection outstanding as of February 29, 2012 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration Date
MGM Resorts International	5.00%	Deutsche Band
AG	6/20/15	$ 155	$ (8,626)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	$ 130	(8,465)
MGM Resorts International	5.00%	Deutsche
Bank AG	6/20/15	$ 250	(13,059)
MGM Resorts International	5.00%	Deutsche
Bank AG	6/20/15	$ 130	(3,687)
MGM Resorts International	5.00%	Deutsche
Bank AG	6/20/15	$ 130	(4,649)
Republic of Hungary	1.00%	Deutsche
Bank AG	12/20/15	$ 450	23,961
Realogy Corp.	5.00%	Goldman
Sachs International	9/20/16	$ 200	(23,109)
iStar Financial, Inc.	5.00%	Deutsche
Bank AG	12/20/16	$ 350	(35,906)
Israel (State of)	1.00%	Deutsche
Bank AG	3/20/17	$ 335	(3,483)
Israel Government Bond	1.00%	Deutsche
Bank AG	3/20/17	$ 1,000	(11,089)
Total					$ (88,112)

Credit default swaps on single-name issues sold protection outstanding as of February 29, 2012 were as follows:

Issuer	Receive Fixed Rate	Counterparty	Expiration Date	Issuer Credit Rating 1
Air Lease Corp.	5.00%	Goldman
Sachs International	2/14/13	Not
Rated	$ 800	$ 1,103
CIT Group, Inc.	5.00%	Deutsche
Bank AG	9/20/15	BB	$ 4,700	313,885
ARAMARK Corp.	5.00%	Goldman
Sachs International	3/20/16	B	$ 750	39,744
ARAMARK Corp.	5.00%	Goldman
Sachs International	6/20/16	B	$ 500	23,789
ARAMARK Corp.	5.00%	Goldman
Sachs International	6/20/16	B	$ 500	26,932
ARAMARK Corp.	5.00%	Credit
Suisse Securities (USA) LLC	9/20/16	B	$ 200	16,201
ARAMARK Corp.	5.00%	Goldman
Sachs International	9/20/16	B	$ 200	15,461
ARAMARK Corp.	5.00%	Goldman
Sachs International	9/20/16	B	$ 450	20,322
Bausch & Lomb, Inc.	5.00%	Credit
Suisse Securities (USA) LLC	3/20/17	B	$ 160	8,011
ARAMARK Corp.	5.00%	Deutsche
Bank AG	3/20/17	B	$ 295	6,353
Crown Castle International
Corp.	7.25%	Deutsche
Bank AG	3/20/17	B	$ 690	14,966
Ford Motor Co.	5.00%	Deutsche
Bank AG	3/20/17	BB+	$ 2,200	132,448
CCO Holdings LLC	8.00%	Deutsche
Bank AG	9/20/17	BB	$ 2,400	(134)
Total					$ 619,081

1	Using S&Ps rating.
2	The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement.

| See Notes to Financial
Statements. — 42 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (concluded) BlackRock Corporate High Yield Fund V, Inc. (HYV)

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trusts investments and derivative financial instruments:

Valuation Inputs	Level 1		Level 2		Level 3
Assets:
Investments:
Long-Term Investments:
Common Stocks	$ 14,848,884		$ 11,847,986		$ 7,202,327	$	33,899,197
Corporate Bonds			409,644,549		6,696,167		416,340,716
Floating Rate Loan Interests			69,391,312		13,859,223		83,250,535
Other Interests	157				7,968		8,125
Preferred Securities	3,904,201		8,717,556		517,447		13,139,204
Warrants			512,924		1		512,925
Total	$ 18,753,242		$ 500,114,327		$ 28,283,133	$	547,150,702
Valuation Inputs	Level 1		Level 2		Level 3	Total
Derivative Financial Instruments 1
Assets:
Credit contracts			$ 313,222		$ 329,954	$	643,176
Foreign currency exchange contracts			8,857				8,857
Equity contracts	$ 305,250						305,250
Liabilities:
Credit contracts			(112,073	)	(134	)	(112,207	)
Foreign currency exchange contracts			(1,448,067	)			(1,448,067	)
Equity contracts	(412,959	)					(412,959	)
Total	$ (107,709	)	$ (1,238,061	)	$ 329,820	$	(1,015,950	)

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

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

	Common Stocks
Assets:
Balance, as of August 31,
2011	$ 3,390,998	$	8,408,570	$	14,224,136	$	3,097,694	$	985,270	$	355,505	$	30,462,173
Accrued discounts/premiums			3,387		120,185								123,572
Net realized gain (loss)	8,788		(3,496,785	)	(359,806	)							(3,847,803	)
Net change in unrealized
appreciation/depreciation 2	2,239,989		3,519,894		(839,134	)	(3,089,726	)	(467,823	)	(275	)	1,362,925
Purchases	1,573,669		935,832		620,035								3,129,536
Sales	(11,117	)	(2,674,731	)	(991,223	)							(3,677,071	)
Transfers in 3					3,304,905								3,304,905
Transfers out 3					(2,219,875	)					(355,229	)	(2,575,104	)
Balance,
as of February 29, 2012	$ 7,202,327	$	6,696,167	$	13,859,223	$	7,968	$	517,447	$	1	$	28,283,133

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on investments
still held at February 29, 2012 was $(2,179,491). |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

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

	Credit Contracts
Liabilities:
Balance, as of August 31,
2011
Accrued discounts/premiums	$ (43,709	)
Net realized gain (loss)
Net change in unrealized
appreciation/depreciation 4	329,820
Purchases
Issuances 5	408,569
Sales
Settlements 6	(364,860	)
Transfers in 7
Transfers out 7
Balance,
as of February 29, 2012	$ 329,820

| 4 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on derivative
financial instruments still held at February 29, 2012 was $329,820. |
| --- | --- |
| 5 | Issuances represent upfront
cash received on certain derivative financial instruments. |
| 6 | Settlements represent
periodic contractual cash flows and/or cash flows to terminate certain
derivative financial instruments. |
| 7 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 43 |
| --- | --- | --- |

Consolidated Schedule of Investments February 29, 2012 (Unaudited)
(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Auto
Components 3.1%
Dana Holding Corp. (a)		94,250	$ 1,508,000
Delphi Automotive Plc		21,191	678,109
Delphi Automotive Plc (180-day lock) (Acquired 11/17/11, cost $4,028,721) (b)		355,462	11,090,417
			13,276,526
Capital
Markets 0.3%
E*Trade Financial Corp. (a)		116,200	1,119,006
Commercial
Banks 0.2%
CIT Group, Inc. (a)		26,110	1,062,938
Communications
Equipment 0.4%
Loral Space & Communications Ltd. (a)		21,531	1,533,868
Diversified
Financial Services 0.6%
Kcad Holdings I Ltd.		305,538,344	2,797,204
Diversified
Telecommunication Services 0.1%
Level 3 Communications,
Inc. (a)		23,800	578,578
Electrical
Equipment 0.0%
Medis Technologies Ltd. (a)		116,910	585
Energy
Equipment & Services 1.2%
Laricina Energy Ltd. (a)		70,588	3,031,977
Osum Oil Sands Corp. (a)		124,000	1,566,527
Transocean Ltd.		8,400	448,056
			5,046,560
Hotels,
Restaurants & Leisure 0.0%
Buffets Restaurants
Holdings, Inc. (a)		1,816	182
Travelport Worldwide Ltd.		118,935	59,467
			59,649
Media
1.7%
Belo Corp., Class A		73,341	525,855
Charter Communications,
Inc. (a)		101,076	6,409,229
Clear Channel Outdoor
Holdings, Inc., Class A (a)		14,553	192,536
			7,127,620
Metals
& Mining 0.1%
African Minerals Ltd. (a)		72,301	660,981
Paper
& Forest Products 0.2%
Ainsworth Lumber Co. Ltd.
(a)		221,591	349,368
Ainsworth Lumber Co. Ltd.
(a)		192,951	304,213
Western Forest Products,
Inc. (a)		78,039	75,716
			729,297
Professional
Services 0.0%
Pendrell Corp. (a)		5,400	13,068
Road & Rail 0.2%
Dollar Thrifty Automotive
Group, Inc. (a)		9,100	690,781
Semiconductors
& Semiconductor Equipment 0.3%
Spansion, Inc., Class A (a)		103,218	1,321,190
SunPower Corp. (a)		431	3,246
			1,324,436
Software
0.0%
Bankruptcy Management
Solutions, Inc. (a)		787	16
HMH Holdings/EduMedia		141,287	35,322
			35,338
Total
Common Stocks 8.4%			36,056,435
Corporate Bonds	Par (000)		Value
Aerospace
& Defense 0.5%
Huntington Ingalls
Industries, Inc.:
6.88%, 3/15/18	USD	370	$ 389,425
7.13%, 3/15/21		520	557,050
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		1,144	1,232,660
			2,179,135
Airlines
2.2%
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23		1,744	1,848,640
Continental Airlines, Inc.:
6.75%, 9/15/15 (c)		900	909,000
6.90%, 7/02/18		793	791,454
Series 2010-1, Class B, 6.00%, 7/12/20		672	651,508
Delta Air Lines, Inc.:
Series 2009-1-B, Class B, 9.75%, 6/17/18		293	310,913
Series 2010-1-B, 6.38%, 7/02/17		900	841,500
United Air Lines, Inc.,
12.75%, 7/15/12		3,064	3,171,333
US Airways Pass-Through Trust, Series 2011-1, Class C, 10.88%, 10/22/14		1,070	1,070,000
			9,594,348
Auto
Components 1.8%
Allison Transmission, Inc.,
11.00%, 11/01/15 (c)		113	119,356
Baker Corp. International,
Inc., 8.25%, 6/01/19 (c)		325	331,500
Dana Holding Corp., 6.75%,
2/15/21		700	757,750
Delphi Corp., 6.13%,
5/15/21 (c)		260	278,850
Icahn Enterprises LP,
8.00%, 1/15/18		5,060	5,363,600
International Automotive Components Group, SL, 9.13%, 6/01/18 (c)		70	62,300
Titan International, Inc.,
7.88%, 10/01/17		720	765,000
			7,678,356
Beverages
0.4%
Cott Beverages, Inc.,
8.13%, 9/01/18		413	455,333
Crown European Holdings SA
(c):
7.13%, 8/15/18	EUR	413	589,444
7.13%, 8/15/18		465	663,660
			1,708,437
Biotechnology
0.1%
QHP Pharma, 10.25%, 3/15/15
(c)	USD	349	350,942
Building
Products 0.7%
Building Materials Corp. of
America (c):
7.00%, 2/15/20		700	759,500
6.75%, 5/01/21		1,580	1,718,250
Momentive Performance Materials, Inc., 11.50%, 12/01/16		740	621,600
			3,099,350
Capital
Markets 1.1%
American Capital Ltd.,
7.96%, 12/31/13 (d)		1,100	1,120,394
E*Trade Financial Corp.:
12.50%, 11/30/17		1,660	1,933,900
3.46%, 8/31/19 (c)(e)(f)		380	359,575
KKR Group Finance Co.,
6.38%, 9/29/20 (c)		1,020	1,085,501
			4,499,370
Chemicals
3.8%
American Pacific Corp.,
9.00%, 2/01/15		1,400	1,365,000
Ashland, Inc., 9.13%,
6/01/17		670	752,075
Basell Finance Co. BV,
8.10%, 3/15/27 (c)		770	881,650
Celanese US Holdings LLC,
5.88%, 6/15/21		2,780	3,030,200
Chemtura Corp., 7.88%,
9/01/18		585	628,875
Hexion U.S. Finance Corp.,
9.00%, 11/15/20		485	475,300
Huntsman International LLC,
8.63%, 3/15/21		265	299,450
Ineos Finance Plc, 8.38%,
2/15/19 (c)		725	770,312

| See Notes to Financial
Statements. — 44 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Chemicals
(concluded)
Kinove German Bondco GmbH,
10.00%, 6/15/18	EUR	591	$ 809,042
Kraton Polymers LLC, 6.75%,
3/01/19	USD	195	198,900
Lyondell Chemical Co.,
11.00%, 5/01/18		4,232	4,639,715
LyondellBasell Industries
NV, 6.00%, 11/15/21 (c)		250	274,375
Nexeo Solutions LLC, 8.38%,
3/01/18 (c)		290	290,000
PolyOne Corp., 7.38%,
9/15/20		335	360,963
Solutia, Inc., 7.88%,
3/15/20		955	1,119,737
TPC Group LLC, 8.25%,
10/01/17		520	548,600
			16,444,194
Commercial
Banks 2.0%
CIT Group, Inc. (c):
7.00%, 5/02/16		3,305	3,309,131
7.00%, 5/02/17		4,165	4,170,206
5.50%, 2/15/19		930	949,763
			8,429,100
Commercial
Services & Supplies 2.0%
ACCO Brands Corp., 10.63%,
3/15/15		510	562,917
Aviation Capital Group
Corp., 6.75%, 4/06/21 (c)		840	832,641
AWAS Aviation Capital Ltd.,
7.00%, 10/17/16 (c)		159	166,264
Brickman Group Holdings,
Inc., 9.13%, 11/01/18 (c)		43	40,850
Casella Waste Systems,
Inc., 7.75%, 2/15/19		1,016	1,010,920
Clean Harbors, Inc., 7.63%,
8/15/16		590	625,400
Iron Mountain, Inc., 7.75%,
10/01/19		640	707,200
Mobile Mini, Inc., 7.88%,
12/01/20		570	598,500
RSC Equipment Rental, Inc.:
10.00%, 7/15/17 (c)		935	1,084,600
8.25%, 2/01/21		1,348	1,428,880
Verisure Holding AB:
8.75%, 9/01/18	EUR	385	518,065
8.75%, 12/01/18		139	164,819
WCA Waste Corp., 7.50%,
6/15/19 (c)	USD	520	526,500
West Corp., 8.63%, 10/01/18		210	230,475
			8,498,031
Communications
Equipment 0.8%
Avaya, Inc., 9.75%,
11/01/15		1,160	1,160,000
Frontier Communications
Corp., 6.25%, 1/15/13		1,390	1,435,175
Hughes Satellite Systems
Corp., 6.50%, 6/15/19		580	614,800
			3,209,975
Computers
& Peripherals 0.1%
SanDisk Corp., 1.50%,
8/15/17 (f)		340	407,150
Construction
& Engineering 0.1%
Abengoa SA, 8.50%, 3/31/16	EUR	200	273,175
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (c)	USD	300	315,750
			588,925
Construction
Materials 0.2%
Xefin Lux SCA:
8.00%, 6/01/18	EUR	210	281,182
8.00%, 6/01/18 (c)		393	526,211
			807,393
Consumer
Finance 1.7%
Credit Acceptance Corp.,
9.13%, 2/01/17	USD	710	756,150
Ford Motor Credit Co. LLC:
7.80%, 6/01/12		300	303,698
7.00%, 4/15/15		3,140	3,485,400
12.00%, 5/15/15		1,150	1,446,060
6.63%, 8/15/17		185	209,635
5.88%, 8/02/21		907	1,012,187
Springleaf Finance (FKA AGFS Funding Co.), 6.90%, 12/15/17		160	124,000
			7,337,130
Corporate Bonds	Par (000)		Value
Containers
& Packaging 1.3%
Ardagh Packaging Finance
Plc:
7.38%, 10/15/17 (c)	USD	210	$ 225,750
7.38%, 10/15/17	EUR	100	140,558
7.38%, 10/15/17 (c)		574	806,801
9.13%, 10/15/20 (c)	USD	615	634,987
Berry Plastics Corp.:
4.42%, 9/15/14 (g)		465	445,238
8.25%, 11/15/15		185	198,875
9.75%, 1/15/21		560	599,200
GCL Holdings SCA, 9.38%,
4/15/18 (c)	EUR	414	492,278
Graphic Packaging International, Inc., 7.88%, 10/01/18	USD	580	638,000
OI European Group BV,
6.88%, 3/31/17	EUR	254	351,940
Sealed Air Corp., 8.38%,
9/15/21 (c)	USD	395	452,275
Smurfit Kappa Acquisitions
(c):
7.25%, 11/15/17	EUR	52	74,129
7.75%, 11/15/19		449	644,563
			5,704,594
Diversified
Consumer Services 1.5%
Service Corp.
International, 7.00%, 6/15/17	USD	4,775	5,348,000
ServiceMaster Co., 8.00%,
2/15/20 (c)		1,020	1,076,100
			6,424,100
Diversified
Financial Services 5.0%
Ally Financial, Inc.:
7.50%, 12/31/13		700	745,500
8.30%, 2/12/15		950	1,049,750
6.25%, 12/01/17		820	847,567
7.50%, 9/15/20		1,050	1,156,312
8.00%, 11/01/31		1,820	2,031,575
8.00%, 11/01/31		950	1,030,802
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16		577	615,226
Boparan Holdings Ltd. (c):
9.75%, 4/30/18	EUR	166	217,623
9.88%, 4/30/18	GBP	225	352,583
DPL, Inc., 7.25%, 10/15/21
(c)	USD	1,230	1,402,200
FCE Bank Plc, 4.75%,
1/19/15	EUR	1,793	2,448,509
General Motors Financial Co., Inc., 6.75%, 6/01/18	USD	460	496,413
Leucadia National Corp.,
8.13%, 9/15/15		1,232	1,370,600
Reynolds Group Issuer, Inc.
(c):
8.75%, 10/15/16		941	1,002,165
8.75%, 10/15/16 (h)	EUR	385	544,994
8.75%, 10/15/16		756	1,070,170
7.13%, 4/15/19	USD	385	407,138
7.88%, 8/15/19		1,645	1,801,275
9.88%, 8/15/19		1,695	1,752,206
WMG Acquisition Corp. (c):
9.50%, 6/15/16		190	209,950
11.50%, 10/01/18		910	966,875
			21,519,433
Diversified
Telecommunication Services 3.3%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12		1,680	1,507,800
GCI, Inc., 6.75%, 6/01/21		444	449,550
ITC Deltacom, Inc., 10.50%,
4/01/16		440	458,700
Level 3 Escrow, Inc.,
8.13%, 7/01/19 (c)		3,737	3,914,507
Level 3 Financing, Inc.,
8.63%, 7/15/20 (c)		1,660	1,772,050
Qwest Communications
International, Inc.:
7.50%, 2/15/14		2,100	2,107,350
8.00%, 10/01/15		1,010	1,084,172

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 45 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Diversified
Telecommunication Services (concluded)
Qwest Corp., 7.63%, 6/15/15	USD	875	$ 995,389
Videotron Ltee, 5.00%,
7/15/22 (c)		230	230,575
Windstream Corp.:
8.13%, 8/01/13		703	753,968
7.88%, 11/01/17		627	706,943
			13,981,004
Electric
Utilities 0.8%
The Tokyo Electric Power
Co., Inc., 4.50%, 3/24/14	EUR	2,600	3,237,088
Electronic
Equipment, Instruments & Components 0.2%
Elster Finance BV, 6.25%,
4/15/18 (c)		173	233,715
Jabil Circuit, Inc., 8.25%,
3/15/18	USD	365	434,350
NXP BV/NXP Funding LLC,
9.75%, 8/01/18 (c)		310	350,687
			1,018,752
Energy
Equipment & Services 3.2%
Antero Resources Finance Corp., 7.25%, 8/01/19 (c)		260	274,300
Atwood Oceanics, Inc.,
6.50%, 2/01/20		215	226,288
Calfrac Holdings LP, 7.50%,
12/01/20 (c)		610	610,000
Compagnie Générale de Géophysique-Veritas, 7.75%, 5/15/17		395	411,294
Forbes Energy Services
Ltd., 9.00%, 6/15/19		555	546,675
Frac Tech Services LLC,
7.63%, 11/15/18 (c)		2,730	2,914,275
Key Energy Services, Inc.,
6.75%, 3/01/21		700	733,250
MEG Energy Corp., 6.50%,
3/15/21 (c)		1,530	1,637,100
Oil States International,
Inc., 6.50%, 6/01/19		495	532,125
Peabody Energy Corp.,
6.25%, 11/15/21 (c)		4,070	4,263,325
Transocean, Inc., 6.38%,
12/15/21		1,170	1,380,775
			13,529,407
Food
Products 0.2%
Darling International,
Inc., 8.50%, 12/15/18		375	421,875
Post Holdings, Inc., 7.38%,
2/15/22 (c)		350	372,750
			794,625
Health
Care Equipment & Supplies 2.2%
Biomet, Inc.:
10.00%, 10/15/17		300	325,875
10.38%, 10/15/17 (i)		2,240	2,438,800
DJO Finance LLC:
10.88%, 11/15/14		3,595	3,657,912
7.75%, 4/15/18		160	137,600
Fresenius Medical Care US Finance II, Inc., 5.88%, 1/31/22 (c)		1,010	1,065,550
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (c)		324	358,830
Fresenius US Finance II,
Inc., 9.00%, 7/15/15 (c)		850	981,750
Teleflex, Inc., 6.88%,
6/01/19		455	490,263
			9,456,580
Health
Care Providers & Services 5.4%
Aviv Healthcare Properties
LP, 7.75%, 2/15/19		640	654,400
ConvaTec Healthcare E SA,
7.38%, 12/15/17 (c)	EUR	694	959,289
Crown Newco 3 Plc, 7.00%,
2/15/18 (c)	GBP	575	902,189
HCA, Inc.:
8.50%, 4/15/19	USD	205	229,600
6.50%, 2/15/20		3,100	3,324,750
7.88%, 2/15/20		145	159,863
7.25%, 9/15/20		4,020	4,381,800
5.88%, 3/15/22		425	435,625
Health Management Associates, Inc., 7.38%, 1/15/20 (c)		1,460	1,522,050
IASIS Healthcare LLC,
8.38%, 5/15/19		1,170	1,117,350
INC Research LLC, 11.50%,
7/15/19 (c)		640	614,400
Corporate Bonds	Par (000)		Value
Health
Care Providers & Services (concluded)
inVentiv Health, Inc.,
10.00%, 8/15/18 (c)	USD	200	$ 182,000
Omnicare, Inc., 7.75%,
6/01/20		1,520	1,692,900
PSS World Medical, Inc.,
6.38%, 3/01/22 (c)		450	468,000
Symbion, Inc., 8.00%,
6/15/16		535	516,275
Tenet Healthcare Corp.:
10.00%, 5/01/18		1,270	1,479,550
6.25%, 11/01/18 (c)		510	543,787
8.88%, 7/01/19		3,360	3,830,400
			23,014,228
Health
Care Technology 1.0%
IMS Health, Inc., 12.50%,
3/01/18 (c)		3,760	4,474,400
Hotels,
Restaurants & Leisure 2.6%
Caesars Entertainment
Operating Co., Inc.:
11.25%, 6/01/17		535	585,825
10.00%, 12/15/18		2,265	1,749,712
Caesars Operating Escrow, LLC., 8.50%, 2/15/20 (c)		1,105	1,127,100
Diamond Resorts Corp.,
12.00%, 8/15/18		1,860	1,962,300
El Dorado Resorts LLC,
8.63%, 6/15/19 (c)		210	200,025
Enterprise Inns Plc, 6.50%,
12/06/18	GBP	501	645,603
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (c)	USD	441	388,080
MGM Resorts International:
10.38%, 5/15/14		415	472,063
4.25%, 4/15/15 (f)		830	890,175
11.13%, 11/15/17		2,210	2,513,875
Travelport LLC:
5.15%, 9/01/14 (g)		235	120,438
9.88%, 9/01/14		50	28,625
9.00%, 3/01/16		190	100,700
6.58%, 12/01/16 (c)(g)(i)		627	442,069
Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (a)(j)		515
			11,226,590
Household
Durables 1.5%
Beazer Homes USA, Inc.,
12.00%, 10/15/17		2,080	2,267,200
Jarden Corp., 7.50%,
1/15/20	EUR	455	612,258
Ryland Group, Inc., 6.63%,
5/01/20	USD	525	535,500
Standard Pacific Corp.:
10.75%, 9/15/16		2,355	2,705,306
8.38%, 1/15/21		455	483,438
			6,603,702
Household
Products 0.5%
Ontex IV SA, 7.50%, 4/15/18
(c)	EUR	220	269,657
Spectrum Brands Holdings,
Inc.:
9.50%, 6/15/18	USD	560	638,400
9.50%, 6/15/18 (c)		910	1,037,400
			1,945,457
Independent
Power Producers & Energy Traders 2.9%
AES Corp., 7.38%, 7/01/21
(c)		1,010	1,151,400
Calpine Corp. (c):
7.25%, 10/15/17		275	291,500
7.50%, 2/15/21		160	173,600
7.88%, 1/15/23		435	474,150
Energy Future Holdings Corp.,
10.00%, 1/15/20		4,870	5,265,687
Energy Future Intermediate
Holding Co. LLC:
10.00%, 12/01/20		1,486	1,614,168
11.75%, 3/01/22 (c)		2,210	2,265,250
Laredo Petroleum, Inc.,
9.50%, 2/15/19		790	870,975
QEP Resources, Inc., 5.38%,
10/01/22		513	518,130
			12,624,860

| See Notes to Financial
Statements. — 46 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Industrial
Conglomerates 2.5%
Sequa Corp. (c):
11.75%, 12/01/15	USD	3,810	$ 4,048,125
13.50%, 12/01/15		6,236	6,657,050
			10,705,175
Insurance
1.2%
Alliant Holdings I, Inc.,
11.00%, 5/01/15 (c)(k)		2,600	2,733,250
CNO Financial Group, Inc.,
9.00%, 1/15/18 (c)		573	616,691
Genworth Financial, Inc.:
7.63%, 9/24/21		660	684,766
6.15%, 11/15/66 (g)		1,335	916,144
MPL 2 Acquisition Canco,
Inc., 9.88%, 8/15/18 (c)		395	352,537
			5,303,388
IT
Services 1.7%
Eagle Parent Canada, Inc.,
8.63%, 5/01/19 (c)		860	890,100
First Data Corp.:
7.38%, 6/15/19 (c)		300	303,375
8.88%, 8/15/20 (c)		830	898,475
8.25%, 1/15/21 (c)		1,000	967,500
12.63%, 1/15/21		2,260	2,373,000
SunGard Data Systems, Inc.:
7.38%, 11/15/18		680	731,000
7.63%, 11/15/20		930	1,004,400
			7,167,850
Machinery
0.8%
Navistar International
Corp.:
3.00%, 10/15/14 (f)		511	575,514
8.25%, 11/01/21		188	205,625
SPX Corp., 6.88%, 9/01/17		275	305,250
UR Financing Escrow Corp.
(c)(l):
5.75%, 7/15/18		398	408,945
7.38%, 5/15/20		540	554,175
7.63%, 4/15/22		1,289	1,334,115
			3,383,624
Media
14.4%
Affinion Group, Inc.,
7.88%, 12/15/18		1,260	1,127,700
AMC Networks, Inc., 7.75%,
7/15/21 (c)		350	390,250
CCH II LLC, 13.50%,
11/30/16		5,116	5,883,844
CCO Holdings LLC:
7.88%, 4/30/18		160	174,800
7.38%, 6/01/20		410	451,000
6.50%, 4/30/21		755	802,187
Checkout Holding Corp.,
10.96%, 11/15/15 (c)(e)		1,040	468,000
Cinemark USA, Inc., 8.63%,
6/15/19		390	433,875
Clear Channel Communications, Inc., 9.00%, 3/01/21		845	777,400
Clear Channel Worldwide
Holdings, Inc.:
9.25%, 12/15/17		2,323	2,543,685
7.63%, 3/15/20 (c)		1,625	1,625,000
Series B, 9.25%, 12/15/17		9,551	10,506,100
Cox Enterprises, Inc.:
Loan Close 2, 4.00%, 8/15/18		1,060	1,075,390
Loan Close 3, 4.00%, 8/15/18		1,212	1,229,480
Shares Loan, 4.00%, 8/15/18		1,250	1,268,025
CSC Holdings LLC, 8.50%,
4/15/14		550	610,500
DISH DBS Corp.:
7.00%, 10/01/13		150	161,063
6.75%, 6/01/21		630	699,300
Gray Television, Inc.,
10.50%, 6/29/15		1,425	1,505,156
Harland Clarke Holdings
Corp.:
6.00%, 5/15/15 (g)		550	375,375
9.50%, 5/15/15		490	385,875
Corporate Bonds	Par (000)		Value
Media
(concluded)
Intelsat Luxembourg SA:
11.25%, 6/15/16	USD	2,370	$ 2,506,275
11.25%, 2/04/17		560	577,500
11.50%, 2/04/17 (i)		2,070	2,132,100
Interactive Data Corp.,
10.25%, 8/01/18		2,080	2,345,200
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17		525	601,125
Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (c)	EUR	1,037	1,478,306
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (c)		530	745,018
Lamar Media Corp., 5.88%,
2/01/22 (c)	USD	310	323,563
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c)		1,170	1,244,587
Musketeer GmbH, 9.50%,
3/15/21 (c)	EUR	548	788,508
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (c)	USD	1,015	1,116,500
Nielsen Finance LLC:
11.63%, 2/01/14		147	170,888
7.75%, 10/15/18		3,425	3,810,312
Odeon & UCI Finco Plc,
9.00%, 8/01/18 (c)	GBP	324	509,008
ProQuest LLC, 9.00%,
10/15/18 (c)	USD	775	685,875
Unitymedia GmbH:
9.63%, 12/01/19	EUR	244	351,088
9.63%, 12/01/19 (c)		900	1,294,995
Unitymedia Hessen GmbH & Co. KG (FKA UPC Germany GmbH):
8.13%, 12/01/17		120	171,867
8.13%, 12/01/17 (c)	USD	885	960,225
8.13%, 12/01/17	EUR	701	1,003,988
UPC Holding BV, 9.88%, 4/15/18
(c)	USD	640	710,400
UPCB Finance II Ltd.:
6.38%, 7/01/20 (c)	EUR	1,273	1,687,537
6.38%, 7/01/20		514	681,378
Virgin Media Secured Finance Plc, 7.00%, 1/15/18	GBP	495	850,495
Ziggo Bond Co. BV, 8.00%,
5/15/18	EUR	610	859,433
Ziggo Finance BV, 6.13%,
11/15/17 (c)		1,136	1,570,248
			61,670,424
Metals
& Mining 3.1%
Goldcorp, Inc., 2.00%,
8/01/14 (f)	USD	1,650	2,091,375
New World Resources NV,
7.88%, 5/01/18	EUR	1,055	1,426,660
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (f)	USD	2,275	3,139,500
Novelis, Inc., 8.75%,
12/15/20		5,140	5,731,100
Taseko Mines Ltd., 7.75%,
4/15/19		650	624,000
Vedanta Resources Plc,
8.25%, 6/07/21 (c)		435	401,287
			13,413,922
Multiline
Retail 1.7%
Dollar General Corp.,
11.88%, 7/15/17 (g)		6,753	7,411,485
Oil, Gas
& Consumable Fuels 10.7%
Alpha Natural Resources,
Inc., 6.25%, 6/01/21		625	606,250
Aurora USA Oil & Gas,
Inc., 9.88%, 2/15/17 (c)		660	679,800
Berry Petroleum Co., 8.25%,
11/01/16		800	834,000
Bill Barrett Corp., 9.88%,
7/15/16		35	38,675
BreitBurn Energy Partners
LP, 7.88%, 4/15/22 (c)		400	419,000
Carrizo Oil & Gas,
Inc., 8.63%, 10/15/18		200	208,000
Chesapeake Midstream Partners LP, 6.13%, 7/15/22 (c)		425	439,875
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (c)		80	81,600
Coffeyville Resources LLC,
9.00%, 4/01/15 (c)		414	442,980
Concho Resources, Inc.,
7.00%, 1/15/21		635	714,375
Consol Energy, Inc., 8.25%,
4/01/20		3,050	3,324,500
Continental Resources,
Inc., 7.13%, 4/01/21		575	638,250

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 47 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Oil, Gas
& Consumable Fuels (concluded)
Copano Energy LLC, 7.13%,
4/01/21	USD	520	$ 551,200
Crosstex Energy LP, 8.88%,
2/15/18		280	303,800
Crown Oil Partners IV LP,
15.00%, 3/07/15		911	910,654
Denbury Resources, Inc.:
8.25%, 2/15/20		1,000	1,140,000
6.38%, 8/15/21		540	595,350
Energy XXI Gulf Coast,
Inc.:
9.25%, 12/15/17		860	952,450
7.75%, 6/15/19		1,390	1,466,450
EV Energy Partners LP,
8.00%, 4/15/19		220	231,000
Hilcorp Energy I LP, 7.63%,
4/15/21 (c)		1,165	1,269,850
Holly Energy Partners LP,
6.50%, 3/01/20 (c)		245	250,206
Kodiak Oil & Gas Corp.,
8.13%, 12/01/19 (c)		505	540,350
Linn Energy LLC:
6.50%, 5/15/19 (c)		145	147,900
6.25%, 11/01/19 (c)		2,805	2,801,494
8.63%, 4/15/20		345	382,950
7.75%, 2/01/21		320	344,000
MarkWest Energy Partners
LP, 6.75%, 11/01/20		205	223,963
Newfield Exploration Co.,
6.88%, 2/01/20		1,455	1,571,400
Niska Gas Storage US LLC,
8.88%, 3/15/18		890	854,400
Oasis Petroleum, Inc.:
7.25%, 2/01/19		510	540,600
6.50%, 11/01/21		450	463,500
OGX Petroleo e Gas Participações SA, 8.50%, 6/01/18 (c)		7,500	7,818,750
PBF Holding Co. LLC, 8.25%,
2/15/20 (c)		530	530,000
PetroBakken Energy Ltd.,
8.63%, 2/01/20 (c)		1,345	1,429,062
Petrohawk Energy Corp.:
10.50%, 8/01/14		595	661,194
7.88%, 6/01/15		680	718,250
7.25%, 8/15/18		495	566,156
Petroleum Geo-Services ASA,
7.38%, 12/15/18 (c)		690	724,500
Pioneer Natural Resources
Co.:
6.88%, 5/01/18		715	839,890
7.50%, 1/15/20		225	278,048
Plains Exploration & Production Co.:
6.63%, 5/01/21		1,245	1,344,600
6.75%, 2/01/22		800	876,000
Precision Drilling Corp.,
6.50%, 12/15/21 (c)		460	491,050
Range Resources Corp.:
8.00%, 5/15/19		600	669,000
5.75%, 6/01/21		1,520	1,626,400
5.00%, 8/15/22 (l)		644	650,440
Ruby Pipeline LLC, 6.00%,
4/01/22 (c)		605	603,787
Samson Investment Co.,
9.75%, 2/15/20 (c)		1,030	1,084,075
SandRidge Energy, Inc.,
7.50%, 3/15/21		710	717,100
SM Energy Co., 6.63%,
2/15/19		205	219,863
			45,816,987
Paper
& Forest Products 2.5%
Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (c)(i)		1,927	1,407,001
Boise Paper Holdings LLC:
9.00%, 11/01/17		680	748,000
8.00%, 4/01/20		240	263,400
Clearwater Paper Corp.:
10.63%, 6/15/16		625	710,156
7.13%, 11/01/18		885	942,525
Georgia-Pacific LLC, 8.25%,
5/01/16 (c)		2,570	2,847,115
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (c)		535	549,713
NewPage Corp., 11.38%, 12/31/14
(a)(j)		3,350	2,018,375
Sappi Papier Holding GmbH,
6.63%, 4/15/21 (c)		200	187,500
Verso Paper Holdings LLC,
11.50%, 7/01/14		1,202	1,226,040
			10,899,825
Corporate Bonds	Par (000)		Value
Pharmaceuticals
0.6%
Capsugel Finance Co. SCA:
9.88%, 8/01/19	EUR	105	$ 150,383
9.88%, 8/01/19 (c)		300	429,667
Jaguar Holding Co. II,
9.50%, 12/01/19 (c)	USD	650	710,937
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (c)		1,310	1,336,200
			2,627,187
Professional
Services 0.4%
FTI Consulting, Inc.,
6.75%, 10/01/20		1,450	1,567,813
Real
Estate Investment Trusts (REITs) 0.7%
Felcor Lodging LP, 6.75%,
6/01/19		2,170	2,218,825
The Rouse Co. LP, 6.75%,
11/09/15		805	842,231
			3,061,056
Real
Estate Management & Development 2.4%
CBRE Services, Inc., 6.63%,
10/15/20		520	552,500
Forest City Enterprises,
Inc., 7.63%, 6/01/15		2,300	2,265,500
Realogy Corp.:
11.50%, 4/15/17		605	553,575
12.00%, 4/15/17		155	142,600
7.88%, 2/15/19 (c)		3,645	3,535,650
7.63%, 1/15/20 (c)		785	810,513
9.00%, 1/15/20 (c)		560	562,800
Shea Homes LP, 8.63%, 5/15/19 (c)		1,885	1,903,850
			10,326,988
Road & Rail 1.6%
Avis Budget Car Rental LLC,
8.25%, 1/15/19		200	208,500
Florida East Coast Railway
Corp., 8.13%, 2/01/17		650	656,500
Hertz Holdings Netherlands
BV:
8.50%, 7/31/15	EUR	295	424,471
8.50%, 7/31/15 (c)		2,080	2,992,878
The Hertz Corp.:
7.50%, 10/15/18	USD	1,005	1,084,144
6.75%, 4/15/19 (c)		450	471,375
6.75%, 4/15/19		175	183,312
7.38%, 1/15/21		765	828,112
			6,849,292
Semiconductors
& Semiconductor Equipment 0.2%
Spansion LLC, 7.88%,
11/15/17		890	874,425
Software
0.2%
Sophia LP, 9.75%, 1/15/19
(c)		666	715,950
Specialty
Retail 2.4%
Asbury Automotive Group,
Inc., 8.38%, 11/15/20		565	605,962
Hillman Group, Inc.,
10.88%, 6/01/18		830	869,425
House of Fraser Funding
Plc:
8.88%, 8/15/18 (c)	GBP	439	625,073
8.88%, 8/15/18		222	316,096
Limited Brands, Inc.:
8.50%, 6/15/19	USD	1,255	1,499,725
5.63%, 2/15/22		250	257,500
Phones4u Finance Plc,
9.50%, 4/01/18 (c)	GBP	570	795,728
QVC, Inc. (c):
7.13%, 4/15/17	USD	355	381,625
7.50%, 10/01/19		970	1,076,700
7.38%, 10/15/20		455	503,912
Sally Holdings LLC, 6.88%,
11/15/19 (c)		840	903,000
Sonic Automotive, Inc.,
9.00%, 3/15/18		580	630,750
Toys R US-Delaware, Inc.,
7.38%, 9/01/16 (c)		195	200,363
United Auto Group, Inc.,
7.75%, 12/15/16		1,670	1,740,992
			10,406,851

| See Notes to Financial
Statements. — 48 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Transportation
Infrastructure 0.2%
Aguila 3 SA, 7.88%, 1/31/18
(c)	USD	665	$ 699,081
Wireless
Telecommunication Services 5.2%
Cricket Communications,
Inc., 7.75%, 5/15/16		830	883,950
Digicel Group Ltd. (c):
8.88%, 1/15/15		1,120	1,139,600
9.13%, 1/15/15		2,864	2,921,280
8.25%, 9/01/17		1,720	1,823,200
10.50%, 4/15/18		800	872,000
iPCS, Inc., 2.67%, 5/01/13
(g)		1,585	1,525,563
Matterhorn Mobile Holdings
SA, 8.25%, 2/15/20	EUR	400	548,907
MetroPCS Wireless, Inc.,
6.63%, 11/15/20	USD	1,690	1,740,700
NII Capital Corp., 7.63%,
4/01/21		1,039	1,062,378
Sprint Capital Corp.,
6.88%, 11/15/28		3,680	2,870,400
Sprint Nextel Corp. (c):
9.00%, 11/15/18		3,410	3,802,150
7.00%, 3/01/20		3,110	3,160,537
			22,350,665
Total
Corporate Bonds 101.6%			435,638,644

Floating Rate Loan Interests (g)
Airlines
0.2%
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, 4/20/17	866	845,602
Auto
Components 0.2%
Schaeffler AG, Term Loan
C2, 5.29%, 1/27/17	765	767,234
Building
Products 0.2%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17	764	775,572
Capital
Markets 0.4%
Nuveen Investments, Inc., Incremental Term Loan, (First Lien):
7.25%, 5/13/17	1,045	1,052,315
7.25%, 3/14/19	640	645,600
		1,697,915
Chemicals
0.2%
PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan B (First Lien), 3.50%, 7/30/14	325	316,857
Styron Sarl LLC, Term Loan B, 6.00% 6.75%, 8/02/17	677	610,763
		927,620
Commercial
Services & Supplies 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16	776	773,436
Delos Aircraft, Inc., Term
Loan B2, 7.00%, 3/17/16	975	976,043
Volume Services America, Inc. (FKA Centerplate), Term Loan B, 10.50% 10.75%, 9/16/16	1,580	1,586,589
		3,336,068
Communications
Equipment 0.1%
Avaya, Inc., Term Loan B1,
3.24%, 10/24/14	305	298,433
Construction
& Engineering 0.7%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17	3,250	3,250,000
Consumer
Finance 1.7%
Springleaf Finance Corp. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17	7,825	7,133,348

Floating Rate Loan Interests (g)	Par (000)		Value
Diversified
Consumer Services 0.0%
ServiceMaster Co.:
Delayed Draw Term Loan, 2.75%, 7/24/14	USD	13	$ 12,907
Term Loan, 2.77% 3.03%, 7/24/14		131	129,603
			142,510
Diversified
Telecommunication Services 0.5%
Level 3 Financing, Inc.:
Term Loan B, 5.75%, 8/31/18		1,300	1,308,944
Tranche A Term Loan, 2.50% 2.83%, 3/13/14		775	762,212
			2,071,156
Electronic
Equipment, Instruments & Components 0.1%
CDW LLC (FKA CDW Corp.):
Term Loan, 3.75%, 10/10/14		163	162,789
Term Loan, 4.00%, 7/14/17		435	425,134
			587,923
Energy
Equipment & Services 2.2%
CCS Corp., Incremental Term Loan, 5.62%, 10/17/14		425	425,425
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16		3,084	3,066,606
Dynegy Power LLC., Gas Co. Term Loan, 9.25%, 8/04/16		5,644	5,821,979
			9,314,010
Food & Staples Retailing 0.1%
US Foodservice, Inc., Term
Loan B, 2.74%, 7/03/14		265	255,725
Food
Products 0.3%
Advance Pierre Foods, Term Loan (Second Lien), 11.25%, 9/29/17		1,300	1,301,079
Health
Care Equipment & Supplies 0.3%
Hupah Finance, Inc., Term
Loan B, 6.25%, 1/21/19		1,180	1,179,268
Health
Care Providers & Services 0.7%
Harden Healthcare LLC:
Term Loan A, 8.50%, 3/02/15		574	562,318
Tranche A Additional Term Loan, 7.75%, 3/02/15		741	726,282
Health Management Associates, Inc., Term Loan B, 4.50%, 11/16/18		610	606,035
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		1,237	1,189,088
			3,083,723
Hotels,
Restaurants & Leisure 1.3%
Caesars Entertainment
Operating Co., Inc.:
Term Loan B-1, 3.24% 3.58%, 1/28/15		3,252	3,047,233
Term Loan B-4, 9.50%, 10/31/16		755	776,623
OSI Restaurant Partners
LLC:
Revolver, 2.56% 2.79%, 6/14/13		15	14,448
Term Loan B, 2.56%, 6/14/14		150	146,561
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16		1,625	1,465,214
Travelport LLC (FKA
Travelport, Inc.):
Extended Tranche A Term Loan, 6.54%, 9/28/12		289	137,097
Extended Tranche B Term Loan, 14.04%, 12/01/16		897	201,771
			5,788,947
Independent
Power Producers & Energy Traders 0.1%
Texas Competitive Electric Holdings Co. LLC (FKA TXU), Extended Term Loan, 4.76%, 10/10/17		1,156	645,008
Industrial Conglomerates 0.2%
Sequa Corp., Incremental Term Loan, 6.25%, 12/03/14		680	682,264

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 49 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Floating Rate Loan Interests (g)	Par (000)		Value
IT
Services 0.2%
First Data Corp., Extended Term Loan B, 4.24%, 3/23/18	USD	1,220	$ 1,094,755
Leisure
Equipment & Products 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/20/13		910	921,093
Media
5.2%
Cengage Learning Acquisitions, Inc. (FKA Thomson Learning):
Term Loan, 2.49%, 7/03/14		500	464,000
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14		2,654	2,567,503
Cequel Communications LLC, Term Loan B, 4.00%, 2/11/19		865	856,151
Clear Channel
Communications:
Term Loan B, 3.89%, 1/28/16		3,325	2,728,805
Term Loan C, 3.89%, 1/28/16		608	481,504
HMH Publishing Co. Ltd., Tranche A Term Loan, 6.51%, 6/12/14		1,420	877,796
Intelsat Jackson Holdings SA (FKA Intelsat Jackson Holdings, Ltd), Tranche B Term Loan, 5.25%, 4/02/18		11,215	11,196,184
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18		80	79,820
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		2,450	2,520,438
Univision Communications, Inc., Extended First Lien Term Loan, 4.52%, 3/31/17		520	482,898
			22,255,099
Multiline
Retail 0.4%
HEMA Holding BV, Mezzanine,
9.19%, 7/05/17 (i)	EUR	1,688	1,720,670
Oil, Gas
& Consumable Fuels 0.6%
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15	USD	2,572	2,584,634
Paper
& Forest Products 0.5%
NewPage Corp., DIP Term
Loan, 8.00%, 3/07/13		950	957,125
Verso Paper Finance Holdings LLC, Term Loan, 6.79% 7.54%, 2/01/13 (i)		2,236	1,117,797
			2,074,922
Pharmaceuticals
0.5%
Aptalis Pharma, Inc., Term
Loan B, 5.50%, 2/10/17		1,485	1,472,377
Pharmaceutical Products Development, Inc., Term Loan B, 9.50%, 12/05/18		610	615,338
			2,087,715
Real
Estate Investment Trusts (REITs) 0.6%
iStar Financial, Inc., Term Loan (Second Lien), 5.00%, 6/28/13		2,627	2,614,694
Real
Estate Management & Development 0.3%
Realogy Corp.:
Extended Letter of Credit, 4.53%, 10/10/16		166	154,404
Extended Term Loan, 4.77%, 10/10/16		1,173	1,088,344
			1,242,748
Semiconductors
& Semiconductor Equipment 0.0%
NXP BV, Term Loan A-2,
5.50%, 3/03/17		105	104,213
Software
0.2%
Infor Enterprise Solutions
Holdings, Inc.:
Extended Delayed Draw Term Loan, 6.29%, 7/28/15		245	239,042
Extended Initial Term Loan, 6.29%, 7/28/15		460	450,095
			689,137

Floating Rate Loan Interests (g)	Par (000)		Value
Specialty
Retail 0.2%
Claires Stores, Inc., Term Loan B, 2.99% 3.30%, 5/29/14	USD	816	$ 772,527
Wireless Telecommunication Services 1.0%
Crown Castle International Corp., Term Loan B, 4.00%, 1/25/19		325	323,521
Vodafone Americas Finance 2, Inc., Term Loan B, 6.25%, 7/11/16 (i)		4,022	4,011,821
			4,335,342
Total
Floating Rate Loan Interests 20.2%			86,580,954

Other Interests (m)
Chemicals
0.0%
Wellman Holdings, Inc.,
Litigation Trust Certificate	4,870	49
Hotels,
Restaurants & Leisure 0.0%
Buffets, Inc. (a)	950	9
Media
0.0%
Adelphia Escrow (a)	1,300	13
Adelphia Recovery Trust (a)	1,630	163
		176
Total
Other Interests 0.0%		234

Preferred Securities — Preferred Stocks	Shares
Auto
Components 0.4%
Dana Holding Corp., 4.00%
(c)(f)	12,760	1,717,815
Diversified
Financial Services 1.0%
Ally Financial, Inc., 7.00%
(c)	5,245	4,551,021
Thrifts
& Mortgage Finance 0.1%
Fannie Mae, Series O, 7.00%
(a)(g)	40,000	74,000
Freddie Mac, Series Z,8.38%
(a)(g)	110,157	163,032
		237,032
Total
Preferred Stocks 1.5%		6,505,868

Trust Preferreds
Diversified
Financial Services 0.9%
GMAC Capital Trust I,
Series 2, 8.13%, 2/15/40 (g)	114,020	2,668,342
RBS Capital Funding Trust
VII, 6.08%, 12/31/49 (g)	69,000	943,230
Total
Trust Preferreds 0.9%		3,611,572
Total
Preferred Securities 2.4%		10,117,440

Warrants (n)
Health
Care Providers & Services 0.0%
HealthSouth Corp. (Expires
1/16/14)	54,577	1
Hotels,
Restaurants & Leisure 0.0%
Buffets Restaurants
Holdings, Inc. (Expires 4/29/14)	802
Media
0.1%
Cumulus Media, Inc.
(Expires 3/26/19)	67,691	488,919
New Vision Holdings LLC,
(Expires 9/30/14)	26,189
		488,919

| See Notes to Financial
Statements. — 50 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Warrants (n)
Software
0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)	525
HMH Holdings/EduMedia (Expires 3/09/17)	22,578
Total Warrants 0.1%	$	488,920
Total
Long-Term Investments (Cost $555,481,120) 132.7%		568,882,627
Options
Purchased	Contracts
Exchange-Traded Put Options 0.1%
SPDR S&P 500 ETF Trust:
Strike Price USD 134.00, Expires 3/17/12	1,790	168,260
Strike Price USD 136.00, Expires 3/17/12	310	48,980
Strike Price USD 136.00, Expires 4/21/12	310	98,890
Total
Options Purchased (Cost $688,726) 0.1%		316,130
Total
Investments Before Options Written (Cost $556,169,846) 132.8%		569,198,757
Options
Written
Exchange-Traded Put Options (0.0)%
SPDR S&P 500 ETF Trust, Strike Price USD 125.00, Expires 3/17/12	1,790	(25,955	)
Total
Options Written (Premiums Received $128,039) (0.0)%		(25,955	)
Total Investments, Net of Options Written 132.8%		569,172,802
Liabilities in Excess of Other Assets (32.8)%		(140,499,627	)
Net Assets 100.0%	$	428,673,175

| (a) | Non-income producing
security. |
| --- | --- |
| (b) | Restricted security as to
resale. As of report date the Trust held 2.6% of its net assets, with a
current value of $11,090,417 in this security. |
| (c) | Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These securities
may be resold in transactions exempt from registration to qualified
institutional investors. |
| (d) | Represents a step-down bond
that pays an initial coupon rate for the first period and then a lower coupon
rate for the following periods. Rate shown is as of report date. |
| (e) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (f) | Convertible security. |
| (g) | Variable rate security.
Rate shown is as of report date. |
| (h) | Represents a step-up bond
that pays an initial coupon rate for the first period and then a higher
coupon rate for the following periods. Rate shown is as of report date. |
| (i) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (j) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (k) | All or a portion of
security has been pledged as collateral in connection with swaps. |
| (l) | When-issued security. Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation
Bank of America Securities,
Inc.	$ 650,440	$ 6,440
Morgan Stanley & Co.,
Inc.	$ 2,297,235	$ 70,235

| (m) | Other interests represent
beneficial interests in liquidation trusts and other reorganization or
private entities. |
| --- | --- |
| (n) | Warrants entitle the Trust
to purchase a predetermined number of shares of common stock and are
non-income producing. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date, if any. |
| | Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the
Investment Company Act of 1940, as amended, were as follows: |

Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class	941,235	(941,235	)		Income — $ 445

Financial futures contracts sold as of February 29, 2012 were as follows:

Contracts	Issue	Exchange	Expiration
191	S&P
500	Chicago	March
2012	$ 13,030,020	$ (419,408	)
	Index
E-Mini	Mercantile

Foreign currency exchange contracts as of February 29, 2012 were as follows:

Currency Purchased		Currency Sold		Counterparty	Unrealized Appreciation (Depreciation)
GBP	118,000	USD	185,055	Royal
Bank of Scotland Plc	4/11/12	$ 2,618
USD	1,510,144	CAD	1,550,000	Citibank
NA	4/11/12	(54,988	)
USD	3,402,753	CAD	3,475,000	Royal
Bank of Scotland Plc	4/11/12	(106,172	)
USD	5,133,752	GBP	3,349,000	UBS
Securities LLC	4/11/12	(192,658	)
EUR	122,000	USD	157,967	Citibank
NA	4/18/12	4,605
EUR	460,000	USD	619,312	Deutsche
Bank AG	4/18/12	(6,334	)
USD	29,691,218	EUR	23,115,000	Citibank
NA	4/18/12	(1,110,925	)
USD	2,075,808	EUR	1,565,000	Citibank
NA	4/18/12	(9,649	)
USD	389,040	EUR	296,000	Citibank
NA	4/18/12	(5,398	)
USD	194,527	EUR	147,000	Citibank
NA	4/18/12	(1,359	)
USD	84,108	EUR	65,000	Deutsche
Bank AG	4/18/12	(2,509	)
USD	129,945	EUR	98,000	Deutsche
Bank AG	4/18/12	(646	)
USD	627,400	EUR	473,000	Royal
Bank of Scotland Plc	4/18/12	(2,901	)
USD	774,117	EUR	586,000	UBS
Securities LLC	4/18/12	(6,764	)
Total					$ (1,493,080	)

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 51 |
| --- | --- | --- |

Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund VI, Inc. (HYT)

Credit default swaps on single-name issues buy protection outstanding as of February 29, 2012 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	$ 160	$ (8,905	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	$ 135	(8,790	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	$ 260	(13,581	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	$ 140	(3,971	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	$ 135	(4,827	)
Republic of Hungary	1.00%	Deutsche Bank AG	12/20/15	$ 470	25,026
Realogy Corp.	5.00%	Goldman
Sachs International	9/20/16	$ 225	(25,998	)
iStar Financial, Inc.	5.00%	Deutsche Bank AG	12/20/16	$ 375	(38,471	)
Israel (State of)	1.00%	Deutsche Bank AG	3/20/17	$ 350	(3,639	)
Israel Government Bond	1.00%	Deutsche Bank AG	3/20/17	$ 1,050	(11,643	)
Total					$ (94,799	)

Credit default swaps on single-name issues sold protection outstanding as of February 29, 2012 were as follows:

Issuer	Receive Fixed Rate	Counterparty	Expiration Date	Issuer Credit Rating 1	Notional Amount (000) 2	Unrealized Appreciation (Depreciation)
Air Lease Corp.	5.00%	Goldman Sachs International	2/14/13	Not
Rated	$ 800	$ 1,104
CIT Group, Inc.	5.00%	Deutsche Bank AG	9/20/15	BB	$ 5,000	333,920
ARAMARK Corp.	5.00%	Goldman Sachs International	3/20/16	B	$ 750	39,744
ARAMARK Corp.	5.00%	Goldman Sachs International	6/20/16	B	$ 475	22,600
ARAMARK Corp.	5.00%	Goldman Sachs International	6/20/16	B	$ 475	25,585
ARAMARK Corp.	5.00%	Credit
Suisse Securities (USA) LLC	9/20/16	B	$ 200	16,201
ARAMARK Corp.	5.00%	Goldman Sachs International	9/20/16	B	$ 450	20,322
ARAMARK Corp.	5.00%	Goldman Sachs International	9/20/16	B	$ 200	15,461

Credit default swaps on single-name issues sold protection outstanding as of February 29, 2012 were as follows (concluded):

Issuer	Receive Fixed Rate	Counterparty	Expiration Date	Issuer Credit Rating 1	Notional Amount (000) 2	Unrealized Appreciation (Depreciation)
Bausch & Lomb Inc.	5.00%	Credit
Suisse Securities (USA) LLC	3/20/17	B	$ 165	$ 8,261
ARAMARK Corp.	5.00%	Deutsche Bank AG	3/20/17	B	$ 305	6,568
Crown Castle International Corp.	7.25%	Deutsche Bank AG	3/20/17	B	$ 720	15,616
Ford Motor Co.	5.00%	Deutsche Bank AG	3/20/17	BB+	$ 2,200	132,448
CCO Holdings LLC	8.00%	Deutsche Bank AG	9/20/17	BB	$ 2,400	(134	)
Total						$ 637,696

	1	Using S&Ps rating.
	2	The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement.
	For Trust compliance
purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by
one or more widely recognized market indexes or rating group indexes, and/or
as defined by Trust management. These definitions may not apply for purposes
of this report, which may combine such industry sub-classifications for
reporting ease.
	Fair Value Measurements
Various inputs are used in determining the fair value of investments and derivative financial
instruments. These inputs are categorized into a disclosure hierarchy
consisting of three broad levels for financial statement purposes as follows:
		Level 1 unadjusted price
quotations in active markets/exchanges for identical assets and liabilities
		Level 2 other observable
inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are
active, quoted prices for identical or similar assets or liabilities in markets
that are not active, inputs other than quoted prices that are observable for
the assets or liabilities (such as interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default
rates) or other market-corroborated inputs)
		Level 3 unobservable
inputs based on the best information available in the circumstances, to the extent observable
inputs are not available (including the Trusts own assumptions used in
determining the fair value of investments and derivative financial
instruments)
	Changes in valuation
techniques may result in transfers in or out of an assigned level within the
disclosure hierarchy. The categorization of a value determined for
investments and derivative financial instruments is based on the pricing
transparency of the investment and derivative financial instrument and does
not necessarily correspond to the Trusts perceived risk of investing in
those securities. For information about the Trusts policy regarding
valuation of investments and derivative financial instruments and other
significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements.

| See Notes to Financial
Statements. — 52 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Consolidated Schedule of Investments (concluded) BlackRock Corporate High Yield Fund VI, Inc. (HYT)

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trusts investments and derivative financial instruments:

Valuation Inputs	Level 1		Level 2		Level 3
Assets:
Investments:
Long-Term Investments:
Common Stocks	$ 16,814,523		$ 11,751,399		$ 7,490,513	$	36,056,435
Corporate Bonds			430,767,015		4,871,629		435,638,644
Floating Rate Loan Interests			73,111,438		13,469,516		86,580,954
Other Interests	163				71		234
Preferred Securities	3,848,604		6,268,836				10,117,440
Warrants			488,919		1		488,920
Total	$ 20,663,290		$ 522,387,607		$ 25,831,730	$	568,882,627
Valuation
Inputs	Level 1		Level 2		Level 3	Total
Derivative Financial Instruments 1
Assets:
Credit contracts			$ 312,216		$ 350,640	$	662,856
Foreign currency exchange contracts			7,223				7,223
Equity contracts	$ 316,130						316,130
Liabilities:
Credit contracts			(119,825	)	(134	)	(119,959	)
Foreign currency exchange contracts			(1,500,303	)			(1,500,303	)
Equity contracts	(445,363	)					(445,363	)
Total	$ (129,233	)	$ (1,300,689	)	$ 350,506	$	(1,079,416	)

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

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

	Common Stocks
Assets:
Balance, as of August 31, 2011	$ 3,689,799	$	6,541,570	$	14,112,734	$	3,081,895	$	503,497	$	382,599	$	28,312,094
Accrued discounts/premiums			3,505		118,663								122,168
Net realized gain (loss)	9,199		(3,657,646	)	(353,729	)			592,350				(3,409,826	)
Net change in unrealized appreciation/depreciation 2	2,173,916		3,685,657		(880,297	)	(3,081,824	)	(503,497	)	(275	)	1,393,680
Purchases	1,629,236		979,696		602,350								3,211,282
Sales	(11,637	)	(2,681,153	)	(1,025,465	)			(592,350	)			(4,310,605	)
Transfers in 3					3,424,885								3,424,885
Transfers out 3					(2,529,625	)					(382,323	)	(2,911,948	)
Balance, as of February 29, 2012	$ 7,490,513	$	4,871,629	$	13,469,516	$	71			$	1	$	25,831,730

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on investments
still held at February 29, 2012 was $(1,811,285). |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

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

	Credit Contracts
Liabilities:
Balance, as of August 31, 2011
Accrued discounts/premiums	$ (46,404	)
Net realized gain (loss)
Net change in unrealized appreciation/depreciation 4	350,506
Purchases
Issuances 5	432,194
Sales
Settlements 6	(385,790	)
Transfers in 7
Transfers out 7
Balance, as of February 29, 2012	$ 350,506

| 4 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on derivative
financial instruments still held at February 29, 2012 was $350,506. |
| --- | --- |
| 5 | Issuances represent upfront
cash received on certain derivative financial instruments. |
| 6 | Settlements represent
periodic contractual cash flows and/or cash flows to terminate certain
derivative financial instruments. |
| 7 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 53 |
| --- | --- | --- |

| Schedule of Investments February 29, 2012
(Unaudited) |
| --- |
| (Percentages
shown are based on Net Assets) |

Common Stocks	Shares		Value
Auto Components 0.5%
Delphi Automotive Plc		1,419	$ 45,421
Delphi Automotive Plc (180-day lock) (Acquired 11/17/11, cost $108,667) (b)		17,779	554,692
			600,113
Diversified Financial Services 0.6%
Kcad Holdings I Ltd.		84,871,761	777,001
Hotels, Restaurants & Leisure 0.0%
Travelport Worldwide Ltd.		35,081	17,540
Software 0.0%
Bankruptcy Management Solutions, Inc. (a)		251	5
HMH Holdings/EduMedia		39,515	9,879
			9,884
Total Common Stocks 1.1%			1,404,538
Corporate
Bonds	Par (000)
Aerospace & Defense 0.5%
Huntington Ingalls Industries, Inc.:
6.88%, 3/15/18	USD	100	105,250
7.13%, 3/15/21		140	149,975
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		358	385,745
			640,970
Air Freight & Logistics 0.5%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15		295	307,956
Series 2, 12.38%, 8/16/15		299	311,301
			619,257
Airlines 1.9%
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 10/15/21		519	550,140
Continental Airlines, Inc.:
6.75%, 9/15/15 (c)		270	272,700
Series 2010-1, Class B, 6.00%, 1/12/19		192	186,145
Delta Air Lines, Inc., Series 2009-1-B, Class B, 9.75%, 2/17/16		97	102,660
United Air Lines, Inc., 12.75%, 7/15/12		835	863,985
US Airways Pass-Through Trust, Series 2011-1, Class C, 10.88%, 10/22/14		310	310,000
			2,285,630
Auto Components 2.1%
Allison Transmission, Inc., 11.00%, 11/01/15 (c)		32	33,800
Baker Corp. International, Inc., 8.25%, 6/01/19 (c)		95	96,900
Dana Holding Corp., 6.75%, 2/15/21		200	216,500
Delphi Corp., 6.13%, 5/15/21 (c)		80	85,800
Icahn Enterprises LP, 8.00%, 1/15/18		1,510	1,600,600
International Automotive Components Group, SL, 9.13%, 6/01/18 (c)		20	17,800
Stanadyne Corp., Series 1, 10.00%, 8/15/14		335	306,525
Titan International, Inc., 7.88%, 10/01/17		190	201,875
			2,559,800
Beverages 0.4%
Cott Beverages, Inc., 8.13%, 9/01/18		125	137,812
Crown European Holdings SA (c):
7.13%, 8/15/18	EUR	167	238,347
7.13%, 8/15/18		100	142,723
			518,882
		Par
Corporate
Bonds		(000)	Value
Biotechnology 0.1%
QHP Pharma, 10.25%, 3/15/15 (c)	USD	103	$ 103,403
Building Products 0.7%
Building Materials Corp. of America (c):
7.00%, 2/15/20		210	227,850
6.75%, 5/01/21		450	489,375
Momentive Performance Materials, Inc., 11.50%, 12/01/16		220	184,800
			902,025
Capital Markets 1.2%
American Capital Ltd., 8.96%, 12/31/13 (d)		320	325,933
E*Trade Financial Corp.:
12.50%, 11/30/17		485	565,025
Series A, 0.74%, 8/31/19 (e)(f)		295	279,144
KKR Group Finance Co., 6.38%, 9/29/20 (c)		300	319,265
			1,489,367
Chemicals 3.6%
American Pacific Corp., 9.00%, 2/01/15		400	390,000
Ashland, Inc., 9.13%, 6/01/17		195	218,887
Celanese US Holdings LLC, 5.88%, 6/15/21		810	882,900
Chemtura Corp., 7.88%, 9/01/18		175	188,125
Hexion U.S. Finance Corp., 9.00%, 11/15/20		145	142,100
Huntsman International LLC, 8.63%, 3/15/21		80	90,400
Kinove German Bondco GmbH, 10.00%, 6/15/18	EUR	164	224,506
Kraton Polymers LLC, 6.75%, 3/01/19	USD	55	56,100
Lyondell Chemical Co., 11.00%, 5/01/18		1,272	1,394,065
LyondellBasell Industries NV, 6.00%, 11/15/21 (c)		75	82,313
Nexeo Solutions LLC, 8.38%, 3/01/18 (c)		85	85,000
PolyOne Corp., 7.38%, 9/15/20		100	107,750
Solutia, Inc., 7.88%, 3/15/20		280	328,300
TPC Group LLC, 8.25%, 10/01/17		155	163,525
			4,353,971
Commercial Banks 2.1%
CIT Group, Inc. (c):
7.00%, 5/02/16		1,128	1,129,410
7.00%, 5/02/17		1,200	1,201,500
5.50%, 2/15/19		270	275,737
			2,606,647
Commercial Services & Supplies 2.0%
ACCO Brands Corp., 10.63%, 3/15/15		155	171,083
ARAMARK Corp., 8.50%, 2/01/15		6	6,158
Aviation Capital Group Corp., 6.75%, 4/06/21 (c)		230	227,985
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)		181	188,936
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (c)		9	8,550
Casella Waste Systems, Inc., 7.75%, 2/15/19		304	302,480
Clean Harbors, Inc., 7.63%, 8/15/16		160	169,600
Iron Mountain, Inc., 7.75%, 10/01/19		200	221,000
Mobile Mini, Inc., 7.88%, 12/01/20		165	173,250
RSC Equipment Rental, Inc.:
10.00%, 7/15/17 (c)		275	319,000
8.25%, 2/01/21		392	415,520
WCA Waste Corp., 7.50%, 6/15/19 (c)		150	151,875
West Corp., 8.63%, 10/01/18		65	71,337
			2,426,774
Communications Equipment 0.7%
Avaya, Inc., 9.75%, 11/01/15		310	310,000
Frontier Communications Corp., 6.25%, 1/15/13		400	413,000
Hughes Satellite Systems Corp., 6.50%, 6/15/19		170	180,200
			903,200

| See Notes to Financial
Statements. — 54 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Computers & Peripherals 0.1%
SanDisk Corp., 1.50%, 8/15/17 (f)	USD	100	$ 119,750
Construction & Engineering 0.1%
Abengoa SA, 8.50%, 3/31/16	EUR	50	68,294
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (c)	USD	90	94,725
			163,019
Construction Materials 0.1%
Xefin Lux SCA, 8.00%, 6/01/18 (c)	EUR	113	151,303
Consumer Finance 1.8%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	220	234,300
Ford Motor Credit Co. LLC:
7.80%, 6/01/12		300	303,698
7.00%, 4/15/15		1,080	1,198,800
12.00%, 5/15/15		330	414,956
			2,151,754
Containers & Packaging 1.5%
Ardagh Packaging Finance Plc (c):
7.38%, 10/15/17		200	215,000
7.38%, 10/15/17	EUR	285	400,589
9.13%, 10/15/20	USD	200	206,500
Berry Plastics Corp.:
4.42%, 9/15/14 (g)		135	129,263
8.25%, 11/15/15		55	59,125
9.75%, 1/15/21		160	171,200
GCL Holdings SCA, 9.38%, 4/15/18 (c)	EUR	120	142,689
Graphic Packaging International, Inc., 7.88%,
10/01/18	USD	175	192,500
OI European Group BV, 6.88%, 3/31/17	EUR	100	138,559
Sealed Air Corp., 8.38%, 9/15/21 (c)	USD	115	131,675
			1,787,100
Diversified Consumer Services 0.3%
ServiceMaster Co., 8.00%, 2/15/20 (c)		290	305,950
Diversified Financial Services 4.8%
Ally Financial, Inc.:
7.50%, 12/31/13		90	95,850
8.30%, 2/12/15		230	254,150
6.25%, 12/01/17		230	237,732
7.50%, 9/15/20		290	319,362
8.00%, 11/01/31		500	558,125
8.00%, 11/01/31		270	292,965
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16		170	181,263
Boparan Holdings Ltd. (c):
9.75%, 4/30/18	EUR	100	131,098
9.88%, 4/30/18	GBP	100	156,704
DPL, Inc., 7.25%, 10/15/21 (c)	USD	360	410,400
FCE Bank Plc, 4.75%, 1/19/15	EUR	360	491,614
General Motors Financial Co., Inc., 6.75%, 6/01/18	USD	140	151,082
Leucadia National Corp., 8.13%, 9/15/15		378	420,525
Reynolds Group Issuer, Inc. (c):
7.00%, 10/15/16 (h)		348	370,620
8.75%, 10/15/16	EUR	227	321,334
7.13%, 4/15/19	USD	115	121,613
7.88%, 8/15/19		490	536,550
9.88%, 8/15/19		475	491,031
WMG Acquisition Corp. (c):
9.50%, 6/15/16		55	60,775
11.50%, 10/01/18		265	281,562
			5,884,355
Corporate
Bonds	Par (000)		Value
Diversified Telecommunication Services 3.4%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12	USD	480	$ 430,800
GCI, Inc., 6.75%, 6/01/21		128	129,600
ITC Deltacom, Inc., 10.50%, 4/01/16		140	145,950
Level 3 Communications, Inc., 6.50%, 10/01/16 (f)		90	139,050
Level 3 Financing, Inc. (c):
8.13%, 7/01/19		1,213	1,270,617
8.63%, 7/15/20		480	512,400
Qwest Communications International, Inc.:
7.50%, 2/15/14		600	602,100
8.00%, 10/01/15		550	590,391
Videotron Ltee, 5.00%, 7/15/22 (c)(i)		80	80,200
Windstream Corp.:
8.13%, 8/01/13		112	120,120
7.88%, 11/01/17		163	183,783
			4,205,011
Electric Utilities 0.6%
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14	EUR	550	684,769
Electronic Equipment, Instruments & Components
0.2%
Elster Finance BV, 6.25%, 4/15/18 (c)		104	140,499
Jabil Circuit, Inc., 8.25%, 3/15/18	USD	105	124,950
			265,449
Energy Equipment & Services 3.3%
Antero Resources Finance Corp., 7.25%, 8/01/19 (c)		75	79,125
Atwood Oceanics, Inc., 6.50%, 2/01/20		65	68,413
Calfrac Holdings LP, 7.50%, 12/01/20 (c)		185	185,000
Compagnie Générale de Géophysique-Veritas, 7.75%, 5/15/17		170	177,013
Forbes Energy Services Ltd., 9.00%, 6/15/19		165	162,525
Frac Tech Services LLC, 7.63%, 11/15/18 (c)		795	848,662
Key Energy Services, Inc., 6.75%, 3/01/21		205	214,737
MEG Energy Corp., 6.50%, 3/15/21 (c)		445	476,150
Oil States International, Inc., 6.50%, 6/01/19		140	150,500
Peabody Energy Corp., 6.25%, 11/15/21 (c)		1,200	1,257,000
Transocean, Inc., 6.38%, 12/15/21		345	407,152
			4,026,277
Food Products 0.1%
Post Holdings, Inc., 7.38%, 2/15/22 (c)		100	106,500
Health Care Equipment & Supplies 2.2%
Biomet, Inc.:
10.00%, 10/15/17		90	97,762
10.38%, 10/15/17 (j)		645	702,244
DJO Finance LLC:
10.88%, 11/15/14		1,070	1,088,725
7.75%, 4/15/18		50	43,000
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (c)		48	53,160
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c)		505	583,275
Teleflex, Inc., 6.88%, 6/01/19		130	140,075
			2,708,241
Health Care Providers & Services 5.7%
Aviv Healthcare Properties LP, 7.75%, 2/15/19		190	194,275
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c)	EUR	200	276,452
Crown Newco 3 Plc, 7.00%, 2/15/18 (c)	GBP	200	313,805
HCA, Inc.:
8.50%, 4/15/19	USD	60	67,200
6.50%, 2/15/20		915	981,337
7.88%, 2/15/20		40	44,100
7.25%, 9/15/20		1,400	1,526,000
Health Management Associates, Inc., 7.38%, 1/15/20 (c)		435	453,488

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 55 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Health
Care Providers & Services (concluded)
IASIS Healthcare LLC,
8.38%, 5/15/19	USD	340	$ 324,700
INC Research LLC, 11.50%,
7/15/19 (c)		185	177,600
inVentiv Health, Inc.,
10.00%, 8/15/18 (c)		55	50,050
Omnicare, Inc., 7.75%,
6/01/20		450	501,187
Symbion, Inc., 8.00%,
6/15/16		155	149,575
Tenet Healthcare Corp.:
10.00%, 5/01/18		312	363,480
6.25%, 11/01/18 (c)		150	159,938
8.88%, 7/01/19		1,175	1,339,500
			6,922,687
Health
Care Technology 1.1%
IMS Health, Inc., 12.50%,
3/01/18 (c)		1,125	1,338,750
Hotels,
Restaurants & Leisure 2.4%
Caesars Entertainment
Operating Co., Inc.:
11.25%, 6/01/17		140	153,300
10.00%, 12/15/18		660	509,850
Caesars Operating Escrow,
LLC., 8.50%, 2/15/20 (c)		320	326,400
Diamond Resorts Corp.,
12.00%, 8/15/18		550	580,250
El Dorado Resorts LLC,
8.63%, 6/15/19 (c)		60	57,150
MGM Resorts International:
10.38%, 5/15/14		125	142,187
11.13%, 11/15/17		790	898,625
Travelport LLC:
5.15%, 9/01/14 (g)		85	43,563
9.88%, 9/01/14		20	11,450
9.00%, 3/01/16		60	31,800
6.58%, 12/01/16 (c)(g)(j)		185	130,393
Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (a)(k)		215
			2,884,968
Household Durables 1.9%
Beazer Homes USA, Inc., 12.00%, 10/15/17		720	784,800
Jarden Corp., 7.50%, 1/15/20	EUR	140	188,387
Ryland Group, Inc., 6.63%, 5/01/20	USD	160	163,200
Standard Pacific Corp.:
10.75%, 9/15/16		890	1,022,388
8.38%, 1/15/21		140	148,750
			2,307,525
Household Products 0.5%
Ontex IV SA, 7.50%, 4/15/18 (c)	EUR	100	122,572
Spectrum Brands Holdings, Inc.:
9.50%, 6/15/18	USD	160	182,400
9.50%, 6/15/18 (c)		270	307,800
			612,772
Independent Power Producers & Energy Traders 2.9%
AES Corp., 7.38%, 7/01/21 (c)		295	336,300
Calpine Corp. (c):
7.25%, 10/15/17		80	84,800
7.50%, 2/15/21		45	48,825
7.88%, 1/15/23		130	141,700
Energy Future Holdings Corp., 10.00%, 1/15/20		1,365	1,475,906
Energy Future Intermediate Holding Co. LLC:
10.00%, 12/01/20		431	468,174
11.75%, 3/01/22 (c)		635	650,875
Laredo Petroleum, Inc., 9.50%, 2/15/19		230	253,575
QEP Resources, Inc., 5.38%, 10/01/22		148	149,480
			3,609,635

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Industrial Conglomerates 2.5% | | | |
| Sequa Corp. (c): | | | |
| 11.75%, 12/01/15 | USD | 1,060 | $ 1,126,250 |
| 13.50%, 12/01/15 | | 1,770 | 1,888,985 |
| | | | 3,015,235 |
| Insurance 1.1% | | | |
| Alliant Holdings I, Inc., 11.00%, 5/01/15 (c) | | 800 | 841,000 |
| CNO Financial Group, Inc., 9.00%, 1/15/18 (c) | | 168 | 180,810 |
| Genworth Financial, Inc., 7.63%, 9/24/21 | | 190 | 197,130 |
| MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c) | | 120 | 107,100 |
| | | | 1,326,040 |
| IT Services 1.5% | | | |
| Eagle Parent Canada, Inc., 8.63%, 5/01/19 (c) | | 230 | 238,050 |
| First Data Corp.: | | | |
| 7.38%, 6/15/19 (c) | | 90 | 91,013 |
| 8.25%, 1/15/21 (c) | | 305 | 295,087 |
| 12.63%, 1/15/21 | | 688 | 722,400 |
| SunGard Data Systems, Inc.: | | | |
| 7.38%, 11/15/18 | | 200 | 215,000 |
| 7.63%, 11/15/20 | | 280 | 302,400 |
| | | | 1,863,950 |
| Machinery 1.0% | | | |
| Navistar International Corp.: | | | |
| 3.00%, 10/15/14 (f) | | 270 | 304,087 |
| 8.25%, 11/01/21 | | 63 | 68,906 |
| SPX Corp., 6.88%, 9/01/17 | | 80 | 88,800 |
| UR Financing Escrow Corp. (c)(i): | | | |
| 5.75%, 7/15/18 | | 114 | 117,135 |
| 7.38%, 5/15/20 | | 155 | 159,069 |
| 7.63%, 4/15/22 | | 422 | 436,770 |
| | | | 1,174,767 |
| Media 14.8% | | | |
| Affinion Group, Inc., 7.88%, 12/15/18 | | 365 | 326,675 |
| AMC Networks, Inc., 7.75%, 7/15/21 (c) | | 100 | 111,500 |
| CCH II LLC, 13.50%, 11/30/16 | | 1,637 | 1,882,714 |
| CCO Holdings LLC: | | | |
| 7.88%, 4/30/18 | | 50 | 54,625 |
| 7.38%, 6/01/20 | | 120 | 132,000 |
| 6.50%, 4/30/21 | | 223 | 236,938 |
| Checkout Holding Corp., 10.96%, 11/15/15 (c)(e) | | 310 | 139,500 |
| Cinemark USA, Inc., 8.63%, 6/15/19 | | 120 | 133,500 |
| Clear Channel Communications, Inc., 9.00%, 3/01/21 | | 250 | 230,000 |
| Clear Channel Worldwide Holdings, Inc.: | | | |
| 9.25%, 12/15/17 | | 686 | 751,170 |
| 7.63%, 3/15/20 (c)(i) | | 465 | 465,000 |
| Series B, 9.25%, 12/15/17 | | 2,656 | 2,921,600 |
| Cox Enterprises, Inc.: | | | |
| Loan Close 2, 4.00%, 8/15/18 | | 321 | 325,876 |
| Loan Close 3, 4.00%, 8/15/18 | | 367 | 372,570 |
| Shares Loan, 4.00%, 8/15/18 | | 379 | 384,250 |
| CSC Holdings LLC, 8.50%, 4/15/14 | | 180 | 199,800 |
| DISH DBS Corp.: | | | |
| 7.00%, 10/01/13 | | 192 | 206,160 |
| 6.75%, 6/01/21 | | 180 | 199,800 |
| Gray Television, Inc., 10.50%, 6/29/15 | | 445 | 470,031 |
| Harland Clarke Holdings Corp.: | | | |
| 6.00%, 5/15/15 (g) | | 160 | 109,200 |
| 9.50%, 5/15/15 | | 140 | 110,250 |
| Intelsat Luxembourg SA: | | | |
| 11.25%, 6/15/16 | | 680 | 719,100 |
| 11.25%, 2/04/17 | | 160 | 165,000 |
| 11.50%, 2/04/17 (j) | | 605 | 623,150 |

| See Notes to Financial
Statements. — 56 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Media
(concluded)
Interactive Data Corp., 10.25%, 8/01/18	USD	615	$ 693,412
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17		155	177,475
Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (c)	EUR	304	433,370
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (c)		155	217,883
Lamar Media Corp., 5.88%, 2/01/22 (c)	USD	90	93,938
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c)		335	356,356
Musketeer GmbH, 9.50%, 3/15/21 (c)	EUR	190	273,388
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (c)	USD	290	319,000
Nielsen Finance LLC:
11.63%, 2/01/14		72	83,700
7.75%, 10/15/18		970	1,079,125
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c)	GBP	100	157,101
ProQuest LLC, 9.00%, 10/15/18 (c)	USD	230	203,550
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(f)(k)		1,427	714
Unitymedia GmbH:
9.63%, 12/01/19	EUR	100	143,888
9.63%, 12/01/19 (c)		245	352,526
Unitymedia Hessen GmbH & Co. KG
(FKA UPC Germany GmbH):
8.13%, 12/01/17 (c)	USD	425	461,125
8.13%, 12/01/17	EUR	175	250,639
UPC Holding BV, 9.88%, 4/15/18 (c)	USD	200	222,000
UPCB Finance II Ltd., 6.38%, 7/01/20 (c)	EUR	371	491,812
Virgin Media Secured Finance Plc, 7.00%, 1/15/18 (i)	GBP	100	171,817
Ziggo Bond Co. BV, 8.00%, 5/15/18 (c)	EUR	175	246,559
Ziggo Finance BV, 6.13%, 11/15/17 (c)		317	438,177
			18,137,964
Metals & Mining 2.9%
Goldcorp, Inc., 2.00%, 8/01/14 (f)	USD	460	583,050
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (f)		670	924,600
Novelis, Inc., 8.75%, 12/15/20		1,525	1,700,375
Taseko Mines Ltd., 7.75%, 4/15/19		190	182,400
Vedanta Resources Plc, 8.25%, 6/07/21 (c)		200	184,500
			3,574,925
Multiline Retail 1.8%
Dollar General Corp., 11.88%, 7/15/17 (g)		2,020	2,216,970
Oil, Gas & Consumable Fuels 10.2%
Alpha Natural Resources, Inc., 6.25%, 6/01/21		180	174,600
Berry Petroleum Co., 8.25%, 11/01/16		275	286,687
Bill Barrett Corp., 9.88%, 7/15/16		10	11,050
BreitBurn Energy Partners LP, 7.88%, 4/15/22 (c)		115	120,463
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18		60	62,400
Chesapeake Midstream Partners LP, 6.13%, 7/15/22 (c)		120	124,200
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (c)		25	25,500
Coffeyville Resources LLC, 9.00%, 4/01/15 (c)		122	130,540
Concho Resources, Inc., 7.00%, 1/15/21		190	213,750
Consol Energy, Inc., 8.25%, 4/01/20		905	986,450
Continental Resources, Inc., 7.13%, 4/01/21		170	188,700
Copano Energy LLC, 7.13%, 4/01/21		150	159,000
Crosstex Energy LP, 8.88%, 2/15/18		85	92,225
Denbury Resources, Inc.:
8.25%, 2/15/20		318	362,520
6.38%, 8/15/21		160	176,400

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Oil, Gas & Consumable Fuels (concluded) | | | |
| Energy XXI Gulf Coast, Inc.: | | | |
| 9.25%, 12/15/17 | USD | 250 | $ 276,875 |
| 7.75%, 6/15/19 | | 405 | 427,275 |
| EV Energy Partners LP, 8.00%, 4/15/19 | | 70 | 73,500 |
| Hilcorp Energy I LP, 7.63%, 4/15/21 (c) | | 350 | 381,500 |
| Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c) | | 150 | 160,500 |
| Linn Energy LLC: | | | |
| 6.50%, 5/15/19 (c) | | 45 | 45,900 |
| 6.25%, 11/01/19 (c) | | 720 | 719,100 |
| 8.63%, 4/15/20 | | 100 | 111,000 |
| 7.75%, 2/01/21 | | 95 | 102,125 |
| MarkWest Energy Partners LP, 6.75%, 11/01/20 | | 60 | 65,550 |
| Newfield Exploration Co., 6.88%, 2/01/20 | | 425 | 459,000 |
| Niska Gas Storage US LLC, 8.88%, 3/15/18 | | 265 | 254,400 |
| Oasis Petroleum, Inc.: | | | |
| 7.25%, 2/01/19 | | 150 | 159,000 |
| 6.50%, 11/01/21 | | 135 | 139,050 |
| OGX Petroleo e Gas Participações SA, 8.50%, 6/01/18 (c) | | 2,110 | 2,199,675 |
| PBF Holding Co. LLC, 8.25%, 2/15/20 (c) | | 155 | 155,000 |
| PetroBakken Energy Ltd., 8.63%, 2/01/20 (c) | | 390 | 414,375 |
| Petrohawk Energy Corp.: | | | |
| 10.50%, 8/01/14 | | 180 | 200,025 |
| 7.88%, 6/01/15 | | 210 | 221,812 |
| 7.25%, 8/15/18 | | 145 | 165,844 |
| Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c) | | 265 | 278,250 |
| Pioneer Natural Resources Co.: | | | |
| 6.88%, 5/01/18 | | 210 | 246,681 |
| 7.50%, 1/15/20 | | 65 | 80,325 |
| Plains Exploration & Production Co.: | | | |
| 6.63%, 5/01/21 | | 360 | 388,800 |
| 6.75%, 2/01/22 | | 230 | 251,850 |
| Precision Drilling Corp., 6.50%, 12/15/21 (c) | | 135 | 144,113 |
| Range Resources Corp.: | | | |
| 8.00%, 5/15/19 | | 170 | 189,550 |
| 5.75%, 6/01/21 | | 445 | 476,150 |
| Samson Investment Co., 9.75%, 2/15/20 (c) | | 290 | 305,225 |
| SandRidge Energy, Inc., 7.50%, 3/15/21 | | 210 | 212,100 |
| SM Energy Co., 6.63%, 2/15/19 | | 60 | 64,350 |
| | | | 12,483,385 |
| Paper & Forest Products 2.3% | | | |
| Boise Paper Holdings LLC: | | | |
| 9.00%, 11/01/17 | | 200 | 220,000 |
| 8.00%, 4/01/20 | | 70 | 76,825 |
| Clearwater Paper Corp.: | | | |
| 10.63%, 6/15/16 | | 185 | 210,206 |
| 7.13%, 11/01/18 | | 270 | 287,550 |
| Georgia-Pacific LLC, 8.25%, 5/01/16 (c) | | 755 | 836,409 |
| Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (c) | | 155 | 159,263 |
| NewPage Corp., 11.38%, 12/31/14 (a)(k) | | 995 | 599,487 |
| Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c) | | 65 | 60,938 |
| Verso Paper Holdings LLC, 11.50%, 7/01/14 | | 365 | 372,300 |
| | | | 2,822,978 |
| Pharmaceuticals 0.7% | | | |
| Capsugel Finance Co. SCA, 9.88%, 8/01/19 (c) | EUR | 100 | 143,222 |
| Jaguar Holding Co. II, 9.50%, 12/01/19 (c) | USD | 190 | 207,813 |
| Valeant Pharmaceuticals International, 6.50%, 7/15/16 (c) | | 550 | 561,000 |
| | | | 912,035 |
| Professional Services 0.6% | | | |
| FTI Consulting, Inc.: | | | |
| 7.75%, 10/01/16 | | 275 | 286,344 |
| 6.75%, 10/01/20 | | 425 | 459,531 |
| | | | 745,875 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 57 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Real
Estate Investment Trusts (REITs) 0.7%
Felcor Lodging LP, 6.75%,
6/01/19	USD	635	$ 649,287
The Rouse Co. LP, 6.75%,
11/09/15		240	251,100
			900,387
Real
Estate Management & Development 1.9%
CBRE Services, Inc., 6.63%,
10/15/20		160	170,000
Realogy Corp.:
11.50%, 4/15/17		175	160,125
12.00%, 4/15/17		45	41,400
7.88%, 2/15/19 (c)		1,045	1,013,650
7.63%, 1/15/20 (c)		220	227,150
9.00%, 1/15/20 (c)		160	160,800
Shea Homes LP, 8.63%,
5/15/19 (c)		565	570,650
			2,343,775
Road &
Rail 1.2%
Avis Budget Car Rental LLC,
8.25%, 1/15/19		55	57,337
Florida East Coast Railway
Corp., 8.13%, 2/01/17		200	202,000
The Hertz Corp.:
7.50%, 10/15/18		420	453,075
6.75%, 4/15/19 (c)(i)		130	136,175
6.75%, 4/15/19		50	52,375
7.38%, 1/15/21		540	584,550
			1,485,512
Semiconductors
& Semiconductor Equipment 0.2%
Spansion LLC, 7.88%,
11/15/17		260	255,450
Software
0.2%
Sophia LP, 9.75%, 1/15/19
(c)		198	212,850
Specialty
Retail 2.2%
Asbury Automotive Group,
Inc., 8.38%, 11/15/20		165	176,963
Hillman Group, Inc.,
10.88%, 6/01/18		250	261,875
House of Fraser Funding
Plc, 8.88%, 8/15/18 (c)	GBP	129	183,677
Limited Brands, Inc.:
8.50%, 6/15/19	USD	70	83,650
5.63%, 2/15/22		70	72,100
Phones4u Finance Plc,
9.50%, 4/01/18 (c)	GBP	130	181,482
QVC, Inc. (c):
7.13%, 4/15/17	USD	105	112,875
7.50%, 10/01/19		285	316,350
7.38%, 10/15/20		130	143,975
Sally Holdings LLC, 6.88%,
11/15/19 (c)		245	263,375
Sonic Automotive, Inc.,
9.00%, 3/15/18		175	190,312
Toys R US-Delaware, Inc.,
7.38%, 9/01/16 (c)		70	71,925
United Auto Group, Inc.,
7.75%, 12/15/16		655	682,844
			2,741,403
Transportation
Infrastructure 0.2%
Aguila 3 SA, 7.88%, 1/31/18
(c)		198	208,147
Wireless
Telecommunication Services 5.0%
Cricket Communications,
Inc., 7.75%, 5/15/16		250	266,250
Digicel Group Ltd. (c):
8.88%, 1/15/15		370	376,475
9.13%, 1/15/15		1,220	1,244,400
8.25%, 9/01/17		565	598,900
10.50%, 4/15/18		200	218,000
iPCS, Inc., 2.67%, 5/01/13
(g)		410	394,625
MetroPCS Wireless, Inc.,
6.63%, 11/15/20		490	504,700
NII Capital Corp., 7.63%,
4/01/21		302	308,795
Sprint Capital Corp.,
6.88%, 11/15/28		1,010	787,800
Sprint Nextel Corp., 9.00%,
11/15/18 (c)		1,230	1,371,450
			6,071,395
Total
Corporate Bonds 99.8%			122,138,784

Floating Rate Loan Interests (g)	Par (000)		Value
Airlines
0.2%
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, 4/20/17	USD	274	$ 267,181
Auto Components 0.2%
Schaeffler AG, Term Loan C2, 5.29%, 1/27/17		225	225,657
Building Products 0.2%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		191	193,893
Capital Markets 0.4%
Nuveen Investments, Inc., Incremental Term Loan, (First Lien):
7.25%, 3/14/19		185	186,619
7.25%, 5/13/17		295	297,065
			483,684
Chemicals 0.1%
Styron Sarl LLC, Term Loan B, 6.00% 6.75%, 8/02/17		208	187,256
Commercial Services & Supplies 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16		220	219,674
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16		325	325,348
Volume Services America, Inc. (FKA Centerplate), Term Loan B, 10.50% 10.75%, 9/16/16		444	446,228
			991,250
Communications Equipment 0.1%
Avaya, Inc., Term Loan B1, 3.24%, 10/24/14		90	88,062
Consumer Finance 1.7%
Springleaf Finance Corp. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		2,245	2,046,564
Diversified Consumer Services 0.0%
ServiceMaster Co.:
Delayed Draw Term Loan, 2.75%, 7/24/14		4	4,005
Term Loan, 2.77% 3.03%, 7/24/14		41	40,222
			44,227
Diversified Telecommunication Services 0.8%
Hawaiian Telcom Communications, Inc.:
Exit Term Loan, 9.00%, 2/25/17		405	403,987
Level 3 Financing, Inc.:
Term Loan B, 5.75%, 8/31/18		400	402,752
Tranche A Term Loan, 2.50% 2.83%, 3/13/14		225	221,288
			1,028,027
Electronic
Equipment, Instruments & Components 0.1%
CDW LLC (FKA CDW Corp.):
Term Loan, 3.75%, 10/10/14		49	48,397
Term Loan, 4.00%, 7/14/17		125	122,165
			170,562
Energy Equipment & Services 2.2%
CCS Corp., Incremental Term Loan, 5.62%, 10/17/14		120	120,120
Dynegy Midwest Generation LLC., Coal Co. Term Loan, 9.25%, 8/04/16		899	893,697
Dynegy Power LLC., Gas Co. Term Loan, 9.25%, 8/04/16		1,645	1,696,691
			2,710,508
Food & Staples Retailing 0.1%
US Foodservice, Inc., Term Loan B, 2.74%, 7/03/14		75	72,375
Food Products 0.3%
Advance Pierre Foods, Term Loan (Second Lien), 11.25%, 9/29/17		400	400,332

| See Notes to Financial
Statements. — 58 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets)

Floating Rate Loan Interests (g)	Par (000)		Value
Health Care Equipment & Supplies 0.3%
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19	USD	350	$ 349,783
Health Care Providers & Services 0.8%
Harden Healthcare LLC:
Term Loan A, 8.50%, 3/02/15		184	180,745
Tranche A Additional Term Loan, 7.75%, 3/02/15		247	242,094
Health Management Associates, Inc., Term Loan B, 4.50%, 11/16/18		180	178,830
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		353	339,739
			941,408
Hotels, Restaurants & Leisure 1.3%
Caesars Entertainment Operating Co., Inc.:
Term Loan B-1, 9.50%, 1/28/15		313	293,027
Term Loan B-3, 3.00% 3.58%, 1/28/15		452	423,765
Term Loan B-3, 3.58%, 1/28/15		119	111,788
Term Loan B-4, 9.50%, 10/31/16		220	226,301
OSI Restaurant Partners LLC:
Revolver, 2.56% 2.79%, 6/14/13		4	3,940
Term Loan B, 2.56%, 6/14/14		41	39,971
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16		450	405,752
Travelport LLC (FKA Travelport, Inc.):
Extended Tranche A Term Loan, 6.54%, 9/28/12		85	40,439
Extended Tranche B Term Loan, 14.04%, 12/01/16		265	59,515
			1,604,498
Independent
Power Producers & Energy Traders 0.1%
Texas Competitive Electric Holdings Co. LLC (FKA TXU), Extended Term Loan, 4.76%, 10/10/17		341	190,048
Industrial Conglomerates 0.2%
Sequa Corp., Incremental Term Loan, 6.25%, 12/03/14		205	205,683
IT Services 0.3%
First Data Corp., Extended Term Loan B, 4.24%, 3/23/18		355	318,556
Leisure Equipment & Products 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/20/13		265	268,230
Media 5.3%
Cengage Learning Acquisitions, Inc. (FKA Thomson Learning):
Term Loan, 1.49%, 7/03/14		140	129,920
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14		724	700,228
Cequel Communications LLC, Term Loan B, 4.00%, 2/11/19		265	262,289
Clear Channel Communications:
Term Loan B, 3.89%, 1/28/16		965	791,969
Term Loan C, 3.89%, 1/28/16		177	140,218
HMH Publishing Co. Ltd., Tranche A Term Loan, 6.51%, 6/12/14		421	260,190
Intelsat Jackson Holdings SA (FKA Intelsat Jackson Holdings Ltd.), Tranche B Term Loan, 5.25%, 4/02/18		3,275	3,269,682
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18		25	24,944
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		750	771,562
Univision Communications, Inc., Extended First Lien Term Loan, 4.52%, 3/31/17		150	139,297
			6,490,299

Floating Rate Loan Interests (g)	Par (000)		Value
Oil, Gas
& Consumable Fuels 0.6%
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15	USD	765	$ 769,196
Paper & Forest Products 0.5%
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13		300	302,250
Verso Paper Finance Holdings LLC, Term Loan, 6.79% 7.54%, 2/01/13 (j)		534	267,021
			569,271
Pharmaceuticals 0.1%
Pharmaceutical Products Development, Inc., Term Loan B, 6.25%, 12/05/18		180	181,575
Real Estate Investment Trusts (REITs) 0.6%
iStar Financial, Inc., Term Loan (Second Lien), 5.00%, 6/28/13		753	749,944
Real Estate Management & Development 0.2%
Realogy Corp.:
Extended Letter of Credit, 4.53%, 10/10/16		35	32,294
Extended Term Loan, 4.77%, 10/10/16		245	227,626
			259,920
Semiconductors
& Semiconductor Equipment 0.0%
NXP BV, Term Loan A-2, 5.50%, 3/03/17		30	29,775
Software 0.2%
Infor Enterprise Solutions Holdings, Inc.:
Extended Delayed Draw Term Loan, 6.29%, 7/28/15		69	67,813
Extended Initial Term Loan, 6.29%, 7/28/15		131	127,687
			195,500
Specialty Retail 0.2%
Claires Stores, Inc., Term Loan B, 2.99% 3.30%, 5/29/14		233	220,740
Wireless Telecommunication Services 1.3%
Crown Castle International Corp., Term Loan B, 4.00%, 1/25/19		100	99,545
Vodafone Americas Finance 2, Inc. (j):
Term Loan, 6.88%, 8/11/15		831	830,646
Term Loan B, 6.25%, 7/11/16		619	617,203
			1,547,394
Total Floating Rate Loan Interests 19.4%			23,801,398
Preferred
Securities
Capital Trusts
Insurance 0.2%
Genworth Financial, Inc., 6.15%, 11/15/66 (g)		390	267,637
Oil, Gas & Consumable Fuels 0.2%
Range Resources Corp., 5.00%, 8/15/22 (i)		193	194,930
Total Capital Trusts 0.4%			462,567
Preferred
Stocks	Shares
Auto Components 0.2%
Dana Holding Corp., 4.00% (c)(f)		2,200	296,175
Diversified Financial Services 1.1%
Ally Financial, Inc., 7.00% (c)		1,503	1,304,134
Media 0.2%
Emmis Communications Corp., Series A, 6.25%		10,300	190,653

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 59 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets)

Preferred Stocks	Shares		Value
Real
Estate Investment Trusts (REITs) 0.0%
MPG Office Trust, Inc.,
Series A, 7.63% (a)		4,171	$ 59,228
Thrifts
& Mortgage Finance 0.1%
Fannie Mae, Series O, 7.00%
(a)(g)		10,000	18,500
Freddie Mac, Series Z,
8.38% (a)(g)		31,930	47,257
			65,757
Total
Preferred Stocks 1.6%			1,915,947
Trust Preferreds	Par (000)
Diversified
Financial Services 0.8%
GMAC Capital Trust I,
Series 2, 8.13%, 2/15/40 (g)	USD	33,110	774,855
RBS Capital Funding Trust
VII, 6.08%, 12/31/49 (g)		20,000	273,400
Total
Trust Preferreds 0.8%			1,048,255
Total
Preferred Securities 2.8%			3,426,769
Warrants (l)	Shares
Media
0.1%
Cumulus Media, Inc.
(Expires 3/26/19)		18,441	133,202
Software
0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)		167
HMH Holdings/EduMedia (Expires 3/09/17)		3,476
Total Warrants 0.1%			133,202
Total
Long-Term Investments (Cost $148,491,381) 123.2%			150,904,691
Short-Term
Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.11% (m)(n)		840,816	840,816
Total
Short-Term Securities (Cost $840,816) 0.7%			840,816
Options
Purchased	Contracts
Exchange-Traded Put Options 0.1%
SPDR S&P 500 ETF Trust:
Strike Price USD 134.00, Expires 3/17/12		500	47,000
Strike Price USD 136.00, Expires 3/17/12		85	13,430
Strike Price USD 136.00, Expires 4/21/12		85	27,115
Total
Options Purchased (Cost $188,743) 0.1%			87,545
Total
Investments Before Options Written (Cost $149,520,940) 124.0%			151,833,052

| Options
Written | | Value | |
| --- | --- | --- | --- |
| Exchange-Traded Put Options (0.0)% | | | |
| SPDR S&P 500 ETF Trust, Strike Price USD 125.00, Expires 3/17/12 | 500 | $ (7,250 | ) |
| Total
Options Written (Premiums Received $36,987) (0.0)% | | (7,250 | ) |
| Total Investments, Net of Options Written 124.0% | | 151,825,802 | |
| Liabilities in Excess of Other Assets (24.0)% | | (29,418,785 | ) |
| Net Assets
100.0% | | $ 122,407,017 | |

(a)	Non-income producing security.
(b)	Restricted security as to
resale. As of report date the Trust held 0.5% of its net assets, with a
current value of $554,962 in this security.
(c)	Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These securities
may be resold in transactions exempt from registration to qualified
institutional investors.
(d)	Represents a step-down bond
that pays an initial coupon rate for the first period and then a lower coupon
rate for the following periods. Rate shown is as of report date.
(e)	Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date.
(f)	Convertible security.
(g)	Variable rate security. Rate
shown is as of report date.
(h)	Represents a step-up bond
that pays an initial coupon rate for the first period and then a higher
coupon rate for the following periods. Rate shown is as of report date.
(i)	When-issued security.
Unsettled when-issued transactions were as follows:

Counterparty	Value	Unrealized Appreciation
Bank of America Securities,
Inc.	$ 446,947	$ 3,385
Barclays Capital, Inc.	$ 136,175	$ 975
Goldman Sachs & Co.,
Inc.	$ 465,000
Morgan Stanley Co., Inc.	$ 712,974	$ 21,974

| (j) | Represents a payment-in-kind
security which may pay interest/dividends in additional par/shares. |
| --- | --- |
| (k) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (l) | Warrants entitle the Trust
to purchase a predetermined number of shares of common stock and are
non-income producing. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date, if any. |
| (m) | Represents the current yield
as of report date. |
| (n) | Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of
Section 2(a)(3) of the 1940 Act, as amended, were as follows: |

Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class	822,452	18,364	840,816	Income — $ 298

Financial futures contracts sold as of February 29, 2012 were as follows:

Contracts	Issue	Exchange	Expiration
38	S&P
500 Index E-Mini	Chicago
Mercantile	March
2012	$ 2,592,360	$ (67,084	)

| See Notes to Financial
Statements. — 60 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (concluded) BlackRock High Income Shares (HIS)

Foreign currency exchange contracts as of February 29, 2012 were as follows:

Currency Purchased		Currency Sold		Counterparty	Unrealized Depreciation
USD	1,163,487	GBP	759,000	UBS
AG	4/11/12	$ (43,653	)
USD	6,199,639	EUR	4,826,500	Citibank
NA	4/18/12	(231,869	)
USD	358,232	EUR	275,000	Royal
Bank of Scotland Plc	4/18/12	(8,217	)
Total					$ (283,739	)

| | For Trust compliance
purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by
one or more widely recognized market indexes or rating group indexes, and/or
as defined by Trust management. These definitions may not apply for purposes
of this report, which may combine such industry sub-classifications for
reporting ease. | |
| --- | --- | --- |
| | Fair Value Measurements
Various inputs are used in determining the fair value of investments and derivative financial
instruments. These inputs are categorized into a disclosure hierarchy
consisting of three broad levels for financial statement purposes as follows: | |
| | | Level 1 unadjusted price
quotations in active markets/exchanges for identical assets and liabilities |
| | | Level 2 other observable
inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are
active, quoted prices for identical or similar assets or liabilities in
markets that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) |
| | | Level 3 unobservable
inputs based on the best information available in the circumstances, to the extent observable
inputs are not available (including the Trusts own assumptions used in
determining the fair value of investments and derivative financial
instruments) |
| | Changes in valuation techniques may result in transfers in or
out of an assigned level within the disclosure hierarchy. The categorization
of a value determined for investments and derivative financial instruments is
based on the pricing transparency of the investment and derivative financial
instrument and does not necessarily correspond to the Trusts perceived risk
of investing in those securities. For information about the Trusts policy
regarding valuation of investments and derivative financial instruments and
other significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements. | |

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trusts investments and derivative financial instruments:

Valuation Inputs	Level 1	Level 2	Level 3	Total
Assets:
Investments:
Long-Term Investments:
Common Stocks	$ 45,421	$ 554,692	$ 804,425	$ 1,404,538
Corporate Bonds		120,436,117	1,702,667	122,138,784
Floating Rate Loan Interests		20,534,349	3,267,049	23,801,398
Preferred Securities	1,363,893	2,062,876		3,426,769
Warrants		133,202		133,202
Short-Term Securities	840,816			840,816
Total	$ 2,250,130	$ 143,721,236	$ 5,774,141	$ 151,745,507

Valuation Inputs	Level 1				Total
Derivative Financial Instruments 1
Assets:
Equity contracts	$ 87,545				$ 87,545
Liabilities:
Equity contracts	(74,334	)			(74,334	)
Foreign exchange contracts		$	(283,739	)	(283,739	)
Total	$ 13,211	$	(283,739	)	$ (270,528	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

	Common Stocks
Assets/Liabilities
Balance, as of August 31, 2011	$ 1,023,120	$	1,804,070	$	3,539,166	$	476	$	137,173	$	104,162	$	6,608,167
Accrued discounts/premiums					29,563								29,563
Net realized gain (loss)			36,517		17,850		910		161,380				216,657
Net change in unrealized appreciation/depreciation 2	(247,041	)	(51,342	)	(299,314	)	(476	)	(137,173	)	(2	)	(735,348	)
Purchases	28,345		20,922		184,164								233,431
Sales			(107,500	)	(215,110	)	(910	)	(161,380	)			(484,900	)
Transfers in 3	1				785,105								785,106
Transfers out 3					(774,375	)					(104,160	)	(878,535	)
Balance, as of February 29, 2012	$ 804,425	$	1,702,667	$	3,267,049							$	5,774,141

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on securities
still held at February 29, 2012 was $(564,632). |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

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

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 61

Schedule of Investments February 29, 2012 (Unaudited)
(Percentages
shown are based on Net Assets)

Common Stocks		Value
Auto Components 2.6%
Delphi Automative Plc (a)	2,826	$ 90,429
Delphi Automative Plc (180-day lock) (Acquired 11/17/11, cost $332,803) (a)(b)	35,107	1,095,341
		1,185,770
Capital Markets 0.1%
E*Trade Financial Corp. (a)	4,900	47,187
Commercial Banks 0.2%
CIT Group, Inc. (a)	2,780	113,173
Diversified Telecommunication Services 0.2%
Level 3 Communications, Inc. (a)	3,000	72,930
Energy Equipment & Services 0.1%
Transocean Ltd.	900	48,006
Hotels, Restaurants & Leisure 0.0%
Travelport Worldwide Ltd.	12,460	6,230
Media 0.8%
Charter Communications, Inc. (a)	5,800	367,778
Paper & Forest Products 0.0%
Ainsworth Lumber Co. Ltd. (a)	2,234	3,522
Ainsworth Lumber Co. Ltd. (a)(c)	2,507	3,953
		7,475
Road & Rail 0.2%
Dollar Thrifty Automotive Group, Inc. (a)	1,000	75,910
Software 0.0%
Bankruptcy Management Solutions, Inc.	91	2
HMH Holdings/EduMedia	13,576	3,394
		3,396
Total Common Stocks 4.2%		1,927,855

Corporate Bonds	Par (000 )
Aerospace & Defense 0.8%
Huntington Ingalls Industries, Inc., 6.88%, 3/15/18	USD	160	168,400
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		200	215,500
			383,900
Air Freight & Logistics 0.5%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15		106	109,984
Series 2, 12.38%, 8/16/15		107	111,179
			221,163
Airlines 1.6%
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 10/15/21		197	208,820
Continental Airlines, Inc.:
6.75%, 9/15/15 (c)		90	90,900
Series 2010-1, Class B, 6.00%, 1/12/19		96	93,073
United Air Lines, Inc., 12.75%, 7/15/12		246	254,113
US Airways Pass-Through Trust, 10.88%, 10/22/14		110	110,000
			756,906

Corporate Bonds	Par (000)		Value
Auto Components 2.2%
B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (c)	USD	35	$ 35,700
Dana Holding Corp., 6.75%, 2/15/21		180	194,850
Delphi Corp., 6.13%, 5/15/21 (c)		30	32,175
Icahn Enterprises LP, 8.00%, 1/15/18		650	689,000
Stanadyne Corp., Series 1, 10.00%, 8/15/14		90	82,350
			1,034,075
Beverages 0.4%
Cott Beverages, Inc., 8.13%, 9/01/18		43	47,407
Crown European Holdings SA, 7.13%, 8/15/18	EUR	92	131,305
			178,712
Biotechnology 0.1%
QHP Royalty Sub LLC, 10.25%, 3/15/15 (c)	USD	40	40,734
Building Products 0.6%
Building Materials Corp. of America, 6.75%, 5/01/21 (c)		200	217,500
Momentive Performance Materials, Inc., 11.50%, 12/01/16		80	67,200
			284,700
Capital Markets 1.1%
American Capital Ltd., 7.96%, 12/31/13 (e)		130	132,410
E*Trade Financial Corp.:
12.50%, 11/30/17		180	209,700
Series A, 2.51%, 8/31/19 (f)(g)		71	67,184
KKR Group Finance Co., 6.38%, 9/29/20 (c)		110	117,064
			526,358
Chemicals 4.2%
American Pacific Corp., 9.00%, 2/01/15		140	136,500
Ashland, Inc., 9.13%, 6/01/17		70	78,575
Basell Finance Co. BV, 8.10%, 3/15/27 (c)		85	97,325
Celanese US Holdings LLC, 5.88%, 6/15/21		300	327,000
Chemtura Corp., 7.88%, 9/01/18		65	69,875
Hexion U.S. Finance Corp., 9.00%, 11/15/20		50	49,000
Huntsman International LLC, 8.63%, 3/15/21		25	28,250
Ineos Finance Plc, 8.38%, 2/15/19 (c)		100	106,250
Kinove German Bondco GmbH, 9.63%, 6/15/18 (c)		200	204,500
Kraton Polymers LLC, 6.75%, 3/01/19		20	20,400
Lyondell Chemical Co., 11.00%, 5/01/18		492	539,552
LyondellBasell Industries NV, 6.00%, 11/15/21 (c)		25	27,438
Nexeo Solutions LLC, 8.38%, 3/01/18 (c)		30	30,000
PolyOne Corp., 7.38%, 9/15/20		35	37,713
Solutia, Inc., 7.88%, 3/15/20		105	123,112
TPC Group LLC, 8.25%, 10/01/17 (c)		55	58,025
			1,933,515
Commercial Banks 2.1%
CIT Group, Inc. (c):
7.00%, 5/02/16		435	435,544
7.00%, 5/02/17		450	450,562
5.50%, 2/15/19		100	102,125
			988,231
Commercial Services & Supplies 2.0%
ACCO Brands Corp., 10.63%, 3/15/15		55	60,707
ARAMARK Corp., 8.50%, 2/01/15		4	4,105
Aviation Capital Group Corp., 6.75%, 4/06/21 (c)		92	91,194
AWAS Aviation Capital Ltd., 7.00%, 10/17/16		181	188,936
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (c)		7	6,650
Iron Mountain, Inc., 7.75%, 10/01/19		60	66,300
Mobile Mini, Inc., 7.88%, 12/01/20		60	63,000

See Notes to Financial Statements.

62 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Commercial
Services & Supplies (concluded)
RSC Equipment Rental, Inc.:
10.00%, 7/15/17 (c)	USD	100	$ 116,000
8.25%, 2/01/21		148	156,880
Verisure Holding AB, 8.75%,
9/01/18	EUR	100	134,562
West Corp., 8.63%, 10/01/18	USD	25	27,438
			915,772
Communications
Equipment 0.4%
Avaya, Inc., 9.75%,
11/01/15		40	40,000
Frontier Communications
Corp., 6.25%, 1/15/13		150	154,875
			194,875
Computers
& Peripherals 0.1%
SanDisk Corp., 1.50%,
8/15/17 (g)		40	47,900
Construction
& Engineering 0.1%
Boart Longyear Management Ltd., 7.00%, 4/01/21 (c)		35	36,838
Construction Materials 0.3%
Xefin Lux SCA, 8.00%, 6/01/18	EUR	100	133,896
Consumer Finance 2.3%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	80	85,200
Ford Motor Credit Co. LLC:
7.00%, 4/15/15		500	555,000
12.00%, 5/15/15		120	150,893
6.63%, 8/15/17		230	260,628
			1,051,721
Containers & Packaging 1.2%
Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (c)		200	206,500
Berry Plastics Corp.:
4.35%, 9/15/14 (d)		50	47,875
8.25%, 11/15/15		20	21,500
9.75%, 1/15/21		60	64,200
Graphic Packaging International, Inc., 7.88%, 10/01/18		60	66,000
Sealed Air Corp., 8.38%, 9/15/21 (c)		40	45,800
Smurfit Kappa Acquisitions, 7.75%, 11/15/19	EUR	64	91,875
			543,750
Diversified Consumer Services 0.2%
ServiceMaster Co., 8.00%, 2/15/20 (c)	USD	110	116,050
Diversified Financial Services 5.1%
Ally Financial, Inc.:
8.30%, 2/12/15		150	165,750
6.25%, 12/01/17		100	103,362
8.00%, 3/15/20		300	339,750
7.50%, 9/15/20		120	132,150
8.00%, 11/01/31		330	368,362
8.00%, 11/01/31		100	108,506
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16		145	154,606
DPL, Inc., 7.25%, 10/15/21		130	148,200
Leucadia National Corp.:
8.13%, 9/15/15		140	155,750
Reynolds Group Issuer, Inc. (c):
8.75%, 10/15/16		250	266,250
7.88%, 8/15/19		100	109,500
9.88%, 8/15/19		100	103,375
6.88%, 2/15/21		65	68,900
WMG Acquisition Corp. (c):
9.50%, 6/15/16		20	22,100
11.50%, 10/01/18		95	100,938
			2,347,499

| Corporate
Bonds | | Par (000) | |
| --- | --- | --- | --- |
| Diversified Telecommunication Services 3.4% | | | |
| Broadview Networks Holdings, Inc., 11.38%, 9/01/12 | USD | 195 | $ 175,012 |
| Level 3 Financing, Inc. (c): | | | |
| 8.13%, 7/01/19 | | 500 | 523,750 |
| 8.63%, 7/15/20 | | 170 | 181,475 |
| Qwest Communications International, Inc.: | | | |
| 7.50%, 2/15/14 | | 300 | 301,050 |
| 8.00%, 10/01/15 | | 200 | 214,688 |
| Videotron Ltee, 5.00%, 7/15/22 (c) | | 20 | 20,050 |
| Windstream Corp.: | | | |
| 8.13%, 8/01/13 | | 25 | 26,813 |
| 7.88%, 11/01/17 | | 100 | 112,750 |
| | | | 1,555,588 |
| Electronic
Equipment, Instruments & Components 0.1% | | | |
| Jabil Circuit, Inc., 8.25%, 3/15/18 | | 40 | 47,600 |
| Energy Equipment & Services 3.2% | | | |
| Antero Resources Finance Corp., 7.25%, 8/01/19 (c) | | 25 | 26,375 |
| Atwood Oceanics, Inc., 6.50%, 2/01/20 | | 25 | 26,313 |
| Calfrac Holdings LP, 7.50%, 12/01/20 (c) | | 65 | 65,000 |
| Compagnie Générale de Géophysique-Veritas, 7.75%, 5/15/17 | | 65 | 67,681 |
| Forbes Energy Services Ltd., 9.00%, 6/15/19 | | 60 | 59,100 |
| Frac Tech Services LLC, 7.63%, 11/15/18 (c) | | 295 | 314,912 |
| Key Energy Services, Inc., 6.75%, 3/01/21 | | 75 | 78,562 |
| MEG Energy Corp., 6.50%, 3/15/21 (c) | | 165 | 176,550 |
| Oil States International, Inc., 6.50%, 6/01/19 (c) | | 50 | 53,750 |
| Peabody Energy Corp., 6.25%, 11/15/21 (c) | | 440 | 460,900 |
| Transocean, Inc., 6.38%, 12/15/21 | | 125 | 147,519 |
| | | | 1,476,662 |
| Food Products 0.2% | | | |
| Darling International, Inc., 8.50%, 12/15/18 | | 40 | 45,000 |
| Post Holdings, Inc., 7.38%, 2/15/22 (c) | | 40 | 42,600 |
| Smithfield Foods, Inc., 10.00%, 7/15/14 | | 6 | 7,035 |
| | | | 94,635 |
| Health Care Equipment & Supplies 2.2% | | | |
| Biomet, Inc.: | | | |
| 10.00%, 10/15/17 | | 35 | 38,019 |
| 10.38%, 10/15/17 (h) | | 250 | 272,188 |
| DJO Finance LLC: | | | |
| 10.88%, 11/15/14 | | 385 | 391,737 |
| 7.75%, 4/15/18 (c) | | 20 | 17,200 |
| Fresenius Medical Care US Finance II, Inc., 5.88%, 1/31/22 (c) | | 110 | 116,050 |
| Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (c) | | 54 | 59,805 |
| Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c) | | 80 | 92,400 |
| Teleflex, Inc., 6.88%, 6/01/19 | | 50 | 53,875 |
| | | | 1,041,274 |
| Health Care Providers & Services 5.5% | | | |
| Aviv Healthcare Properties LP, 7.75%, 2/15/19 | | 65 | 66,463 |
| Crown Newco 3 Plc, 7.00%, 2/15/18 | GBP | 100 | 156,704 |
| HCA, Inc.: | | | |
| 8.50%, 4/15/19 | USD | 25 | 28,000 |
| 6.50%, 2/15/20 | | 335 | 359,287 |
| 7.88%, 2/15/20 | | 115 | 126,787 |
| 7.25%, 9/15/20 | | 410 | 446,900 |
| 5.88%, 3/15/22 | | 45 | 46,125 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 63

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Health Care Providers & Services (concluded)
Health Management Associates, Inc., 7.38%, 1/15/20 (c)	USD	160	$ 166,800
IASIS Healthcare LLC, 8.38%, 5/15/19		125	119,375
INC Research LLC, 11.50%, 7/15/19 (c)		70	67,200
inVentiv Health, Inc., 10.00%, 8/15/18 (c)		20	18,200
Omnicare, Inc., 7.75%, 6/01/20		160	178,200
PSS World Medical, Inc., 6.38%, 3/01/22 (c)		50	52,000
Symbion, Inc., 8.00%, 6/15/16		55	53,075
Tenet Healthcare Corp.:
10.00%, 5/01/18		279	325,035
6.25%, 11/01/18 (c)		55	58,644
8.88%, 7/01/19		245	279,300
			2,548,095
Health Care Technology 1.1%
IMS Health, Inc., 12.50%, 3/01/18 (c)		410	487,900
Hotels, Restaurants & Leisure 3.2%
Caesars Entertainment Operating Co., Inc.:
11.25%, 6/01/17		25	27,375
10.00%, 12/15/18		235	181,537
Caesars Operating Escrow LLC 8.50%, 2/15/20 (c)		125	127,500
Diamond Resorts Corp., 12.00%, 8/15/18		200	211,000
El Dorado Resorts LLC, 8.63%, 6/15/19 (c)		25	23,813
MGM Resorts International:
13.00%, 11/15/13		25	29,188
10.38%, 5/15/14		465	528,937
4.25%, 4/15/15 (g)		95	101,888
11.13%, 11/15/17		185	210,437
Travelport LLC:
5.11%, 9/01/14 (d)		20	10,250
9.88%, 9/01/14		5	2,863
6.58%, 12/01/16 (c)(h)		66	46,311
Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(d)(i)		25
			1,501,099
Household Durables 1.5%
Beazer Homes USA, Inc., 12.00%, 10/15/17		190	207,100
Jarden Corp., 8.00%, 5/01/16		40	43,750
Ryland Group, Inc., 6.63%, 5/01/20		60	61,200
Standard Pacific Corp.:
10.75%, 9/15/16		300	344,625
8.38%, 1/15/21		50	53,125
			709,800
Household Products 0.4%
Spectrum Brands Holdings, Inc.:
9.50%, 6/15/18		60	68,400
9.50%, 6/15/18 (c)		100	114,000
			182,400
Independent
Power Producers & Energy Traders 3.0%
The AES Corp., 7.38%, 7/01/21 (c)		110	125,400
Calpine Corp. (c):
7.25%, 10/15/17		30	31,800
7.50%, 2/15/21		15	16,275
7.88%, 1/15/23		45	49,050
Energy Future Holdings Corp., 10.00%, 1/15/20		540	583,875
Energy Future Intermediate Holding Co. LLC:
10.00%, 12/01/20		158	171,627
11.75%, 3/01/22		240	246,000

Corporate Bonds	Par (000)		Value
Independent
Power Producers & Energy Traders (concluded)
Laredo Petroleum, Inc., 9.50%, 2/15/19	USD	90	$ 99,225
QEP Resources, Inc., 5.38%, 10/01/22		56	56,560
			1,379,812
Industrial Conglomerates 2.2%
Sequa Corp. (c):
11.75%, 12/01/15		350	371,875
13.50%, 12/01/15		586	625,317
			997,192
Insurance 0.4%
CNO Financial Group, Inc., 9.00%, 1/15/18 (c)		61	65,651
Genworth Financial, Inc., 7.63%, 9/24/21		70	72,627
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)		40	35,700
			173,978
IT Services 1.8%
Epicor Software Corp., 8.63%, 5/01/19 (c)		87	90,045
First Data Corp. (c):
7.38%, 6/15/19		35	35,394
8.88%, 8/15/20		90	97,425
8.25%, 1/15/21		105	101,587
12.63%, 1/15/21		236	247,800
SunGard Data Systems, Inc.:
7.38%, 11/15/18		130	139,750
7.63%, 11/15/20		100	108,000
			820,001
Machinery 1.2%
Navistar International Corp.:
3.00%, 10/15/14 (g)		128	144,160
8.25%, 11/01/21		45	49,219
SPX Corp., 6.88%, 9/01/17		30	33,300
UR Financing Escrow Corp. (c)(j):
5.75%, 7/15/18		43	44,182
7.38%, 5/15/20		60	61,575
7.63%, 4/15/22		216	223,560
			555,996
Media 14.8%
Affinion Group, Inc., 7.88%, 12/15/18		130	116,350
AMC Networks, Inc., 7.75%, 7/15/21 (c)		40	44,600
CCH II LLC, 13.50%, 11/30/16		179	205,277
CCO Holdings LLC:
7.38%,6/01/20		40	44,000
6.50%, 4/30/21		378	401,625
Checkout Holding Corp., 10.68%, 11/15/15 (c)(f)		110	49,500
Cinemark USA, Inc., 8.63%, 6/15/19		35	38,938
Clear Channel Communications, Inc., 9.00%, 3/01/21		95	87,400
Clear Channel Worldwide Holdings, Inc.:
9.25%, 12/15/17		246	269,370
7.63%, 3/15/20 (c)		175	175,000
Series B, 9.25%, 12/15/17		966	1,062,600
Cox Enterprises, Inc.:
Loan Close 2, 12.00%, 8/15/18		128	130,350
Loan Close 3, 12.00%, 8/15/18		147	149,028
Shares Loan, 12.00%, 8/15/18		151	153,701
CSC Holdings LLC, 8.50%, 4/15/14		80	88,800
DISH DBS Corp.:
7.00%, 10/01/13		40	42,950
6.75%, 6/01/21		130	144,300
Gray Television, Inc., 10.50%, 6/29/15		250	264,062
Harland Clarke Holdings Corp.:
6.00%, 5/15/15 (d)		50	34,125
9.50%, 5/15/15		45	35,438

See Notes to Financial Statements.

64 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Media (concluded)
Intelsat Jackson Holdings SA, 11.25%, 6/15/16	USD	240	$ 253,800
Intelsat Luxembourg SA:
11.25%, 2/04/17		160	165,000
11.50%, 2/04/17 (h)		163	167,890
Interactive Data Corp., 10.25%, 8/01/18		220	248,050
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17		55	62,975
Kabel BW Holdings GmbH, 7.50%, 3/15/19	EUR	112	159,663
Kabel Deutschland GmbH, 6.50%, 6/29/18		100	141,224
Lamar Media Corp., 5.88%, 2/01/22 (c)	USD	35	36,531
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c)		125	132,969
Musketeer GmbH, 9.50%, 3/15/21	EUR	100	143,888
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (c)	USD	105	115,500
The New York Times Co., 6.63%, 12/15/16		225	234,562
Nielsen Finance LLC, 7.75%, 10/15/18		600	667,500
ProQuest LLC, 9.00%, 10/15/18 (c)		85	75,225
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(g)(i)		414	207
Unitymedia Hessen GmbH & Co. KG (FKA UPC Germany GmbH), 8.13%, 12/01/17 (c)		400	434,000
Ziggo Bond Co. BV, 8.00%, 5/15/18	EUR	65	91,579
Ziggo Finance BV, 6.13%, 11/15/17		120	165,871
			6,833,848
Metals & Mining 2.3%
Goldcorp, Inc., 2.00%, 8/01/14 (g)	USD	85	107,738
New World Resources NV, 7.88%, 5/01/18	EUR	110	148,751
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (g)	USD	90	124,200
Novelis, Inc., 8.75%, 12/15/20		545	607,675
Taseko Mines Ltd., 7.75%, 4/15/19		70	67,200
			1,055,564
Multiline Retail 2.2%
Dollar General Corp., 11.88%, 7/15/17 (d)		929	1,019,587
Oil, Gas & Consumable Fuels 10.5%
Alpha Natural Resources, Inc., 6.25%, 6/01/21		65	63,050
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (c)		80	82,400
Berry Petroleum Co., 8.25%, 11/01/16		80	83,400
Bill Barrett Corp., 9.88%, 7/15/16		5	5,525
BreitBurn Energy Partners LP, 7.88%, 4/15/22 (c)		40	41,900
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18		20	20,800
Chesapeake Midstream Partners LP, 6.13%, 7/15/22 (c)		45	46,575
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (c)		10	10,200
Coffeyville Resources LLC, 9.00%, 4/01/15 (c)		45	48,150
Concho Resources, Inc., 7.00%, 1/15/21		70	78,750
Consol Energy, Inc., 8.25%, 4/01/20		330	359,700
Continental Resources, Inc., 7.13%, 4/01/21		60	66,600
Copano Energy LLC, 7.13%, 4/01/21		55	58,300
Crosstex Energy LP, 8.88%, 2/15/18		30	32,550
Denbury Resources, Inc.:
8.25%, 2/15/20		109	124,260
6.38%, 8/15/21		60	66,150
Energy XXI Gulf Coast, Inc.:
9.25%, 12/15/17		90	99,675
7.75%, 6/15/19		150	158,250
EV Energy Partners LP, 8.00%, 4/15/19 (c)		25	26,250
Hilcorp Energy I LP, 7.63%, 4/15/21 (c)		125	136,250
Holly Energy Partners LP, 6.50%, 3/01/20 (c)		25	25,531
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)		55	58,850

Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Linn Energy LLC:
6.50%, 5/15/19 (c)	USD	15	$ 15,300
6.25%, 11/01/19 (c)(j)		345	344,569
8.63%, 4/15/20		40	44,400
7.75%, 2/01/21		75	80,625
MarkWest Energy Partners LP, 6.75%, 11/01/20		25	27,313
Newfield Exploration Co., 6.88%, 2/01/20		160	172,800
Niska Gas Storage US LLC, 8.88%, 3/15/18		95	91,200
Oasis Petroleum, Inc.:
7.25%, 2/01/19		55	58,300
6.50%, 11/01/21		50	51,500
OGX Petroleo e Gas Participações SA, 8.50%, 6/01/18 (c)		900	938,250
PBF Holding Co. LLC, 8.25%, 2/15/20 (c)		55	55,000
PetroBakken Energy Ltd., 8.63%, 2/01/20 (c)		145	154,062
Petrohawk Energy Corp.:
10.50%, 8/01/14		65	72,231
7.88%, 6/01/15		15	15,844
7.25%, 8/15/18		55	62,906
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)		95	99,750
Pioneer Natural Resources Co.:
6.88%, 5/01/18		75	88,100
7.50%, 1/15/20		25	30,894
Plains Exploration & Production Co.:
6.63%, 5/01/21		130	140,400
6.75%, 2/01/22		90	98,550
Precision Drilling Corp., 6.50%, 12/15/21 (c)		45	48,038
Range Resources Corp.:
8.00%, 5/15/19		20	22,300
5.75%, 6/01/21		160	171,200
Ruby Pipeline LLC, 6.00%, 4/01/22 (c)		65	64,870
Samson Investment Co., 9.75%, 2/15/20 (c)		105	110,513
SandRidge Energy, Inc., 7.50%, 3/15/21 (c)		80	80,800
SM Energy Co., 6.63%, 2/15/19 (c)		20	21,450
			4,854,281
Paper & Forest Products 2.3%
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (c)(h)		22	15,917
Boise Paper Holdings LLC:
9.00%, 11/01/17		80	88,000
8.00%, 4/01/20		30	32,925
Clearwater Paper Corp.:
10.63%, 6/15/16		70	79,537
7.13%, 11/01/18		95	101,175
Georgia-Pacific LLC, 8.25%, 5/01/16 (c)		285	315,731
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (c)		55	56,513
NewPage Corp., 11.38%, 12/31/14 (a)(i)		365	219,912
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c)		25	23,438
Verso Paper Holdings LLC, 11.50%, 7/01/14		135	137,700
			1,070,848
Pharmaceuticals 0.7%
Jaguar Holding Co. II, 9.50%, 12/01/19 (c)		70	76,562
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (c)		225	229,500
			306,062
Professional Services 0.6%
FTI Consulting, Inc.:
7.75%, 10/01/16		100	104,125
6.75%, 10/01/20		150	162,188
			266,313

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 65

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Real Estate Investment Trusts (REITs) 0.7%
Felcor Lodging LP, 6.75%, 6/01/19	USD	250	$ 255,625
The Rouse Co. LP, 6.75%, 11/09/15		85	88,931
			344,556
Real Estate Management & Development 2.0%
CB Richard Ellis Services, Inc., 6.63%, 10/15/20		55	58,437
Realogy Corp.:
11.50%, 4/15/17 (k)		60	54,900
12.00%, 4/15/17 (k)		15	13,800
7.88%, 2/15/19 (c)		400	388,000
7.63%, 1/15/20 (c)		120	123,900
9.00%, 1/15/20 (c)		60	60,300
Shea Homes LP, 8.63%, 5/15/19 (c)		205	207,050
			906,387
Road & Rail 1.3%
Avis Budget Car Rental LLC, 8.25%, 1/15/19		25	26,063
Florida East Coast Railway Corp., 8.13%, 2/01/17 (c)		80	80,800
The Hertz Corp.:
7.50%, 10/15/18		150	161,812
6.75%, 4/15/19		60	62,850
6.75%, 4/15/19 (c)		50	52,375
7.38%, 1/15/21		195	211,087
			594,987
Semiconductors
& Semiconductor Equipment 0.1%
Spansion LLC, 7.88%, 11/15/17		50	49,125
Software 0.2%
Sophia LP, 9.75%, 1/15/19 (c)		78	83,850
Specialty Retail 2.5%
Asbury Automotive Group, Inc.:
7.63%, 3/15/17		60	61,800
8.38%, 11/15/20		60	64,350
House of Fraser Funding Plc, 8.88%, 8/15/18	GBP	100	142,386
Limited Brands, Inc.:
8.50%, 6/15/19	USD	140	167,300
5.63%, 2/15/22		25	25,750
Phones4u Finance Plc, 9.50%, 4/01/18	GBP	100	139,601
QVC, Inc. (c):
7.13%, 4/15/17	USD	40	43,000
7.50%, 10/01/19		100	111,000
7.38%, 10/15/20		55	60,913
Sally Holdings LLC, 6.88%, 11/15/19 (c)		90	96,750
Sonic Automotive, Inc., 9.00%, 3/15/18		65	70,687
Toys R US-Delaware, Inc., 7.38%, 9/01/16 (c)		25	25,688
United Auto Group, Inc., 7.75%, 12/15/16		165	172,014
			1,181,239
Transportation Infrastructure 0.3%
Aguila 3 SA, 7.88%, 1/31/18		150	157,688
Wireless Telecommunication Services 5.3%
Cricket Communications, Inc., 7.75%, 5/15/16		250	266,250
Digicel Group Ltd. (c):
9.13%, 1/15/15		294	299,880
8.25%, 9/01/17		330	349,800
iPCS, Inc., 2.67%, 5/01/13 (d)		140	134,750
Matterhorn Mobile Holdings SA, 8.25%, 2/15/20	EUR	100	137,227
MetroPCS Wireless, Inc., 6.63%, 11/15/20	USD	150	154,500
NII Capital Corp., 7.63%, 4/01/21		60	61,350
Sprint Capital Corp., 6.88%, 11/15/28 (j)		330	257,400
Corporate
Bonds	Par (000)		Value
Wireless Telecommunication Services (concluded)
Sprint Nextel Corp. (c):
9.00%, 11/15/18	USD	400	$ 446,000
7.00%, 3/01/20		330	335,362
			2,442,519
Total Corporate Bonds 100.5%			46,475,481
Floating
Rate Loan Interests (d)
Airlines 0.3%
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, 4/20/17		122	118,932
Auto Components 0.2%
Schaeffler AG, Term Loan C2, 5.25%, 1/27/17		90	90,263
Building Products 0.0%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		16	16,158
Capital Markets 0.4%
Nuveen Investments, Inc., Incremental Term Loan (First Lien):
7.25%, 5/13/17		110	110,770
7.25%, 3/14/19		70	70,613
			181,383
Commercial Services & Supplies 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16		110	109,837
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16		100	100,107
Volume Services America, Inc. (FKA Centerplate), Term Loan B, 10.50 10.75%, 9/16/16		163	163,617
			373,561
Communications Equipment 0.1%
Avaya, Inc., Term Loan B1, 3.24%, 10/24/14		30	29,354
Construction & Engineering 0.5%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17		250	250,000
Consumer Finance 1.6%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		840	765,752
Diversified Consumer Services 0.0%
ServiceMaster Co.:
Delayed Draw Term Loan, 2.75%, 7/24/14		1	1,335
Term Loan, 2.77% 3.03%, 7/24/14		14	13,407
			14,742
Diversified Telecommunication Services 0.5%
Level 3 Financing, Inc.:
Term Loan B, 5.75%, 8/31/18		150	151,032
Tranche A Term Loan, 2.50% 2.83%, 3/13/14		75	73,762
			224,794
Electronic
Equipment, Instruments & Components 0.1%
CDW LLC (FKA CDW Corp.), Term Loan, 4.00%, 7/14/17		50	48,866
Energy Equipment & Services 2.2%
CCS Corp., Incremental Term Loan, 5.56%, 10/17/14		45	45,045
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16		335	332,946
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16		613	632,100
			1,010,091

| See Notes to Financial
Statements. — 66 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Floating Rate Loan Interests (d)	Par (000)		Value
Food &
Staples Retailing 0.1%
US Foodservice, Inc., Term
Loan B, 2.74%, 7/03/14	USD	30	$ 28,950
Food
Products 0.3%
Advance Pierre Foods, Inc., Term Loan (Second Lien), 11.25%, 9/29/17		135	135,112
Health Care Equipment & Supplies 0.3%
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19		130	129,919
Health Care Providers & Services 0.8%
Harden Healthcare LLC:
Term Loan, 8.50%, 3/02/15		70	68,282
Tranche A Additional Term Loan, 7.75%, 3/02/15		82	80,698
Health Management Associates, Inc., Term Loan B, 4.50%, 11/16/18		65	64,577
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		177	169,870
			383,427
Hotels, Restaurants & Leisure 1.4%
Caesars Entertainment Operating Co., Inc.:
Term Loan B-3, 3.25%, 1/28/15		166	155,694
Term Loan B-3, 9.50%, 1/28/15		128	119,539
Term Loan B-3, 9.50%, 1/28/15		54	50,446
Term Loan B-4, 9.50%, 10/31/16		85	87,434
OSI
Restaurant Partners LLC:
Revolver, 2.56 2.79%, 6/14/13		2	1,751
Term Loan B, 2.56%, 6/14/14		18	17,765
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16		175	157,792
Travelport LLC (FKA Travelport, Inc.):
Extended Tranche A Term Loan, 6.54%, 9/28/12		30	14,363
Extended Tranche B Term Loan, 14.04%, 12/01/16		94	21,138
			625,922
Independent
Power Producers & Energy Traders 0.1%
Texas Competitive Electric Holdings Co. LLC (FKA TXU), Extended Term Loan, 4.76%, 10/10/17		126	70,205
Industrial Conglomerates 0.2%
Sequa Corp., Incremental Term Loan, 6.25%, 12/03/14		75	75,250
IT Services 0.3%
First Data Corp., Extended Term Loan B, 4.24%, 3/23/18		130	116,654
Leisure Equipment & Products 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/20/13		100	101,219
Media 5.4%
Cengage Learning Acquisitions, Inc. (FKA Thomson Learning), Tranche 1 Incremental Term Loan, 7.50%, 7/03/14		301	289,089
Cequel Communications LLC, Term Loan B, 4.00%, 2/11/19		100	98,977
Clear Channel Communication:
Term Loan B, 3.89%, 1/28/16		365	299,553
Term Loan C, 3.89%, 1/28/16		63	49,612
HMH Publishing Co. Ltd., Tranche A, Term Loan, 6.51%, 6/12/14		145	89,354
Intelsat Jackson Holdings SA (FKA Intelsat Jackson Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18		1,241	1,238,516
Floating
Rate Loan Interests (d)	Par (000)		Value
Media (concluded)
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18	USD	10	$ 9,978
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		375	385,781
Univision Communications, Inc., Extended First Lien Term Loan, 4.52%, 3/31/17		55	51,076
			2,511,936
Oil, Gas & Consumable Fuels 0.6%
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15		276	277,727
Paper & Forest Products 0.5%
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13		100	100,750
Verso Paper Finance Holdings LLC, Term Loan, 6.79% 7.54%, 2/01/13 (h)		227	113,626
			214,376
Pharmaceuticals 0.1%
Pharmaceutical Product Development, Inc., Term Loan B, 6.25%, 12/05/18		65	65,569
Real Estate Investment Trusts (REITs) 0.6%
iStar Financial, Inc., Term Loan (Second Lien), 5.00%, 6/28/13		281	279,938
Real Estate Management & Development 0.3%
Realogy Corp.:
Extended Letter of Credit Loan, 4.53%, 10/10/16		17	16,147
Extended Term Loan, 4.77%, 10/10/16		123	113,813
			129,960
Semiconductors
& Semiconductor Equipment 0.0%
NXP BV, Incremental Term Loan A-2, 5.50%, 3/03/17		10	9,925
Software 0.2%
Infor Enterprise Solutions Holdings, Inc.:
Extended Delayed Draw Term Loan, 6.29%, 7/28/15		26	25,430
Extended Initial Term Loan, 6.29%, 7/28/15		49	47,883
			73,313
Specialty Retail 0.2%
Claires Stores, Inc., Term Loan B, 2.99 3.30%, 5/29/14		87	82,675
Wireless Telecommunication Services 1.2%
Crown Castle International Corp., Term B, 4.00%, 1/25/19		40	39,818
Vodafone Americas Finance 2, Inc.:
Initial Loan, 6.88%, 8/11/15		277	276,882
Term Loan B, 6.25%, 7/11/16 (h)		258	257,168
			573,868
Total Floating Rate Loan Interests 19.5%			9,009,841
Preferred
Securities
Capital Trusts
Insurance 0.2%
Genworth Financial, Inc., 6.15%, 11/15/66 (h)		145	99,506
Diversified Financial Services 0.2%
Range Resources Corp., 5.00%, 8/15/22		74	74,740
Total Capital Trusts 0.4%			174,246

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 67 |
| --- | --- | --- |

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

Preferred Stocks	Shares		Value
Auto
Components 0.5%
Dana Holding Corp., 4.00%
(c)		1,800	$ 242,325
Diversified
Financial Services 1.0%
Ally Financial, Inc., 7.00%
(c)		500	433,844
Total
Preferred Stocks 1.5%			676,169
Trust Preferreds	Par (000)
Diversified
Financial Services 0.8%
GMAC Capital Trust I,
Series 2, 8.13%, 2/15/40	USD	11,760	275,222
RBS Capital Funding Trust
VII, 6.08%, 12/31/49		8,000	109,360
Total
Trust Preferreds 0.8%			384,582
Total
Preferred Securities 2.7%			1,234,997
Warrants (l)		Shares
Diversified
Telecommunication Services 0.0%
NEON Communications, Inc.
(Expires 12/02/12)		53,622	1
Media
0.1%
Cumulus Media, Inc.
(Expires 3/26/19)		6,182	44,657
Software
0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)		61
HMH Holdings/EduMedia (Expires 3/09/17)		1,184
Total Warrants 0.1%			44,658
Total
Long-Term Investments (Cost $56,179,302) 127.0%			58,692,832
Short-Term
Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.11% (m)(n)		980,802	980,802
Total
Short-Term Securities (Cost $980,802) 2.1%			980,802
Options
Purchased		Contracts
Over-the-Counter Call Options 0.0%
Marsico Parent Superholdco LLC, Strike Price USD 942.86, Expires 12/14/19, Broker Goldman Sachs Bank USA		3
Total
Options Purchased (Cost $2,933) 0.0%
Total Investments (Cost $57,163,037) 129.1%			59,673,634
Liabilities in Excess of Other Assets (29.1)%			(13,434,085	)
Net Assets 100.0%			$ 46,239,549

| (a) | Non-income producing
security. |
| --- | --- |
| (b) | Restricted security as to
resale. As of report date the Trust held 2.6% of its net assets with a
current value of $1,095,341 in this security. |
| (c) | Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration to
qualified institutional investors. |
| (d) | Variable rate security.
Rate shown is as of report date. |
| (e) | Represents a step-down bond
that pays an initial coupon rate for the first period and then a lower coupon
rate for the following periods. Rate shown is as of report date. |
| (f) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (g) | Convertible security. |
| (h) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (i) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (j) | When-issued security.
Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation (Depreciation)
Bank of America NA	$ 257,400	$ 2,075
JPMorgan Chase Bank	$ 344,569	$ (331	)
Morgan Stanley Co., Inc.	$ 329,317	$ 10,318

| (k) | Represents a step-up bond
that pays an initial coupon rate for the first period and then a higher
coupon rate for the following periods. Rate shown is as of report date. |
| --- | --- |
| (l) | Warrants entitle the Trust
to purchase a predetermined number of price and number of shares are subject
to adjustment under certain conditions until the expiration date, if any. |
| (m) | Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of
Section 2(a)(3) of the 1940 Act, as amended, were as follows: |

Affiliate				Income
BlackRock Liquidity
Funds, TempFund
Institutional Class	421,345	559,457	980,802	$ 215

| (n) | Represents the current
yield as of report date. |
| --- | --- |
| | Foreign currency exchange
contracts as of February 29, 2012 were as follows: |

Currency Purchased		Currency Sold		Counterparty	Unrealized Appreciation (Depreciation)
EUR	216,000	USD	288,187	UBS
AG	3/05/12	$ (410	)
USD	1,211,203	EUR	915,000	Citibank
NA	4/11/12	(8,050	)
USD	288,230	EUR	216,000	UBS
AG	4/11/12	407
USD	437,178	GBP	279,000	Citibank
NA	4/11/12	(6,557	)
Total					$ (14,610	)

| See Notes to Financial
Statements. — 68 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock High Yield Trust (BHY)

Credit default swaps on single-name issues buy protection outstanding as of February 29, 2012 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
MGM Resorts	5.00%	Deutsche	6/20/15	$ 20	$ (1,113	)
International		Bank
AG
MGM Resorts	5.00%	Deutsche	6/20/15	$ 15	(977	)
International		Bank
AG
MGM Resorts	5.00%	Deutsche	6/20/15	$ 30	(1,568	)
International		Bank
AG
MGM Resorts	5.00%	Deutsche	6/20/15	$ 15	(425	)
International		Bank
AG
MGM Resorts	5.00%	Deutsche	6/20/15	$ 15	(536	)
International		Bank
AG
Hovnanian	5.00%	JPMorgan	12/20/15	$ 125	16,817
Enterprises, Inc.		Chase
& Co.
The New York	1.00%	Barclays	12/20/16	$ 225	48
Times Co.		Capital,
Inc.
Republic of	1.00%	Deutsche	12/20/15	$ 50	2,662
Hungary		Bank
AG
Israel (State of)	1.00%	Deutsche	3/20/17	$ 35	(364	)
		Bank
AG
Israel	1.00%	Deutsche	3/20/17	$ 100	(1,109	)
Government Bond		Bank
AG
Total					$ 13,435

Credit default swaps on single-name issues sold protection outstanding as of February 29, 2012 were as follows:

Issuer	Receive Fixed Rate	Counterparty	Expiration Date	Issuer Credit Rating 1	Notional Amount (000) 2	Unrealized Appreciation (Depreciation)
Air Lease Corp.	5.00%	Goldman	2/14/13	Not
Rated	$ 100	$ 138
		Sachs
& Co.
CIT Group, Inc.	5.00%	Deutsche	9/20/15	BB	$ 500	33,393
		Bank
AG
ARAMARK Corp.	5.00%	Credit
Suisse	9/20/16	B	$ 50	4,050
		Securities
		(USA)
LLC
ARAMARK Corp.	5.00%	Goldman	9/20/16	B	$ 50	3,865
		Sachs
& Co.
ARAMARK Corp.	5.00%	Deutsche	3/20/17	B	$ 35	754
		Bank
AG
Bausch &	5.00%	Credit
Suisse	3/20/17	B	$ 20	1,001
Lomb, Inc.		Securities
		(USA)
LLC
Bausch &	5.00%	Goldman	3/20/17	B	$ 35	134
Lomb, Inc.		Sachs
& Co.
Bausch &	5.00%	Goldman	3/20/17	B	$ 15	684
Lomb, Inc.		Sachs
& Co.
Crown Castle	7.25%	Deutsche	3/20/17	B	$ 80	1,735
International		Bank
AG
Corp.
CCO	8.00%	Deutsche	9/20/17	BB	$ 280	(15	)
Holdings LLC		Bank
AG
Total						$ 45,739

1	Using S&Ps rating.
2	The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement.

Credit default swaps on traded indexes sold protection outstanding as of February 29, 2012 were as follows:

Issuer	Receive Fixed Rate	Counterparty	Expiration Date	Credit Rating 3
Dow Jones CDX	5.00%	Credit
Suisse	12/20/16	B+	$ 1,940	$ 126,645
North America		Securities
High Yield		(USA)
LLC
Series 17

| 3 | Using S&Ps rating of
the underlying securities. |
| --- | --- |
| 4 | The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement. |

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trusts investments and derivative financial instruments:

Valuation Inputs	Level 1	Level 2	Level 3	Total
Assets:
Investments:
Long-Term Investments:
Common Stocks	$ 822,888	$ 1,095,341	$ 9,626	$ 1,927,855
Corporate Bonds		45,821,032	654,449	46,475,481
Floating Rate Loan Interests		7,560,603	1,449,238	9,009,841
Preferred Securities	384,582	850,415		1,234,997
Warrants		44,657	1	44,658
Short-Term Securities	980,802			980,802
Total	$ 2,188,272	$ 55,372,048	$ 2,113,314	$ 59,673,634

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 69 |
| --- | --- | --- |

Schedule of Investments (concluded) BlackRock High Yield Trust (BHY)

Valuation Inputs	Level 2
Derivative Financial
Instruments 1
Assets:
Credit contracts	$ 156,660	$	35,266	$	191,926
Foreign currency exchange contracts	407				407
Liabilities:
Credit contracts	(6,092	)	(15	)	(6,107	)
Foreign currency exchange contracts	(15,017	)			(15,017	)
Total	$ 135,958	$	35,251	$	171,209

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

	Common Stocks
Assets/Liabilities:
Balance, as of August 31, 2011	$ 27,152	$	688,980	$	1,642,711	$	477	$	45,985	$	34,922	$	2,440,227
Accrued discounts/premiums					10,336								10,336
Net realized gain (loss)			8,873		6,344		910		54,100				70,227
Net change in unrealized appreciation/depreciation 2	(23,756	)	(15,023	)	(119,058	)	(477	)	(45,985	)			(204,299	)
Purchases	6,230		8,369		67,215								81,814
Sales			(36,750	)	(77,190	)	(910	)	(54,100	)			(168,950	)
Transfers in 3					306,067								306,067
Transfers out 3					(387,187	)					(34,921	)	(422,108	)
Balance, as of February 29, 2012	$ 9,626	$	654,449	$	1,449,238					$	1	$	2,113,314

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on securities
still held at February 29, 2012 was $(150,114). |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

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

	Credit Contracts
Assets/Liabilities:
Balance, as of August 31,
2011
Accrued discounts/premiums	$ (10,677	)
Net realized gain (loss)
Net change in unrealized
appreciation/depreciation 4	35,250
Purchases
Issuances 5	44,181
Sales
Settlements 6	(33,503	)
Transfers in 7
Transfers out 7
Balance,
as of February 29, 2012	$ 35,251

| 4 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on derivative
financial instruments still held at February 29, 2012 was $35,250. |
| --- | --- |
| 5 | Issuances represent upfront
cash received on certain derivative financial instruments. |
| 6 | Settlements represent
periodic contractual cash flows and/or cash flows to terminate certain
derivative financial instruments. |
| 7 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — 70 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments February 29, 2012 (Unaudited)
(Percentages
shown are based on Net Assets)

Asset-Backed Securities	Par (000)		Value
Asset-Backed
Securities 5.6%
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a)	USD	804	$ 809,872
AH Mortgage Advance Trust, Series SART-3, Class 1A1, 2.98%, 3/13/43 (a)		630	624,706
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17		400	409,022
CarMax Auto Owner Trust:
Series 2012-1, Class B, 1.76%, 8/15/17		210	209,783
Series 2012-1, Class C, 2.20%, 10/16/17		125	124,845
Series 2012-1, Class D, 3.09%, 8/15/18		160	159,809
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25		1,105	1,118,781
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a)		1,970	1,974,447
DT Auto Owner Trust (a):
Series 2011-2A, Class C, 3.05%, 2/16/16		1,500	1,498,858
Series 2011-3A, Class C, 4.03%, 2/15/17		260	262,884
Ford Credit Floorplan Master Owner Trust:
Series 2012-1, Class B, 1.15%, 1/15/16 (b)		180	180,002
Series 2012-1, Class C, 1.75%, 1/15/16 (b)		480	480,004
Series 2012-1, Class D, 2.35%, 1/15/16 (b)		450	450,003
Series 2012-2, Class B, 2.32%, 1/15/19		245	245,023
Series 2012-2, Class C, 2.86%, 1/15/19		105	104,921
Series 2012-2, Class D, 3.51%, 1/15/19		200	199,843
Globaldrive BV, Series 2008-2, Class A, 4.00%, 10/20/16	EUR	264	354,417
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.35%, 7/25/37 (b)	USD	130	127,042
Nelnet Student Loan Trust (b):
Series 2006-1, Class A5, 0.60%, 8/23/27		525	488,049
Series 2008-3, Class A4, 2.14%, 11/25/24		620	639,191
PFS Financing Corp., Series 2012-AA, Class A, 1.46%, 2/15/16 (a)(b)		480	480,000
Santander Consumer Acquired Receivables Trust (a):
Series 2011-S1A, Class B, 1.66%, 8/15/16		596	596,319
Series 2011-S1A, Class C, 2.01%, 8/15/16		444	439,288
Series 2011-S1A, Class D, 3.15%, 8/15/16		452	451,249
Series 2011-WO, Class C, 3.19%, 10/15/15		575	574,248
Santander Drive Auto Receivables Trust:
Series 2010-2, Class B, 2.24%, 12/15/14		870	873,712
Series 2010-2, Class C, 3.89%, 7/17/17		1,020	1,031,313
Series 2010-B, Class B, 2.10%, 9/15/14 (a)		700	704,040
Series 2010-B, Class C, 3.02%, 10/17/16 (a)		735	730,438
Series 2011-1, Class D, 4.01%, 2/15/17		940	944,687
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)		357	354,894
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)		388	384,887
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)		919	919,399
Series 2012-1, Class B, 2.72%, 5/16/16		240	240,290
Series 2012-1, Class C, 3.78%, 11/15/17		325	325,521
SLM Student Loan Trust:
Series 2004-B, Class A2, 0.75%, 6/15/21 (b)		217	208,113
Series 2008-5, Class A3, 1.86%, 1/25/18 (b)		525	533,232
Series 2008-5, Class A4, 2.26%, 7/25/23 (b)		630	645,212
Series 2012-A, Class A1, 1.66%, 8/15/25 (a)(b)		380	380,085
Series 2012-A, Class A2, 3.83%, 1/17/45 (a)		345	345,338
Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%, 11/01/16		222	240,337
			21,864,104
Asset-Backed
Securities	Par (000)		Value
Interest Only Asset-Backed Securities 0.2%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)	USD	4,458	$ 345,527
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29		6,359	492,822
			838,349
Total Asset-Backed Securities 5.8%			22,702,453
Common
Stocks (c) 0.0%	Shares
Software 0.0%
Bankruptcy Management Solutions, Inc.		152	3
Corporate
Bonds	Par (000)
Aerospace & Defense 0.6%
United Technologies Corp.:
4.88%, 5/01/15	USD	1,250	1,403,397
6.13%, 7/15/38		750	995,951
			2,399,348
Airlines 0.4%
Continental Airlines, Inc., Series 2010-1, Class B, 6.00%, 1/12/19		672	651,509
United Air Lines, Inc., 12.75%, 7/15/12		786	813,162
			1,464,671
Auto Components 0.3%
BorgWarner, Inc., 4.63%, 9/15/20		265	284,247
Icahn Enterprises LP, 8.00%, 1/15/18		1,000	1,060,000
			1,344,247
Capital Markets 5.6%
CDP Financial, Inc., 5.60%, 11/25/39 (a)		2,955	3,574,028
Credit Suisse AG:
2.60%, 5/27/16 (a)		570	583,207
5.40%, 1/14/20 (d)		1,785	1,793,150
E*Trade Financial Corp., 12.50%, 11/30/17		1,440	1,677,600
The Goldman Sachs Group, Inc.:
5.38%, 3/15/20		1,215	1,245,046
5.25%, 7/27/21		3,175	3,180,188
5.75%, 1/24/22		3,455	3,606,467
Lehman Brothers Holdings, Inc., 6.50%, 7/19/17 (c)(e)		225	22
Morgan Stanley:
3.01%, 5/14/13 (b)		1,880	1,882,668
4.20%, 11/20/14		680	682,540
4.00%, 7/24/15		400	400,363
6.25%, 8/28/17		1,925	2,017,960
5.63%, 9/23/19		760	759,881
5.50%, 7/28/21		370	366,583
			21,769,703
Chemicals 1.0%
American Pacific Corp., 9.00%, 2/01/15		280	273,000
CF Industries, Inc., 7.13%, 5/01/20		1,470	1,800,750
The Dow Chemical Co., 4.13%, 11/15/21		350	372,474
Ineos Finance Plc, 8.38%, 2/15/19 (a)		265	281,562
Lyondell Chemical Co., 11.00%, 5/01/18		680	745,450
LyondellBasell Industries NV, 6.00%, 11/15/21 (a)		240	263,400
			3,736,636

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 71 |
| --- | --- | --- |

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

Corporate Bonds	Par (000)		Value
Commercial
Banks 5.5%
CIT Group, Inc. (a):
7.00%, 5/02/16	USD	110	$ 110,138
7.00%, 5/02/17		1,035	1,036,294
DEPFA ACS Bank, 5.13%,
3/16/37 (a)		4,150	2,900,248
Discover Bank, 8.70%,
11/18/19		250	300,923
DnB NOR Boligkreditt (a):
2.10%, 10/14/15		4,005	4,047,553
2.90%, 3/29/16		2,595	2,689,754
Eksportfinans ASA, 5.50%,
6/26/17		1,000	959,878
HSBC Bank Brasil SA Banco Multiplo, 4.00%, 5/11/16 (a)		1,400	1,393,000
HSBC Bank Plc, 3.10%, 5/24/16 (a)		695	710,919
HSBC Holdings Plc, 6.10%, 1/14/42		305	363,539
Sparebanken 1 Boligkreditt (a):
1.25%, 10/25/13		1,575	1,576,652
2.63%, 5/27/16		1,675	1,714,687
Wachovia Corp., 5.25%, 8/01/14		3,420	3,692,208
			21,495,793
Commercial Services & Supplies 0.4%
ARAMARK Corp., 8.50%, 2/01/15		18	18,473
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)		136	141,702
Mobile Mini, Inc., 7.88%, 12/01/20		1,320	1,386,000
West Corp., 8.63%, 10/01/18		135	148,162
			1,694,337
Construction & Engineering 0.1%
Abengoa SA, 8.50%, 3/31/16	EUR	150	204,881
Construction Materials 0.0%
Lafarge SA, 7.13%, 7/15/36	USD	135	124,670
Consumer Finance 0.7%
Ford Motor Credit Co. LLC:
7.80%, 6/01/12		380	384,684
6.63%, 8/15/17		280	317,286
5.88%, 8/02/21		270	301,312
SLM Corp.:
6.25%, 1/25/16		651	680,295
Series A, 0.86%, 1/27/14 (b)		600	570,969
Toll Brothers Finance Corp., 5.88%, 2/15/22		345	357,846
			2,612,392
Containers & Packaging 0.2%
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)	EUR	425	597,370
Diversified Financial Services 6.5%
Ally Financial, Inc.:
8.30%, 2/12/15	USD	860	950,300
6.25%, 12/01/17		160	165,379
8.00%, 3/15/20		560	634,200
Capital One Financial Corp., 4.75%, 7/15/21		975	1,027,923
Citigroup, Inc.:
5.00%, 9/15/14		285	296,700
4.59%, 12/15/15		7,245	7,673,737
General Electric Capital Corp. (d):
2.13%, 12/21/12		525	533,142
6.75%, 3/15/32		3,000	3,645,615
JPMorgan Chase & Co.:
6.30%, 4/23/19		1,375	1,616,392
4.50%, 1/24/22		2,250	2,390,726
Series BKNT, 6.00%, 10/01/17		2,045	2,294,578
Reynolds Group Issuer, Inc. (a):
7.75%, 10/15/16	EUR	550	778,563
7.88%, 8/15/19	USD	660	722,700
6.88%, 2/15/21		1,730	1,833,800
Corporate
Bonds	Par (000)		Value
Diversified Financial Services (concluded)
WMG Acquisition Corp. (a):
9.50%, 6/15/16	USD	160	$ 176,800
11.50%, 10/01/18		780	828,750
			25,569,305
Diversified Telecommunication Services 3.3%
Level 3 Financing, Inc. (a):
8.13%, 7/01/19		671	702,872
8.63%, 7/15/20		740	789,950
Telecom Italia Capital SA, 4.95%, 9/30/14		4,375	4,413,281
Verizon Communications, Inc.:
3.50%, 11/01/21		500	523,076
6.40%, 2/15/38		3,396	4,255,005
8.95%, 3/01/39		1,125	1,783,586
Windstream Corp., 7.88%, 11/01/17		200	225,500
			12,693,270
Electric Utilities 5.2%
Alabama Power Co.:
3.95%, 6/01/21		460	499,779
6.00%, 3/01/39		550	710,849
The Cleveland Electric Illuminating Co.:
8.88%, 11/15/18		121	161,070
5.95%, 12/15/36		217	238,477
Constellation Energy Group, Inc., 7.60%, 4/01/32		200	267,491
Duke Energy Carolinas LLC:
6.10%, 6/01/37		325	412,645
6.00%, 1/15/38		850	1,117,062
4.25%, 12/15/41		375	395,793
E.ON International Finance BV, 6.65%, 4/30/38 (a)		1,575	2,062,535
EDF SA, 5.60%, 1/27/40 (a)		1,400	1,490,042
Florida Power Corp.:
6.35%, 9/15/37		1,450	1,954,322
6.40%, 6/15/38		340	462,884
Georgia Power Co., 3.00%, 4/15/16		800	851,782
Jersey Central Power & Light Co., 7.35%, 2/01/19		245	310,546
Ohio Power Co., Series D, 6.60%, 3/01/33		1,500	1,893,546
PacifiCorp., 6.25%, 10/15/37		650	862,513
Public Service Co. of Colorado, 6.25%, 9/01/37		1,350	1,816,256
Southern California Edison Co.:
5.63%, 2/01/36		675	844,966
Series 08-A, 5.95%, 2/01/38		1,100	1,447,840
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14	EUR	1,350	1,680,796
The Toledo Edison Co., 6.15%, 5/15/37	USD	350	413,908
Trans-Allegheny Interstate Line Co., 4.00%, 1/15/15 (a)		250	264,907
			20,160,009
Energy Equipment & Services 2.9%
Calfrac Holdings LP, 7.50%, 12/01/20 (a)		565	565,000
Ensco Plc:
3.25%, 3/15/16		160	166,976
4.70%, 3/15/21		1,745	1,910,543
Frac Tech Services LLC, 7.63%, 11/15/18 (a)		1,110	1,184,925
MEG Energy Corp., 6.50%, 3/15/21 (a)		560	599,200
Noble Holding International Ltd., 5.25%, 3/15/42		350	370,145
Peabody Energy Corp., 6.25%, 11/15/21 (a)		3,855	4,038,113
Pride International, Inc., 6.88%, 8/15/20		235	286,263
Transocean, Inc.:
5.05%, 12/15/16		850	929,948
6.50%, 11/15/20		350	408,186
6.38%, 12/15/21		845	997,227
			11,456,526

| See Notes to Financial
Statements. — 72 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

Corporate Bonds	Par (000)		Value
Food &
Staples Retailing 1.0%
Wal-Mart Stores, Inc.:
6.50%, 8/15/37	USD	1,975	$ 2,687,752
6.20%, 4/15/38 (d)		850	1,120,925
			3,808,677
Food
Products 1.0%
Darling International,
Inc., 8.50%, 12/15/18		335	376,875
Kraft Foods, Inc., 5.38%,
2/10/20		3,000	3,497,868
			3,874,743
Health
Care Equipment & Supplies 0.7%
Boston Scientific Corp.,
6.25%, 11/15/15		1,260	1,400,964
DJO Finance LLC:
10.88%, 11/15/14		850	864,875
7.75%, 4/15/18		40	34,400
Teleflex, Inc., 6.88%,
6/01/19		385	414,837
			2,715,076
Health
Care Providers & Services 2.4%
Aviv Healthcare Properties
LP, 7.75%, 2/15/19		535	547,037
ConvaTec Healthcare E SA,
7.38%, 12/15/17 (a)	EUR	494	682,837
HCA, Inc.:
8.50%, 4/15/19	USD	17	19,040
6.50%, 2/15/20		2,015	2,161,087
7.88%, 2/15/20		135	148,838
7.25%, 9/15/20		50	54,500
Health Management Associates, Inc., 7.38%, 1/15/20 (a)		850	886,125
IASIS Healthcare LLC, 8.38%, 5/15/19		1,000	955,000
INC Research LLC, 11.50%, 7/15/19 (a)		545	523,200
inVentiv Health, Inc., 10.00%, 8/15/18 (a)		155	141,050
Omnicare, Inc., 7.75%, 6/01/20		805	896,569
Symbion, Inc., 8.00%, 6/15/16		455	439,075
Tenet Healthcare Corp.:
10.00%, 5/01/18		370	431,050
8.88%, 7/01/19		1,150	1,311,000
UnitedHealth Group, Inc., 3.38%, 11/15/21		160	168,580
			9,364,988
Health Care Technology 0.8%
Amgen, Inc.:
3.88%, 11/15/21		1,500	1,558,739
6.40%, 2/01/39		750	896,546
5.15%, 11/15/41		750	784,909
			3,240,194
Hotels, Restaurants & Leisure 0.6%
El Dorado Resorts LLC, 8.63%, 6/15/19 (a)		180	171,450
MGM Resorts International, 11.13%, 11/15/17		265	301,438
Punch Taverns Finance B Ltd., Series A7, 4.77%, 6/30/33	GBP	1,721	1,964,615
			2,437,503
Household Durables 0.3%
Standard Pacific Corp., 10.75%, 9/15/16	USD	1,000	1,148,750
Household Products 0.1%
Ontex IV SA, 7.50%, 4/15/18 (a)	EUR	190	232,886
Independent
Power Producers & Energy Traders 0.5%
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20	USD	1,955	2,123,619
Industrial Conglomerates 0.5%
Sequa Corp. (a):
11.75%, 12/01/15		760	807,500
13.50%, 12/01/15		927	990,086
			1,797,586
Corporate
Bonds	Par (000)		Value
Insurance 2.7%
Allianz Finance II BV, 5.75%, 7/08/41 (b)	EUR	500	$ 633,705
American International Group, Inc., 5.45%, 5/18/17	USD	800	850,281
AXA SA, 5.25%, 4/16/40 (b)	EUR	250	279,985
CNO Financial Group, Inc., 9.00%, 1/15/18 (a)	USD	408	439,110
Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)		820	804,094
Hartford Financial Services Group, Inc., 6.00%, 1/15/19		345	368,167
Lincoln National Corp., 6.25%, 2/15/20		630	722,091
Manulife Financial Corp., 3.40%, 9/17/15		1,625	1,691,495
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (a)		775	836,546
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)		340	303,450
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)	EUR	200	270,465
Prudential Financial, Inc.:
4.75%, 9/17/15	USD	1,220	1,329,100
7.38%, 6/15/19		300	371,333
5.38%, 6/21/20		250	282,002
4.50%, 11/15/20		400	425,822
5.70%, 12/14/36		950	1,025,097
			10,632,743
IT Services 0.8%
First Data Corp. (a):
7.38%, 6/15/19		205	207,306
8.88%, 8/15/20		1,000	1,082,500
8.25%, 1/15/21		80	77,400
SunGard Data Systems, Inc.:
7.38%, 11/15/18		490	526,750
7.63%, 11/15/20		1,100	1,188,000
			3,081,956
Machinery 0.4%
Joy Global, Inc., 5.13%, 10/15/21		225	247,152
Navistar International Corp., 8.25%, 11/01/21		13	14,219
UR Financing Escrow Corp. (a)(f):
5.75%, 7/15/18		194	199,335
7.38%, 5/15/20		495	507,994
7.63%, 4/15/22		455	470,925
			1,439,625
Marine 0.3%
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)		1,100	1,182,500
Media 7.5%
Affinion Group, Inc., 7.88%, 12/15/18		1,505	1,346,975
AMC Networks, Inc., 7.75%, 7/15/21 (a)		320	356,800
CBS Corp.:
4.63%, 5/15/18		810	874,123
8.88%, 5/15/19		320	426,677
5.75%, 4/15/20		250	287,945
CCH II LLC, 13.50%, 11/30/16		2,265	2,604,291
Clear Channel Communications, Inc., 9.00%, 3/01/21		685	630,200
Clear Channel Worldwide Holdings, Inc.:
9.25%, 12/15/17		278	304,410
Series B, 9.25%, 12/15/17		2,492	2,741,200
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22		2,000	2,957,728
Cox Communications, Inc. (a):
6.95%, 6/01/38		1,000	1,187,155
8.38%, 3/01/39		900	1,272,818
DIRECTV Holdings LLC, 6.38%, 3/01/41		260	312,960

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 73 |
| --- | --- | --- |

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

Corporate Bonds	Par (000)		Value
Media
(concluded)
Gray Television, Inc.,
10.50%, 6/29/15	USD	975	$ 1,029,844
Intelsat Luxembourg SA:
11.25%, 6/15/16		410	433,575
11.25%, 2/04/17		520	536,250
11.50%, 2/04/17 (g)		420	432,600
NBC Universal Media LLC:
5.15%, 4/30/20		1,974	2,282,406
4.38%, 4/01/21		1,015	1,111,845
The New York Times Co.,
6.63%, 12/15/16		1,800	1,876,500
News America, Inc., 4.50%,
2/15/21		40	43,122
Time Warner Cable, Inc.:
7.30%, 7/01/38		970	1,246,531
5.88%, 11/15/40		460	522,324
5.50%, 9/01/41		920	1,012,976
Time Warner, Inc.:
4.70%, 1/15/21		1,000	1,115,148
6.10%, 7/15/40		615	729,321
Virgin Media Secured
Finance Plc:
6.50%, 1/15/18		330	359,700
7.00%, 1/15/18	GBP	792	1,360,792
			29,396,216
Metals
& Mining 3.5%
Alcoa, Inc., 5.40%, 4/15/21	USD	1,450	1,509,501
AngloGold Ashanti Holdings
Plc, 5.38%, 4/15/20		245	252,252
Barrick Gold Corp., 2.90%,
5/30/16		1,685	1,776,120
Barrick North America
Finance LLC, 4.40%, 5/30/21		15	16,508
Cliffs Natural Resources,
Inc., 4.80%, 10/01/20		240	253,865
Falconbridge Ltd., 6.20%,
6/15/35		1,550	1,624,006
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/01/22		540	537,419
Newcrest Finance Pty Ltd., 4.45%, 11/15/21 (a)		475	487,131
Novelis, Inc., 8.75%, 12/15/20		4,105	4,577,075
Teck Resources Ltd., 5.38%, 10/01/15		2,350	2,621,228
			13,655,105
Multi-Utilities 0.4%
Dominion Resources, Inc., 6.00%, 11/30/17		1,135	1,371,289
Multiline Retail 0.8%
Dollar General Corp., 11.88%, 7/15/17 (b)		1,500	1,646,265
Macys Retail Holdings, Inc.:
5.90%, 12/01/16		800	920,615
7.45%, 7/15/17		581	713,135
			3,280,015
Oil, Gas & Consumable Fuels 9.0%
Anadarko Petroleum Corp.:
5.95%, 9/15/16		1,916	2,218,197
6.38%, 9/15/17		1,825	2,190,588
Berry Petroleum Co., 8.25%, 11/01/16		160	166,800
BP Capital Markets Plc, 3.13%, 10/01/15		330	353,344
Burlington Resources Finance Co., 7.40%, 12/01/31		950	1,293,729
Cenovus Energy, Inc., 6.75%, 11/15/39		750	1,022,706
Chesapeake Midstream Partners LP, 6.13%, 7/15/22 (a)		400	414,000
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36		150	187,826
Consol Energy, Inc.:
8.00%, 4/01/17		514	558,975
8.25%, 4/01/20		191	208,190
Denbury Resources, Inc.:
8.25%, 2/15/20		915	1,043,100
6.38%, 8/15/21		450	496,125
Corporate
Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Devon Energy Corp., 7.95%, 4/15/32	USD	650	$ 946,724
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20		240	267,419
EnCana Corp.:
6.50%, 8/15/34		70	79,135
6.63%, 8/15/37		775	907,616
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17		540	598,050
Enterprise Products Operating LLC:
6.13%, 10/15/39		700	835,938
Series L, 6.30%, 9/15/17		600	709,377
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)		505	611,284
Kinder Morgan Energy Partners LP:
5.95%, 2/15/18		1,300	1,547,482
6.55%, 9/15/40		110	126,146
6.38%, 3/01/41		160	181,901
Linn Energy LLC, 6.25%, 11/01/19 (a)(f)		590	589,263
Marathon Petroleum Corp., 6.50%, 3/01/41		1,052	1,188,949
MidAmerican Energy Co., 5.80%, 10/15/36		800	969,791
MidAmerican Energy Holdings Co.:
5.95%, 5/15/37		950	1,151,058
6.50%, 9/15/37		2,115	2,740,831
Nexen, Inc.:
6.40%, 5/15/37		400	458,800
7.50%, 7/30/39		670	860,552
Petrobras International Finance Co.:
3.88%, 1/27/16		1,335	1,392,338
5.75%, 1/20/20		1,760	1,936,000
Premier Oil Plc, 5.11%, 6/09/18 (a)		1,900	1,961,750
Range Resources Corp., 5.75%, 6/01/21		941	1,006,870
Rockies Express Pipeline LLC, 3.90%, 4/15/15 (a)		804	771,840
Suncor Energy, Inc., 6.10%, 6/01/18		1,750	2,134,934
Western Gas Partners LP, 5.38%, 6/01/21		715	762,926
Woodside Finance Ltd., 4.60%, 5/10/21 (a)		205	214,411
			35,104,965
Paper & Forest Products 0.7%
Clearwater Paper Corp., 7.13%, 11/01/18		1,000	1,065,000
International Paper Co.:
7.50%, 8/15/21		75	96,316
4.75%, 2/15/22		420	457,552
6.00%, 11/15/41		435	502,718
NewPage Corp., 11.38%, 12/31/14 (c)(d)(e)		1,240	747,100
			2,868,686
Pharmaceuticals 0.6%
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)	EUR	200	286,445
Jaguar Holding Co. II, 9.50%, 12/01/19 (a)	USD	620	678,125
Teva Pharmaceutical Finance Co. BV, Series 2, 3.65%, 11/10/21		205	213,889
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		1,000	1,043,362
			2,221,821
Professional Services 0.0%
FTI Consulting, Inc., 7.75%, 10/01/16		125	130,156
Real Estate Investment Trusts (REITs) 0.5%
ERP Operating LP, 4.63%, 12/15/21		505	541,080
Ventas Realty LP, 4.75%, 6/01/21		275	283,341
Vornado Realty LP, 5.00%, 1/15/22		1,190	1,254,554
			2,078,975
Real Estate Management & Development 0.3%
Realogy Corp. (a)(d):
7.88%, 2/15/19		429	416,130
7.63%, 1/15/20		520	536,900
WEA Finance LLC, 4.63%, 5/10/21 (a)		305	321,743
			1,274,773

| See Notes to Financial
Statements. — 74 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

Corporate Bonds	Par (000)
Road &
Rail 0.8%
Avis Budget Car Rental LLC,
8.25%, 1/15/19	USD	165	$	172,013
Burlington Northern Santa
Fe LLC, 5.75%, 5/01/40		940		1,139,842
The Hertz Corp., 7.38%,
1/15/21		1,645		1,780,712
				3,092,567
Semiconductors
& Semiconductor Equipment 0.1%
Spansion LLC, 7.88%, 11/15/17		390		383,175
Software 0.2%
Oracle Corp., 5.38%, 7/15/40		800		972,806
Specialty Retail 0.3%
Home Depot, Inc., 5.88%, 12/16/36		830		1,038,021
QVC, Inc. (a):
7.50%, 10/01/19		35		38,850
7.38%, 10/15/20		35		38,763
				1,115,634
Thrifts & Mortgage Finance 0.7%
Northern Rock Plc, 5.63%, 6/22/17 (a)		290		308,892
Radian Group, Inc.:
5.63%, 2/15/13		1,400		1,211,000
5.38%, 6/15/15		1,400		1,029,000
				2,548,892
Wireless Telecommunication Services 2.7%
America Movil SAB de CV, 2.38%, 9/08/16		800		816,866
Cricket Communications, Inc., 7.75%, 5/15/16		850		905,250
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)		1,595		1,795,898
Digicel Group Ltd. (a):
8.88%, 1/15/15		1,800		1,831,500
8.25%, 9/01/17		150		159,000
MetroPCS Wireless, Inc., 6.63%, 11/15/20		950		978,500
Rogers Communications, Inc., 7.50%, 8/15/38		1,175		1,596,397
SBA Tower Trust, 5.10%, 4/15/17 (a)		360		385,920
Sprint Capital Corp.:
6.88%, 11/15/28		510		397,800
8.75%, 3/15/32		350		311,500
Sprint Nextel Corp. (a):
9.00%, 11/15/18		530		590,950
7.00%, 3/01/20 (f)		770		782,513
				10,552,094
Total Corporate Bonds 72.9%				284,451,173
Foreign
Agency Obligations
Hellenic Republic Government Bond, 4.60%, 9/20/40	EUR	160		42,634
Hydro-Quebec:
9.40%, 2/01/21	USD	390		584,676
8.40%, 1/15/22		730		1,046,735
8.05%, 7/07/24		1,900		2,801,945
Italy Buoni Poliennali Del Tesoro, 5.00%, 3/01/22	EUR	1,650		2,164,880
Italy Government International Bond, 5.38%, 6/15/33	USD	470		443,964
Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13		655		662,307
Mexico Government International Bond:
5.63%, 1/15/17		370		426,425
5.13%, 1/15/20		145		165,663
Foreign
Agency Obligations	Par (000)		Value
Poland Government International Bond, 5.13%, 4/21/21	USD	705	$	756,112
Russian Foreign Bond Eurobond, 7.50%, 3/31/30 (h)		1,394		1,662,882
Turkey Government International Bond, 6.25%, 9/26/22		1,500		1,608,750
Total Foreign Agency Obligations 3.2%				12,366,973
Non-Agency
Mortgage-Backed Securities
Collateralized Mortgage Obligations 2.7%
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37		1,100		863,258
Collateralized Mortgage Obligation Trust:
Series 40, Class R, 580.50%, 4/01/18			(i)	49
Series 42, Class R, 6,000.00%, 10/01/14			(i)	29
Countrywide Alternative Loan Trust:
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35		1,629		1,221,579
Series 2006-0A21, Class A1, 0.44%, 3/20/47 (b)		882		405,576
Series 2006-41CB, Class 1A4, 5.75%, 1/25/37		748		506,865
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2006-0A5, Class 2A1, 0.44%, 4/25/46 (b)		350		185,117
Series 2007-10, Class A22, 6.00%, 7/25/37		675		520,090
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.70%, 7/27/36 (a)(b)		1,395		1,326,735
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-0A1, Class A1, 0.44%, 2/25/47 (b)		267		157,197
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.10%, 6/19/35 (b)		1,227		1,153,747
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.42%, 12/25/36 (b)		648		408,548
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37		967		810,519
JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.75%, 3/25/37		452		361,764
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.84%, 5/25/36 (b)		731		479,823
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33		1,860		1,989,757
WaMu Mortgage Pass-Through Certificates, Series 2007-0A4, Class 1A, 0.95%, 5/25/47 (b)		385		238,362
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37		58		52,197
				10,681,212
Commercial Mortgage-Backed Securities 11.9%
Banc of America Merrill Lynch Commercial Mortgage, Inc.:
Series 2007-1, Class A4, 5.45%, 1/15/49		500		563,501
Series 2007-2, Class A4, 5.43%, 4/10/49 (b)		750		832,763
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42		800		879,736
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.07%, 12/10/49 (b)		1,200		1,394,770
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48		1,100		1,098,253
Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.01%, 12/10/49 (b)		1,515		1,724,244

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 75 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets)

| Non-Agency Mortgage-Backed
Securities | Par (000) | | Value |
| --- | --- | --- | --- |
| Commercial
Mortgage-Backed Securities (concluded) | | | |
| Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class AM, 5.78%, 6/10/46 (b) | USD | 1,750 | $ 1,812,759 |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37 | | 705 | 620,444 |
| Credit Suisse Mortgage Capital Certificates: | | | |
| Series 2006-C3, Class AM, 5.82%, 6/15/38 (b) | | 1,000 | 1,056,006 |
| Series 2006-C5, Class AM, 5.34%, 12/15/39 | | 1,750 | 1,751,489 |
| Series 2010-RR2, Class 2A, 5.79%, 9/15/39 (a)(b) | | 1,010 | 1,110,067 |
| DBRR Trust, Series 2011-C32, Class A3A, 5.74%, 6/17/49 (a)(b) | | 365 | 396,307 |
| Extended Stay America Trust, Series 2010-ESHA (a): | | | |
| Class A, 2.95%, 11/05/27 | | 489 | 493,750 |
| Class D, 5.50%, 11/05/27 | | 210 | 213,275 |
| First Union-Lehman Brothers-Bank of America, Series 1998-C2, Class D, 6.78%, 11/18/35 | | 2,068 | 2,118,803 |
| GMAC Commercial Mortgage Securities, Inc.: | | | |
| Series 2002-C3, Class A2, 4.93%, 7/10/39 | | 2,253 | 2,288,682 |
| Series 2004-C3, Class A4, 4.55%, 12/10/41 | | 651 | 656,463 |
| Greenwich Capital Commercial Funding Corp.: | | | |
| Series 2006-GG7, Class A4, 5.88%, 7/10/38 (b) | | 1,169 | 1,332,267 |
| Series 2007-GG9, Class A4, 5.44%, 3/10/39 | | 2,165 | 2,403,585 |
| GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.79%, 8/10/45 (b) | | 430 | 480,736 |
| JPMorgan Chase Commercial Mortgage Securities Corp.: | | | |
| Series 2004-CBX, Class A4, 4.53%, 1/12/37 | | 567 | 566,984 |
| Series 2004-LN2, Class A2, 5.12%, 7/15/41 | | 820 | 877,614 |
| Series 2006-CB14, Class AM, 5.45%, 12/12/44 (b) | | 330 | 342,646 |
| Series 2006-CB16, Class AJ, 5.62%, 5/12/45 | | 720 | 591,853 |
| LB-UBS Commercial Mortgage Trust (b): | | | |
| Series 2004-C4, Class A3, 5.17%, 6/15/29 | | 1,628 | 1,670,322 |
| Series 2004-C8, Class C, 4.93%, 12/15/39 | | 1,385 | 1,345,115 |
| LB-UBS Commercial Mortgage Trust (b)(concluded): | | | |
| Series 2007-C6, Class A4, 5.86%, 7/15/40 | | 825 | 934,358 |
| Series 2007-C7, Class A3, 5.87%, 9/15/45 | | 1,460 | 1,658,566 |
| Merrill Lynch Mortgage Trust (b): | | | |
| Series 2004-BPC1, Class A3, 4.47%, 10/12/41 | | 417 | 420,938 |
| Series 2004-KEY2, Class A4, 4.86%, 8/12/39 | | 1,000 | 1,077,270 |
| Morgan Stanley, Series 2007-XLC1, Class A2, 0.56%, 7/17/17 | | 625 | 580,951 |
| Morgan Stanley Capital I, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b) | | 4,000 | 4,507,196 |
| Morgan Stanley Reremic Trust, Series 2011-IO, Class A, 2.50%, 3/23/51 (a) | | 1,092 | 1,095,604 |
| Titan Europe Plc, Series 2006-4FSX, Class A1, 9.14%, 9/03/14 (b) | GBP | 255 | 389,708 |
| Wachovia Bank Commercial Mortgage Trust: | | | |
| Series 2006-C28, Class A2, 5.50%, 10/15/48 | USD | 4,592 | 4,626,234 |
| Series 2007-C33, Class A4, 5.90%, 2/15/51 (b) | | 2,285 | 2,518,993 |
| | | | 46,432,252 |
| Interest
Only Collateralized Mortgage Obligations 0.0% | | | |
| GSMPS Mortgage Loan Trust, Series 1998-5, Class IO, 0.15%, 6/19/27 (a)(b) | | 2,236 | 49,905 |
| Salomon Brothers Mortgage Securities VII, Inc., Series 2000-1, Class IO, 0.65%, 3/25/22 (b) | | 339 | 7,085 |
| | | | 56,990 |

| Non-Agency
Mortgage-Backed Securities | Par (000) | | Value |
| --- | --- | --- | --- |
| Interest
Only Commercial Mortgage-Backed Securities 0.0% | | | |
| Morgan Stanley Capital I, Series 1997-HF1, Class X, 2.19%, 7/15/29 (a)(b) | USD | 1 | $ |
| Total
Non-Agency Mortgage-Backed Securities 14.6% | | | 57,170,454 |
| Preferred
Securities | | | |
| Capital Trusts | | | |
| Capital Markets 0.0% | | | |
| State Street Capital Trust IV, 1.55%, 6/15/37 (b) | | 70 | 49,417 |
| Commercial Banks 0.3% | | | |
| Barclays Bank Plc, 5.93% (a)(b)(j) | | 250 | 215,625 |
| Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b) | | 505 | 501,212 |
| JPMorgan Chase Capital XXV, Series Y, 6.80%, 10/01/37 | | 205 | 207,050 |
| | | | 923,887 |
| Consumer Finance 0.2% | | | |
| Capital One Capital V, 10.25%, 8/15/39 | | 200 | 208,500 |
| Capital One Capital VI, 8.88%, 5/15/40 | | 690 | 713,074 |
| | | | 921,574 |
| Insurance 1.2% | | | |
| The Allstate Corp., 6.50%, 5/15/67 (b) | | 2,150 | 2,107,000 |
| American International Group, Inc., 8.18%, 5/15/68 (b) | | 195 | 206,456 |
| Lincoln National Corp., 6.05%, 4/20/67 (b) | | 750 | 688,125 |
| MetLife Capital Trust IV, 7.88%, 12/15/67 (a) | | 125 | 137,500 |
| Swiss Re Capital I LP, 6.85% (a)(b)(j) | | 1,060 | 956,422 |
| XL Group Plc, Series E, 6.50% (b)(j) | | 810 | 686,475 |
| | | | 4,781,978 |
| Total Capital Trusts 1.7% | | | 6,676,856 |
| Preferred
Stocks | Shares | | |
| Thrifts & Mortgage Finance 0.1% | | | |
| Fannie Mae (b)(c): | | | |
| Series O, 7.00% | | 40,000 | 74,000 |
| Series S, 8.25% | | 10,000 | 15,000 |
| Freddie Mac, Series Z, 8.38% (b)(c) | | 94,539 | 139,918 |
| Total Preferred Stocks 0.1% | | | 228,918 |
| Trust
Preferreds 0.1% | Par (000) | | |
| Commercial Banks 0.1% | | | |
| Citigroup Capital XIII, 7.88%, 10/30/40 | USD | 14,810 | 398,181 |
| Total Preferred Securities 1.9% | | | 7,303,955 |

| See Notes to Financial
Statements. — 76 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets)

Taxable Municipal Bonds — East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40	950	$	1,202,310
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40	1,260		1,572,190
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39	670		963,628
New York City Municipal Water Finance Authority, RB: Build America Bonds, 5.72%, 6/15/42	690		877,659
Second General Resolution, Series EE, 5.38%, 6/15/43	385		436,725
Second General Resolution, Series EE, 5.50%, 6/15/43	465		535,610
New York State Dormitory Authority, RB, Build America Bonds:
5.63%, 3/15/39	550		656,178
5.60%, 3/15/40	950		1,155,400
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29	395		490,385
University of California, RB, Build America Bonds, 5.95%, 5/15/45	440		523,274
Total Taxable Municipal Bonds 2.2%			8,413,359
US
Government Sponsored Agency Securities
Agency Obligations 3.9%
Fannie Mae (d):
6.04%, 10/09/19 (k)	7,305		5,683,706
5.63%, 7/15/37	825		1,134,690
Federal Home Loan Bank (d):
5.25%, 12/09/22	700		879,978
5.37%, 9/09/24	1,100		1,360,585
Federal Housing Administration, Merrill Projects, Series 42, 7.43%, 9/01/22	38		36,884
Resolution Funding Corp., 8.43%, 4/15/30 (k)	6,055		3,337,032
Tennessee Valley Authority, 5.25%, 9/15/39 (d)	2,405		3,010,456
			15,443,331
Collateralized Mortgage Obligations 0.6%
Fannie Mae Mortgage-Backed Securities:
Series 1991-46, Class S, 2,461.75%, 5/25/21 (b)		(i)	2,537
Series 1991-87, Class S, 26.02%, 8/25/21 (b)	21		33,475
Series 2005-5, Class PK, 5.00%, 12/25/34	752		822,004
Series G-7, Class S, 1,116.37%, 3/25/21 (b)		(i)	1,903
Series G-12, Class S, 1,146.44%, 5/25/21 (b)		(i)	4,382
Series G-17, Class S, 1,055.17%, 6/25/21 (b)		(i)	2,305
Series G-33, Class PV, 1,078.42%, 10/25/21		(i)	2,351
Series G-49, Class S, 1,008.80%, 12/25/21 (b)		(i)	790
Freddie Mac Mortgage-Backed Securities:
Series 19, Class R, 16,195.38%, 3/15/20 (b)		(i)	493
Series 75, Class R, 9.50%, 1/15/21		(i)	1
Series 75, Class RS, 27.16%, 1/15/21 (b)		(i)	1
Series 173, Class R, 9.00%, 11/15/21	5		5
Series 173, Class RS, 9.20%, 11/15/21 (b)		(i)	6
Series 192, Class U, 1,009.03%, 2/15/22 (b)		(i)
Series 1057, Class J, 1,008.00%, 3/15/21		(i)	1,082
Series K013, Class A2, 3.97%, 1/25/21 (b)	930		1,024,236
Series K706, Class X1, 1.60%, 10/25/18 (b)	2,620		227,971
FREMF Mortgage Trust (a)(b):
Series 2012-K706, Class B, 4.02%, 11/25/44	145		141,595
Series 2012-K706, Class C, 4.02%, 11/25/44	170		149,774
			2,414,911

| US
Government Sponsored Agency Securities | Par (000) | | | |
| --- | --- | --- | --- | --- |
| Interest
Only Collateralized Mortgage Obligations 0.1% | | | | |
| Fannie Mae Mortgage-Backed Securities: | | | | |
| Series 7, Class 2, 8.50%, 4/25/17 | USD | 2 | $ | 292 |
| Series 89, Class 2, 8.00%, 10/01/18 | | 3 | | 416 |
| Series 94, Class 2, 9.50%, 8/01/21 | | 1 | | 253 |
| Series 1990-123, Class M, 1,009.50%, 10/25/20 | | | (i) | 256 |
| Series 1990-136, Class S, 19.83%, 11/25/20 (b) | | 5 | | 7,540 |
| Series 1991-99, Class L, 930.00%, 8/25/21 | | | (i) | 1,082 |
| Series 1991-139, Class PT, 648.35%, 10/25/21 | | | (i) | 1,865 |
| Series 1997-50, Class SI, 1.20%, 4/25/23 (b) | | 159 | | 5,812 |
| Series G-10, Class S, 1,080.00%, 5/25/21 (b) | | | (i) | 6,238 |
| Series G92-5, Class H, 9.00%, 1/25/22 | | 29 | | 4,868 |
| Freddie Mac Mortgage-Backed Securities: | | | | |
| Series 176, Class M, 1,010.00%, 7/15/21 | | | (i) | 345 |
| Series 200, Class R, 196,031.73%, 12/15/22 (b) | | | (i) | 6 |
| Series 1043, Class H, 43.88%, 2/15/21 (b) | | 4 | | 8,049 |
| Series 1054, Class I, 859.64%, 3/15/21 (b) | | | (i) | 635 |
| Series 1056, Class KD, 1,084.50%, 3/15/21 | | | (i) | 737 |
| Series 1148, Class E, 1,167.37%, 10/15/21 (b) | | | (i) | 1,618 |
| Series 1254, Class Z, 8.50%, 4/15/22 | | 56 | | 12,298 |
| Series 2611, Class QI, 5.50%, 9/15/32 | | 1,798 | | 213,585 |
| | | | | 265,895 |
| Mortgage-Backed Securities 2.9% | | | | |
| Fannie Mae Mortgage-Backed Securities: | | | | |
| 3.50%, 3/15/42 (l) | | 900 | | 930,094 |
| 4.00%, 3/15/27 (l) | | 4,000 | | 4,235,000 |
| 5.00%, 3/15/42 (l) | | 5,100 | | 5,506,406 |
| 5.50%, 12/01/13 3/15/27 (l) | | 234 | | 251,908 |
| 6.00%, 3/01/16 7/01/17 | | 201 | | 216,937 |
| Freddie Mac Mortgage-Backed Securities, 4.50%, 3/15/42 (l) | | 100 | | 106,203 |
| Ginnie Mae Mortgage-Backed Securities, 8.00%, 4/15/24 6/15/25 | | 19 | | 20,256 |
| | | | | 11,266,804 |
| Principal
Only Collateralized Mortgage Obligations 0.0% | | | | |
| Fannie Mae Mortgage-Backed Securities: | | | | |
| Series 203, Class 1, 2/01/23 | | 9 | | 7,834 |
| Series 228, Class 1, 6/01/23 | | 6 | | 5,530 |
| Series 1993-51, Class E, 2/25/23 | | 28 | | 25,880 |
| Series 1993-70, Class A, 5/25/23 | | 5 | | 4,217 |
| Freddie Mac Mortgage-Backed Securities, Series 1739, Class B, 2/15/24 | | 9 | | 9,444 |
| | | | | 52,905 |
| Total US
Government Sponsored Agency Securities 7.5% | | | | 29,443,846 |
| US
Treasury Obligations | | | | |
| US Treasury Bonds: | | | | |
| 8.13%, 8/15/21 (d) | | 1,550 | | 2,407,465 |
| 8.00%, 11/15/21 (d) | | 7,065 | | 10,955,166 |
| 6.25%, 8/15/23 (d) | | 4,990 | | 7,081,903 |
| 3.50%, 2/15/39 (d) | | 2,865 | | 3,117,925 |
| 4.25%, 5/15/39 (d) | | 2,770 | | 3,413,593 |
| 4.38%, 5/15/40 (d) | | 8,225 | | 10,344,220 |
| 4.75%, 2/15/41 (d) | | 1,621 | | 2,162,009 |
| 4.38%, 5/15/41 (d) | | 805 | | 1,013,797 |
| 3.13%, 11/15/41 (d) | | 30,800 | | 31,055,055 |
| 3.13%, 2/15/42 (d) | | 5,810 | | 5,853,575 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 77 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets)

US Treasury Obligations	Par (000)		Value
US Treasury Inflation Indexed Bonds, 2.13%, 2/15/41 (d)	USD	3,834	$ 5,299,375
US Treasury Notes:
0.25%, 1/31/14 (d)		1,425	1,423,720
0.25%, 2/15/15 (d)		8,110	8,069,450
2.50%, 4/30/15 (d)		1,035	1,100,496
0.88%, 1/31/17 (d)		7,600	7,607,129
2.25%, 7/31/18 (d)		2,495	2,649,573
2.63%, 8/15/20 (d)		1,105	1,186,580
2.00%, 2/15/22 (d)		27,400	27,455,649
Total US Treasury Obligations 33.9%			132,196,680
Warrants
(m)	Shares
Media 0.0%
Cumulus Media, Inc. (Expires 3/26/19)		14,710	106,253
Software 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)		101
Total Warrants 0.0%			106,253
Total
Long-Term Investments (Cost $526,858,798) 142.0%			554,155,149
Short-Term
Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.11% (n)(o)		1,301,628	1,301,628
Total
Short-Term Securities (Cost $1,301,628) 0.3%			1,301,628
Options
Purchased	Contracts
Exchange-Traded Put Options 0.0%
Eurodollar 1-Year Mid-Curve Options, Strike Price USD 99.00, Expires 3/16/12		221	1,381
		Notional Amount (000)
Over-the-Counter
Interest Rate Call Swaptions 0.0%
Receive a fixed rate of 2.65% and pay a floating rate based on 3-month LIBOR, Expires 5/01/12, Broker Bank of America NA	USD	3,600	68,975
Over-the-Counter
Put Options 0.0%
EUR Put Option, Strike Price USD 1.30, Expires 3/21/12, Broker Citibank NA		8,810	26,926
Over-the-Counter
Interest Rate Put Swaptions 0.0%
Pay a fixed rate of 0.65% and receive a floating rate based on 3-month LIBOR, Expires 7/05/12, Broker Morgan Stanley & Co., Inc.		60,300	29,041

| Options
Purchased | | Notional Amount (000) | | |
| --- | --- | --- | --- | --- |
| Over-the-Counter
Interest Rate Put Swaptions (concluded) | | | | |
| Pay a fixed rate of 3.50% and receive a floating rate based on a 6-month EURIBOR, Expires 11/08/12, Broker Citibank NA | EUR | 4,000 | $ 42,282 | |
| | | | 71,323 | |
| Total
Options Purchased (Cost $693,661) 0.0% | | | 168,605 | |
| Total
Investments Before TBA Sale Commitments and Options Written (Cost $528,854,087) 142.3% | | | 555,625,382 | |
| TBA
Sale Commitments (l) | Par (000) | | | |
| Fannie Mae Mortgage-Backed Securities: | | | | |
| 3.50%, 3/15/42 | USD | 900 | (930,094 | ) |
| 4.00%, 3/15/27 | | 4,000 | (4,235,000 | ) |
| 5.00%, 3/15/42 | | 5,100 | (5,506,406 | ) |
| 5.50%, 3/15/27 | | 100 | (108,781 | ) |
| Freddie Mac Mortgage-Backed Securities, 4.50%, 3/14/42 | | 100 | (106,203 | ) |
| Total TBA
Sale Commitments (Proceeds $10,884,848) (2.8)% | | | (10,886,484 | ) |
| | | Notional | | |
| | | Amount | | |
| Options Written | | (000 | ) | |
| Over-the-Counter
Interest Rate Call Swaptions (0.3)% | | | | |
| Pay a fixed rate of 2.45% and receive a floating rate based on 3-month LIBOR, Expires 02/22/13 Broker Citibank NA | | 25,000 | (963,423 | ) |
| Pay a fixed rate of 2.60% and receive a floating rate based on 3-month LIBOR, Expires 12/16/13, Broker JPMorgan Chase & Co. | | 1,500 | (68,340 | ) |
| Pay a fixed rate of 2.09% and receive a floating rate based on 3-month LIBOR, Expires 01/03/14, Broker Deutsche Bank AG | | 4,200 | (107,326 | ) |
| Pay a fixed rate of 1.97% and receive a floating rate based on 3-month LIBOR, Expires 01/27/14, Broker Citibank NA | | 2,400 | (51,669 | ) |
| | | | (1,190,758 | ) |
| Over-the-Counter Put Options (0.0)% | | | | |
| EUR Put Option, Strike Price USD 1.25, Expires 3/21/12, Broker Citibank NA | | 8,810 | (1,162 | ) |
| Over-the-Counter
Interest Rate Put Swaptions (0.7)% | | | | |
| Receive a fixed rate of 1.50% and pay a floating rate based on 3-month LIBOR, Expires 05/21/12, Broker JPMorgan Chase & Co. | | 125,400 | (281,260 | ) |
| Receive a fixed rate of 1.55% and pay a floating rate based on 3-month LIBOR, Expires 07/30/12, Broker Citibank NA | | 200,000 | (925,440 | ) |
| Receive a fixed rate of 1.70% and pay a floating rate based on 3-month LIBOR, Expires 08/10/12, Broker Bank of America NA | | 3,900 | (14,293 | ) |

| See Notes to Financial
Statements. — 78 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets)

| Options
Written | | Notional Amount (000) | | |
| --- | --- | --- | --- | --- |
| Over-the-Counter
Interest Rate Put Swaptions (concluded) | | | | |
| Receive a fixed rate of 1.75% and pay a floating rate based on 3-month LIBOR, Expires 08/23/12, Broker RBC Capital Markets | USD | 142,500 | $ (531,682 | ) |
| Receive a fixed rate of 2.90% and pay a floating rate based on 3-month LIBOR, Expires 01/09/13, Broker Citibank NA | | 6,000 | (89,089 | ) |
| Receive a fixed rate of 2.45% and pay a floating rate based on 3-month LIBOR, Expires 02/22/13, Broker Citibank NA | | 25,000 | (766,157 | ) |
| Receive a fixed rate of 2.60% and pay a floating rate based on 3-month LIBOR, Expires 12/16/13, Broker JPMorgan Chase & Co. | | 1,500 | (69,139 | ) |
| Receive a fixed rate of 2.09% and pay a floating rate based on 3-month LIBOR, Expires 01/03/14, Broker Deutsche Bank AG | | 4,200 | (79,290 | ) |
| Receive a fixed rate of 1.97% and pay a floating rate based on 3-month LIBOR, Expires 01/27/14, Broker Citibank NA | | 2,400 | (53,147 | ) |
| | | | (2,809,497 | ) |
| Total
Options Written (Premiums Received $4,237,733) (1.0)% | | | (4,001,417 | ) |
| Total
Investments, Net of TBA Sale Commitments and Options Written 138.5% | | | 540,737,481 | |
| Liabilities in Excess of Other Assets (38.5)% | | | (150,305,611 | ) |
| Net Assets 100.0% | | | $ 390,431,870 | |

| (a) | Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration to
qualified institutional investors. |
| --- | --- |
| (b) | Variable rate security.
Rate shown is as of report date. |
| (c) | Non-income producing
security. |
| (d) | All or a portion of
security has been pledged as collateral in connection with open reverse
repurchase agreements. |
| (e) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (f) | When-issued security.
Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation (Depreciation)
JPMorgan Chase & Co.	$ 589,263	$ (673	)
Bank of America NA	$ 782,513	$ 9,350
Morgan Stanley & Co.,
Inc.	$ 1,178,254	$ 34,254

| (g) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| --- | --- |
| (h) | Represents a step-up bond
that pays an initial coupon rate for the first period and then a higher
coupon rate for the following periods. Rate shown is as of report date. |
| (i) | Amount is less than $500. |
| (j) | Security is perpetual in
nature and has no stated maturity date. |
| (k) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (l) | Represents or includes a
to-be-announced (TBA) transaction. Unsettled TBA transactions as of
February 29, 2012 were as follows: |

Counterparty — BNP Paribas SA	Value — $ 310,031		Unrealized Appreciation (Depreciation) — $ (141	)
Credit Suisse Securities
(USA) LLC	$ 5,506,406		$ 6,375
Deutsche Bank AG			$ (227	)
Goldman Sachs & Co.	$ 4,235,000		$ 535
JPMorgan & Co.	$ (5,816,438	)	$ (1,477	)
RBS Greenwich Capital	$ (4,235,000	)	$ (625	)

| (m) | Warrants entitle the Trust
to purchase a predetermined number of shares of common stock and are
non-income producing. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date, if any. |
| --- | --- |
| (n) | Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of
Section 2(a)(3) of the 1940 Act, as amended, were as follows: |

Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class	3,706,293	(2,404,665	)	1,301,628	Income — $ 2,775

| (o) | Represents the current
yield as of report date. |
| --- | --- |
| | Reverse repurchase
agreements outstanding as of February 29, 2012 were as follows: |

| Counterparty | Interest Rate | | Trade Date | Maturity Date | Net
Closing Amount | Face Amount |
| --- | --- | --- | --- | --- | --- | --- |
| Credit Suisse Securities (USA) LLC | 0.10 | % | 11/29/11 | Open | $ 3,055,691 | $ 3,054,350 |
| Deutsche Bank AG | 0.05 | % | 12/05/11 | Open | 928,836 | 928,725 |
| Barclays Capital, Inc. | 0.08 | % | 1/11/12 | Open | 3,466,348 | 3,465,963 |
| Barclays Capital, Inc. | 0.10 | % | 1/11/12 | Open | 5,369,921 | 5,369,175 |
| Deutsche Bank AG | 0.09 | % | 1/11/12 | Open | 1,110,176 | 1,110,037 |
| Deutsche Bank AG | 0.10 | % | 1/11/12 | Open | 1,402,695 | 1,402,500 |
| Deutsche Bank AG | (0.50 | )% | 1/17/12 | Open | 340,846 | 341,055 |
| BNP Paribas Securities Corp. | 0.14 | % | 1/24/12 | Open | 1,190,809 | 1,190,637 |
| BofA Merrill Lynch | 0.11 | % | 1/25/12 | Open | 10,996,116 | 10,994,906 |
| BofA Merrill Lynch | 0.12 | % | 1/25/12 | Open | 10,288,315 | 10,287,081 |
| Deutsche Bank AG | (12.00 | )% | 1/25/12 | Open | 747,323 | 756,400 |
| BNP Paribas Securities Corp. | 0.11 | % | 1/30/12 | Open | 994,197 | 994,087 |
| UBS Securities LLC | (1.25 | )% | 2/02/12 | Open | 440,271 | 440,700 |
| BofA Merrill Lynch | 0.12 | % | 2/07/12 | Open | 10,333,448 | 10,332,656 |
| BNP Paribas Securities Corp. | 0.12 | % | 2/07/12 | Open | 2,657,379 | 2,657,175 |
| BofA Merrill Lynch | 0.16 | % | 2/10/12 | Open | 1,425,127 | 1,425,000 |
| BNP Paribas Securities Corp. | 0.20 | % | 2/10/12 | Open | 5,282,987 | 5,282,400 |
| Deutsche Bank AG | 0.25 | % | 2/13/12 | 3/12/12 | 1,924,454 | 1,924,080 |
| BofA Merrill Lynch | 0.17 | % | 2/16/12 | Open | 889,059 | 889,000 |
| BofA Merrill Lynch | 0.11 | % | 2/16/12 | Open | 2,421,979 | 2,421,875 |
| BNP Paribas Securities Corp. | 0.15 | % | 2/16/12 | Open | 1,021,403 | 1,021,344 |
| BNP Paribas Securities Corp. | 0.16 | % | 2/16/12 | Open | 2,160,117 | 2,159,983 |
| UBS Securities LLC | 0.35 | % | 2/28/12 | Open | 1,988,539 | 1,988,500 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 79 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA)

Reverse repurchase agreements outstanding as of February 29, 2012 were as follows (concluded):

| Counterparty — BNP Paribas Securities Corp. | 0.32 | % | 2/28/12 | Maturity Date — Open | Net
Closing Amount — $ 1,612,029 | Face Amount — $ 1,612,000 |
| --- | --- | --- | --- | --- | --- | --- |
| BofA Merrill Lynch | 0.12 | % | 2/29/12 | 3/01/12 | 8,079,614 | 8,079,588 |
| BNP Paribas Securities Corp. | 0.18 | % | 2/29/12 | 3/01/12 | 15,578,003 | 15,577,925 |
| BNP Paribas Securities Corp. | 0.19 | % | 2/29/12 | 3/01/12 | 31,570,167 | 31,570,000 |
| BNP Paribas Securities Corp. | 0.09 | % | 2/29/12 | 3/01/12 | 7,628,519 | 7,628,500 |
| BNP Paribas Securities Corp. | 0.32 | % | 2/29/12 | Open | 3,502,031 | 3,502,000 |
| Credit Suisse Securities (USA) LLC | (0.06 | )% | 2/29/12 | 3/01/12 | 27,571,204 | 27,571,250 |
| Total | | | | | $ 165,977,603 | $ 165,978,892 |

Financial futures contracts purchased as of February 29, 2012 were as follows:

Contracts	Issue	Exchange
228	30-Year
US Treasury Bond	Chicago
Board of Trade	June
2012	$ 32,297,625	$ 105,637

Financial futures contracts sold as of February 29, 2012 were as follows:

Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
10	Euro-Bund	Eurex	March
2012	EUR	1,398,900	$ (1,613	)
313	Euro-Schatz	Eurex	March
2012	EUR	34,561,460	(23,165	)
82	2-Year
US Treasury Note	Chicago
Board of Trade	June
2012	USD	18,059,219	4,969
98	5-Year
US Treasury Note	Chicago
Board of Trade	June
2012	USD	12,070,844	8,115
186	10-Year
US Treasury Note	Chicago
Board of Trade	June
2012	USD	24,357,281	71,480
44	90-Day Euro-Dollar	Chicago Mercantile	March
2015	USD	10,853,700	(1,507	)
44	90-Day Euro-Dollar	Chicago Mercantile	June
2015	USD	10,835,000	(1,856	)
44	90-Day Euro-Dollar	Chicago Mercantile	September 2015	USD	10,817,400	(3,007	)
44	90-Day Euro-Dollar	Chicago Mercantile	December 2015	USD	10,799,250	(4,094	)
Total						$ 49,322

Foreign currency exchange contracts purchased as of February 29, 2012 were as follows:

Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
USD	2,284,594	EUR	1,699,000	Deutsche Bank AG	3/01/12	$ 21,018
GBP	824,000	USD	1,308,504	UBS
AG	3/02/12	2,398
EUR	863,000	USD	1,142,931	UBS
AG	3/05/12	6,857
GBP	693,000	USD	1,103,178	Deutsche Bank AG	3/05/12	(684)

Foreign currency exchange contracts purchased as of February 29, 2012 were as follows (concluded):

Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
USD	1,137,468	EUR	863,000	Citibank
NA	3/05/12	$ (12,320	)
EUR	4,400,000	CHF	5,302,792	UBS
AG	3/06/12	584
EUR	1,705,000	USD	2,227,668	Citibank
NA	3/07/12	43,947
EUR	1,475,000	USD	1,926,672	Royal
Bank of Scotland Plc	3/07/12	38,508
USD	1,131,750	EUR	863,000	Citibank
NA	3/07/12	(18,046	)
AUD	1,230,000	USD	1,319,396	UBS
AG	3/13/12	(1,927	)
NZD	1,720,000	USD	1,429,019	Royal
Bank of Scotland Plc	3/13/12	5,153
USD	1,325,067	AUD	1,230,000	HSBC
Bank USA	3/13/12	7,597
USD	1,435,529	NZD	1,720,000	Morgan
Stanley & Co., Inc.	3/13/12	1,357
USD	1,623,017	EUR	1,225,000	Citibank
NA	3/14/12	(9,126	)
JPY	78,276,510	USD	975,000	Citibank
NA	3/16/12	(11,960	)
JPY	74,259,462	USD	925,000	Deutsche Bank AG	3/16/12	(11,382	)
USD	1,950,000	JPY	152,438,520	BNP
Paribas SA	3/16/12	74,541
USD	1,102,885	GBP	693,000	Deutsche	4/11/12	704
				Bank
AG
USD	1,030,889	GBP	672,500	UBS
AG	4/11/12	(38,687	)
USD	1,308,135	GBP	824,000	UBS
AG	4/11/12	(2,394	)
PHP	53,125,804	USD	1,250,000	Royal
Bank of Scotland Plc	4/17/12	(11,716	)
SGD	1,551,750	USD	1,250,000	HSBC
Bank USA	4/17/12	(9,206	)
USD	1,250,000	PHP	53,387,500	Morgan
Stanley & Co., Inc.	4/17/12	5,616
USD	1,250,000	SGD	1,577,488	Standard Chartered Bank	4/17/12	(11,374	)
EUR	1,699,000	USD	2,285,031	Deutsche Bank AG	4/18/12	(21,010	)
USD	6,231,110	EUR	4,851,000	Citibank
NA	4/18/12	(233,143	)
USD	2,068,312	EUR	1,581,000	Citibank
NA	4/18/12	(38,467	)
USD	367,592	EUR	280,000	Citibank
NA	4/18/12	(5,525	)
USD	189,234	EUR	143,000	Citibank
NA	4/18/12	(1,322	)
USD	2,991,625	EUR	2,275,000	Deutsche Bank AG	4/18/12	(39,951	)
Total						$ (269,960	)

Credit default swaps on single-name issues buy protection outstanding as of February 29, 2012 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
Radian Group, Inc.	5.00 %	Citibank
NA	3/20/13	$ 1,400	$ 188,478
Radian Group, Inc.	5.00 %	Citibank
NA	6/20/15	$ 1,400	303,681
The New York Times Co.	1.00 %	Barclays Capital, Inc.	12/20/16	$ 1,800	385
Sara Lee Corp.	1.00 %	JPMorgan Chase & Co.	3/20/17	$ 415	(644	)
Total					$ 491,900

See Notes to Financial Statements.

80 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA)

Credit default swaps on single-name issues sold protection outstanding as of February 29, 2012 were as follows:

| Issuer — Aviva USA Corp. | 1.00 % | Deutsche Bank AG | 5/25/12 | Issuer Credit Rating 1 — Not
Rated | Notional Amount (000) 2 — $ 1,150 | Unrealized Appreciation (Depreciation) — $ (619 |
| --- | --- | --- | --- | --- | --- | --- |
| Assured Guaranty Corp. | 5.00 % | Citibank
NA | 12/20/14 | AA | $ 3 | 336 |
| Assured Guaranty Corp. | 5.00 % | Citibank
NA | 3/20/15 | AA | $ 10 | 1,330 |
| MetLife, Inc. | 1.00 % | Credit
Suisse Securities (USA) LLC | 9/20/16 | A | $ 545 | 21,042 |
| MetLife, Inc. | 1.00 % | Deutsche Bank AG | 9/20/16 | A | $ 730 | 22,969 |
| MetLife, Inc. | 1.00 % | Goldman Sachs & Co. | 9/20/16 | A | $ 500 | 14,705 |
| MetLife, Inc. | 1.00 % | Morgan
Stanley & Co., Inc. | 9/20/16 | A | $ 910 | 27,286 |
| MetLife, Inc. | 1.00 % | Morgan
Stanley & Co., Inc. | 9/20/16 | A | $ 275 | 6,017 |
| Assured Guaranty Corp. | 5.00 % | Citibank
NA | 12/20/16 | AA | $ 146 | 25,075 |
| MetLife, Inc. | 1.00 % | Citibank
NA | 12/20/16 | A | $ 298 | 6,143 |
| MetLife, Inc. | 1.00 % | Citibank
NA | 12/20/16 | A | $ 290 | 7,721 |
| Total | | | | | | $ 132,005 |

1	Using S&Ps rating.
2	The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement.

Credit default swaps on traded indexes buy protection outstanding as of February 29, 2012 were as follows:

Index	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Depreciation
Dow Jones CDX Emerging Markets Series 14	5.00 %	Morgan
Stanley & Co., Inc.	12/20/15	$ 990	$ (202	)
Dow Jones CDX North America Investment Grade Index Series 16	1.00 %	Credit
Suisse Securities (USA) LLC	6/20/16	$ 385	(5,449	)
Dow Jones CDX North America Investment Grade Index Series 16	1.00 %	JPMorgan Chase & Co.	6/20/16	$ 22	(262	)
Dow Jones CDX North America Investment Grade Index Series 16	1.00 %	Morgan
Stanley & Co., Inc.	6/20/16	$ 1,488	(29,000	)
Total					$ (34,913	)

Credit default swaps on traded indexes sold protection outstanding as of February 29, 2012 were as follows:

| Index — Markit CMBX North America AAA Index Series 3 | 0.08 % | Counterparty — Morgan
Stanley & Co., Inc. | Expiration Date — 12/13/49 | Credit Rating 3 — AA | $ 530 | $ 29,222 |
| --- | --- | --- | --- | --- | --- | --- |
| Markit CMBX North America AAA Index Series 4 | 0.35 % | Morgan
Stanley & Co., Inc. | 2/17/51 | A | $ 530 | 29,114 |
| Total | | | | | | $ 58,336 |

Interest rate swaps outstanding as of February 29, 2012 were as follows:

| Fixed Rate — 1.24 | % 5 | Floating Rate — 6-month
EURIBOR | Counterparty — Citibank
NA | Expiration Date — 12/13/13 | EUR | Notional Amount (000) — 40,115 | $ 205,417 | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 3.27 | % 6 | 3-month
LIBOR | Deutsche Bank AG | 5/16/21 | USD | 910 | (102,530 | ) |
| 2.45 | % 5 | 3-month
LIBOR | Deutsche Bank AG | 10/27/21 | USD | 1,900 | 72,786 | |
| 3.02 | % 5 | 3-month
LIBOR | Goldman Sachs & Co. | 1/17/22 | USD | 1,000 | (2,991 | ) |
| 1.97 | % 6 | 3-month
LIBOR | Deutsche Bank AG | 2/02/22 | USD | 2,200 | 17,832 | |
| 2.01 | % 6 | 3-month
LIBOR | Credit
Suisse Securities (USA) LLC | 2/08/22 | USD | 600 | 2,810 | |
| 2.14 | % 6 | 3-month
LIBOR | JPMorgan Chase & Co. | 2/24/22 | USD | 25,000 | (188,488 | ) |
| 2.58 | % 6 | 6-month
EURIBOR | Deutsche Bank AG | 11/11/41 | EUR | 350 | (5,803 | ) |
| 2.68 | % 6 | 6-month
EURIBOR | Deutsche Bank AG | 11/18/41 | EUR | 750 | (33,737 | ) |
| 2.70 | % 6 | 3-month
LIBOR | Deutsche Bank AG | 1/11/42 | USD | 1,000 | 16,294 | |
| 2.85 | % 6 | 3-month
LIBOR | Bank
of America NA | 2/09/42 | USD | 1,100 | (16,737 | ) |
| 2.86 | % 6 | 3-month
LIBOR | JPMorgan Chase & Co. | 2/24/42 | USD | 10,000 | (164,984 | ) |
| Total | | | | | | | $ (200,131 | ) |

| 5 | Trust pays a floating
interest rate and receives fixed rate. |
| --- | --- |
| 6 | Trust pays a fixed interest
rate and receives floating rate. |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 81

Schedule of Investments (continued) BlackRock Income Opportunity Trust, Inc. (BNA)

Total return swaps outstanding as of February 29, 2012 were as follows:

| Reference
Entity | Trust
Pays/ Receives the Total Return of the Reference Entity | Fixed Rate | | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Depreciation | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Change in Return of the
Consumer Price Index for All Urban Consumers | Pays | 2.18 | % 1 | Bank
of | 10/06/21 | $ 1,885 | $ (77,489 | ) |
| | | | | America
NA | | | | |

1 Net payment made at termination.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trusts investments and derivative financial instruments:

Valuation Inputs	Level 1				Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		$	17,058,946		$ 5,643,507		$ 22,702,453
Common Stocks					3		3
Corporate Bonds			282,489,423		1,961,750		284,451,173
Foreign Agency Obligations			12,366,973				12,366,973
Non-Agency Mortgage-Backed Securities			56,193,118		977,336		57,170,454
Preferred Securities	$ 627,099		6,676,856				7,303,955
Taxable Municipal Bonds			8,413,359				8,413,359
US Government Sponsored Agency Securities			29,406,450		37,396		29,443,846
US Treasury Obligations			132,196,680				132,196,680
Warrants			106,253				106,253
Short-Term Securities	1,301,628						1,301,628
Liabilities:
TBA Sale Commitments			(10,886,484	)			(10,886,484	)
Total	$ 1,928,727	$	534,021,574		$ 8,619,992		$ 544,570,293
Valuation
Inputs	Level 1	Level 2			Level 3		Total
Derivative Financial Instruments 2
Assets:
Credit contracts		$	683,504				$ 683,504
Foreign currency exchange contracts			235,206				235,206
Interest rate contracts	$ 191,582		455,437				647,019
Liabilities:
Credit contracts			(35,557	)	$ (619	)	(36,176	)
Foreign currency exchange contracts			(479,402	)			(479,402	)
Interest rate contracts	(35,242	)	(4,515,525	)			(4,550,767	)
Other contracts			(77,489	)			(77,489	)
Total	$ 156,340	$	(3,733,826	)	$ (619	)	$ (3,578,105	)

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

| See Notes to Financial
Statements. — 82 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (concluded) BlackRock Income Opportunity Trust, Inc. (BNA)

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

	Asset-Backed Securities
Assets:
Balance, as of
August 31, 2011	$ 6,157,600			$	2,004,500	$	1,957,342	$	190	$	109,421	$	80,827	$	83,088	$	10,392,968
Accrued
discounts/premiums	(177,723	)			200		347						(85	)			(177,261	)
Net realized gain
(loss)	93				18,672		62,551						(1,460	)			79,856
Net change in
unrealized appreciation/depreciation 1	127,598	$	(1,782	)	(6,622	)	8,724		(190	)	(109,421	)	249		(1	)	18,555
Purchases	1,369,968						974,152										2,344,120
Sales	(514,765	)			(55,000	)	(1,673,110	)					(42,135	)			(2,285,010	)
Transfers in 2			1,785														1,785
Transfers out 2	(1,319,264	)					(352,670	)							(83,087	)	(1,755,021	)
Balance,
as of February 29, 2012	$ 5,643,507	$	3	$	1,961,750	$	977,336					$	37,396			$	8,619,992

| 1 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on investments
still held at February 29, 2012 was $139,625. |
| --- | --- |
| 2 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the event. |

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

	Credit Contracts
Liabilities:
Balance, as of August 31, 2011	$ (941	)
Accrued discounts/premiums	(3,710	)
Net realized gain (loss)
Net change in unrealized appreciation/depreciation 3	322
Purchases
Issuances 4
Sales
Settlements 5	3,710
Transfers in 6
Transfers out 6
Balance, as of February 29, 2012	$ (619	)

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 83 |
| --- | --- | --- |

| Schedule of Investments February 29, 2012
(Unaudited) |
| --- |
| (Percentages
shown are based on Net Assets) |

Asset-Backed Securities	Par (000)	Value
Asset-Backed Securities 1.9%
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF2, Class M2, 0.68%, 3/25/35 (a)	$ 5,890	$ 5,506,437
Freddie Mac Mortgage-Backed Securities, Series T-11, Class A9, 2.64%, 1/25/28 (a)	2,149	2,036,831
Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.67%, 10/25/35 (a)	1,875	1,117,823
Small Business Administration Participation Certificates, Class 1:
Series 1996-20E, 7.60%, 5/01/16	136	146,617
Series 1996-20G, 7.70%, 7/01/16	173	187,225
Series 1996-20H, 7.25%, 8/01/16	211	227,952
Series 1996-20K, 6.95%, 11/01/16	421	455,060
Series 1997-20C, 7.15%, 3/01/17	161	175,684
		9,853,629
Interest Only Asset-Backed Securities 0.2%
Small Business Administration, Series 1, 2.00%, 4/01/15	1,522	13,314
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)	4,561	353,497
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29	7,913	613,290
		980,101
Total Asset-Backed Securities 2.1%		10,833,730
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations 1.5%
Collateralized Mortgage Obligation Trust, Series 40, Class R, 0.58%, 4/01/18	104	104
Countrywide Alternative Loan Trust, Series 2005-28CB, Class 1A5, 5.50%, 8/25/35	398	395,261
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21	948	921,104
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.51%, 10/25/35 (a)	3,026	2,036,599
JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2, 2.73%, 1/25/37 (a)	377	256,518
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.17%, 8/25/23 (a)	51	58,521
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33	2,604	2,785,660
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.69%, 8/25/34 (a)	1,391	1,290,496
		7,744,263
Commercial Mortgage-Backed Securities 0.7%
Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)	2,420	2,634,814
First Union-Lehman Brothers Commercial Mortgage, Series 1997-C2, Class D, 7.12%, 11/18/29	726	731,710
		3,366,524
Interest
Only Collateralized Mortgage Obligations 1.0%
Bank of America Mortgage Securities Inc., Series 2003-3, Class 1A, 0.28%, 5/25/33	70,927	456,130
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37 (b)	949	190,958
Collateralized Mortgage Obligation Trust, Series 42, Class R, 6.00%, 10/01/14	1	64
First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17	20	3,325
Non-Agency
Mortgage-Backed Securities	Par (000)	Value
Interest Only Collateralized Mortgage Obligations (concluded)
GSMPS Mortgage Loan Trust, Series 1998-5, 0.15%, 6/19/27 (a)(b)	$ 4,445	$ 99,206
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37	98,790	493,949
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (a)	11,705	129,812
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19	574	56,215
Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.07%, 3/20/35 (a)	38,308	622,507
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 2.51%, 8/25/36 (a)	26,489	2,744,010
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.04%, 5/15/29 (a)	53,927	93,574
		4,889,750
Interest
Only Commercial Mortgage-Backed Securities 0.0%
CS First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.24%, 6/20/29 (a)	2,689	66,280
Morgan Stanley Capital I, Series 1997-HF1, Class X, 2.19%, 7/15/29 (a)(b)	3
		66,280
Principal
Only Collateralized Mortgage Obligations 0.6%
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2003-26, 8/25/33	1,540	1,200,127
Series 2003-J4, 6/25/33	295	227,282
Series 2003-J5, 7/25/33	425	323,569
Series 2003-J8, 9/25/23	323	268,404
Drexel Burnham Lambert CMO Trust, Class 1:
Series K, 9/23/17	9	8,263
Series V, 9/01/18	28	27,688
MASTR Asset Securitization Trust, Series 2004-3, Class 4A15, 3/25/34	59	59,914
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36	812	601,257
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24	7	4,935
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35	525	399,274
		3,120,713
Total Non-Agency Mortgage-Backed Securities 3.8%		19,187,530
US Government Sponsored Agency Securities
Agency Obligations 2.3%
Federal Housing Administration:
General Motors Acceptance Corp. Projects, Series 56, 7.43%, 1/11/22	209	202,760
Merrill Projects, Series 54, 7.43%, 5/15/23	2	1,868
Reilly Projects, Series 41, 8.28%, 3/01/20	220	216,223
USGI Projects, Series 87, 7.43%, 12/01/22	64	62,384
USGI Projects, Series 99, 7.43%, 6/01/21	4,285	4,156,080
USGI Projects, Series 99, 7.43%, 10/01/23	118	114,530
USGI Projects, Series 99, 7.43%, 10/01/23	40	38,764
Resolution Funding Corp., 9.89%, 4/15/30 (c)	13,000	7,164,560
		11,957,169

| See Notes to Financial
Statements. — 84 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

| Schedule of
Investments (continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

| US Government Sponsored Agency
Securities | Par (000) | | |
| --- | --- | --- | --- |
| Collateralized Mortgage Obligations 14.1% | | | |
| Fannie Mae Mortgage-Backed Securities: | | | |
| Series 7, Class 2, 8.50%, 4/01/17 | $ 4 | $ | 626 |
| Series 89, Class 2, 8.00%, 10/01/18 | 6 | | 893 |
| Series 94, Class 2, 9.50%, 8/01/21 | 3 | | 543 |
| Series 1991-46, Class S, 1.40%, 5/25/21 (a) | 90 | | 5,445 |
| Series 1991-87, Class S, 26.02%, 8/25/21 (a) | 45 | | 73,142 |
| Series 1993-199, Class SB, 7.25%, 10/25/23 (a) | 648 | | 75,652 |
| Series 1993-247, Class SN, 10.00%, 12/25/23 | 370 | | 444,292 |
| Series 1997-90, Class M, 6.00%, 1/25/28 | 5,319 | | 939,915 |
| Series 2003-32, Class VT, 6.00%, 9/25/15 | 1,869 | | 1,879,408 |
| Series 2003-135, Class PB, 6.00%, 1/25/34 | 12,264 | | 14,320,925 |
| Series 2004-29, Class HC, 7.50%, 7/25/30 | 217 | | 218,353 |
| Series 2004-31, Class ZG, 7.50%, 5/25/34 | 3,292 | | 4,175,113 |
| Series 2005-43, Class IC, 6.00%, 3/25/34 | 11 | | 414 |
| Series 2005-73, Class DS, 16.92%, 8/25/35 | 2,817 | | 3,754,142 |
| Series 2010-75, Class PI, 4.50%, 12/25/36 | 18,189 | | 778,921 |
| Series G-7, Class S, 16.87%, 3/25/21 (a) | | (d) | 4,044 |
| Series G-12, Class S, 0.61%, 5/25/21 | 360 | | 9,407 |
| Series G-17, Class S, 0.58%, 6/25/21 (a) | 233 | | 4,950 |
| Series G-33, Class PV, 1.08%, 10/25/21 | 258 | | 5,048 |
| Series G-49, Class S, 5.55%, 12/25/21 (a) | | (d) | 1,696 |
| Series G-50, Class G, 1.16%, 12/25/21 | 14 | | 26 |
| Series G92-5, Class H, 9.00%, 1/25/22 (a) | 74 | | 12,517 |
| Series G92-12, Class C, 1.00%, 2/25/22 (a) | 221 | | 4,225 |
| Freddie
Mac Mortgage-Backed Securities: | | | |
| Series 19, Class F, 8.50%, 3/15/20 | 74 | | 80,798 |
| Series 19, Class R, 9.76%, 3/15/20 (a) | 7 | | 1,184 |
| Series 40, Class K, 6.50%, 8/17/24 | 330 | | 387,803 |
| Series 75, Class R, 9.50%, 1/15/21 | | (d) | 2 |
| Series 75, Class RS, 27.16%, 1/15/21 | | (d) | 2 |
| Series 173, Class R, 9.00%, 11/15/21 (a)(b) | 12 | | 12 |
| Series 173, Class RS, 9.20%, 11/15/21 | | (d) | 12 |
| Series 192, Class U, 28.43%, 2/15/22 | 2 | | 61 |
| Series 1043, Class H, 0.02%, 2/15/21 | 8,061 | | 17,282 |
| Series 1054, Class I, 0.44%, 3/15/21 (a) | 65 | | 1,364 |
| Series 1057, Class J, 1.01%, 3/15/21 | 90 | | 2,322 |
| Series 1160, Class F, 39.10%, 10/15/21 | 17 | | 32,905 |
| Series 1691, Class B, 0.01%, 3/15/24 (a) | 855 | | 769,398 |
| Series 1739, Class B, 0.01%, 2/15/24 (a) | 21 | | 21,163 |
| Series 1961, Class H, 6.50%, 5/15/12 | | (d) | 9 |
| Series 2218, Class Z, 8.50%, 3/15/30 | 5,055 | | 5,925,506 |
| Series 2542, Class UC, 6.00%, 12/15/22 | 7,131 | | 7,818,545 |
| Series 2545, Class NI, 5.50%, 3/15/22 | 13 | | 4 |
| Series 2611, Class QI, 5.50%, 9/15/32 | 3,282 | | 389,822 |
| Series 2758, Class KV, 5.50%, 5/15/23 | 9,171 | | 10,461,494 |
| Series 2861, Class AX, 10.43%, 9/15/34 | 188 | | 204,883 |
| Series 2927, Class BZ, 5.50%, 2/15/35 (a) | 3,047 | | 3,693,804 |
| Series 3744, Class PI, 4.00%, 6/15/39 | 20,506 | | 3,271,719 |
| Series 3745, Class IN, 4.00%, 1/15/35 (a) | 45,716 | | 5,432,246 |
| Series T-8, Class A10, 0.01%, 11/15/28 | 134 | | 124,989 |
| Ginnie
Mae Mortgage-Backed Securities: | | | |
| Series 1996-5, Class Z, 7.00%, 5/16/26 | 506 | | 550,825 |
| Series 2001-33, Class PB, 6.50%, 7/20/31 | 854 | | 878,590 |
| Series 2004-89, Class PE, 6.00%, 10/20/34 | 3,392 | | 3,696,683 |
| Series 2010-101, Class YT, 2.00%, 8/16/13 | 55,905 | | 1,291,449 |
| | | | 71,764,573 |
| Federal Deposit Insurance Corporation Guaranteed 0.8% | | | |
| Citigroup
Funding, Inc., 1.88%, 10/22/12 | 3,800 | | 3,841,439 |
| US
Government Sponsored Agency Securities | Par (000) | Value | |
| Interest Only Collateralized Mortgage Obligations 2.4% | | | |
| Fannie
Mae Mortgage-Backed Securities: | | | |
| 4.50%, 4/01/41 | $ 2,833 | $ | 3,020,987 |
| Series 1991-99, Class L, 0.93%, 8/25/21 (a) | 101 | | 2,323 |
| Series 1990-123, Class M, 1.01%, 10/25/20 (a) | 21 | | 549 |
| Series 1990-136, Class S, 0.02%, 11/25/20 (a) | 11,080 | | 16,188 |
| Series 1991-139, Class PT, 0.65%, 10/25/21 | 222 | | 4,004 |
| Series 1999-W4, 6.50%, 12/25/28 | 318 | | 65,263 |
| Series 2010-74, Class DI, 5.00%, 12/25/39 | 53,610 | | 5,670,295 |
| Series 2010-126, Class UI, 5.50%, 10/25/40 | 20,130 | | 3,346,901 |
| Series G-10, Class S, 0.58%, 5/25/21 | 498 | | 13,393 |
| Freddie
Mac Mortgage-Backed Securities: | | | |
| Series 176, Class M, 1.01%, 7/15/21 | 29 | | 738 |
| Series 200, Class R, 98.52%, 12/15/22 (a) | 1 | | 13 |
| Series 1056, Class KD, 1.08%, 3/15/21 | 56 | | 1,582 |
| Series 1148, Class E, 0.59%, 10/15/21 (a) | 157 | | 3,474 |
| Series 2559, 0.50%, 8/15/30 (a) | 184 | | 2,048 |
| Series 2949, 5.50%, 3/15/35 | 551 | | 16,246 |
| | | | 12,164,004 |
| Mortgage-Backed Securities 114.2% | | | |
| Fannie
Mae Mortgage-Backed Securities: | | | |
| 3.50%, 3/12/42 (a)(f) | 7,000 | | 7,234,063 |
| 4.00%, 1/01/41 3/12/42 (f) | 28,946 | | 30,492,471 |
| 4.50%, 9/01/25 5/01/41 (a)(e)(f)(g) | 184,804 | | 199,113,616 |
| 5.00%, 1/01/23 3/12/42 (e)(f) | 114,254 | | 123,974,012 |
| 5.50%, 3/15/27 3/12/42 (f)(g) | 131,633 | | 143,767,947 |
| 5.97%, 8/01/16 | 3,036 | | 3,477,631 |
| 6.00%, 3/12/42 (a)(f) | 21,800 | | 23,980,000 |
| 6.50%, 12/01/37 10/01/39 | 42,365 | | 47,806,950 |
| 7.50%, 2/01/22 | | (d) | 117 |
| 9.50%, 1/01/19 | 3 | | 2,731 |
| Freddie
Mac Mortgage-Backed Securities: | | | |
| 2.48%, 1/01/35 (a) | 201 | | 202,955 |
| 2.55%, 10/01/34 (a) | 301 | | 315,637 |
| 2.73%, 11/01/17 | 14 | | 14,556 |
| 5.00%, 4/01/22 (g) | 926 | | 997,618 |
| 9.00%, 9/01/20 (g) | 48 | | 54,117 |
| Ginnie
Mae Mortgage-Backed Securities: | | | |
| 7.50%, 1/15/23 2/15/23 | 214 | | 232,876 |
| 8.00%, 10/15/22 1/15/27 | 70 | | 79,833 |
| 9.00%, 4/15/20 | 8 | | 8,242 |
| | | | 581,755,372 |
| Principal Only Collateralized Mortgage Obligations 0.2% | | | |
| Fannie
Mae Mortgage-Backed Securities: | | | |
| Series 203, Class 1, 2/01/23 | 18 | | 16,818 |
| Series 228, Class 1, 6/01/23 | 13 | | 11,873 |
| Series 1991-7, Class J, 2/25/21 | 18 | | 16,789 |
| Series 1993-51, Class E, 2/25/23 | 61 | | 55,564 |
| Series 1993-70, Class A, 5/25/23 | 10 | | 9,055 |
| Series 1996-68, Class SC, 1/25/24 | 304 | | 11,486 |
| Series 1997-50, Class SI, 4/25/23 | 318 | | 11,623 |
| Series 1999-W4, Class PO, 2/25/29 | 160 | | 147,625 |
| Series 2002-13, Class PR, 3/25/32 | 344 | | 320,256 |
| Series G92-60, Class SB, 10/25/22 | 226 | | 9,992 |
| Series G93-2, Class KB, 1/25/23 | 153 | | 139,338 |
| Freddie Mac Mortgage-Backed Securities: | | | |
| Series 1418, Class M, 11/15/22 | 64 | | 59,304 |
| Series 1571, Class G, 8/15/23 | 395 | | 374,563 |
| | | | 1,184,286 |
| Total US Government Sponsored Agency Securities 134.0% | | | 682,666,843 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 85 |
| --- | --- | --- |

Schedule of Investments (continued)
(Percentages
shown are based on Net Assets)

US Treasury Obligations	Par (000)	Value
US Treasury Bonds:
6.25%, 8/15/23 (e)	$ 3,320	$ 4,711,807
4.38%, 5/15/40 (e)	36,985	46,514,407
4.38%, 5/15/41	1,220	1,536,437
3.13%, 11/15/41 (e)	21,985	22,167,057
3.13%, 2/15/42 (e)	3,300	3,324,750
US Treasury Notes:
0.88%, 2/28/17 (e)	10,010	10,010,000
2.25%, 7/31/18 (e)	3,375	3,584,091
2.63%, 8/15/20 (g)	1,455	1,562,420
2.00%, 11/15/21 (e)	19,815	19,914,075
2.00%, 2/15/22 (e)	5,700	5,711,577
4.50%, 8/15/39	330	422,710
Total US
Treasury Obligations 23.5%		119,459,331
Total
Long-Term Investments (Cost $806,654,230) 163.4%		832,147,434
Short-Term Securities
Borrowed
Bond Agreements 3.6%
Barclays Capital, Inc.,
0.11%, Open	6,508	6,508,450
BNP Paribas SA:
0.03%, Open	7,316	7,315,594
0.11%, Open	937	937,250
Credit Suisse Securities
(USA) LLC, 0.04%, Open	3,774	3,774,412
		18,535,706
	Shares
Money
Market Fund 0.4%
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.11% (h)(i)	2,011,437	2,011,437
Total
Short-Term Securities (Cost $20,547,143) 4.0%		20,547,143
Options
Purchased	Contracts
Exchange-Traded Put Options 0.0%
Eurodollar 1-Year Mid-Curve Options, Strike Price USD 99.00, Expires 3/16/12	300	1,875
	Notional Amount (000)
Over-the-Counter
Interest Rate Call Swaptions 0.4%
Receive a fixed rate of 5.47% and pay a floating rate based on 3-month LIBOR, Expires 5/19/12, Broker Bank of America NA	$ 6,200	1,913,717
Over-the-Counter
Interest Rate Put Swaptions 0.0%
Pay a fixed rate of 5.47% and receive a floating rate based on 3-month LIBOR, Expires 5/19/12, Broker Bank of America NA	6,200	1
Total
Options Purchased (Cost $581,573) 0.4%		1,915,593
Total
Investments Before Borrowed Bonds, TBA Sale Commitments and Options Written (Cost $827,782,946) 167.8%		854,610,170
Borrowed
Bonds	Par (000)	Value
US Treasury Notes:
1.25%, 2/15/14	$ 920	$ (936,854	)
2.13%, 2/29/16	6,845	(7,242,866	)
1.00%, 10/31/16	3,765	(3,799,118	)
0.88%, 12/31/16	6,460	(6,470,601	)
Total
Borrowed Bonds (Proceeds $17,950,636) (3.6)%		(18,449,439	)
TBA
Sale Commitments (f)
Fannie Mae Mortgage-Backed Securities:
4.50%, 9/01/25 5/01/41	13,800	(14,764,922	)
5.50%, 3/15/27 3/12/42	1,000	(1,077,813	)
Total TBA
Sale Commitments (Proceeds $15,827,469) (3.1)%		(15,842,735	)
Options
Written	Notional Amount (000)
Over-the-Counter
Interest Rate Call Swaptions (0.4)%
Pay a fixed rate of 5.33% and receive a floating rate based on 3-month LIBOR, Expires 7/17/13, Broker JPMorgan Chase Bank NA	11,100	(1,921,819	)
Over-the-Counter
Interest Rate Put Swaptions (0.0)%
Receive a fixed rate of 5.33% and pay a floating rate based on 3-month LIBOR, Expires 7/17/13, Broker JPMorgan Chase Bank NA	11,100	(7,528	)
Total
Options Written (Premiums Received $706,515) (0.4)%		(1,929,347	)
Total
Investments, Net of TBA Sale Commitments, Options Written and Borrowed Bonds 160.7%		818,388,649
Liabilities in Excess of Other Assets (60.7)%		(308,976,810	)
Net Assets 100.0%		$ 509,411,839

| (a) | Variable rate security.
Rate shown is as of report date. |
| --- | --- |
| (b) | Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration to
qualified institutional investors. |
| (c) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (d) | Amount is less than $500. |
| (e) | All or a portion of
security has been pledged as collateral in connection with open reverse
repurchase agreements. |
| (f) | Represents or includes a
to-be-announced (TBA) transaction. Unsettled TBA transactions as of
February 29, 2012 were as follows: |

| Counterparty — BNP Paribas Securities
Corp. | Value — $ 1,550,156 | | Unrealized Appreciation (Depreciation) — $ (703 | ) |
| --- | --- | --- | --- | --- |
| Credit Suisse Securities
(USA) LLC | $ 89,523,232 | | $ 229,888 | |
| Goldman Sachs & Co. | $ 51,393,125 | | $ 59,500 | |
| Greenwich Financial
Services | $ 4,786,375 | | $ 12,375 | |
| JPMorgan Chase Securities,
Inc. | $ 29,443,860 | | $ (32,456 | ) |
| UBS AG | $ (15,842,735 | ) | $ (15,266 | ) |

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

| See Notes to Financial
Statements. — 86 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)

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

Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class	3,958,025	(1,946,588	)	2,011,437	Income — $ 3,309

| (i) | Represents the current
yield as of report date. |
| --- | --- |
| | Reverse repurchase
agreements outstanding as of February 29, 2012 were as follows: |

Counterparty			Trade Date	Maturity Date	Net Closing Amount	Face Amount
Credit Suisse Securities (USA) LLC	0.13	%	11/29/11	Open	$ 10,313,462	$ 10,310,000
BNP Paribas Securities Corp.	0.10	%	12/12/11	Open	3,595,174	3,594,375
Barclays Capital, Inc.	0.12	%	1/25/12	Open	4,764,772	4,764,200
Deutsche Bank AG	0.25	%	2/13/12	3/12/12	58,639,041	58,632,119
Merrill Lynch & Co., Inc.	0.14	%	2/16/12	Open	36,885,421	36,883,413
BNP Paribas Securities Corp.	0.09	%	2/29/12	3/01/12	7,131,662	7,131,644
BNP Paribas Securities Corp.	0.15	%	2/29/12	3/01/12	3,017,538	3,017,525
BNP Paribas Securities Corp.	0.18	%	2/29/12	3/01/12	2,065,535	2,065,525
BNP Paribas Securities Corp.	0.19	%	2/29/12	3/01/12	22,534,744	22,534,625
Credit Suisse Securities (USA) LLC	(0.06	)%	2/29/12	3/01/12	5,735,615	5,735,625
Credit Suisse Securities (USA) LLC	0.22	%	2/29/12	3/01/12	9,022,555	9,022,500
Total					$ 163,705,519	$ 163,691,551

Financial futures contracts purchased as of February 29, 2012 were as follows:

Contracts	Issue	Exchange	Expiration	Notional Value	Unrealized Appreciation (Depreciation)
143	90-Day Euro Dollar	Chicago Mercantile	March
2012	$ 35,585,550	$ 193,444
155	90-Day Euro Dollar	Chicago Mercantile	June
2012	$ 38,575,625	202,748
43	Ultra
Long US Treasury Bond	Chicago Board of Trade	June
2012	$ 6,761,750	(71,664	)
169	90-Day Euro Dollar	Chicago Mercantile	September 2012	$ 42,042,975	388,660
98	90-Day Euro Dollar	Chicago Mercantile	December 2012	$ 24,368,925	138,779
70	90-Day Euro Dollar	Chicago Mercantile	March
2013	$ 17,401,125	285,170
96	90-Day Euro Dollar	Chicago Mercantile	June
2013	$ 23,854,800	246,645
90	90-Day Euro Dollar	Chicago Mercantile	September 2013	$ 22,353,750	410,415
57	90-Day Euro Dollar	Chicago Mercantile	December 2013	$ 14,148,113	325,018
26	90-Day Euro Dollar	Chicago Mercantile	March
2014	$ 6,449,300	159,779
Total					$ 2,278,994

Financial futures contracts sold as of February 29, 2012 were as follows:

Contracts	Issue	Exchange	Expiration	Unrealized Appreciation (Depreciation)
65	2-Year
US Treasury Note	Chicago Board of Trade	March
2012	$ 14,327,422	$ 908
65	5-Year
US Treasury Note	Chicago Board of Trade	March
2012	$ 8,014,297	(123	)
107	2-Year
US Treasury Note	Chicago Board of Trade	June
2012	$ 23,565,078	646
638	5-Year
US Treasury Note	Chicago Board of Trade	June
2012	$ 78,583,656	10,468
1,595	10-Year
US Treasury Note	Chicago Board of Trade	June
2012	$ 208,870,234	417,644
19	30-Year
US Treasury Bond	Chicago Board of Trade	June
2012	$ 2,691,469	1,541
Total				$ 431,084

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 87 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)

Interest rate swaps outstanding as of February 29, 2012 were as follows:

Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
0.83% 1	3-month
LIBOR	Deutsche Bank AG	7/27/12	$ 34,800	$ (46,198	)
4.88% 2	3-month
LIBOR	UBS
AG	3/21/15	$ 25,000	3,169,816
4.87% 2	3-month
LIBOR	Goldman
Sachs & Co.	1/25/16	$ 5,500	846,219
2.81% 2	3-month
LIBOR	Citibank
NA	2/06/16	$ 20,000	1,502,661
5.72% 2	3-month
LIBOR	JPMorgan Chase & Co.	7/14/16	$ 5,400	1,100,858
5.51% 2	3-month
LIBOR	Bank
of America NA	8/03/17	$ 95,147	21,513,217
5.88% 1	3-month
LIBOR	Deutsche Bank AG	6/25/18	$ 31,930	(8,206,426	)
4.55% 1	3-month
LIBOR	Citibank
NA	9/26/18	$ 41,600	(8,018,615	)
4.31% 1	3-month
LIBOR	Deutsche Bank AG	10/01/18	$ 66,000	(11,751,455	)
3.09% 1	3-month
LIBOR	Deutsche Bank AG	3/09/19	$ 25,700	(2,595,134	)
3.17% 2	3-month
LIBOR	Bank
of America NA	3/18/19	$ 4,700	497,639
2.88% 2	3-month
LIBOR	Deutsche Bank AG	4/01/19	$ 39,700	3,424,487
3.23% 1	3-month
LIBOR	Deutsche Bank AG	5/19/19	$ 2,800	(308,662	)
3.90% 1	3-month
LIBOR	Barclays Bank Plc	6/05/19	$ 20,000	(3,144,251	)
3.55% 1	3-month
LIBOR	Deutsche Bank AG	8/18/19	$ 15,000	(2,123,592	)
5.49% 1	3-month
LIBOR	JPMorgan Chase & Co.	10/28/19	$ 1,400	(344,322	)
3.67% 2	3-month
LIBOR	Deutsche Bank AG	12/21/19	$ 2,000	286,138
5.67% 1	3-month
LIBOR	Citigroup
Global Markets, Inc.	1/06/20	$ 12,400	(3,124,695	)
3.88% 2	3-month
LIBOR	Morgan
Stanley & Co., Inc.	1/07/20	$ 7,600	1,209,220
3.71% 1	3-month
LIBOR	Deutsche Bank AG	2/11/20	$ 6,200	(907,074	)
3.73% 2	3-month
LIBOR	Morgan
Stanley & Co., Inc.	5/05/20	$ 28,000	4,160,854
3.43% 2	3-month
LIBOR	JPMorgan Chase & Co.	3/28/21	$ 7,000	1,179,276
5.41% 2	3-month
LIBOR	JPMorgan Chase & Co.	8/15/22	$ 9,565	3,028,274
Total					$ 1,348,235

| 1 | Trust pays a fixed interest
rate and receives floating rate. |
| --- | --- |
| 2 | Trust pays a floating rate
and receives fixed rate. |

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trusts investments and derivative financial instruments:

Valuation Inputs	Level 1	Level 2			Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		$ 9,853,629	$	980,101	$ 10,833,730
Non-Agency Mortgage-Backed Securities		15,197,084		3,990,446	19,187,530
US Government Sponsored Agency Securities		677,873,009		4,793,834	682,666,843
US Treasury Obligations		119,459,331			119,459,331
Short-Term Securities:
Borrowed Bond Agreements		18,535,706			18,535,706
Money Market Funds	$ 2,011,437				2,011,437
Liabilities:
Investments:
Long-Term Investments:
Borrowed Bonds		(18,449,439	)		(18,449,439	)
TBA Sale Commitments		(15,842,735	)		(15,842,735	)
Total	$ 2,011,437	$ 806,626,585	$	9,764,381	$ 818,402,403

| See Notes to Financial
Statements. — 88 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (concluded) BlackRock Income Trust, Inc. (BKT)

Valuation Inputs	Level 1				Total
Derivative Financial
Instruments 1
Assets:
Interest rate contracts	$ 2,783,740	$	43,832,377		$ 46,616,117
Liabilities:
Interest rate contracts	(71,787	)	(42,499,771	)	(42,571,558	)
Total	$ 2,711,953	$	1,332,606		$ 4,044,559

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

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

	Asset-Backed Securities
Assets/Liabilities:
Balance, as of August 31, 2011	$ 1,038,628	$	4,432,527	$	5,096,285	$	10,567,440
Accrued discounts/premiums	(174,660	)	44,578		(6,945	)	(137,027	)
Realized gain (loss)			18		(5,921	)	(5,903	)
Change in unrealized appreciation/depreciation 2	116,133		(359,799	)	(132,173	)	(375,839	)
Purchases
Sales			(126,878	)	(157,412	)	(284,290	)
Transfers in 3
Transfers out 3
Balance, as of February 29, 2012	$ 980,101	$	3,990,446	$	4,793,834	$	9,764,381

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on investments
still held at February 29, 2012 was $(342,222). |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

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

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 89 |
| --- | --- | --- |

| Schedule of Investments February 29, 2012
(Unaudited) |
| --- |
| (Percentages
shown are based on Net Assets) |

Common Stocks		Shares	Value
Auto
Components 2.0%
Delphi Automotive Plc		4,902	$ 156,861
Delphi Automotive Plc (180-day lock) (Acquired 11/17/11, cost $364,196) (a)		60,671	1,892,938
			2,049,799
Media 0.0%
Adelphia Recovery Trust		396,568	5,949
Software 0.0%
Bankruptcy Management Solutions, Inc. (b)		56	2
Total Common Stocks 2.0%			2,055,750
Corporate
Bonds	Par (000)
Airlines 0.7%
Continental Airlines, Inc., Series 2010-1-A, 4.75%, 1/12/21	USD	427	445,819
Delta Air Lines, Inc., Series 2009-1-B, Class B, 9.75%, 12/17/16		39	41,064
US Airways Pass-Through Trust, Series 2011-1, Class C, 10.88%, 10/22/14		250	250,000
			736,883
Auto Components 1.0%
Baker Corp. International, Inc., 8.25%, 6/01/19 (c)		75	76,500
Dana Holding Corp., 6.75%, 2/15/21		180	194,850
Icahn Enterprises LP, 8.00%, 1/15/18		670	710,200
			981,550
Beverages 0.3%
Crown European Holdings SA (c):
7.13%, 8/15/18	EUR	142	202,666
7.13%, 8/15/18		50	71,361
			274,027
Biotechnology 0.1%
QHP Pharma, 10.25%, 3/15/15 (c)	USD	84	84,602
Building Products 0.4%
Building Materials Corp. of America, 7.00%, 2/15/20 (c)		210	227,850
Momentive Performance Materials, Inc., 11.50%, 12/01/16		175	147,000
			374,850
Capital Markets 3.3%
Credit Suisse AG, 5.40%, 1/14/20		480	482,192
E*Trade Financial Corp.:
12.50%, 11/30/17		390	454,350
Series A, 0.0%, 8/31/19 (d)(e)		100	94,625
The Goldman Sachs Group, Inc.:
5.38%, 3/15/20		225	230,564
6.00%, 6/15/20		250	265,762
5.75%, 1/24/22		525	548,016
KKR Group Finance Co., 6.38%, 9/29/20 (c)		170	180,917
Merrill Lynch & Co., Inc., 6.05%, 5/16/16		325	335,576
Morgan Stanley, 5.50%, 7/28/21		725	718,305
			3,310,307
Corporate
Bonds	Par (000)		Value
Chemicals 3.2%
American Pacific Corp., 9.00%, 2/01/15	USD	180	$ 175,500
Ashland, Inc., 9.13%, 6/01/17		120	134,700
Celanese US Holdings LLC, 5.88%, 6/15/21		650	708,500
Chemtura Corp., 7.88%, 9/01/18		140	150,500
Ecolab, Inc., 4.35%, 12/08/21		125	137,325
Hexion U.S. Finance Corp., 9.00%, 11/15/20		115	112,700
Huntsman International LLC, 8.63%, 3/15/21		65	73,450
Ineos Finance Plc, 8.38%, 2/15/19 (c)		100	106,250
Kinove German Bondco GmbH, 10.00%, 6/15/18	EUR	109	149,214
Kraton Polymers LLC, 6.75%, 3/01/19	USD	45	45,900
Lyondell Chemical Co., 11.00%, 5/01/18		769	843,342
LyondellBasell Industries NV, 6.00%, 11/15/21 (c)		65	71,338
Nexeo Solutions LLC, 8.38%, 3/01/18 (c)		65	65,000
PolyOne Corp., 7.38%, 9/15/20		80	86,200
Solutia, Inc., 7.88%, 3/15/20		225	263,812
TPC Group LLC, 8.25%, 10/01/17		125	131,875
			3,255,606
Commercial Banks 4.6%
Amsouth Bank, Series AI, 4.85%, 4/01/13		650	652,437
Barclays Bank Plc, 5.14%, 10/14/20		450	432,807
CIT Group, Inc.:
7.00%, 5/02/16 (c)		599	599,749
7.00%, 5/02/17 (c)		1,555	1,556,944
5.50%, 2/15/19 (c)		220	224,675
HSBC Bank USA NA, 4.88%, 8/24/20		550	553,710
Lloyds TSB Bank Plc, 5.80%, 1/13/20 (c)		100	103,646
Standard Chartered Plc, 5.50%, 11/18/14 (c)		450	483,840
			4,607,808
Commercial Services & Supplies 1.5%
ACCO Brands Corp., 10.63%, 3/15/15		195	215,233
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)		204	213,498
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (c)		11	10,450
Mobile Mini, Inc., 7.88%, 12/01/20		135	141,750
RSC Equipment Rental, Inc.:
10.00%, 7/15/17 (c)		240	278,400
8.25%, 2/01/21		310	328,600
Verisure Holding AB:
8.75%, 9/01/18	EUR	100	134,562
8.75%, 12/01/18		100	118,575
West Corp., 8.63%, 10/01/18	USD	50	54,875
			1,495,943
Construction & Engineering 0.1%
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (c)		75	78,938
Construction Materials 0.1%
Xefin Lux SCA, 8.00%, 6/01/18 (c)	EUR	100	133,896
Consumer Finance 1.0%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	185	197,025
Ford Motor Credit Co. LLC:
7.80%, 6/01/12		250	253,082
5.88%, 8/02/21		447	498,839
Toll Brothers Finance Corp., 5.88%, 2/15/22		85	88,165
			1,037,111
Containers & Packaging 1.0%
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (c)	EUR	260	365,450
Berry Plastics Corp., 8.25%, 11/15/15	USD	45	48,375
GCL Holdings SCA, 9.38%, 4/15/18 (c)	EUR	100	118,907
Graphic Packaging International, Inc., 7.88%, 10/01/18	USD	135	148,500
Sealed Air Corp., 8.38%, 9/15/21 (c)		95	108,775
Smurfit Kappa Acquisitions, 7.75%, 11/15/19 (c)	EUR	130	186,622
			976,629

| See Notes to Financial
Statements. — 90 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Diversified
Financial Services 6.6%
Ally Financial, Inc.:
8.30%, 2/12/15	USD	400	$ 442,000
6.25%, 12/01/17		30	31,009
8.00%, 3/15/20		60	67,950
7.50%, 9/15/20		550	605,687
8.00%, 11/01/31		1,060	1,170,747
Axcan Intermediate
Holdings, Inc., 12.75%, 3/01/16		137	146,076
Bank of America Corp.:
4.50%, 4/01/15		375	380,685
6.50%, 8/01/16		410	443,183
5.63%, 10/14/16		100	104,398
5.75%, 12/01/17		240	251,238
Boparan Holdings Ltd.,
9.75%, 4/30/18 (c)	EUR	100	131,098
Citigroup, Inc., 8.13%,
7/15/39	USD	55	71,856
DPL, Inc., 7.25%, 10/15/21
(c)		290	330,600
FCE Bank Plc, 4.75%,
1/19/15	EUR	308	420,603
Itau Unibanco Holding SA,
5.75%, 1/22/21 (c)	USD	225	233,438
JPMorgan Chase & Co.:
5.50%, 10/15/40		175	189,015
5.60%, 7/15/41		175	194,481
Macquarie Bank, Ltd.,
5.00%, 2/22/17 (c)		200	202,140
Reynolds Group Issuer, Inc.
(c):
8.75%, 10/15/16		306	325,890
8.75%, 10/15/16	EUR	150	212,335
7.88%, 8/15/19	USD	180	197,100
6.88%, 2/15/21		140	148,400
WMG Acquisition Corp. (c):
9.50%, 6/15/16		45	49,725
11.50%, 10/01/18		210	223,125
			6,572,779
Diversified
Telecommunication Services 2.8%
Broadview Networks
Holdings, Inc., 11.38%, 9/01/12		155	139,112
Level 3 Financing, Inc.,
8.13%, 7/01/19 (c)		1,310	1,372,225
Qwest Communications International, Inc., 7.50%, 2/15/14		600	602,100
Qwest Corp., 8.38%, 5/01/16		270	316,200
Telefonica Emisiones SAU, 5.46%, 2/16/21		250	251,485
Videotron Ltee, 5.00%, 7/15/22 (c)		50	50,125
Windstream Corp.:
8.13%, 8/01/13		45	48,263
7.88%, 11/01/17		65	73,288
			2,852,798
Electric Utilities 2.1%
Progress Energy, Inc., 7.75%, 3/01/31		1,000	1,390,988
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14	EUR	600	747,020
			2,138,008
Electronic
Equipment, Instruments & Components 0.1%
Jabil Circuit, Inc., 8.25%, 3/15/18	USD	45	53,550
Energy Equipment & Services 4.2%
Antero Resources Finance Corp., 7.25%, 8/01/19 (c)		60	63,300
Calfrac Holdings LP, 7.50%, 12/01/20 (c)		145	145,000
Compagnie Générale de Géophysique-Veritas, 7.75%, 5/15/17		55	57,269
Energy Transfer Partners LP, 5.20%, 2/01/22		600	645,874
Ensco Plc, 4.70%, 3/15/21		425	465,318
Forbes Energy Services Ltd., 9.00%, 6/15/19		130	128,050
Frac Tech Services LLC, 7.63%, 11/15/18 (c)		640	683,200
Key Energy Services, Inc., 6.75%, 3/01/21		160	167,600
MEG Energy Corp., 6.50%, 3/15/21 (c)		330	353,100
Oil States International, Inc., 6.50%, 6/01/19		115	123,625
Peabody Energy Corp., 6.25%, 11/15/21 (c)		970	1,016,075
Transocean, Inc., 6.38%, 12/15/21		310	365,846
			4,214,257

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Food Products 1.1% | | | |
| Darling International, Inc., 8.50%, 12/15/18 | USD | 90 | $ 101,250 |
| Kraft Foods, Inc.: | | | |
| 6.50%, 8/11/17 | | 600 | 728,179 |
| 6.13%, 8/23/18 | | 250 | 301,397 |
| | | | 1,130,826 |
| Gas Utilities 0.2% | | | |
| El Paso Natural Gas Co., 8.63%, 1/15/22 | | 145 | 179,408 |
| Health Care Equipment & Supplies 1.5% | | | |
| DJO Finance LLC: | | | |
| 10.88%, 11/15/14 | | 830 | 844,525 |
| 7.75%, 4/15/18 | | 40 | 34,400 |
| Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (c) | | 38 | 42,085 |
| Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c) | | 410 | 473,550 |
| Teleflex, Inc., 6.88%, 6/01/19 | | 105 | 113,137 |
| | | | 1,507,697 |
| Health Care Providers & Services 5.9% | | | |
| Aviv Healthcare Properties LP, 7.75%, 2/15/19 | | 150 | 153,375 |
| ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c) | EUR | 200 | 276,452 |
| Crown Newco 3 Plc, 7.00%, 2/15/18 (c) | GBP | 200 | 313,805 |
| HCA, Inc.: | | | |
| 8.50%, 4/15/19 | USD | 40 | 44,800 |
| 6.50%, 2/15/20 | | 730 | 782,925 |
| 7.88%, 2/15/20 | | 35 | 38,588 |
| 7.25%, 9/15/20 | | 805 | 877,450 |
| Health Management Associates, Inc., 7.38%, 1/15/20 (c) | | 220 | 229,350 |
| IASIS Healthcare LLC, 8.38%, 5/15/19 | | 270 | 257,850 |
| INC Research LLC, 11.50%, 7/15/19 (c) | | 145 | 139,200 |
| inVentiv Health, Inc., 10.00%, 8/15/18 (c) | | 50 | 45,500 |
| Omnicare, Inc., 7.75%, 6/01/20 | | 260 | 289,575 |
| Symbion, Inc., 8.00%, 6/15/16 | | 125 | 120,625 |
| Tenet Healthcare Corp.: | | | |
| 10.00%, 5/01/18 | | 665 | 774,725 |
| 6.25%, 11/01/18 (c) | | 120 | 127,950 |
| 8.88%, 7/01/19 | | 195 | 222,300 |
| WellPoint, Inc., 5.95%, 12/15/34 | | 1,000 | 1,195,272 |
| | | | 5,889,742 |
| Health Care Technology 0.8% | | | |
| IMS Health, Inc., 12.50%, 3/01/18 (c) | | 660 | 785,400 |
| Hotels, Restaurants & Leisure 1.4% | | | |
| Caesars Entertainment Operating Co., Inc., 11.25%, 6/01/17 | | 140 | 153,300 |
| Diamond Resorts Corp., 12.00%, 8/15/18 | | 310 | 327,050 |
| El Dorado Resorts LLC, 8.63%, 6/15/19 (c) | | 50 | 47,625 |
| MGM Resorts International: | | | |
| 10.38%, 5/15/14 | | 750 | 853,125 |
| 11.13%, 11/15/17 | | 65 | 73,938 |
| Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (b)(f) | | 50 | |
| | | | 1,455,038 |
| Household Durables 1.2% | | | |
| Beazer Homes USA, Inc., 12.00%, 10/15/17 | | 280 | 305,200 |
| Ryland Group, Inc., 6.63%, 5/01/20 | | 130 | 132,600 |
| Standard Pacific Corp.: | | | |
| 10.75%, 9/15/16 | | 565 | 649,044 |
| 8.38%, 1/15/21 | | 105 | 111,562 |
| | | | 1,198,406 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 91 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Household
Products 0.1%
Ontex IV SA, 7.50%, 4/15/18
(c)	EUR	100	$ 122,572
Independent
Power Producers & Energy Traders 2.1%
AES Corp., 7.38%, 7/01/21
(c)	USD	230	262,200
Calpine Corp. (c):
7.25%, 10/15/17		80	84,800
7.50%, 2/15/21		35	37,975
7.88%, 1/15/23		100	109,000
Energy Future Holdings Corp., 10.00%, 1/15/20		1,220	1,319,125
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20		203	220,509
QEP Resources, Inc., 5.38%, 10/01/22 (g)		75	75,750
			2,109,359
Industrial Conglomerates 1.4%
Sequa Corp. (c):
11.75%, 12/01/15		460	488,750
13.50%, 12/01/15		854	911,921
			1,400,671
Insurance 3.1%
American International Group, Inc., 6.40%, 12/15/20		1,130	1,260,141
CNO Financial Group, Inc., 9.00%, 1/15/18 (c)		130	139,913
Genworth Financial, Inc., 7.63%, 9/24/21		150	155,629
Lincoln National Corp., 8.75%, 7/01/19		575	733,093
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (c)		250	269,853
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)		90	80,325
Prudential Financial, Inc., 5.38%, 6/21/20		400	451,203
			3,090,157
IT Services 1.5%
First Data Corp.:
7.38%, 6/15/19 (c)		130	131,463
8.88%, 8/15/20 (c)		195	211,087
8.25%, 1/15/21 (c)		155	149,962
12.63%, 1/15/21		445	467,250
SunGard Data Systems, Inc.:
7.38%, 11/15/18		280	301,000
7.63%, 11/15/20		220	237,600
			1,498,362
Machinery 0.7%
Navistar International Corp.:
3.00%, 10/15/14 (e)		210	236,512
8.25%, 11/01/21		54	59,063
SPX Corp., 6.88%, 9/01/17		65	72,150
UR Financing Escrow Corp. (c)(g):
5.75%, 7/15/18		50	51,375
7.38%, 5/15/20		125	128,281
7.63%, 4/15/22		115	119,025
			666,406
Media 15.3%
Affinion Group, Inc., 7.88%, 12/15/18		290	259,550
AMC Networks, Inc., 7.75%, 7/15/21 (c)		80	89,200
CCH II LLC, 13.50%, 11/30/16		289	332,843
CCO Holdings LLC, 6.50%, 4/30/21		750	796,875
Checkout Holding Corp., 10.68%, 11/15/15 (c)(d)		245	110,250
Cinemark USA, Inc., 8.63%, 6/15/19		60	66,750
Clear Channel Communications, Inc., 9.00%, 3/01/21		210	193,200
Clear Channel Worldwide Holdings, Inc.:
9.25%, 12/15/17		374	409,530
Series B, 9.25%, 12/15/17		1,899	2,088,900

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Media (concluded) | | | |
| DIRECTV Holdings LLC, 6.00%, 8/15/40 | USD | 175 | $ 200,760 |
| DISH DBS Corp., 7.00%, 10/01/13 | | 201 | 215,824 |
| Gray Television, Inc., 10.50%, 6/29/15 | | 270 | 285,187 |
| Intelsat Luxembourg SA: | | | |
| 11.25%, 2/04/17 | | 380 | 391,875 |
| 11.50%, 2/04/17 (h) | | 100 | 103,000 |
| Interactive Data Corp., 10.25%, 8/01/18 | | 340 | 383,350 |
| The Interpublic Group of Cos., Inc., 10.00%, 7/15/17 | | 45 | 51,525 |
| Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (c) | EUR | 237 | 337,858 |
| Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (c) | | 125 | 175,712 |
| Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c) | USD | 150 | 159,562 |
| Musketeer GmbH, 9.50%, 3/15/21 (c) | EUR | 150 | 215,833 |
| NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (c) | USD | 270 | 297,000 |
| NBC Universal Media LLC, 6.40%, 4/30/40 | | 530 | 671,588 |
| The New York Times Co., 6.63%, 12/15/16 | | 500 | 521,250 |
| News America, Inc., 6.20%, 12/15/34 | | 1,500 | 1,740,270 |
| Nielsen Finance LLC, 7.75%, 10/15/18 | | 765 | 851,062 |
| Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c) | GBP | 100 | 157,101 |
| ProQuest LLC, 9.00%, 10/15/18 (c) | USD | 130 | 115,050 |
| TCI Communications, Inc., 7.88%, 2/15/26 | | 1,000 | 1,318,770 |
| Time Warner Cable, Inc., 5.88%, 11/15/40 | | 410 | 465,550 |
| Unitymedia GmbH: | | | |
| 9.63%, 12/01/19 | EUR | 50 | 71,944 |
| 9.63%, 12/01/19 (c) | | 190 | 273,388 |
| Unitymedia Hessen GmbH & Co. KG (FKA UPC Germany GmbH): | | | |
| 8.13%, 12/01/17 (c) | USD | 200 | 217,000 |
| 8.13%, 12/01/17 | EUR | 210 | 300,767 |
| UPC Holding BV, 9.88%, 4/15/18 (c) | USD | 100 | 111,000 |
| UPCB Finance II Ltd., 6.38%, 7/01/20 (c) | EUR | 292 | 387,086 |
| Virgin Media Secured Finance Plc: | | | |
| 6.50%, 1/15/18 | USD | 200 | 218,000 |
| 7.00%, 1/15/18 | GBP | 50 | 85,909 |
| Ziggo Bond Co. BV, 8.00%, 5/15/18 (c) | EUR | 165 | 232,470 |
| Ziggo Finance BV, 6.13%, 11/15/17 (c) | | 295 | 407,767 |
| | | | 15,310,556 |
| Metals & Mining 3.2% | | | |
| Barrick Gold Corp., 2.90%, 5/30/16 | USD | 225 | 237,167 |
| Barrick North America Finance LLC, 5.70%, 5/30/41 | | 250 | 295,663 |
| Goldcorp, Inc., 2.00%, 8/01/14 (e) | | 220 | 278,850 |
| New World Resources NV: | | | |
| 7.88%, 5/01/18 | EUR | 65 | 87,899 |
| 7.88%, 5/01/18 (c) | | 76 | 102,774 |
| Newmont Mining Corp.: | | | |
| 5.13%, 10/01/19 | USD | 225 | 255,097 |
| Series A, 1.25%, 7/15/14 (e) | | 200 | 276,000 |
| Novelis, Inc., 8.75%, 12/15/20 | | 1,195 | 1,332,425 |
| Taseko Mines Ltd., 7.75%, 4/15/19 | | 150 | 144,000 |
| Vedanta Resources Plc, 8.25%, 6/07/21 (c) | | 200 | 184,500 |
| | | | 3,194,375 |
| Multiline Retail 1.2% | | | |
| Dollar General Corp., 11.88%, 7/15/17 (i) | | 1,135 | 1,245,674 |
| Oil, Gas & Consumable Fuels 11.8% | | | |
| Alpha Natural Resources, Inc., 6.25%, 6/01/21 | | 145 | 140,650 |
| Anadarko Petroleum Corp.: | | | |
| 5.95%, 9/15/16 | | 365 | 422,569 |
| 6.38%, 9/15/17 | | 75 | 90,024 |
| Berry Petroleum Co., 8.25%, 11/01/16 | | 100 | 104,250 |

| See Notes to Financial
Statements. — 92 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Bill Barrett Corp., 9.88%, 7/15/16	USD	10	$ 11,050
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18		50	52,000
Chesapeake Midstream Partners LP, 6.13%, 7/15/22 (c)		100	103,500
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (c)		60	61,200
Coffeyville Resources LLC, 9.00%, 4/01/15 (c)		99	105,930
Concho Resources, Inc., 7.00%, 1/15/21		150	168,750
Consol Energy, Inc., 8.25%, 4/01/20		710	773,900
Continental Resources, Inc., 7.13%, 4/01/21		135	149,850
Copano Energy LLC, 7.13%, 4/01/21		120	127,200
Crosstex Energy LP, 8.88%, 2/15/18		65	70,525
Denbury Resources, Inc.:
8.25%, 2/15/20		239	272,460
6.38%, 8/15/21		125	137,813
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/01/21		500	522,139
Energy XXI Gulf Coast, Inc.:
9.25%, 12/15/17		145	160,587
7.75%, 6/15/19		320	337,600
Enterprise Products Operating LLC, 3.70%, 6/01/15		500	532,678
EV Energy Partners LP, 8.00%, 4/15/19		55	57,750
Hilcorp Energy I LP, 7.63%, 4/15/21 (c)		195	212,550
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)		120	128,400
Linn Energy LLC:
6.50%, 5/15/19 (c)		35	35,700
6.25%, 11/01/19 (c)(g)		305	304,619
7.75%, 2/01/21		170	182,750
MarkWest Energy Partners LP, 6.75%, 11/01/20		50	54,625
Nexen, Inc., 6.40%, 5/15/37		150	172,050
Niska Gas Storage US LLC, 8.88%, 3/15/18		215	206,400
Oasis Petroleum, Inc.:
7.25%, 2/01/19		115	121,900
6.50%, 11/01/21		110	113,300
OGX Petroleo e Gas Participações SA, 8.50%, 6/01/18 (c)		1,705	1,777,462
Petrobras International Finance Co.:
3.88%, 1/27/16		1,100	1,147,245
5.88%, 3/01/18		200	222,324
7.88%, 3/15/19		100	123,000
6.88%, 1/20/40		25	29,461
Petrohawk Energy Corp.:
7.25%, 8/15/18		115	131,531
6.25%, 6/01/19		315	355,950
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)		210	220,500
Pioneer Natural Resources Co.:
6.88%, 5/01/18		35	41,114
7.50%, 1/15/20		55	67,967
Plains Exploration & Production Co.:
6.63%, 5/01/21		290	313,200
6.75%, 2/01/22		195	213,525
Precision Drilling Corp., 6.50%, 12/15/21 (c)		105	112,088
Range Resources Corp.:
8.00%, 5/15/19		45	50,175
5.75%, 6/01/21		350	374,500
SandRidge Energy, Inc., 7.50%, 3/15/21		165	166,650
SM Energy Co., 6.63%, 2/15/19		45	48,263
Western Gas Partners LP, 5.38%, 6/01/21		325	346,785
The Williams Cos., Inc., 8.75%, 3/15/32		124	165,523
			11,841,982

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Paper & Forest Products 2.2% | | | |
| Boise Paper Holdings LLC: | | | |
| 9.00%, 11/01/17 | USD | 105 | $ 115,500 |
| 8.00%, 4/01/20 | | 65 | 71,337 |
| Clearwater Paper Corp.: | | | |
| 10.63%, 6/15/16 | | 160 | 181,800 |
| 7.13%, 11/01/18 | | 215 | 228,975 |
| Georgia-Pacific LLC, 8.25%, 5/01/16 (c) | | 355 | 393,279 |
| International Paper Co.: | | | |
| 7.95%, 6/15/18 | | 220 | 275,788 |
| 7.30%, 11/15/39 | | 5 | 6,433 |
| Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (c) | | 120 | 123,300 |
| NewPage Corp., 11.38%, 12/31/14 (b)(f) | | 845 | 509,112 |
| Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c) | | 50 | 46,875 |
| Verso Paper Holdings LLC, 11.50%, 7/01/14 | | 297 | 302,940 |
| | | | 2,255,339 |
| Pharmaceuticals 1.5% | | | |
| Capsugel Finance Co. SCA, 9.88%, 8/01/19 (c) | EUR | 100 | 143,222 |
| Jaguar Holding Co. II, 9.50%, 12/01/19 (c) | USD | 150 | 164,063 |
| Valeant Pharmaceuticals International, 6.50%, 7/15/16 (c) | | 470 | 479,400 |
| Wyeth, 6.50%, 2/01/34 | | 500 | 673,938 |
| | | | 1,460,623 |
| Professional Services 0.3% | | | |
| FTI Consulting, Inc., 6.75%, 10/01/20 | | 265 | 286,531 |
| Real Estate Investment Trusts (REITs) 0.7% | | | |
| Felcor Lodging LP, 6.75%, 6/01/19 | | 345 | 352,763 |
| HCP, Inc., 5.38%, 2/01/21 | | 225 | 246,625 |
| The Rouse Co. LP, 6.75%, 11/09/15 | | 145 | 151,706 |
| | | | 751,094 |
| Real Estate Management & Development 1.6% | | | |
| CBRE Services, Inc., 6.63%, 10/15/20 | | 90 | 95,625 |
| Realogy Corp.: | | | |
| 11.50%, 4/15/17 | | 110 | 100,650 |
| 12.00%, 4/15/17 | | 35 | 32,200 |
| 7.88%, 2/15/19 (c) | | 810 | 785,700 |
| 7.63%, 1/15/20 (c) | | 130 | 134,225 |
| Shea Homes LP, 8.63%, 5/15/19 (c) | | 445 | 449,450 |
| | | | 1,597,850 |
| Road & Rail 1.6% | | | |
| Avis Budget Car Rental LLC, 8.25%, 1/15/19 | | 45 | 46,913 |
| Canadian National Railway Co., 6.90%, 7/15/28 | | 500 | 666,938 |
| The Hertz Corp.: | | | |
| 7.50%, 10/15/18 | | 335 | 361,381 |
| 6.75%, 4/15/19 | | 40 | 41,900 |
| 7.38%, 1/15/21 | | 430 | 465,475 |
| | | | 1,582,607 |
| Software 0.3% | | | |
| Oracle Corp., 5.38%, 7/15/40 | | 210 | 255,362 |
| Specialty Retail 1.4% | | | |
| Asbury Automotive Group, Inc., 8.38%, 11/15/20 | | 130 | 139,425 |
| House of Fraser Funding Plc: | | | |
| 8.88%, 8/15/18 (c) | GBP | 100 | 142,386 |
| 8.88%, 8/15/18 | | 125 | 177,982 |
| Limited Brands, Inc., 8.50%, 6/15/19 | USD | 320 | 382,400 |
| Phones4u Finance Plc, 9.50%, 4/01/18 (c) | GBP | 100 | 139,601 |
| QVC, Inc. (c): | | | |
| 7.13%, 4/15/17 | USD | 80 | 86,000 |
| 7.50%, 10/01/19 | | 135 | 149,850 |
| 7.38%, 10/15/20 | | 95 | 105,213 |
| Sonic Automotive, Inc., 9.00%, 3/15/18 | | 115 | 125,062 |
| | | | 1,447,919 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 93 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Tobacco
0.1%
Altria Group, Inc., 9.95%,
11/10/38	USD	50	$ 78,158
Wireless
Telecommunication Services 5.5%
America Movil SAB de CV:
2.38%, 9/08/16		200	204,217
5.00%, 3/30/20		400	454,280
American Tower Corp.,
4.50%, 1/15/18		375	387,963
Cricket Communications,
Inc., 7.75%, 5/15/16		480	511,200
Crown Castle Towers LLC,
6.11%, 1/15/40 (c)		375	422,233
Digicel Group Ltd. (c):
8.88%, 1/15/15		170	172,975
9.13%, 1/15/15		439	447,780
8.25%, 9/01/17		365	386,900
iPCS, Inc., 2.67%, 5/01/13
(i)		20	19,250
SBA Tower Trust, 4.25%,
4/15/40 (c)		325	334,425
Sprint Capital Corp.,
6.88%, 11/15/28		830	647,400
Sprint Nextel Corp. (c):
9.00%, 11/15/18		880	981,200
7.00%, 3/01/20 (g)		560	569,100
			5,538,923
Total
Corporate Bonds 100.8%			101,060,579
Floating Rate Loan Interests (i)
Airlines
0.2%
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, 4/20/17		214	208,494
Auto Components 0.2%
Schaeffler AG, Term Loan C2, 6.25%, 1/27/17		180	180,526
Building Products 0.2%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		191	193,893
Commercial Services & Supplies 0.7%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16		152	151,026
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16		225	225,241
Volume Services America, Inc., (FKA Centerplate), Term Loan B, 10.50% 10.75%, 9/16/16		356	356,982
			733,249
Construction & Engineering 0.7%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17		750	750,000
Consumer Finance 1.6%
Springleaf Finance Corp. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		1,750	1,595,317
Diversified Consumer Services 0.5%
Laureate Education, Inc., Extended Term Loan, 5.25%, 8/15/18		490	467,735
ServiceMaster Co.:
Delayed Draw Term Loan, 2.75%, 7/24/14		3	3,115
Term Loan, 2.77% 3.03%, 7/24/14		32	31,284
			502,134
Diversified Telecommunication Services 0.5%
Level 3 Financing, Inc.:
Term Loan B, 5.75%, 8/31/18		350	352,408
Tranche A Term Loan, 2.50% 2.83%, 3/13/14		200	196,700
			549,108

| Floating
Rate Loan Interests (i) | Par (000) | | Value |
| --- | --- | --- | --- |
| Energy Equipment & Services 2.0% | | | |
| Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 | USD | 705 | $ 700,939 |
| Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | | 1,290 | 1,330,738 |
| | | | 2,031,677 |
| Food Products 0.3% | | | |
| Advance Pierre Foods, Inc., Term Loan (Second Lien), 11.25%, 9/29/17 | | 300 | 300,249 |
| Health Care Equipment & Supplies 0.3% | | | |
| Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19 | | 280 | 279,826 |
| Health Care Providers & Services 0.7% | | | |
| Harden Healthcare LLC: | | | |
| Term Loan A, 8.50%, 3/02/15 | | 164 | 160,662 |
| Tranche A Additional Term Loan, 7.75%, 3/02/15 | | 165 | 161,396 |
| Health Management Associates, Inc., Term Loan B, 4.50%, 11/16/18 | | 145 | 144,058 |
| inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16 | | 265 | 254,804 |
| | | | 720,920 |
| Hotels, Restaurants & Leisure 1.2% | | | |
| Caesars Entertainment Operating Co., Inc.: | | | |
| Term Loan B-1,3.24%, 1/28/15 | | 292 | 273,775 |
| Term Loan B-2, 3.25%, 1/28/15 | | 109 | 102,445 |
| Term Loan B-3, 3.00% 3.58%, 1/28/15 | | 350 | 328,245 |
| Term Loan B-4, 9.50%, 10/31/16 | | 80 | 82,291 |
| OSI Restaurant Partners LLC: | | | |
| Revolver, 2.56% 2.79%, 6/14/13 | | 4 | 3,503 |
| Term Loan B, 2.56%, 6/14/14 | | 36 | 35,530 |
| Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16 | | 375 | 338,126 |
| | | | 1,163,915 |
| Independent
Power Producers & Energy Traders 0.1% | | | |
| Texas Competitive Electric Holdings Co. LLC (FKA TXU), Extended Term Loan, 4.76%, 10/10/17 | | 136 | 76,091 |
| Industrial Conglomerates 0.2% | | | |
| Sequa Corp., Incremental Term Loan, 6.25%, 12/03/14 | | 160 | 160,533 |
| IT Services 0.3% | | | |
| First Data Corp., Extended Term Loan B, 4.24%, 3/23/18 | | 285 | 255,742 |
| Leisure Equipment & Products 0.2% | | | |
| Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/20/13 | | 215 | 217,621 |
| Media 4.1% | | | |
| Cengage Learning Acquisitions, Inc. (FKA Thomson Learning): | | | |
| Term Loan, 2.49%, 7/03/14 | | 40 | 37,120 |
| Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | | 482 | 466,819 |
| Clear Channel Communications: | | | |
| Term Loan B, 3.89%, 1/28/16 | | 550 | 451,396 |
| Term Loan C, 3.89%, 1/28/16 | | 55 | 43,588 |
| Intelsat Jackson Holdings SA (FKA Intelsat Jackson Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18 | | 2,481 | 2,477,032 |
| Interactive Data Corp., Term Loan B, 4.50%, 2/12/18 | | 20 | 19,955 |
| Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | | 550 | 565,812 |
| | | | 4,061,722 |

| See Notes to Financial
Statements. — 94 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

| Floating
Rate Loan Interests (i) | Par (000) | | Value |
| --- | --- | --- | --- |
| Oil, Gas & Consumable Fuels 0.6% | | | |
| Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | USD | 612 | $ 614,676 |
| Paper & Forest Products 0.3% | | | |
| NewPage Corp., DIP Term Loan, 8.00%, 3/07/13 | | 250 | 251,875 |
| Pharmaceuticals 0.1% | | | |
| Pharmaceutical Products Development, Inc., Term Loan B, 6.25%, 12/05/18 | | 145 | 146,269 |
| Real Estate Investment Trusts (REITs) 0.4% | | | |
| iStar Financial, Inc., Term Loan (Second Lien), 5.00%, 6/28/13 | | 454 | 451,562 |
| Real Estate Management & Development 0.4% | | | |
| Realogy Corp.: | | | |
| Extended Letter of Credit, 4.53%, 10/10/16 | | 60 | 56,045 |
| Extended Term Loan, 4.77%, 10/10/16 | | 426 | 395,042 |
| | | | 451,087 |
| Software 0.2% | | | |
| Infor Enterprise Solutions Holdings, Inc., Extended Initial Term Loan, 6.29%, 7/28/15 | EUR | 155 | 194,632 |
| Specialty Retail 0.2% | | | |
| Claires Stores, Inc., Term Loan B, 2.99% 3.30%, 5/29/14 | USD | 197 | 186,418 |
| Wireless Telecommunication Services 1.3% | | | |
| Crown Castle International Corp., Term Loan B, 4.00%, 1/31/19 | | 75 | 74,659 |
| Vodafone Americas Finance 2, Inc. (h): | | | |
| Term Loan, 6.88%, 8/11/15 | | 831 | 830,645 |
| Term Loan B, 6.25%, 7/11/16 | | 413 | 411,469 |
| | | | 1,316,773 |
| Total Floating Rate Loan Interests 17.5% | | | 17,594,309 |
| Foreign Agency Obligations 0.2% | | | |
| Qatar Government International Bond, 4.00%, 1/20/15 (c) | | 200 | 211,000 |
| Other Interests (j) 0.0% | Beneficial Interest (000) | | |
| Media 0.0% | | | |
| Adelphia Communications Corp., Class A | | 400 | 2,480 |
| Preferred Securities | | | |
| Capital
Trusts | Par (000) | | |
| Capital Markets 0.1% | | | |
| State Street Capital Trust IV, 1.55%, 6/15/37 (i) | | 200 | 141,191 |
| Insurance 0.2% | | | |
| Genworth Financial, Inc., 6.15%, 11/15/66 (i) | | 305 | 209,306 |
| Total Capital Trusts 0.3% | | | 350,497 |

| Preferred
Stocks | Shares | | Value |
| --- | --- | --- | --- |
| Diversified Financial Services 0.9% | | | |
| Ally Financial, Inc., 7.00% (c) | | 1,000 | $ 867,688 |
| Real Estate Investment Trusts (REITs) 0.0% | | | |
| MPG Office Trust, Inc., Series A, 7.63% (b) | | 3,277 | 46,533 |
| Total Preferred Stocks 0.9% | | | 914,221 |
| Trust Preferreds 0.2% | | | |
| Diversified Financial Services 0.2% | | | |
| GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (i) | | 6,840 | 159,986 |
| Total Preferred Securities 1.4% | | | 1,424,704 |
| Taxable Municipal Bonds 0.4% | | Par (000) | |
| Metropolitan Transportation Authority, RB, Build America Bonds, Series TR, 6.81%, 11/15/40 | USD | 300 | 391,896 |
| US Government Sponsored Agency Securities 0.2% | | | |
| Collateralized Mortgage Obligations 0.2% | | | |
| Ginnie Mae Mortgage-Backed Securities, Series 2006-68, Class B, 5.16%, 6/16/31 (i) | | 247 | 251,184 |
| US Treasury Obligations | | | |
| US Treasury Notes: | | | |
| 2.00%, 11/15/21 | | 465 | 467,325 |
| 2.00%, 2/15/22 | | 95 | 95,193 |
| Total US Treasury Obligations 0.6% | | | 562,518 |
| Warrants (k) | | Shares | |
| Media 0.1% | | | |
| Cumulus Media, Inc. (Expires 3/26/19) | | 10,660 | 76,995 |
| Software 0.0% | | | |
| Bankruptcy Management Solutions, Inc. (Expires 9/28/17) | | 56 | |
| Total Warrants 0.1% | | | 76,995 |
| Total
Long-Term Investments (Cost $116,637,968) 123.2% | | | 123,631,415 |
| Short-Term Securities | | | |
| BlackRock Liquidity Funds, TempFund, Institutional Class, 0.11% (l)(m) | | 308,844 | 308,844 |
| Total
Short-Term Securities (Cost $308,844) 0.3% | | | 308,844 |

See Notes to Financial Statements. — SEMI-ANNUAL REPORT	FEBRUARY 29, 2012	95

| Schedule of Investments
(continued) |
| --- |
| (Percentages
shown are based on Net Assets) |

| Options
Purchased | Contracts | | Value | |
| --- | --- | --- | --- | --- |
| Over-the-Counter Call Options 0.0% | | | | |
| Marsico Parent Superholdco LLC, Strike Price USD 942.86, Expires 12/14/19, Broker Goldman Sachs & Co. | | 6 | | |
| | | Notional Amount (000) | | |
| Over-the-Counter Interest Rate Call Swaptions 0.0% | | | | |
| Receive a fixed rate of 2.40% and pay a floating rate based on 3-month LIBOR, expires 5/11/12, Broker Citibank NA | USD | 1,200 | $ 9,032 | |
| Over-the-Counter Interest Rate Put | | | | |
| Swaptions 0.1% | | | | |
| Pay a fixed rate of 4.50% and receive a floating rate based on 6-month EURIBOR, Expires 9/16/13, Broker Credit Suisse Securities (USA) LLC | EUR | 600 | 5,511 | |
| Pay a fixed rate of 4.50% and receive a floating rate based on 3-month LIBOR, Expires 2/07/17, Broker Deutsche Bank AG | USD | 1,000 | 38,856 | |
| | | | 44,367 | |
| Total
Options Purchased (Cost $89,464) 0.1% | | | 53,399 | |
| Total
Investments Before Options Written (Cost $117,036,276) 123.6% | | | 123,993,658 | |
| Options Written | | | | |
| Over-the-Counter Interest Rate Put Swaptions (0.0)% | | | | |
| Receive a fixed rate of 1.75% and pay a floating rate based on 3-month LIBOR, Expires 8/23/12, Broker Deutsche Bank AG | | 2,400 | (8,955 | ) |
| Receive a fixed rate of 6.00% and pay a floating rate based on 3-month LIBOR, Expires 2/02/17, Broker Deutsche Bank AG | | 2,000 | (39,290 | ) |
| Total
Options Written (Premiums Received $50,160) (0.0)% | | | (48,245 | ) |
| Total Investments, Net of Options Written 123.6% | | | 123,945,413 | |
| Liabilities in Excess of Other Assets (23.6)% | | | (23,667,372 | ) |
| Net Assets 100.0% | | | $ 100,278,041 | |

| (a) | Restricted security as to
resale. As of report date the Trust held 1.9% of its net assets, with a
current value of $1,892,938 in this security. |
| --- | --- |
| (b) | Non-income producing
security. |
| (c) | Security exempt from
registration pursuant to Rule 144A under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration to
qualified institutional investors. |
| (d) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (e) | Convertible security. |
| (f) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (g) | When-issued security.
Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation (Depreciation)
JPMorgan Chase & Co.	$ 304,619	$ (315	)
Wells Fargo Securities	$ 75,750	$ 750
Bank of America NA	$ 569,100	$ 2,163
Morgan Stanley & Co.	$ 298,681	$ 8,681

| (h) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| --- | --- |
| (i) | Variable rate security.
Rate shown is as of report date. |
| (j) | Other interests represent
beneficial interests in liquidation trusts and other reorganization or
private entities. |
| (k) | Warrants entitle the Trust
to purchase a predetermined number of shares of common stock and are
non-income producing. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date, if any. |
| (l) | Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as
follows: |

Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class	891,719	(582,875	)	308,844	Income — $ 569

| (m) | Represents the current
yield as of report date. |
| --- | --- |
| | Financial futures
contracts purchased as of February 29, 2012 were as follows: |

| Contracts — 57 | 2-Year
US Treasury Note | Chicago Board of Trade | June
2012 | Notional Value — $ 12,553,359 | Unrealized Depreciation — $ (714 | ) |
| --- | --- | --- | --- | --- | --- | --- |
| 42 | 5-Year
US Treasury Note | Chicago Board of Trade | June
2012 | $ 5,173,219 | (1,604 | ) |
| 10 | Ultra
Long US Treasury Bond | Chicago Board of Trade | June
2012 | $ 1,572,500 | (16,666 | ) |
| Total | | | | | $ (18,984 | ) |

Financial futures contracts sold as of February 29, 2012 were as follows :

| Contracts — 34 | 10-Year
US Treasury Note | Chicago Board of Trade | June
2012 | Notional Value — $ 4,452,406 | Unrealized Appreciation — $ 13,067 |
| --- | --- | --- | --- | --- | --- |
| 10 | 30-Year
US Treasury Bond | Chicago Board of Trade | June
2012 | $ 1,416,563 | 811 |
| Total | | | | | $ 13,878 |

Foreign currency exchange contracts as of February 29, 2012 were as follows:

| Currency Purchased — GBP | 100,000 | Currency Sold — USD | 158,417 | Counterparty — Citibank
NA | Settlement Date — 4/11/12 | $ 628 | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| USD | 103,301 | GBP | 65,000 | Citibank
NA | 4/11/12 | (78 | ) |
| USD | 156,943 | GBP | 100,000 | Royal
Bank of Scotland Plc | 4/11/12 | (2,102 | ) |
| USD | 945,046 | GBP | 616,500 | UBS
Securities LLC | 4/11/12 | (35,466 | ) |
| EUR | 150,000 | USD | 201,950 | Deutsche
Bank AG | 4/18/12 | (2,066 | ) |
| USD | 5,288,287 | EUR | 4,117,000 | Citibank
NA | 4/18/12 | (197,866 | ) |
| USD | 158,498 | EUR | 120,000 | Citibank
NA | 4/18/12 | (1,409 | ) |
| USD | 64,505 | EUR | 49,000 | Deutsche
Bank AG | 4/18/12 | (790 | ) |
| USD | 377,772 | EUR | 290,000 | Royal
Bank of Scotland Plc | 4/18/12 | (8,671 | ) |
| USD | 159,843 | EUR | 121,000 | UBS
Securities LLC | 4/18/12 | (1,397 | ) |
| Total | | | | | | $ (249,217 | ) |

See Notes to Financial Statements. — 96	SEMI-ANNUAL REPORT	FEBRUARY 29, 2012

Schedule of Investments (continued) BlackRock Strategic Bond Trust (BHD)

Credit default swaps on single-name issues buy protection outstanding as of February 29, 2012 were as follows:

Issuer — Republic of Hungary	1.00 %	Deutsche Bank AG	12/20/15	Notional Amount (000) — $ 110	Unrealized Appreciation — $ 5,857
K. Hovnanian Enterprises, Inc.	5.00 %	JPMorgan Chase & Co.	12/20/15	$ 250	33,633
The New York Times Co.	1.00 %	Barclays Capital, Inc.	12/20/16	$ 500	107
Total					$ 39,597

Credit default swaps on single-name issues sold protection outstanding as of February 29, 2012 were as follows:

| Issuer — Aviva USA Corp. | 1.00 % | Deutsche Bank AG | 5/25/12 | Not
Rated | Notional Amount (000) 2 — $ 375 | Unrealized Appreciation (Depreciation) — $ (202 |
| --- | --- | --- | --- | --- | --- | --- |
| Assured Guaranty Corp. | 5.00 % | Citibank
NA | 3/20/15 | AA | $ 33 | 4,397 |
| MetLife, Inc. | 5.00 % | Deutsche Bank AG | 6/20/15 | A | $ 150 | 8,269 |
| MetLife, Inc. | 1.00 % | UBS Securities LLC | 9/20/15 | A | $ 175 | 3,984 |
| ARAMARK Corp. | 5.00 % | Goldman Sachs & Co. | 6/20/16 | B | $ 150 | 7,136 |
| ARAMARK Corp. | 5.00 % | Goldman Sachs & Co. | 6/20/16 | B | $ 150 | 8,079 |
| ARAMARK Corp. | 5.00 % | JPMorgan Chase & Co. | 6/20/16 | B | $ 50 | 2,570 |
| ARAMARK Corp. | 5.00 % | JPMorgan Chase & Co. | 6/20/16 | B | $ 100 | 5,139 |
| ARAMARK Corp. | 5.00 % | Goldman Sachs & Co. | 9/20/16 | B | $ 150 | 6,774 |
| Total | | | | | | $ 46,146 |

1	Using S&Ps rating.
2	The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement.

Interest rate swaps outstanding as of February 29, 2012 were as follows:

Fixed Rate — 2.71% (3)	3-month LIBOR	Deutsche Bank AG	2/02/42	Notional Amount (000) — $ 1,200	Unrealized Appreciation — $ 17,608

3 Trust pays fixed interest rate and receives floating rate.

| | For Trust compliance
purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by
one or more widely recognized market indexes or rating group indexes, and/or
as defined by Trust management. These definitions may not apply for purposes
of this report, which may combine such industry sub-classifications for reporting
ease. |
| --- | --- |
| | Fair Value Measurements
Various inputs are used in determining the fair value of investments and derivative financial
instruments. These inputs are categorized into a disclosure hierarchy
consisting of three broad levels for financial statement purposes as follows: |
| | Level 1 unadjusted price
quotations in active markets/exchanges for identical assets and liabilities |
| | Level 2 other observable
inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are
active, quoted prices for identical or similar assets or liabilities in
markets that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) |
| | Level 3 unobservable
inputs based on the best information available in the circumstances, to the extent observable
inputs are not available (including the Trusts own assumptions used in
determining the fair value of investments and derivative financial
instruments) |
| Changes in valuation
techniques may result in transfers in or out of an assigned level within the
disclosure hierarchy. The categorization of a value determined for
investments and derivative financial instruments is based on the pricing
transparency of the investment and derivative financial instrument and does
not necessarily correspond to the Trusts perceived risk of investing in
those securities. For information about the Trusts policy regarding
valuation of investments and derivative financial instruments and other
significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements. | |
| The following tables
summarize the inputs used as of February 29, 2012 in determining the fair
valuation of the Trusts investments and derivative financial instruments: | |

| Valuation
Inputs | Level 1 | Level 2 | Level 3 | Total |
| --- | --- | --- | --- | --- |
| Assets: | | | | |
| Investments: | | | | |
| Long-Term Investments: | | | | |
| Common Stocks | $ 162,809 | $ 1,892,939 | $ 2 | $ 2,055,750 |
| Corporate Bonds | | 101,060,579 | | 101,060,579 |
| Floating Rate Loan Interests | | 14,665,460 | 2,928,849 | 17,594,309 |
| Foreign Agency Obligations | | 211,000 | | 211,000 |
| Other Interests | | 2,480 | | 2,480 |
| Preferred Securities | 206,519 | 1,218,185 | | 1,424,704 |
| Taxable Municipal | | | | |
| Bonds | | 391,896 | | 391,896 |
| US Government Sponsored Agency Securities | | 251,184 | | 251,184 |
| US Treasury Obligations | | 562,518 | | 562,518 |
| Warrants | | 76,995 | | 76,995 |
| Short-Term Securities | 308,844 | | | 308,844 |
| Total | $ 678,172 | $ 120,333,236 | $ 2,928,851 | $ 123,940,259 |

| Valuation
Inputs | Level 1 | | Level 2 | | Level 3 | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Derivative Financial Instruments 4 | | | | | | | | |
| Assets: | | | | | | | | |
| Credit contracts | | | $ 85,945 | | | | $ 85,945 | |
| Foreign currency exchange contracts | | | 628 | | | | 628 | |
| Interest rate contracts | $ 13,878 | | 71,007 | | | | 84,885 | |
| Liabilities: | | | | | | | | |
| Credit contracts | | | | | $ (202 | ) | (202 | ) |
| Foreign currency exchange contracts | | | (249,845 | ) | | | (249,845 | ) |
| Interest rate contracts | (18,984 | ) | (48,245 | ) | | | (67,229 | ) |
| Total | $ (5,106 | ) | $ (140,510 | ) | $ (202 | ) | $ (145,818 | ) |

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

See Notes to Financial Statements. — SEMI-ANNUAL REPORT	FEBRUARY 29, 2012	97

Schedule of Investments (concluded) BlackRock Strategic Bond Trust (BHD)

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

	Common Stocks	Corporate Bonds
Assets/Liabilities:
Balance, as of August 31,
2011		$ 38,005	$	3,592,743	$	95	$	79,288	$	60,209	$	3,770,340
Accrued discounts/premiums		156		1,661								1,817
Net realized gain (loss)		13,618		1,185		182		93,280				108,265
Net change in unrealized
appreciation/depreciation 1	$ 1	(11,779	)	867		(95	)	(79,288	)	(1	)	(90,295	)
Purchases				40,401								40,401
Sales		(40,000	)	(140,133	)	(182	)	(93,280	)			(273,595	)
Transfers in 2	1											1
Transfers out 2				(567,875	)					(60,208	)	(628,083	)
Balance,
as of February 29, 2012	$ 2		$	2,928,849							$	2,928,851

| 1 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on investments
still held at February 29, 2012 was $(97,679). |
| --- | --- |
| 2 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the event. |

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


Liabilities:
Balance, as of August 31,
2011	$ (307	)
Accrued discounts/premiums	1,210
Net realized gain (loss)
Net change in unrealized
appreciation/depreciation 3	105
Purchases
Issuance 4
Sales
Settlements 5	(1,210	)
Transfers in 6
Transfers out 6
Balance,
as of February 29, 2012	$ (202	)

| 3 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The change in unrealized appreciation/depreciation on derivative
financial instruments still held at February 29, 2012 was $105. |
| --- | --- |
| 4 | Issuances represent upfront
cash received on certain derivative financial instruments. |
| 5 | Settlements represent
periodic contractual cash flows and/or cash flows to terminate certain
derivative financial instruments. |
| 6 | The Trusts policy is to
recognize transfers in and transfers out as of the beginning of the period of
the event or the change in circumstances that caused the transfer. |

See Notes to Financial Statements. — 98	SEMI-ANNUAL REPORT	FEBRUARY 29, 2012

S tatements of Assets and Liabilities

February 29, 2012 (Unaudited)	BlackRock Core Bond Trust (BHK)	BlackRock Corporate High Yield Fund V, Inc. (HYV)*	BlackRock Corporate High Yield Fund VI, Inc. (HYT)*	BlackRock High Income Shares (HIS)
Assets
Investments at value unaffiliated 1	$ 544,625,751	$ 547,455,952	$ 569,198,757	$ 150,992,236
Investments at value affiliated 2	163,811			840,816
Foreign currency at value 3	202,534	361,936	372,525	251,632
Cash	26,041			31
Cash pledged as collateral for financial futures contracts		860,000	917,000	183,000
Cash pledged as collateral for swaps	3,970,000	400,000	400,000
Investments sold receivable	82,971,474	12,788,012	13,161,040	3,742,722
TBA sale commitments receivable	9,811,934
Unrealized appreciation on swaps	923,927	643,176	662,856
Interest receivable	5,393,372	7,725,073	8,131,738	2,353,351
Swaps premiums paid	217,047	503,781	522,565
Swaps receivable	23,707	149,841	152,660
Principal paydown receivable	8,044	501,646	597,236	145,734
Unrealized appreciation on foreign currency exchange contracts	209,363	8,857	7,223
Margin variation receivable		62,650	66,850	13,300
Dividends receivable unaffiliated		34,875	16,421	2,200
Prepaid expenses	29,118	62,834	8,943	10,360
Other assets	46,800	174,843	181,305	8,944
Total assets	648,622,923	571,733,476	594,397,119	158,544,326
Liabilities
Bank overdraft		466,920	245,533
Reverse repurchase agreements	157,136,074
Investments purchased payable	82,283,975	28,263,952	29,371,924	7,619,903
Loan payable		131,000,000	133,000,000	28,000,000
Cash held as collateral for reverse repurchase agreements	16,000
TBA sale commitments at value 4	9,813,953
Unrealized depreciation on swaps	666,328	112,207	119,959
Options written at value 5	3,990,457	25,013	25,955	7,250
Swaps payable	108,233	17,020	18,040
Swaps premiums received	534,442	364,860	385,790
Investment advisory fees payable	323,144	251,300	304,243	86,949
Margin variation payable	5,893
Interest expense payable	56,687	115,851	116,814	16,945
Unrealized depreciation on foreign currency exchange contracts	562,330	1,448,067	1,500,303	283,739
Income dividends payable	52,506
Officers and Trustees fees payable	68,991	86,695	85,279	11,440
Deferred income		117,194	123,177	36,081
Other accrued expenses payable	96,562	288,517	426,927	75,002
Other liabilities	329,546
Total liabilities	256,045,121	162,557,596	165,723,944	36,137,309
Net Assets	$ 392,577,802	$ 409,175,880	$ 428,673,175	$ 122,407,017
1 Investments
at cost unaffiliated	$ 519,012,926	$ 534,151,821	$ 556,169,846	$ 148,680,124
2 Investments
at cost affiliated	$ 163,811			$ 840,816
3 Foreign
currency at cost	$ 201,991	$ 359,267	$ 366,559	$ 249,559
4 Proceeds
from TBA sale commitments	$ 9,811,934
5 Premiums
received	$ 4,225,523	$ 123,355	$ 128,039	$ 36,987

Consolidated Statements of Assets and Liabilities.

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 99 |
| --- | --- | --- |

Statements of Assets and Liabilities (concluded)

February 29, 2012 (Unaudited)	BlackRock Core Bond Trust (BHK)
Net Assets Consist of
Paid-in capital 6,7,8	$ 378,671,939	$	470,118,921	$	505,552,795	$	160,626,815
Undistributed net
investment income	4,582,677		2,332,739		3,582,027		1,085,651
Accumulated net realized
loss	(16,529,678	)	(75,398,403	)	(92,241,782	)	(41,298,548	)
Net unrealized
appreciation/depreciation	25,852,864		12,122,623		11,780,135		1,993,099
Net Assets	$ 392,577,802	$	409,175,880	$	428,673,175	$	122,407,017
Net asset value	$ 14.53	$	12.41	$	12.13	$	2.24
6 Par value
per share	$ 0.001	$	0.100	$	0.100
7 Shares
outstanding	27,023,027		32,969,525		35,332,526		54,672,479
8 Shares
authorized	unlimited		200
million		200
million		unlimited

Consolidated Statements of Assets and Liabilities.

| See Notes to Financial
Statements. — 100 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Statements of Assets and Liabilities

February 29, 2012 (Unaudited)	BlackRock High Yield Trust (BHY)	BlackRock Income Opportunity Trust, Inc. (BNA)	BlackRock Income Trust, Inc. (BKT)	BlackRock Strategic Bond Trust (BHD)
Assets
Investments at value unaffiliated 1	$ 58,692,832	$ 554,323,754	$ 852,598,733	$ 123,684,814
Investments at value affiliated 2	980,802	1,301,628	2,011,437	308,844
Foreign currency at value 3	1,380	165,125		109,148
Cash		25,599	24,438
Cash pledged as collateral for financial futures contracts		763,000	2,640,000	44,660
Cash pledged as collateral for swaps		4,300,000	8,605,000
Cash pledged as collateral for reverse repurchase agreements			330,000
Investments sold receivable	1,783,021	80,618,255	10,583,505	2,984,062
TBA sale commitments receivable		10,884,848	15,827,469
Unrealized appreciation on swaps	191,926	998,643	41,918,659	103,553
Interest receivable	887,906	5,578,273	3,934,337	1,756,475
Swaps premiums paid	69,435	217,142	121,668	130,833
Swaps receivable	32,378	39,715	2,332,174	9,433
Principal paydown receivable	57,813	8,044	389,082	109,944
Margin variation receivable		44,549	848,928	2,211
Unrealized appreciation on foreign currency exchange contracts	407	208,280		628
Dividends receivable unaffiliated	1,800		354	787
Prepaid expenses	1,901	16,136	16,667	2,615
Other assets	10,040	76,733	86,901	7,921
Total assets	62,711,641	659,569,724	942,269,352	129,255,928
Liabilities
Reverse repurchase agreements		165,978,892	163,691,551
Investments purchased payable	4,136,637	84,795,017	186,255,698	3,443,143
Loan payable	12,000,000			25,000,000
Cash held as collateral for swaps			600,000
TBA sale commitments at value 4		10,886,484	15,842,735
Unrealized depreciation on swaps	6,107	628,935	40,570,424	202
Options written at value 5		4,001,417	1,929,347	48,245
Borrowed bonds at value 6			18,449,439
Swaps payable	3,020	106,812	3,282,710	9,242
Swaps premiums received	200,348	526,162	1,280,951	14,970
Investment advisory fees payable	37,786	184,371	262,070	71,814
Interest expense payable	1,365	68,030	164,769	14,498
Unrealized depreciation on foreign currency exchange contracts	15,017	478,240		249,845
Income dividends payable		54,023	119,015	10,342
Officers and Trustees fees payable	11,389	78,752	89,237	10,347
Deferred income	13,158			29,038
Administration fees payable	4,200	30,732	60,533
Other accrued expenses payable	43,065	150,429	259,034	76,201
Other liabilities		1,169,558
Total liabilities	16,472,092	269,137,854	432,857,513	28,977,887
Net Assets	$ 46,239,549	$ 390,431,870	$ 509,411,839	$ 100,278,041
1 Investments
at cost unaffiliated	$ 56,182,235	$ 527,552,459	$ 825,771,509	$ 116,727,432
2 Investments
at cost affiliated	$ 980,802	$ 1,301,628	$ 2,011,437	$ 308,844
3 Foreign
currency at cost	$ 1,366	$ 164,678		$ 108,522
4 Proceeds
from TBA sale commitments		$ 10,884,848	$ 15,827,469
3 Premiums
received		$ 4,237,733	$ 706,515	$ 50,160
6 Proceeds
from borrowed bonds cost			$ 17,950,636

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 101 |
| --- | --- | --- |

Statements of Assets and Liabilities (concluded)

February 29, 2012 (Unaudited)	BlackRock High Yield Trust (BHY)
Net Assets Consist of
Paid-in capital 7,8,9	$ 58,521,452	$	402,924,496	$	478,542,248	$	98,450,652
Cost of shares held in treasury 10			(17,377,850	)
Undistributed net investment income (loss) (distributions in excess of
net investment income)	(147,925	)	4,964,408		(1,761,219	)	284,229
Undistributed net realized gain (accumulated net realized loss)	(14,816,607	)	(27,327,848	)	3,451,205		(5,267,473	)
Net unrealized appreciation/depreciation	2,682,629		27,248,664		29,179,605		6,810,633
Net Assets	$ 46,239,549	$	390,431,870	$	509,411,839	$	100,278,041
Net asset value	$ 7.19	$	11.33	$	7.97	$	14.21
7 Par value
per share	$ 0.001	$	0.01	$	0.01	$	0.001
8 Shares
outstanding	6,428,284		34,456,370		63,942,535		7,058,401
9 Shares
authorized	unlimited		200
million		200
million		unlimited
10 Shares
held in treasury			1,757,400

| See Notes to Financial
Statements. — 102 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

S tatements of Operations

| Six Months Ended February 29, 2012
(Unaudited) | BlackRock Core Bond Trust (BHK) | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Investment Income | | | | | | | | |
| Interest | $ 13,703,692 | $ | 19,386,469 | $ | 20,295,721 | $ | 6,146,421 | |
| Dividends unaffiliated | 32,453 | | 524,118 | | 513,382 | | 105,885 | |
| Foreign taxes withheld | (4,423 | ) | (25,446 | ) | (28,211 | ) | (463 | ) |
| Dividends affiliated | 4,189 | | 3,734 | | 3,961 | | 655 | |
| Total income | 13,735,911 | | 19,888,875 | | 20,784,853 | | 6,252,498 | |
| Expenses | | | | | | | | |
| Investment advisory | 1,377,788 | | 1,507,361 | | 1,829,155 | | 536,502 | |
| Borrowing costs 1 | | | 157,545 | | 287,672 | | 56,223 | |
| Professional | 61,506 | | 92,801 | | 107,880 | | 37,350 | |
| Custodian | 84,539 | | 31,284 | | 38,767 | | 12,869 | |
| Printing | 44,981 | | 27,549 | | 36,586 | | 19,138 | |
| Accounting services | 46,694 | | 48,150 | | 75,325 | | 26,984 | |
| Officer and Trustees | 20,142 | | 26,455 | | 24,718 | | 5,941 | |
| Transfer agent | 6,335 | | 28,707 | | 35,950 | | 16,316 | |
| Registration | 4,648 | | 5,320 | | 7,053 | | 8,078 | |
| Miscellaneous | 31,206 | | 59,789 | | 51,955 | | 7,914 | |
| Total expenses excluding interest expense | 1,677,839 | | 1,984,961 | | 2,495,061 | | 727,315 | |
| Interest expense | 98,065 | | 575,503 | | 579,463 | | 123,291 | |
| Total expenses | 1,775,904 | | 2,560,464 | | 3,074,524 | | 850,606 | |
| Less fees waived by advisor | (1,242 | ) | (251 | ) | (280 | ) | (182 | ) |
| Total expenses after fees waived | 1,774,662 | | 2,560,213 | | 3,074,244 | | 850,424 | |
| Net investment income | 11,961,249 | | 17,328,662 | | 17,710,609 | | 5,402,074 | |
| Realized and Unrealized Gain (Loss) | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | |
| Investments | 5,700,028 | | (7,422,842 | ) | (7,951,066 | ) | (2,101,711 | ) |
| Financial futures contracts | (488,853 | ) | (3,965,704 | ) | (4,093,471 | ) | (355,406 | ) |
| Foreign currency transactions | 1,291,618 | | 4,242,701 | | 3,686,985 | | 794,255 | |
| Options written | (1,299,200 | ) | 1,037,615 | | 1,115,059 | | 66,268 | |
| Swaps | 2,373,733 | | (235,126 | ) | (260,392 | ) | | |
| Borrowed bonds | 198,493 | | | | | | | |
| | 7,775,819 | | (6,343,356 | ) | (7,502,885 | ) | (1,596,594 | ) |
| Net change in unrealized appreciation/depreciation on: | | | | | | | | |
| Investments | 11,315,471 | | 28,176,913 | | 29,114,890 | | 6,127,192 | |
| Financial futures contracts | 570,814 | | 1,980,740 | | 1,905,233 | | 119,132 | |
| Foreign currency transactions | (352,626 | ) | (1,250,641 | ) | (1,340,227 | ) | (247,672 | ) |
| Options written | 2,754,706 | | 528,155 | | 536,217 | | 29,737 | |
| Swaps | (2,879,831 | ) | 562,508 | | 572,710 | | | |
| | 11,408,534 | | 29,997,675 | | 30,788,823 | | 6,028,389 | |
| Total realized and unrealized gain | 19,184,353 | | 23,654,319 | | 23,285,938 | | 4,431,795 | |
| Net Increase in Net Assets Resulting from Operations | $ 31,145,602 | $ | 40,982,981 | $ | 40,996,547 | $ | 9,833,869 | |

| 1 | See Note 6 of the Notes to
Financial Statements for details of short-term borrowings. |
| --- | --- |
| 2 | Consolidated Statement of
Operations. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 103 |
| --- | --- | --- |

Statements of Operations

| Six Months Ended February 29, 2012
(Unaudited) | BlackRock High Yield Trust (BHY) | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Investment Income | | | | | | | | |
| Interest | $ 1,968,090 | $ | 13,178,562 | $ | 15,589,898 | $ | 4,225,515 | |
| Dividends unaffiliated | 32,622 | | 34,719 | | | | 50,374 | |
| Foreign taxes withheld | | | (955 | ) | | | (112 | ) |
| Dividends affiliated | 573 | | 5,866 | | 7,075 | | 533 | |
| Total income | 2,001,285 | | 13,218,192 | | 15,596,973 | | 4,276,310 | |
| Expenses | | | | | | | | |
| Investment advisory | 220,473 | | 1,133,724 | | 1,652,248 | | 439,324 | |
| Administration | 24,497 | | 188,954 | | 381,288 | | | |
| Borrowing costs 1 | 9,465 | | | | | | 35,741 | |
| Professional | 31,231 | | 53,963 | | 74,846 | | 36,129 | |
| Custodian | 8,735 | | 53,624 | | | | 7,466 | |
| Printing | 8,281 | | 34,525 | | 46,782 | | 13,047 | |
| Accounting services | 16,711 | | 61,105 | | 49,643 | | 29,124 | |
| Officer and Trustees | 2,313 | | 17,963 | | 39,765 | | 5,766 | |
| Transfer agent | 7,595 | | 10,914 | | 66,142 | | 7,466 | |
| Registration | 4,712 | | 5,571 | | 12,543 | | 3,702 | |
| Miscellaneous | 3,446 | | 23,164 | | 35,126 | | 9,776 | |
| Total expenses excluding
interest expense | 337,459 | | 1,583,507 | | 2,358,383 | | 587,541 | |
| Interest expense | 26,738 | | 95,802 | | 198,057 | | 106,339 | |
| Total expenses | 364,197 | | 1,679,309 | | 2,556,440 | | 693,880 | |
| Less fees waived by advisor | (127 | ) | (1,573 | ) | (2,449 | ) | (133 | ) |
| Total expenses after fees
waived | 364,070 | | 1,677,736 | | 2,553,991 | | 693,747 | |
| Net investment income | 1,637,215 | | 11,540,456 | | 13,042,982 | | 3,582,563 | |
| Realized and Unrealized Gain (Loss) | | | | | | | | |
| Net realized gain (loss)
from: | | | | | | | | |
| Investments | (191,639 | ) | 4,792,702 | | 6,541,724 | | (313,281 | ) |
| Financial futures contracts | | | (397,053 | ) | (5,092,718 | ) | (57,843 | ) |
| Foreign currency transactions | (2,883 | ) | 935,520 | | | | 650,049 | |
| Option written | | | (629,788 | ) | 894,514 | | | |
| Swaps | 216,101 | | 1,847,870 | | 249,984 | | 135,757 | |
| Borrowed bonds | | | 158,605 | | 325,151 | | | |
| | 21,579 | | 6,707,856 | | 2,918,655 | | 414,682 | |
| Net change in unrealized
appreciation/depreciation on: | | | | | | | | |
| Investments | 2,578,080 | | 11,882,444 | | 1,336,078 | | 5,410,302 | |
| Financial futures contracts | | | 393,611 | | (31,774 | ) | (11,359 | ) |
| Foreign currency transactions | (13,787 | ) | (250,064 | ) | | | (220,117 | ) |
| Option written | | | 2,577,109 | | (396,979 | ) | 1,915 | |
| Swaps | 44,601 | | (2,706,648 | ) | (1,292,938 | ) | 46,113 | |
| Borrowed bonds | | | | | (25,860 | ) | | |
| Interest rate floors | | | | | (132,104 | ) | | |
| | 2,608,894 | | 11,896,452 | | (543,577 | ) | 5,226,854 | |
| Total realized and
unrealized gain | 2,630,473 | | 18,604,308 | | 2,375,078 | | 5,641,536 | |
| Net
Increase in Net Assets Resulting from Operations | $ 4,267,688 | $ | 30,144,764 | $ | 15,418,060 | $ | 9,224,099 | |

1 See Note 6 of the Notes to Financial Statements for details of short-term borrowings.

| See Notes to Financial
Statements. — 104 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

S tatements of Changes in Net Assets

| Increase (Decrease) in Net Assets: | BlackRock Core Bond Trust (BHK) — Six
Months Ended February 29, 2012 (Unaudited) | Year Ended August 31, 2011 | | Six
Months Ended February 29, 2012 (Unaudited) 1 | | Year
Ended August 31, 2011 | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Operations | | | | | | | | |
| Net investment income | $ 11,961,249 | $ | 22,314,162 | $ | 17,328,662 | $ | 35,857,110 | |
| Net realized gain (loss) | 7,775,819 | | (647,293 | ) | (6,343,356 | ) | 14,918,241 | |
| Net change in unrealized appreciation/depreciation | 11,408,534 | | (9,184,462 | ) | 29,997,675 | | (12,682,377 | ) |
| Net increase in net assets resulting from operations | 31,145,602 | | 12,482,407 | | 40,982,981 | | 38,092,974 | |
| Dividends to Shareholders From | | | | | | | | |
| Net investment income | (10,863,257 | ) | (23,726,515 | ) | (17,793,402 | ) | (35,008,792 | ) |
| Capital Share Transactions | | | | | | | | |
| Reinvestment of dividends | | | | | 298,872 | | | |
| Net Assets | | | | | | | | |
| Total increase (decrease) in net assets | 20,282,345 | | (11,244,108 | ) | 23,488,451 | | 3,084,182 | |
| Beginning of period | 372,295,457 | | 383,539,565 | | 385,687,429 | | 382,603,247 | |
| End of period | $ 392,577,802 | $ | 372,295,457 | $ | 409,175,880 | $ | 385,687,429 | |
| Undistributed net investment income | $ 4,582,677 | $ | 3,484,685 | $ | 2,332,739 | $ | 2,797,479 | |
| | BlackRock
Corporate High Yield Fund VI, Inc. (HYT) | | | BlackRock High Income Shares (HIS) | | | | |
| Increase (Decrease) in Net Assets: | Six
Months Ended February 29, 2012 (Unaudited) 1 | Year
Ended August 31, 2011 | | Six
Months Ended February 29, 2012 (Unaudited) | | Year
Ended August 31, 2011 | | |
| Operations | | | | | | | | |
| Net investment income | $ 17,710,609 | $ | 37,473,827 | $ | 5,402,074 | $ | 10,833,774 | |
| Net realized gain (loss) | (7,502,885 | ) | 14,913,681 | | (1,596,594 | ) | 2,844,466 | |
| Net change in unrealized appreciation/depreciation | 30,788,823 | | (13,209,144 | ) | 6,028,389 | | (3,103,981 | ) |
| Net increase in net assets resulting from operations | 40,996,547 | | 39,178,364 | | 9,833,869 | | 10,574,259 | |
| Dividends to Shareholders From | | | | | | | | |
| Net investment income | (18,464,091 | ) | (35,241,068 | ) | (6,347,498 | ) | (11,407,404 | ) |
| Capital Share Transactions | | | | | | | | |
| Reinvestment of dividends | 443,613 | | | | 112,100 | | | |
| Net Assets | | | | | | | | |
| Total increase (decrease) in net assets | 22,976,069 | | 3,937,296 | | 3,598,471 | | (833,145 | ) |
| Beginning of period | 405,697,106 | | 401,759,810 | | 118,808,546 | | 119,641,691 | |
| End of period | $ 428,673,175 | $ | 405,697,106 | $ | 122,407,017 | $ | 118,808,546 | |
| Undistributed net investment income | $ 3,582,027 | $ | 4,335,509 | $ | 1,085,651 | $ | 2,031,075 | |

1 Consolidated Statement of Changes in Net Assets.

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 105 |
| --- | --- | --- |

Statements of Changes in Net Assets

| Increase (Decrease) in Net Assets: | BlackRock High Yield Trust (BHY) — Six
Months Ended February 29, 2012 (Unaudited) | | Year
Ended August 31, 2011 | | BlackRock
Corporate Income Opportunity Trust (BNA) — Six
Months Ended February 29, 2012 (Unaudited) | Year
Ended August 31, 2011 | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Operations | | | | | | | | |
| Net investment income | $ 1,637,215 | | $ 3,268,780 | | $ 11,540,456 | $ | 21,766,357 | |
| Net realized gain (loss) | 21,579 | | (862,713 | ) | 6,707,856 | | 2,874,735 | |
| Net change in unrealized appreciation/depreciation | 2,608,894 | | 1,613,207 | | 11,896,452 | | (12,557,938 | ) |
| Net increase in net assets resulting from operations | 4,267,688 | | 4,019,274 | | 30,144,764 | | 12,083,154 | |
| Dividends and Distributions to Shareholders From | | | | | | | | |
| Net investment income | (1,677,622 | ) | (3,278,764 | ) | (10,888,214 | ) | (22,287,310 | ) |
| Tax return of capital | | | (76,404 | ) | | | | |
| Decrease in net assets resulting from dividends and distributions to
shareholders | (1,677,622 | ) | (3,355,168 | ) | (10,888,214 | ) | (22,287,310 | ) |
| Capital Share Transactions | | | | | | | | |
| Reinvestment of dividends | 5,245 | | | | | | | |
| Net Assets | | | | | | | | |
| Total increase (decrease) in net assets | 2,595,311 | | 664,106 | | 19,256,550 | | (10,204,156 | ) |
| Beginning of period | 43,644,238 | | 42,980,132 | | 371,175,320 | | 381,379,476 | |
| End of period | $ 46,239,549 | | $ 43,644,238 | | $ 390,431,870 | $ | 371,175,320 | |
| Undistributed (distribution in excess of) net investment income | $ (147,925 | ) | $ (107,518 | ) | $ 4,964,408 | $ | 4,312,166 | |
| | BlackRock Income Trust, Inc. (BKT) | | | | BlackRock Strategic Bond Trust (BHD) | | | |
| Increase (Decrease) in Net Assets: | Six
Months Ended February 29, 2012 (Unaudited) | | Year
Ended August 31, 2011 | | Six
Months Ended February 29, 2012 (Unaudited) | Year
Ended August 31, 2011 | | |
| Operations | | | | | | | | |
| Net investment income | $ 13,042,982 | | $ 22,089,670 | | $ 3,582,563 | $ | 7,484,893 | |
| Net realized gain (loss) | 2,918,655 | | (866,088 | ) | 414,682 | | 1,355,512 | |
| Net change in unrealized appreciation/depreciation | (543,577 | ) | 13,053,505 | | 5,226,854 | | (1,662,468 | ) |
| Net increase in net assets resulting from operations | 15,418,060 | | 34,277,087 | | 9,224,099 | | 7,177,937 | |
| Dividends to Shareholders From | | | | | | | | |
| Net investment income | (14,770,728 | ) | (21,772,433 | ) | (4,072,697 | ) | (7,845,469 | ) |
| Net Assets | | | | | | | | |
| Total increase (decrease) in net assets | 647,332 | | 12,504,654 | | 5,151,402 | | (667,532 | ) |
| Beginning of period | 508,764,507 | | 496,259,853 | | 95,126,639 | | 95,794,171 | |
| End of period | $ 509,411,839 | | $ 508,764,507 | | $ 100,278,041 | $ | 95,126,639 | |
| Undistributed (distribution in excess of) net investment income | $ (1,761,219 | ) | $ (33,473 | ) | $ 284,229 | $ | 774,363 | |

| See Notes to Financial
Statements. — 106 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

S tatements of Cash Flows

| Six Months Ended February 29, 2012
(Unaudited) | BlackRock Core Bond Trust (BHK) | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Cash Provided by Operating Activities | | | | | | | | |
| Net increase in net assets resulting from operations | $ 31,145,602 | $ | 40,982,981 | $ | 40,996,547 | $ | 9,833,869 | |
| Adjustments to reconcile net increase in net assets resulting from
operations to net cash provided by operating activities: | | | | | | | | |
| Decrease in interest receivable | 220,744 | | 535,877 | | 604,542 | | 154,258 | |
| Decrease in swaps receivable | 506,613 | | 27,721 | | 24,538 | | | |
| Increase in other assets | (3,053 | ) | (88,889 | ) | (91,377 | ) | (548 | ) |
| (Increase) decrease in prepaid expenses | (7,050 | ) | | | 56,225 | | 15,014 | |
| Decrease in commitment fees receivable | 3,731 | | | | | | | |
| Decrease in dividends receivable unaffiliated | 10,384 | | 1,220 | | 847 | | 6,506 | |
| Increase in margin variation receivable | | | (62,650 | ) | (66,850 | ) | (13,300 | ) |
| Decrease in dividends receivable affiliated | 266 | | 392 | | 382 | | 72 | |
| Decrease in cash pledged as collateral for financial futures contracts | 765,000 | | 2,165,000 | | 2,093,000 | | 403,000 | |
| Decrease in cash pledged as collateral in connection with options
written | | | 906,360 | | 952,770 | | | |
| Increase in cash pledged as collateral for swaps | (1,970,000 | ) | (400,000 | ) | (400,000 | ) | | |
| Increase in deferred income | | | 95,256 | | 100,158 | | 29,350 | |
| Increase (decrease) in investment advisory fees payable | 76,862 | | (12,599 | ) | (16,341 | ) | (7,033 | ) |
| Decrease in interest expense payable | (52,151 | ) | (9,851 | ) | (9,737 | ) | (27,998 | ) |
| Decrease in other liabilities | 237,774 | | | | | | | |
| Increase (decrease) in other accrued expenses payable | (161,197 | ) | (12,858 | ) | 133,706 | | (70,831 | ) |
| Decrease in margin variation payable | (199,470 | ) | (261,673 | ) | (356,378 | ) | (50,368 | ) |
| Decrease in swaps payable | (5,052 | ) | (487,229 | ) | (479,851 | ) | | |
| Increase (decrease) in Officers and Trustees fees payable | 22,408 | | (91,058 | ) | 14,419 | | 557 | |
| Decrease in cash held as collateral for swaps | (700,000 | ) | | | | | | |
| Decrease in cash held as collateral for reverse repurchase agreements | (1,779,000 | ) | | | | | | |
| Net periodic and termination payments of swaps | 532,656 | | 522,466 | | 552,734 | | | |
| Net realized and unrealized gain on investments | (15,677,801 | ) | (21,604,329 | ) | (22,023,004 | ) | (3,842,088 | ) |
| Amortization of premium and accretion of discount on investments | (1,466,113 | ) | 21,333 | | (44,928 | ) | (298,485 | ) |
| Premiums received from options written | 7,433,443 | | 1,103,619 | | 1,211,749 | | 164,410 | |
| Proceeds from sales of long-term investments | 964,225,749 | | 133,773,077 | | 140,473,378 | | 40,639,408 | |
| Purchases of long-term investments | (986,486,045 | ) | (142,140,574 | ) | (148,638,714 | ) | (39,365,626 | ) |
| Proceeds from borrowed bond transactions | 35,247,804 | | | | | | | |
| Payments for borrowed bond transactions | (20,160,584 | ) | | | | | | |
| Net proceeds from sales (purchases) of short-term securities | 4,547,876 | | 1,171,689 | | 941,235 | | (18,364 | ) |
| Premiums paid on closing options written | (9,071,630 | ) | (904,284 | ) | (1,017,357 | ) | (61,155 | ) |
| Cash provided by operating activities | 7,237,766 | | 15,230,997 | | 15,011,693 | | 7,490,648 | |
| Cash Used for Financing Activities | | | | | | | | |
| Cash receipts from borrowings | 261,483,199 | | 52,000,000 | | 59,000,000 | | 13,000,000 | |
| Cash payments on borrowings | (257,960,074 | ) | (50,000,000 | ) | (56,000,000 | ) | (14,000,000 | ) |
| Cash dividends paid | (10,861,837 | ) | (17,568,915 | ) | (18,115,490 | ) | (6,261,344 | ) |
| Decrease in bank overdraft | | | 466,920 | | 245,533 | | | |
| Cash used for financing activities | (7,338,712 | ) | (15,101,995 | ) | (14,869,957 | ) | (7,261,344 | ) |
| Cash Impact from Foreign Exchange Fluctuations | | | | | | | | |
| Cash impact from foreign exchange fluctuations | (262 | ) | 2,462 | | 6,441 | | 1,885 | |
| Cash and Foreign Currency | | | | | | | | |
| Net increase (decrease) in cash and foreign currency | (101,208 | ) | 131,464 | | 148,177 | | 231,189 | |
| Cash and foreign currency at beginning of period | 329,783 | | 230,472 | | 224,348 | | 20,474 | |
| Cash and foreign currency at end of period | $ 228,575 | $ | 361,936 | $ | 372,525 | $ | 251,663 | |
| Cash Flow Information | | | | | | | | |
| Cash paid during the period for interest | $ 150,216 | $ | 585,354 | $ | 589,200 | $ | 151,289 | |
| Noncash Financing Activities | | | | | | | | |
| Capital shares issued in reinvestments of dividends | | $ | 298,872 | $ | 443,613 | $ | 112,100 | |

| 1 |
| --- |
| A Statement of Cash Flows
is presented when a Trust had a significant amount of borrowing during the
period, based on the average borrowing outstanding in relation to average
total assets. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 107 |
| --- | --- | --- |

Statements of Cash Flows

| Six Months Ended February 29, 2012
(Unaudited) | BlackRock High Yield Trust (BHY) | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Cash Provided by (Used for) Operating Activities | | | | | | | | |
| Net increase in net assets resulting from operations | $ 4,267,688 | $ | 30,144,764 | $ | 15,418,060 | $ | 9,224,099 | |
| Adjustments to reconcile net increase in net assets resulting from
operations to net cash provided by operating activities: | | | | | | | | |
| (Increase) decrease in interest receivable | (70,677 | ) | 280,944 | | 82,014 | | 59,606 | |
| (Increase) decrease in swaps receivable | 226,581 | | 541,534 | | (48,555 | ) | (1,254 | ) |
| Increase in other assets | (750 | ) | (9,877 | ) | (5,025 | ) | (473 | ) |
| Decrease in prepaid expenses | 6,969 | | 6,301 | | 9,255 | | 17,190 | |
| (Increase) decrease in dividends receivable unaffiliated | 678 | | | | 336 | | (787 | ) |
| Increase in margin variation receivable | | | (44,549 | ) | (190,670 | ) | (2,211 | ) |
| Decrease in dividends receivable affiliated | 73 | | 564 | | | | 58 | |
| Increase in cash held as collateral for financial futures contracts | | | | | | | (21,000 | ) |
| (Increase) decrease in cash pledged as collateral for financial
futures contracts | | | (418,000 | ) | 705,000 | | | |
| Increase in cash pledged as collateral in connection with reverse | | | | | | | | |
| repurchase agreements | | | | | (330,000 | ) | | |
| Increase in cash pledged as collateral for swaps | | | (1,200,000 | ) | (1,760,000 | ) | | |
| Increase in deferred income | 13,158 | | | | | | 29,038 | |
| Decrease in cash held as collateral for swaps | | | | | 600,000 | | | |
| Increase (decrease) in investment advisory fees payable | 18,899 | | 55,707 | | 108,161 | | (3,573 | ) |
| Decrease in interest expense payable | (4,335 | ) | (45,887 | ) | (7,279 | ) | (1,494 | ) |
| Decrease in other affiliates payable | | | | | | | (2,056 | ) |
| Increase in other liabilities | | | 1,169,558 | | | | | |
| Decrease in administration fees payable | (17,197 | ) | (62,081 | ) | (130,466 | ) | | |
| Decrease in other accrued expenses payable | (56,243 | ) | (379,763 | ) | (104,691 | ) | (80,137 | ) |
| Decrease in margin variation payable | | | (201,161 | ) | | | (6,188 | ) |
| Increase (decrease) in swaps payable | 992 | | (36,683 | ) | 28,358 | | (2,548 | ) |
| Increase in Officers and Trustees fees payable | 920 | | 6,505 | | 5,096 | | 2,105 | |
| Net periodic and termination payments of swaps | (66,568 | ) | 279,384 | | (74,894 | ) | (24,363 | ) |
| Net realized and unrealized gain on investments | (2,415,100 | ) | (16,694,138 | ) | (7,244,561 | ) | (4,903,679 | ) |
| Amortization of premium and accretion of discount on investments | 4,010 | | (178,613 | ) | 3,829,752 | | 1,629 | |
| Premiums received from options written | | | 7,448,324 | | 612,468 | | 50,160 | |
| Proceeds from sales of long-term investments | 12,364,219 | | 955,015,224 | | 1,860,412,652 | | 27,579,825 | |
| Purchases of long-term investments | (18,038,274 | ) | (987,783,135 | ) | (1,791,501,250 | ) | (29,329,396 | ) |
| Proceeds from borrowed bond transactions | | | 48,407,777 | | 38,969,154 | | | |
| Payments for borrowed bond transactions | | | (30,839,360 | ) | (25,849,756 | ) | | |
| Net proceeds from sales (purchases) of short-term securities | (559,457 | ) | 2,404,665 | | (8,589,512 | ) | 582,875 | |
| Premiums paid on closing options written | | | (7,985,925 | ) | (254,183 | ) | | |
| Cash provided by (used for) operating activities | (4,324,414 | ) | (117,921 | ) | 84,689,464 | | 3,167,426 | |
| Cash Provided by (Used for) Financing Activities | | | | | | | | |
| Cash receipts from borrowings | 8,000,000 | | 270,683,969 | | 335,305,511 | | 9,000,000 | |
| Cash payments on borrowings | (2,000,000 | ) | (259,588,369 | ) | (405,290,368 | ) | (8,000,000 | ) |
| Cash dividends paid | (1,674,220 | ) | (10,885,602 | ) | (14,739,949 | ) | (4,072,822 | ) |
| Decrease in bank overdraft | | | (3,771 | ) | | | | |
| Cash provided by (used for) financing activities | 4,325,780 | | 206,227 | | (84,724,806 | ) | (3,072,822 | ) |
| Cash Impact from Foreign Exchange Fluctuations | | | | | | | | |
| Cash impact from foreign exchange fluctuations | 14 | | (2,021 | ) | | | 603 | |
| Cash and Foreign Currency | | | | | | | | |
| Net increase (decrease) in cash and foreign currency | 1,380 | | 86,285 | | (35,342 | ) | 95,207 | |
| Cash and foreign currency at beginning of period | | | 104,439 | | 59,780 | | 13,941 | |
| Cash and foreign currency at end of period | $ 1,380 | $ | 190,724 | $ | 24,438 | $ | 109,148 | |
| Cash Flow Information | | | | | | | | |
| Cash paid during the period for interest | $ 31,073 | $ | 141,689 | $ | 205,336 | $ | 1,494 | |
| Noncash Financing Activities | | | | | | | | |
| Capital shares issued in reinvestments of dividends | $ 5,245 | | | | | | | |

A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets.

| See Notes to Financial
Statements. — 108 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

F inancial Highlights BlackRock Core Bond Trust (BHK)

| | Six
Months Ended February 29, 2012 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | Year
Ended October 31, | | | | |
| | | 2011 | | 2010 | | 2009 | | | | 2007 | | 2006 | | |
| Per Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value, beginning of period | $ 13.78 | $ | 14.19 | $ | 12.56 | $ | 12.81 | $ | 13.63 | $ | 13.82 | $ | 14.27 | |
| Net investment income | 0.44 | 1 | 0.83 | 1 | 0.87 | 1 | 0.80 | 1 | 0.50 | 1 | 0.74 | | 0.66 | |
| Net realized and unrealized gain (loss) | 0.71 | | (0.36 | ) | 1.76 | | (0.28 | ) | (0.69 | ) | (0.13 | ) | 0.11 | |
| Net increase (decrease) from investment operations | 1.15 | | 0.47 | | 2.63 | | 0.52 | | (0.19 | ) | 0.61 | | 0.77 | |
| Dividends and distributions from: | | | | | | | | | | | | | | |
| Net investment income | (0.40 | ) | (0.88 | ) | (1.00 | ) | (0.77 | ) | (0.61 | ) | (0.61 | ) | (0.93 | ) |
| Net realized gain | | | | | | | | | | | | | (0.29 | ) |
| Tax return of capital | | | | | | | | | (0.02 | ) | (0.19 | ) | | |
| Total dividends and distributions | (0.40 | ) | (0.88 | ) | (1.00 | ) | (0.77 | ) | (0.63 | ) | (0.80 | ) | (1.22 | ) |
| Net asset value, end of period | $ 14.53 | $ | 13.78 | $ | 14.19 | $ | 12.56 | $ | 12.81 | $ | 13.63 | $ | 13.82 | |
| Market price, end of period | $ 14.19 | $ | 12.69 | $ | 13.92 | $ | 11.98 | $ | 11.51 | $ | 12.23 | $ | 12.86 | |
| Total Investment Return 2 | | | | | | | | | | | | | | |
| Based on net asset value | 8.63 | % 3 | 4.02 | % | 22.44 | % | 5.28 | % | (1.00 | )% 3 | 5.04 | % | 6.20 | % |
| Based on market price | 15.20 | % 3 | (2.35 | )% | 25.93 | % | 11.76 | % | (0.87 | )% 3 | 1.29 | % | 3.07 | % |
| Ratios to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 0.93 | % 4 | 1.02 | % | 1.18 | % | 1.06 | % | 2.29 | % 4 | 1.60 | % | 1.08 | % |
| Total expenses after fees waived and paid indirectly | 0.93 | % 4 | 1.02 | % | 1.18 | % | 1.06 | % | 2.29 | % 4 | 1.60 | % | 1.08 | % |
| Total expenses after fees waived and paid indirectly and excluding
interest expense | 0.88 | % 4 | 0.93 | % | 0.95 | % | 0.83 | % | 0.89 | % 4 | 0.78 | % | 0.77 | % |
| Net investment income | 6.30 | % 4 | 6.05 | % | 6.62 | % | 7.09 | % | 4.55 | % 4 | 5.36 | % | 4.78 | % |
| Supplemental Data | | | | | | | | | | | | | | |
| Net assets, end of period (000) | $ 392,578 | $ | 372,295 | $ | 383,540 | $ | 339,524 | $ | 346,177 | $ | 368,335 | $ | 373,518 | |
| Borrowings outstanding, end of period (000) | $ 157,136 | $ | 152,301 | $ | 168,938 | $ | 74,572 | $ | 107,690 | $ | 103,354 | $ | 3,911 | |
| Average borrowings outstanding, during the period (000) | $ 123,070 | $ | 151,080 | $ | 162,760 | $ | 73,467 | $ | 134,784 | $ | 44,786 | $ | 25,340 | |
| Portfolio turnover | 188 | % 5 | 824 | % 6 | 641 | % 7 | 315 | % 8 | 598 | % 9 | 122 | % | 88 | % |
| Asset coverage, end of period per $1,000 | $ 3,498 | $ | 3,444 | $ | 3,270 | $ | 5,553 | $ | 4,215 | $ | 4,564 | $ | 96,502 | |

1	Based on average shares outstanding.
2	Total investment returns
based on market value, which can be significantly greater or lesser than the
net asset value, may result in substantially different returns. Where
applicable, total investment returns exclude the effects of any sales charges
and include the reinvestment of dividends and distributions.
3	Aggregate total investment
return.
4	Annualized.
5	Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 139%.
6	Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 544%.
7	Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 534%.
8	Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 184%.
9	Includes TBA transactions.
Excluding these transactions, the portfolio turnover would have been 337%.

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 109 |
| --- | --- | --- |

Financial Highlights BlackRock Corporate High Yield Fund V, Inc. (HYV)

| | Six
Months Ended February 29, 2012 (Unaudited) 1 | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | | | |
| | | 2011 | | 2010 | | 2009 | | 2008 | | 2007 | | |
| Per Share Operating Performance | | | | | | | | | | | | |
| Net asset value, beginning of period | $ 11.71 | $ | 11.61 | $ | 9.71 | $ | 11.94 | $ | 13.83 | $ | 14.10 | |
| Net investment income 2 | 0.53 | | 1.09 | | 1.06 | | 1.07 | | 1.18 | | 1.20 | |
| Net realized and unrealized gain (loss) | 0.71 | | 0.07 | | 1.86 | | (2.10 | ) | (1.85 | ) | (0.33 | ) |
| Net increase (decrease) from investment operations | 1.24 | | 1.16 | | 2.92 | | (1.03 | ) | (0.67 | ) | 0.87 | |
| Dividends and distributions from: | | | | | | | | | | | | |
| Net investment income | (0.54 | ) | (1.06 | ) | (1.02 | ) | (1.20 | ) | (1.17 | ) | (1.14 | ) |
| Net realized gain | | | | | | | | | (0.05 | ) | | |
| Total dividends and distributions | (0.54 | ) | (1.06 | ) | (1.02 | ) | (1.20 | ) | (1.22 | ) | (1.14 | ) |
| Net asset value, end of period | $ 12.41 | $ | 11.71 | $ | 11.61 | $ | 9.71 | $ | 11.94 | $ | 13.83 | |
| Market price, end of period | $ 12.88 | $ | 11.55 | $ | 11.40 | $ | 9.32 | $ | 10.15 | $ | 12.24 | |
| Total Investment Return 3 | | | | | | | | | | | | |
| Based on net asset value | 11.05 | % 4 | 10.29 | % | 31.40 | % | (3.83 | )% | (3.99 | )% | 6.76 | % |
| Based on market price | 16.85 | % 4 | 10.79 | % | 34.42 | % | 8.59 | % | (7.78 | )% | 4.00 | % |
| Ratios to Average Net Assets | | | | | | | | | | | | |
| Total expenses | 1.34 | % 5 | 1.34 | % | 1.26 | % | 1.84 | % | 2.11 | % | 3.20 | % |
| Total expenses after fees waived and paid indirectly | 1.34 | % 5 | 1.34 | % | 1.26 | % | 1.84 | % | 2.11 | % | 3.20 | % |
| Total expenses after fees waived and paid indirectly and excluding
interest expense | 1.04 | % 5 | 1.02 | % | 0.99 | % | 1.16 | % | 0.97 | % | 0.99 | % |
| Net investment income | 9.06 | % 5 | 8.82 | % | 9.52 | % | 13.00 | % | 9.16 | % | 8.23 | % |
| Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (000) | $ 409,176 | $ | 385,687 | $ | 382,603 | $ | 320,045 | $ | 393,389 | $ | 455,710 | |
| Borrowings outstanding, end of period (000) | $ 131,000 | $ | 129,000 | $ | 92,000 | $ | 54,000 | $ | 94,700 | $ | 127,700 | |
| Average borrowings outstanding, during the period (000) | $ 120,489 | $ | 119,652 | $ | 79,427 | $ | 65,403 | $ | 106,140 | $ | 188,373 | |
| Portfolio turnover | 29 | % | 87 | % | 90 | % | 65 | % | 46 | % | 51 | % |
| Asset coverage, end of period per $1,000 | $ 4,123 | $ | 3,990 | $ | 5,159 | $ | 6,927 | $ | 5,154 | $ | 4,569 | |

| 1 | Consolidated Financial
Highlights. |
| --- | --- |
| 2 | Based on average shares
outstanding. |
| 3 | Total investment returns
based on market value, which can be significantly greater or lesser than the
net asset value, may result in substantially different returns. Where
applicable, total investment returns exclude the effects of any sales charges
and include the reinvestment of dividends and distributions. |
| 4 | Aggregate total investment
return. |
| 5 | Annualized. |

| See Notes to Financial
Statements. — 110 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Financial Highlights BlackRock Corporate High Yield Fund VI, Inc. (HYT)

| | Six
Months Ended February 29, 2012 (Unaudited) 1 | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | | | |
| | | 2011 | | 2010 | | 2009 | | 2008 | | 2007 | | |
| Per Share Operating Performance | | | | | | | | | | | | |
| Net asset value, beginning
of period | $ 11.49 | $ | 11.38 | $ | 9.68 | $ | 11.89 | $ | 13.81 | $ | 14.12 | |
| Net investment income 2 | 0.50 | | 1.06 | | 1.05 | | 1.05 | | 1.16 | | 1.18 | |
| Net realized and unrealized
gain (loss) | 0.66 | | 0.05 | | 1.67 | | (2.07 | ) | (1.87 | ) | (0.39 | ) |
| Net increase (decrease)
from investment operations | 1.16 | | 1.11 | | 2.72 | | (1.02 | ) | (0.71 | ) | 0.79 | |
| Dividends and distributions
from: | | | | | | | | | | | | |
| Net investment income | (0.52 | ) | (1.00 | ) | (1.02 | ) | (1.19 | ) | (1.21 | ) | (1.10 | ) |
| Net realized gain | | | | | | | | | | | | |
| Total dividends and
distributions | (0.52 | ) | (1.00 | ) | (1.02 | ) | (1.19 | ) | (1.21 | ) | (1.10 | ) |
| Net asset value, end of
period | $ 12.13 | $ | 11.49 | $ | 11.38 | $ | 9.68 | $ | 11.89 | $ | 13.81 | |
| Market price, end of period | $ 12.44 | $ | 11.21 | $ | 11.19 | $ | 9.47 | $ | 10.14 | $ | 12.15 | |
| Total Investment Return 3 | | | | | | | | | | | | |
| Based on net asset value | 10.55 | % 4 | 9.95 | % | 29.26 | % | (4.03 | )% | (4.30 | )% | 6.29 | % |
| Based on market price | 16.21 | % 4 | 9.09 | % | 29.92 | % | 10.09 | % | (7.24 | )% | 5.80 | % |
| Ratios to Average Net Assets | | | | | | | | | | | | |
| Total expenses | 1.53 | % 5 | 1.41 | % | 1.34 | % | 2.01 | % | 2.24 | % | 3.35 | % |
| Total expenses after fees
waived and paid indirectly | 1.53 | % 5 | 1.41 | % | 1.34 | % | 2.01 | % | 2.24 | % | 3.35 | % |
| Total expenses after fees
waived and paid indirectly and excluding interest expense | 1.24 | % 5 | 1.12 | % | 1.09 | % | 1.28 | % | 1.10 | % | 1.12 | % |
| Net investment income | 8.81 | % 5 | 8.80 | % | 9.52 | % | 12.82 | % | 9.02 | % | 8.03 | % |
| Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period
(000) | $ 428,673 | $ | 405,697 | $ | 401,760 | $ | 341,415 | $ | 419,502 | $ | 487,251 | |
| Borrowings outstanding, end
of period (000) | $ 133,000 | $ | 130,000 | $ | 89,000 | $ | 58,000 | $ | 110,900 | $ | 135,900 | |
| Average borrowings
outstanding, during the period (000) | $ 121,319 | $ | 115,512 | $ | 76,356 | $ | 73,784 | $ | 113,996 | $ | 202,705 | |
| Portfolio turnover | 29 | % | 87 | % | 85 | % | 60 | % | 45 | % | 51 | % |
| Asset coverage, end of
period per $1,000 | $ 4,223 | $ | 4,121 | $ | 5,514 | $ | 6,886 | $ | 4,783 | $ | 4,585 | |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 111 |
| --- | --- | --- |

Financial Highlights BlackRock High Income Shares (HIS)

| | Six
Months Ended February 29, 2012 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | Year
Ended December 31, | | | | |
| | | 2011 | | 2010 | | 2009 | | | | 2007 | | 2006 | | |
| Per Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value, beginning of period | $ 2.18 | $ | 2.19 | $ | 1.85 | $ | 2.23 | $ | 2.47 | $ | 2.68 | $ | 2.61 | |
| Net investment income | 0.09 | 1 | 0.20 | 1 | 0.20 | 1 | 0.19 | 1 | 0.15 | 1 | 0.24 | | 0.22 | |
| Net realized and unrealized gain (loss) | 0.09 | | | | 0.31 | | (0.36 | ) | (0.26 | ) | (0.21 | ) | 0.08 | |
| Net increase (decrease) from investment operations | 0.18 | | 0.20 | | 0.51 | | (0.17 | ) | (0.11 | ) | 0.03 | | 0.30 | |
| Dividends from net investment income | (0.12 | ) | (0.21 | ) | (0.17 | ) | (0.21 | ) | (0.13 | ) | (0.24 | ) | (0.23 | ) |
| Net asset value, end of period | $ 2.24 | $ | 2.18 | $ | 2.19 | $ | 1.85 | $ | 2.23 | $ | 2.47 | $ | 2.68 | |
| Market price, end of period | $ 2.32 | $ | 2.10 | $ | 2.09 | $ | 1.68 | $ | 1.88 | $ | 2.14 | $ | 2.55 | |
| Total Investment Return 2 | | | | | | | | | | | | | | |
| Based on net asset value | 8.54 | % 3 | 9.56 | % | 28.95 | % | (3.01 | )% | (4.00 | )% 3 | 1.58 | % | 12.32 | % |
| Based on market price | 16.70 | % 3 | 10.59 | % | 35.52 | % | 4.47 | % | (6.59 | )% 3 | (7.51 | )% | 19.70 | % |
| Ratios to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 1.45 | % 4 | 1.49 | % | 1.49 | % | 2.01 | % | 1.98 | % 4 | 3.56 | % | 3.78 | % |
| Total expenses after fees waived and paid indirectly | 1.45 | % 4 | 1.49 | % | 1.49 | % | 2.01 | % | 1.98 | % 4 | 3.55 | % | 3.77 | % |
| Total expenses after fees waived and paid indirectly and excluding
interest expense | 1.24 | % 4 | 1.25 | % | 1.27 | % | 1.41 | % | 1.05 | % 4 | 1.27 | % | 1.34 | % |
| Net investment income | 9.20 | % 4 | 8.66 | % | 9.34 | % | 12.06 | % | 9.52 | % 4 | 8.89 | % | 8.42 | % |
| Supplemental Data | | | | | | | | | | | | | | |
| Net assets, end of period (000) | $ 122,407 | $ | 118,809 | $ | 119,642 | $ | 100,921 | $ | 121,808 | $ | 135,098 | $ | 146,538 | |
| Borrowings outstanding, end of period (000) | $ 28,000 | $ | 29,000 | $ | 25,000 | $ | 18,000 | $ | 27,000 | $ | 46,000 | $ | 62,000 | |
| Average borrowings outstanding, during the period (000) | $ 25,830 | $ | 26,729 | $ | 21,027 | $ | 21,220 | $ | 27,069 | $ | 55,868 | $ | 62,838 | |
| Portfolio turnover | 30 | % | 90 | % | 85 | % | 55 | % | 25 | % | 69 | % | 83 | % |
| Asset coverage, end of period per $1,000 | $ 5,372 | $ | 5,097 | $ | 5,786 | $ | 6,607 | $ | 5,512 | $ | 3,937 | $ | 3,364 | |

| See Notes to Financial
Statements. — 112 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Financial Highlights BlackRock High Yield Trust (BHY)

| | Six
Months Ended February 29, 2012 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | | | | | | Year
Ended October 31, | | | | |
| | | Year
Ended August 31, | | | | | | | | | | | | |
| | | 2011 | | 2010 | | 2009 | | | | 2007 | | 2006 | | |
| Per Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value, beginning of period | $ 6.79 | $ | 6.69 | $ | 5.78 | $ | 6.84 | $ | 7.91 | $ | 7.85 | $ | 7.48 | |
| Net investment income | 0.25 | 1 | 0.51 | 1 | 0.51 | 1 | 0.51 | 1 | 0.50 | 1 | 0.63 | | 0.66 | |
| Net realized and unrealized gain (loss) | 0.41 | | 0.11 | | 0.92 | | (1.00 | ) | (1.06 | ) | 0.04 | | 0.36 | |
| Net increase (decrease) from investment operations | 0.66 | | 0.62 | | 1.43 | | (0.49 | ) | (0.56 | ) | 0.67 | | 1.02 | |
| Dividends and distributions from: | | | | | | | | | | | | | | |
| Net investment income | (0.26 | ) | (0.51 | ) | (0.50 | ) | (0.55 | ) | (0.51 | ) | (0.61 | ) | (0.65 | ) |
| Tax return of capital | | | (0.01 | ) | (0.02 | ) | (0.02 | ) | | | | | | |
| Total dividends and distributions | (0.26 | ) | (0.52 | ) | (0.52 | ) | (0.57 | ) | (0.51 | ) | (0.61 | ) | (0.65 | ) |
| Net asset value, end of period | $ 7.19 | $ | 6.79 | $ | 6.69 | $ | 5.78 | $ | 6.84 | $ | 7.91 | $ | 7.85 | |
| Market price, end of period | $ 7.21 | $ | 6.60 | $ | 6.44 | $ | 5.84 | $ | 5.96 | $ | 6.92 | $ | 7.77 | |
| Total Investment Return 2 | | | | | | | | | | | | | | |
| Based on net asset value | 10.07 | % 3 | 9.66 | % | 25.70 | % | (5.30 | )% | (6.47 | )% 3 | 9.03 | % | 14.25 | % |
| Based on market price | 13.56 | % 3 | 10.73 | % | 19.76 | % | 9.81 | % | (6.85 | )% 3 | (3.63 | )% | 14.93 | % |
| Ratios to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 1.68 | % 4 | 2.04 | % | 2.10 | % | 2.61 | % | 2.61 | % 4 | 4.16 | % | 4.50 | % |
| Total expenses after fees waived and paid indirectly | 1.68 | % 4 | 2.04 | % | 2.10 | % | 2.61 | % | 2.61 | % 4 | 4.14 | % | 4.49 | % |
| Total expenses after fees waived and paid indirectly and excluding interest expense | 1.55 | % 4 | 1.85 | % | 1.91 | % | 2.16 | % | 1.77 | % 4 | 2.10 | % | 2.19 | % |
| Net investment income | 7.53 | % 4 | 7.18 | % | 7.89 | % | 10.22 | % | 8.34 | % 4 | 7.84 | % | 8.74 | % |
| Supplemental Data | | | | | | | | | | | | | | |
| Net assets end of period (000) | $ 46,240 | $ | 43,644 | $ | 42,980 | $ | 37,137 | $ | 43,897 | $ | 50,782 | $ | 50,385 | |
| Borrowings outstanding, end of period (000) | $ 12,000 | $ | 6,000 | $ | 8,000 | $ | 4,000 | $ | 6,250 | $ | 9,250 | $ | 20,250 | |
| Average borrowings outstanding, during the period (000) | $ 5,599 | $ | 7,427 | $ | 6,427 | $ | 5,223 | $ | 7,443 | $ | 17,710 | $ | 20,621 | |
| Portfolio turnover | 28 | % | 81 | % | 80 | % | 54 | % | 34 | % | 69 | % | 85 | % |
| Asset coverage, end of period per $1,000 | $ 4,853 | $ | 8,274 | $ | 6,373 | $ | 10,284 | $ | 8,023 | $ | 6,490 | $ | 3,488 | |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 113 |
| --- | --- | --- |

Financial Highlights BlackRock Income Opportunity Trust, Inc. (BNA)

| | Six
Months Ended February 29, 2012 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | | | | | | Year
Ended October 31, | | | | |
| | | Year
Ended August 31, | | | | | | | | | | | | |
| | | 2011 | | 2010 | | 2009 | | | | 2007 | | 2006 | | |
| Per Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value, beginning
of period | $ 10.77 | $ | 11.07 | $ | 10.02 | $ | 10.35 | $ | 11.02 | $ | 11.17 | $ | 11.56 | |
| Net investment income | 0.33 | 1 | 0.63 | 1 | 0.59 | 1 | 0.59 | 1 | 0.53 | 1 | 0.62 | | 0.57 | |
| Net realized and unrealized
gain (loss) | 0.55 | | (0.28 | ) | 1.25 | | (0.31 | ) | (0.69 | ) | (0.11 | ) | 0.01 | |
| Net increase (decrease) from investment operations | 0.88 | | 0.35 | | 1.84 | | 0.28 | | (0.16 | ) | 0.51 | | 0.58 | |
| Dividends and distributions from: | | | | | | | | | | | | | | |
| Net investment income | (0.32 | ) | (0.65 | ) | (0.79 | ) | (0.61 | ) | (0.51 | ) | (0.61 | ) | (0.65 | ) |
| Net realized gain | | | | | | | | | | | | | (0.26 | ) |
| Tax return of capital | | | | | | | | | | | (0.05 | ) | (0.06 | ) |
| Total dividends and distributions | (0.32 | ) | (0.65 | ) | (0.79 | ) | (0.61 | ) | (0.51 | ) | (0.66 | ) | (0.97 | ) |
| Net asset value, end of period | $ 11.33 | $ | 10.77 | $ | 11.07 | $ | 10.02 | $ | 10.35 | $ | 11.02 | $ | 11.17 | |
| Market price, end of period | $ 10.78 | $ | 9.85 | $ | 10.56 | $ | 9.65 | $ | 9.82 | $ | 10.19 | $ | 10.58 | |
| Total Investment Return 2 | | | | | | | | | | | | | | |
| Based on net asset value | 8.48 | % 3 | 3.91 | % | 19.83 | % | 3.90 | % | (1.07 | )% 3 | 5.11 | % | 5.76 | % |
| Based on market price | 12.86 | % 3 | (0.37 | )% | 18.69 | % | 5.46 | % | 1.51 | % 3 | 2.62 | % | 6.27 | % |
| Ratios to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 0.89 | % 4 | 0.95 | % | 1.09 | % | 0.95 | % | 2.25 | % 4 | 2.01 | % | 1.61 | % |
| Total expenses after fees waived and paid indirectly | 0.89 | % 4 | 0.95 | % | 1.09 | % | 0.95 | % | 2.25 | % 4 | 2.00 | % | 1.61 | % |
| Total expenses after fees waived and paid indirectly and excluding
interest expense | 0.84 | % 4 | 0.85 | % | 0.86 | % | 0.85 | % | 0.83 | % 4 | 0.87 | % | 0.89 | % |
| Net investment income | 6.11 | % 4 | 5.94 | % | 5.81 | % | 6.45 | % | 5.89 | % 4 | 5.68 | % | 5.11 | % |
| Supplemental Data | | | | | | | | | | | | | | |
| Net assets end of period (000) | $ 390,432 | $ | 371,175 | $ | 381,379 | $ | 345,101 | $ | 356,456 | $ | 379,605 | $ | 384,850 | |
| Borrowings outstanding, end of period (000) | $ 165,979 | $ | 154,883 | $ | 157,776 | $ | 77,474 | $ | 100,740 | $ | 105,262 | $ | 34,326 | |
| Average borrowings outstanding, during the period (000) | $ 131,122 | $ | 148,617 | $ | 151,700 | $ | 49,573 | $ | 131,462 | $ | 68,241 | $ | 59,691 | |
| Portfolio turnover | 186 | % 5 | 774 | % 6 | 720 | % 7 | 270 | % 8 | 44 | % 9 | 196 | % | 131 | % |
| Asset coverage, end of period per $1,000 | $ 3,352 | $ | 3,396 | $ | 3,417 | $ | 5,454 | $ | 4,538 | $ | 4,606 | $ | 12,212 | |

| 1 | Based on average shares
outstanding. |
| --- | --- |
| 2 | Total investment returns
based on market value, which can be significantly greater or lesser than the
net asset value, may result in substantially different returns. Where
applicable, total investment returns exclude the effects of any sales charges
and include the reinvestment of dividends and distributions. |
| 3 | Aggregate total investment
return. |
| 4 | Annualized. |
| 5 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 136%. |
| 6 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 492%. |
| 7 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 608%. |
| 8 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 165%. |
| 9 | Includes TBA transactions.
Excluding these transactions, the portfolio turnover would have been 168%. |

| See Notes to Financial
Statements. — 114 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

Financial Highlights BlackRock Income Trust, Inc. (BKT)

| | Six
Months Ended February 29, 2012 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | | | | | | Year
Ended October 31, | | | | |
| | | Year
Ended August 31, | | | | | | | | | | | | |
| | | 2011 | | 2010 | | 2009 | | | | 2007 | | 2006 | | |
| Per Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value, beginning of period | $ 7.96 | $ | 7.76 | $ | 7.12 | $ | 6.94 | $ | 6.53 | $ | 6.48 | $ | 6.54 | |
| Net investment income | 0.20 | 1 | 0.35 | 1 | 0.20 | 1 | 0.28 | 1 | 0.26 | 1 | 0.30 | | 0.32 | |
| Net realized and unrealized gain | 0.04 | | 0.19 | | 0.73 | | 0.19 | | 0.40 | | 0.12 | | 0.05 | |
| Net increase (decrease) from investment operations | 0.24 | | 0.54 | | 0.93 | | 0.47 | | 0.66 | | 0.42 | | 0.37 | |
| Dividends and distributions from: | | | | | | | | | | | | | | |
| Net investment income | (0.23 | ) | (0.34 | ) | (0.26 | ) | (0.29 | ) | (0.25 | ) | (0.29 | ) | (0.34 | ) |
| Net realized gain | | | | | (0.03 | ) | | | | | | | | |
| Tax return of capital | | | | | | | | | | | (0.08 | ) | (0.09 | ) |
| Total dividends and distributions | (0.23 | ) | (0.34 | ) | (0.29 | ) | (0.29 | ) | (0.25 | ) | (0.37 | ) | (0.43 | ) |
| Net asset value, end of period | $ 7.97 | $ | 7.96 | $ | 7.76 | $ | 7.12 | $ | 6.94 | $ | 6.53 | $ | 6.48 | |
| Market price, end of period | $ 7.55 | $ | 7.18 | $ | 6.95 | $ | 6.53 | $ | 6.07 | $ | 5.81 | $ | 6.07 | |
| Total Investment Return 2 | | | | | | | | | | | | | | |
| Based on net asset value | 3.29 | % 3 | 7.70 | % | 13.86 | % | 7.64 | % | 10.82 | % 3 | 7.06 | % | 6.06 | % |
| Based on market price | 8.48 | % 3 | 8.47 | % | 11.19 | % | 12.87 | % | 8.94 | % 3 | 1.69 | % | 10.18 | % |
| Ratios to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 1.01 | % 4 | 1.06 | % | 1.05 | % | 1.09 | % | 1.63 | % 4 | 2.77 | % | 2.85 | % |
| Total expenses after fees waived and before fees paid indirectly | 1.01 | % 4 | 1.05 | % | 1.02 | % | 1.08 | % | 1.63 | % 4 | 2.77 | % | 2.85 | % |
| Total expenses after fees waived and paid indirectly | 1.01 | % 4 | 1.05 | % | 1.02 | % | 1.08 | % | 1.63 | % 4 | 2.76 | % | 2.84 | % |
| Total expenses after fees waived and paid indirectly and excluding
interest expense | 0.93 | % 4 | 0.94 | % | 0.92 | % | 0.93 | % | 0.91 | % 4 | 0.98 | % | 1.00 | % |
| Net investment income | 5.13 | % 4 | 4.43 | % | 2.72 | % | 4.09 | % | 4.67 | % 4 | 4.60 | % | 4.92 | % |
| Supplemental Data | | | | | | | | | | | | | | |
| Net assets, end of period (000) | $ 509,412 | $ | 508,765 | $ | 496,260 | $ | 455,529 | $ | 444,054 | $ | 417,651 | $ | 414,460 | |
| Borrowings outstanding, end of period (000) | $ 163,692 | $ | 233,676 | $ | 106,985 | $ | 11,815 | | | $ | 33,895 | $ | 70,691 | |
| Average borrowings outstanding, during the period (000) | $ 203,760 | $ | 116,771 | $ | 23,316 | $ | 537 | $ | 61,777 | $ | 93,325 | $ | 104,393 | |
| Portfolio turnover | 222 | % 5 | 899 | % 6 | 883 | % 7 | 700 | % 8 | 263 | % 9 | 250 | % | 80 | % |
| Asset coverage, end of period per $1,000 | $ 4,112 | $ | 3,177 | $ | 5,639 | $ | 39,555 | | | $ | 13,322 | $ | 6,863 | |

| 1 | Based on average shares
outstanding. |
| --- | --- |
| 2 | Total investment returns
based on market value, which can be significantly greater or lesser than the
net asset value, may result in substantially different returns. Where
applicable, total investment returns exclude the effects of any sales charges
and include the reinvestment of dividends and distributions. |
| 3 | Aggregate total investment
return. |
| 4 | Annualized. |
| 5 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 89%. |
| 6 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 387%. |
| 7 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 207%. |
| 8 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 184%. |
| 9 | Includes TBA transactions.
Excluding these transactions, the portfolio turnover would have been 0%. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 115 |
| --- | --- | --- |

Financial Highlights BlackRock Strategic Bond Trust (BHD)

| | Six
Months Ended February 29, 2012 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | | | | | | Year
Ended October 31, | | | | |
| | | Year
Ended August 31, | | | | | | | | | | | | |
| | | 2011 | | 2010 | | 2009 | | | | 2007 | | 2006 | | |
| Per Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value, beginning of period | $ 13.48 | $ | 13.57 | $ | 12.12 | $ | 12.76 | $ | 13.80 | $ | 13.83 | $ | 13.68 | |
| Net investment income | 0.51 | 1 | 1.06 | 1 | 1.01 | 1 | 0.93 | 1 | 0.76 | 1 | 0.95 | | 0.99 | |
| Net realized and unrealized gain (loss) | 0.87 | | (0.04 | ) | 1.35 | | (0.69 | ) | (1.03 | ) | (0.06 | ) | 0.18 | |
| Net increase (decrease) from investment operations | 1.38 | | 1.02 | | 2.36 | | 0.24 | | (0.27 | ) | 0.89 | | 1.17 | |
| Dividends and distributions from: | | | | | | | | | | | | | | |
| Net investment income | (0.65 | ) | (1.11 | ) | (0.91 | ) | (0.88 | ) | (0.77 | ) | (0.92 | ) | (0.98 | ) |
| Tax return of capital | | | | | | | | | | | | | (0.04 | ) |
| Total dividends and distributions | (0.65 | ) | (1.11 | ) | (0.91 | ) | (0.88 | ) | (0.77 | ) | (0.92 | ) | (1.02 | ) |
| Net asset value, end of period | $ 14.21 | $ | 13.48 | $ | 13.57 | $ | 12.12 | $ | 12.76 | $ | 13.80 | $ | 13.83 | |
| Market price, end of period | $ 13.87 | $ | 12.93 | $ | 13.17 | $ | 11.43 | $ | 10.85 | $ | 11.88 | $ | 12.85 | |
| Total Investment Return 2 | | | | | | | | | | | | | | |
| Based on net asset value | 10.13 | % 3 | 8.09 | % | 20.38 | % | 3.99 | % | (1.19 | )% 3 | 7.26 | % | 9.58 | % |
| Based on market price | 12.07 | % 3 | 6.83 | % | 23.88 | % | 15.34 | % | (2.40 | )% 3 | (0.62 | )% | 11.87 | % |
| Ratios to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 1.46 | % 4 | 1.52 | % | 1.13 | % | 1.00 | % | 0.93 | % 4 | 1.45 | % | 2.25 | % |
| Total expenses after fees waived and before fees paid indirectly | 1.46 | % 4 | 1.51 | % | 1.11 | % | 0.92 | % | 0.82 | % 4 | 1.27 | % | 2.25 | % |
| Total expenses after fees waived and paid indirectly | 1.46 | % 4 | 1.51 | % | 1.11 | % | 0.92 | % | 0.82 | % 4 | 1.27 | % | 2.00 | % |
| Total expenses after fees waived and paid indirectly and excluding
interest expense | 1.24 | % 4 | 1.26 | % | 1.04 | % | 0.92 | % | 0.81 | % 4 | 0.87 | % | 0.94 | % |
| Net investment income | 7.54 | % 4 | 7.59 | % | 7.77 | % | 8.67 | % | 6.85 | % 4 | 6.86 | % | 7.26 | % |
| Supplemental Data | | | | | | | | | | | | | | |
| Net assets, end of period (000) | $ 100,278 | $ | 95,127 | $ | 95,794 | $ | 85,581 | $ | 90,092 | $ | 97,410 | $ | 97,614 | |
| Borrowings outstanding, end of period (000) | $ 25,000 | $ | 24,000 | $ | 12,000 | | | $ | 1,571 | $ | 413 | $ | 14,951 | |
| Average borrowings outstanding during the period (000) | $ 22,264 | $ | 22,696 | $ | 5,701 | $ | 303 | $ | 391 | $ | 7,240 | $ | 21,104 | |
| Portfolio turnover | 26 | % | 72 | % | 83 | % | 61 | % | 27 | % | 34 | % | 56 | % |
| Asset coverage, end of period per $1,000 | $ 5,011 | $ | 4,964 | $ | 8,983 | | | $ | 58,347 | $ | 236,789 | $ | 7,529 | |

| See Notes to Financial
Statements. — 116 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
| --- | --- | --- |

N otes to Financial Statements (Unaudited)

1. Organization and Significant Accounting Policies:

BlackRock Core Bond Trust (BHK), BlackRock Corporate High Yield Fund V, Inc. (HYV), BlackRock Corporate High Yield Fund VI, Inc. (HYT), BlackRock High Income Shares (HIS), BlackRock High Yield Trust (BHY), BlackRock Income Opportunity Trust, Inc. (BNA), BlackRock Income Trust, Inc. (BKT) and BlackRock Strategic Bond Trust (BHD) (collectively, the Trusts) are registered under the 1940 Act, as diversified, closed-end management investment companies. HYV, HYT, BNA and BKT are organized as Maryland corporations. BHK, BHY and BHD are organized as Delaware statutory trusts. HIS is organized as a Massachusetts business trust. The Trusts financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors and the Boards of Trustees of the Trusts are collectively referred to throughout this report as the Board of Trustees or the Board, and the directors/trustees thereof are collectively referred to throughout this report as Trustees. The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Basis of Consolidation: The accompanying consolidated financial statements include the accounts of BLK HYV (Luxembourg) Investments, S.a.r.l. and BLK HYT (Luxembourg) Investments, S.a.r.l. (the Taxable Subsidiaries), a wholly owned taxable subsidiary of each Trust which holds shares of private Canadian companies. Such shares are held in the Taxable Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investments held by the Taxable Subsidiary may be taxable to such subsidiaries in Luxembourg. An income tax provision for all income, including realized and unrealized gains, if any, is reflected as either a reduction in investment income or as a component of realized and unrealized gain (loss) on the Consolidated Statements of Operations. The Trusts may invest up to 25% of their total assets in the Taxable Subsidiary. Intercompany accounts and transactions have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to the Trusts.

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (TBA) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Trusts pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Municipal investments (including commitments to purchase such investments on a when-issued basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (NASDAQ) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that such prior days price no longer reflects the fair value of the security.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (NYSE). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

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. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that the prior days price no longer reflects the fair value of the option. Over-the-counter (OTC) options and swaptions are valued by an independent pricing, service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment, which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair

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value (Fair Value Assets). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arms-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Trusts net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.

Foreign Currency Transactions: The Trusts books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Trusts investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

The Trusts do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Trusts report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Asset-Backed and Mortgage-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Certain Trusts may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Collateralized Debt Obligations: Certain Trusts may invest in collateralized debt obligations (CDOs), which include collateralized bond obligations (CBOs) and collateralized loan obligations (CLOs). CBOs and CLOs are types of asset-backed securities. A CDO is a bankruptcy remote entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called tranches, which will vary in risk profile and yield. The riskiest segment is the subordinated or equity tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a senior tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Certain Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (CMOs) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the Mortgage Assets), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (IOs), principal only (POs), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since

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Notes to Financial Statements (continued)

this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trust may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Trusts may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Certain Trusts also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Certain Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Capital Trusts: Certain Trusts may invest in capital trusts. 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 generally are rated below that of the issuing companys senior debt securities.

Preferred Stock: Certain Trusts may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuers board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: Certain Trusts may invest in floating rate loan interests. The floating rate loan interests the Trusts hold are typically issued to companies (the borrower) by banks, other financial institutions, and privately and publicly offered corporations (the lender). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

When a Trust purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrowers option. The Trusts may invest in such loans in the form of participations in loans (Participations) or assignments (Assignments) of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Trusts may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Trusts having a direct contractual relationship with the borrower, and the Trusts may enforce compliance by the borrower with the terms of the loan agreement.

Borrowed Bond Agreements: Certain Trusts may enter into borrowed bond agreements. In a borrowed bond agreement, the Trusts borrow a bond from a counterparty in exchange for cash collateral with the commitment that the security and the cash will be returned to the counterparty and the Trusts, respectively, at a mutually agreed upon rate and date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with

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Notes to Financial Statements (continued)

short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Trusts and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Trusts may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Trusts may also experience delays in gaining access to the collateral.

Short Sales: Certain Trusts may enter into short sale transactions in which the Trusts sell a security it does not hold in anticipation of a decline in the market price of that security. When a Trust makes a short sale, it will borrow the security sold short (borrowed bond) and deliver it to the counterparty to which it sold the security short. An amount equal to the proceeds received by the Trusts is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Trusts are required to repay the counterparty any interest received on the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts may pay a fee on the assets borrowed from the counterparty, which is shown as stock loan fees in the Statements of Operations. The Trusts maintain a segregated account of securities or deposits cash with the broker-dealer as collateral for the short sales. The Trusts may receive interest on their cash collateral deposited with the broker-dealer. The Trusts are exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Trusts sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received. There is no assurance the Trusts will be able to close out a short position at a particular time or at an acceptable price.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. Certain Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

TBA Commitments: Certain Trusts may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Trusts generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. The Trusts account for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Trusts portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon repurchase price of those securities.

Treasury Roll Transactions: Certain Trusts may enter into treasury roll transactions. In a treasury roll transaction the Trusts sell a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Trusts receive cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Trusts and the counterparty over the term of the borrowing. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by the Trusts on an accrual basis. The Trusts will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Trusts. If the interest expense exceeds the income earned, the Trusts net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to repurchase may decline below the agreed upon repurchase price of those securities.

Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Trusts may utilize

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Notes to Financial Statements (continued)

reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Trusts are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Trusts use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Trusts obligation to repurchase the securities.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (SEC) require that the Trusts either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts, swaps, short sales and options written), or certain borrowings (e.g., reverse repurchase agreements and treasury roll transactions), the Trusts will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

Income Taxes: It is each Trusts policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on BHK, HIS, BHY, BNA, BKT and BHDs US federal tax returns remain open for each of the three years ended August 31, 2011 and for the period ended August 31, 2008. The statutes of limitations on HYV and HYTs tax returns remain open for each of the four years ended August 31, 2011. The statutes of limitations on the Trusts state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standards: In May 2011, the Financial Accounting Standards Board (the FASB) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts financial statement disclosures.

In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financials instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts financial statement disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trusts Board, independent Trustees (Independent Trustees) may 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 certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Each Trust may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations. Investments to cover each Trusts deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from

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Notes to Financial Statements (continued)

the BlackRock Closed-End Fund investments under the plan are included in dividends affiliated in the Statements of Operations.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk or other risk (inflation risk). These contracts may be transacted on an exchange or OTC.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Trusts maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Trusts bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Trusts do not give rise to counterparty credit risk, as options written obligate the Trusts to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

The Trusts may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (ISDA Master Agreement) implemented between a Trust and each of its respective counterparties. An ISDA Master Agreement allows each Trust to offset with each separate counterparty certain derivative financial instruments payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Trusts from their counterparties are not fully collateralized contractually or otherwise, the Trusts bear the risk of loss from counterparty non-performance. See Note 1 Segregation and Collateralization for information with respect to collateral practices. In addition, the Trusts manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trusts net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements, which would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Trusts purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk) or in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Trusts and the counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Foreign Currency Exchange Contracts: The Trusts enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trust as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike 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 instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trust enters into a closing transaction), the Trusts realize a gain or loss

122 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

Notes to Financial Statements (continued)

on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is covered, meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (swaptions) 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 or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

The Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold. Such transactions may be effected with respect to hedges on non-US dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be purchased by the Trusts.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security at a price different from the current market value.

Swaps: The Trusts enter into swap agreements, in which the Trusts and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination. These payments received or made by the Trusts are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Trusts will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

| | Credit default swaps The
Trusts enter into credit default swaps to manage their exposure to the market or
certain sectors of the market, to reduce their risk exposure to defaults of
corporate and/or sovereign issuers or to create exposure to corporate and/or
sovereign issuers to which they are not
otherwise exposed (credit risk). The Trusts enter into credit default swap
agreements to provide a measure of protection against the default of an
issuer (as buyer of protection) and/or gain credit exposure to an issuer to
which it is not otherwise exposed (as seller of protection). The Trusts may
either buy or sell (write) credit default swaps on single-name issuers
(corporate or sovereign), a combination or basket of single-name issuers or
traded indexes. Credit default swaps on single-name issuers are agreements in
which the buyer pays fixed periodic payments to the seller in consideration
for a guarantee from the seller to make a specific payment should a negative
credit event take place with respect to the referenced entity (e.g.,
bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium
or restructuring). Credit default swaps on traded indexes are agreements in
which the buyer pays fixed periodic payments to the seller in consideration
for a guarantee from the seller to make a specific payment should a
write-down, principal or interest shortfall or default of all or individual
underlying securities included in the index occurs. As a buyer, if an
underlying credit event occurs, the Trusts will either receive from the
seller an amount equal to the notional amount of the swap and deliver the
referenced security or underlying securities comprising the index or receive
a net settlement of cash equal to the notional amount of the swap less the
recovery value of the security or underlying securities comprising the index.
As a seller (writer), if an underlying credit event occurs, the Trusts will
either pay the buyer an amount equal to the notional amount of the swap and
take delivery of the referenced security or underlying securities comprising
the index or pay a net settlement of cash equal to the notional amount of the
swap less the recovery value of the security or underlying securities
comprising the index. |
| --- | --- |
| | Total return swaps The
Trusts enter into total return swaps to obtain exposure to a security or market without
owning such security or investing directly in that market or to transfer the
risk/return of one market (e.g., fixed income) to another market (e.g.,
equity) (equity risk and/or interest rate risk). Total return swaps are
agreements in which there is an exchange of cash flows whereby one party
commits to make payments based on the total return (coupons plus capital
gains/losses) of an underlying instrument in exchange for fixed or floating
rate interest payments. To the extent the total return of the instrument or
index underlying the transaction exceeds or falls short of the offsetting
interest rate obligation, the Trusts will receive a payment from or make a
payment to the counterparty. |
| | Interest rate swaps The
Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to
manage duration, the yield curve or interest rate risk by economically
hedging the value of the fixed rate bonds which may decrease when interest
rates rise (interest rate risk). Interest rate swaps are agreements in which
one party pays a stream of interest payments, either fixed or floating rate,
for another partys stream of interest payments, either fixed or floating, on
the same notional amount for a specified period of time. Interest rate
floors, which are a type of interest rate swap, are agreements in which one
party agrees to make payments to the other party to the extent that interest
rates fall below a specified rate or floor in return for a premium. In more
complex swaps, the notional principal amount may decline (or amortize) over
time. |

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 123

Notes to Financial Statements (continued)

Derivative Financial Instruments Categorized by Risk Exposure:

| Fair
Values of Derivative Financial Instruments as of February 29, 2012 | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Asset
Derivatives | | | | | | | | |
| | | BHK | HYV | HYT | HIS | BHY | BNA | BKT | BHD |
| | Statements
of Assets and Liabilities Location | Value | | | | | | | |
| Interest rate
contracts | Net unrealized appreciation/depreciation 1 ;
Unrealized appreciation on swaps; Investments at value unaffiliated 2 | $ 530,376 | | | | | $ 647,019 | $ 46,616,117 | $ 84,885 |
| Foreign currency
exchange contracts | Unrealized appreciation on foreign currency exchange
contracts; Investments at value unaffiliated 2 | 236,289 | $ 8,857 | $ 7,223 | | $ 407 | 235,206 | | 628 |
| Credit contracts | Unrealized appreciation on swaps; Investments at
value unaffiliated 2 | 682,111 | 643,176 | 662,856 | | 191,926 | 683,504 | | 85,945 |
| Equity contracts | Net unrealized appreciation/depreciation 1 ;
Investments at value unaffiliated 2 | | 305,250 | 316,130 | $ 87,545 | | | | |
| Total | | $ 1,448,776 | $ 957,283 | $ 986,209 | $ 87,545 | $ 192,333 | $ 1,565,729 | $ 46,616,117 | $ 171,458 |
| | Liability
Derivatives | | | | | | | | |
| | | BHK | HYV | HYT | HIS | BHY | BNA | BKT | BHD |
| | Statements
of Assets and Liabilities Location | Value | | | | | | | |
| Interest rate
contracts | Net unrealized appreciation/depreciation 1 ;
Unrealized depreciation on swaps; Option written at value | $ 4,576,159 | | | | | $ 4,550,767 | $ 42,571,558 | $ 67,229 |
| Foreign currency
exchange contracts | Unrealized depreciation on foreign currency exchange
contracts; Options written at value | 563,492 | $ 1,448,067 | $ 1,500,303 | $ 283,739 | $ 15,017 | 479,402 | | 249,845 |
| Credit contracts | Unrealized depreciation on swaps; Options written at
value | 36,040 | 112,207 | 119,959 | | 6,107 | 36,176 | | 202 |
| Equity contracts | Unrealized depreciation on swaps; Options written at
value | | 412,959 | 445,363 | 74,334 | | | | |
| Other contracts | Unrealized depreciation on swaps | 77,284 | | | | | 77,489 | | |
| Total | | $ 5,252,975 | $ 1,973,233 | $ 2,065,625 | $ 358,073 | $ 21,124 | $ 5,143,834 | $ 42,571,558 | $ 317,276 |

| 1 | Includes cumulative
appreciation/depreciation of financial futures contracts as reported in the
Schedules of Investments. Only current days margin variation is reported
within the Statements of Assets and Liabilities. |
| --- | --- |
| 2 | Includes options purchased
at value as reported in the Schedules of Investments. |

124 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

Notes to Financial Statements (continued)

| The
Effect of Derivative Financial Instruments on the Statements of Operations Six Months Ended February 29, 2012 | | | | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Net
Realized Gain (Loss) From | | | | | | | | | | | | | | | |
| | BHK | | HYV | | HYT | | HIS | | BHY | BNA | | | BKT | | BHD | |
| Interest rate contracts: | | | | | | | | | | | | | | | | |
| Financial futures
contracts | $ (453,633 | ) | | | | | | | | $ | (357,014 | ) | $ (5,090,929 | ) | $ (57,843 | ) |
| Swaps | 1,376,353 | | | | | | | | | | 850,535 | | 249,984 | | 102,783 | |
| Options 1 | (2,053,700 | ) | $ 542,835 | | $ 609,505 | | | | | | (1,439,130 | ) | (126,181 | ) | | |
| Floors | | | | | | | | | | | | | 443,883 | | | |
| Foreign currency
exchange contracts: | | | | | | | | | | | | | | | | |
| Financial futures
contracts | (35,220 | ) | | | | | | | | | (40,039 | ) | (1,789 | ) | | |
| Foreign currency
exchange contracts | 1,089,752 | | 3,252,823 | | 3,481,662 | | $ 774,738 | | $ (2,883 | ) | 445,882 | | | | 597,890 | |
| Options 1 | (76,426 | ) | | | | | | | | | (78,422 | ) | | | | |
| Credit contracts: | | | | | | | | | | | | | | | | |
| Swaps | 1,018,396 | | (381,877 | ) | (414,494 | ) | | | 198,394 | | 1,018,450 | | | | 32,974 | |
| Equity contracts: | | | | | | | | | | | | | | | | |
| Financial futures
contracts | | | (3,965,704 | ) | (4,093,471 | ) | (355,406 | ) | | | | | | | | |
| Options 1 | | | (406,208 | ) | (418,826 | ) | (93,698 | ) | | | | | | | | |
| Other contracts: | | | | | | | | | | | | | | | | |
| Swaps | (21,016 | ) | 146,751 | | 154,102 | | | | 17,707 | | (21,115 | ) | | | | |
| Total | $ 844,506 | | $ (811,380 | ) | $ (681,522 | ) | $ 325,634 | | $ 213,218 | $ | 379,147 | | $ (4,525,032 | ) | $ 675,804 | |
| | Net
Change in Unrealized Appreciation/Depreciation on | | | | | | | | | | | | | | | |
| | BHK | | HYV | | HYT | | HIS | | BHY | BNA | | | BKT | | BHD | |
| Interest rate
contracts: | | | | | | | | | | | | | | | | |
| Financial futures
contracts | $ 570,814 | | | | | | | | | $ | 393,611 | | $ (31,774 | ) | $ (11,359 | ) |
| Swaps | (1,654,566 | ) | | | | | | | | | (1,484,830 | ) | (1,292,938 | ) | 17,608 | |
| Options 1 | 1,895,867 | | | | | | | | | | 1,707,450 | | 65,267 | | (28,283 | ) |
| Floors | | | | | | | | | | | | | (132,104 | ) | | |
| Foreign currency
exchange contracts: | | | | | | | | | | | | | | | | |
| Foreign currency
exchange contracts | (339,345 | ) | $ (1,299,680 | ) | $ (1,346,118 | ) | $ (251,144 | ) | $ (14,610 | ) | (244,840 | ) | | | (222,923 | ) |
| Options 1 | 12,275 | | | | | | | | | | 12,504 | | | | | |
| Credit contracts: | | | | | | | | | | | | | | | | |
| Swaps | (1,147,981 | ) | 638,353 | | 652,359 | | | | 53,613 | | (1,144,329 | ) | | | 28,505 | |
| Options 1 | | | 442,787 | | 441,347 | | | | | | | | | | | |
| Equity contracts: | | | | | | | | | | | | | | | | |
| Financial futures
contracts | | | 1,980,740 | | 1,905,233 | | 119,132 | | | | | | | | | |
| Options 1 | | | (122,259 | ) | (124,721 | ) | (71,461 | ) | | | | | | | | |
| Other contracts: | | | | | | | | | | | | | | | | |
| Swaps | (77,284 | ) | (75,845 | ) | (79,649 | ) | | | (9,012 | ) | (77,489 | ) | | | | |
| Total | $ (740,220 | ) | $ 1,564,096 | | $ 1,448,451 | | $ (203,473 | ) | $ 29,991 | $ | (837,923 | ) | $ (1,391,549 | ) | $ (216,452 | ) |

1 Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 125

Notes to Financial Statements (continued)

For the six months ended February 29, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:

	BHK	HYV	HYT	HIS	BHY	BNA	BKT	BHD
Financial futures contracts:
Average number of
contracts purchased	503					448	989	88
Average number of
contracts sold	909	314	371	51		1,020	2,323	81
Average notional
value of contracts purchased	$ 97,756,601					$ 90,662,358	$ 236,438,591	$ 13,889,188
Average notional
value of contracts sold	$ 144,530,667	$ 19,877,370	$ 23,647,510	$ 3,258,630		$ 161,080,680	$ 325,262,643	$ 13,622,047
Foreign currency exchange contracts:
Average number of
contracts US dollars purchased	29	12	10	4	2	29		6
Average number of
contracts US dollars sold	25	4	5	2		24		3
Average US dollar
amounts purchased	$ 34,190,383	$ 32,807,740	$ 42,359,736	$ 8,164,303	$ 824,212	$ 31,132,553		$ 7,185,347
Average US dollar
amounts sold	$ 20,431,120	$ 1,822,882	$ 2,041,243	$ 273,790		$ 17,089,813		$ 440,943
Options:
Average number of
option contracts purchased	21,946,571	726	1,205	335	3	21,979,071	369	6
Average number of
option contracts written	14,326,250	538	895	250		14,336,250
Average notional
value of option contracts purchased	$ 22,673,250	$ 9,658,514	$ 16,209,000	$ 4,506,000	$ 2,829	$ 22,707,000	$ 921,250	$ 5,657
Average notional
value of option contracts written	$ 14,426,250	$ 6,718,750	$ 11,187,500	$ 3,125,000		$ 14,436,250
Average number of
swaption contracts purchased	6	1	1			6	2	2
Average number of
swaption contracts written	11	2	2			12	2	1
Average notional
value of swaption contracts purchased	$ 57,226,013	$ 7,500,000	$ 7,500,000			$ 57,376,013	$ 12,400,000	$ 1,906,402
Average notional
value of swaption contracts written	$ 285,700,000	$ 14,500,000	$ 15,500,000			$ 289,500,000	$ 22,200,000	$ 2,200,000
Credit default swaps:
Average number of
contracts buy protection	8	11	11		7	8		6
Average number of
contracts sell protection	14	12	12		7	14		10
Average notional
value buy protection	$ 8,926,162	$ 13,027,348	$ 14,139,767		$ 565,000	$ 8,942,290		$ 1,497,500
Average notional
value sell protection	$ 6,964,165	$ 9,451,500	$ 11,945,000		$ 1,852,500	$ 6,999,165		$ 1,416,359
Interest rate swaps:
Average number of
contracts pays fixed rate	4					9	12	1
Average number of
contracts receives fixed rate	5					7	12	1
Average notional
value pays fixed rate	$ 4,965,679					$ 25,924,039	$ 261,030,000	$ 600,000
Average notional
value receives fixed rate	$ 50,019,629					$ 53,368,064	$ 249,611,600	$ 9,400,000
Total return swaps:
Average number of
contracts	1					1
Average notional
value	$ 940,000					$ 1,885,000

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (PNC) and Barclays Bank PLC (Barclays) are the largest stockholders of BlackRock, Inc. (BlackRock). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the Manager), the Trusts investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services for each Trust and administration services for BHK, HYV, HYT, HIS and BHD.

The following Trusts investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trusts average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

BHK	0.55%
HIS	0.75%
of the first $200 million and 0.50% thereafter
BHY	0.90%
BHD	0.75%

The following Trusts investment advisory fee paid to the Manager is computed daily and payable monthly based on an annual rate of each Trusts average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

HYV	0.60
HYT	0.70 %

126 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

Notes to Financial Statements (continued)

The following Trusts investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trusts average net assets:

BNA	0.60
BKT	0.65 %

BHY, BNA and BKT each have an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT, of each Trusts average net assets and 0.10% for BHY of the Trusts average weekly total assets.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through each Trusts investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the six months ended February 29, 2012, the amounts waived were as follows:

BHK	$
HYV	$ 251
HYT	$ 280
HIS	$ 182
BHY	$ 127
BNA	$ 1,573
BKT	$ 2,449
BHD	$ 133

BlackRock provides investment management and other services to the Taxable Subsidiaries. BlackRock does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Trust pays BlackRock based on the Trusts net assets, which includes the assets of the Taxable Subsidiaries.

The Manager entered into a separate sub-advisory agreement with BlackRock Financial Management, Inc. (BFM), an affiliate of the Manager with respect to BHK, HYV, HYT, HIS and BHD. The Manager pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for compensation paid to the Trusts Chief Compliance Officer.

4. Investments:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the six months ended February 29, 2012, were as follows:

	Purchases	Sales
BHK	$ 469,053,488	$ 516,744,054
HYV	$ 164,014,956	$ 143,307,785
HYT	$ 171,818,017	$ 150,224,762
HIS	$ 44,561,663	$ 43,405,656
BHY	$ 21,817,057	$ 13,928,318
BNA	$ 481,520,298	$ 533,947,655
BKT	$ 1,339,537,226	$ 1,385,718,993
BHD	$ 29,200,573	$ 28,228,676

Purchases and sales of US government securities, for the six months ended February 29, 2012, were as follows:

	Purchases	Sales
BHK	$ 514,284,821	$ 477,424,118
BNA	$ 504,329,363	$ 449,075,848
BKT	$ 488,528,588	$ 475,725,365
BHD	$ 2,427,194	$ 1,862,799

For the six months ended February 29, 2012, purchases and sales of mortgage dollar rolls were as follows:

	Purchases	Sales
BHK	$ 256,189,320	$ 256,450,408
BNA	$ 262,809,813	$ 263,087,783
BKT	$ 1,091,717,115	$ 1,093,392,375

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 127

Notes to Financial Statements (continued)

Transactions in options written for the six months ended February 29, 2012, were as follows:

Contracts		Notional (000)		Premiums Received		Contracts		Notional (000)		Premiums Received
BHK
Outstanding options,
beginning of period		$	63,300	$	2,441,442		538	$	86,985	$	2,818,041
Options written	459		82,695		2,289,919		329		572,340		5,143,524
Options expired	(178	)	(35,095	)	(469,381	)	(595	)	(55,763	)	(874,217	)
Options exercised	(15	)	(8,100	)	(93,352	)			(26,422	)	(1,070,207	)
Options closed	(266	)	(69,800	)	(3,081,968	)	(272	)	(58,330	)	(2,878,278	)
Outstanding options, end of
period		$	33,000	$	1,086,660			$	518,810	$	3,138,863
HYV
Outstanding options,
beginning of period		$	24,175	$	296,835		664	$	26,475	$	688,420
Options written	1,350		7,000		422,017		5,700		7,000		681,602
Options expired			(17,175	)	(72,135	)	(2,625	)	(19,475	)	(521,579	)
Options exercised							(664	)			(23,620	)
Options closed	(1,350	)	(14,000	)	(646,717	)	(1,350	)	(14,000	)	(701,468	)
Outstanding options, end of
period							1,725			$	123,355
HYT
Outstanding options,
beginning of period		$	26,025	$	332,505		698	$	27,700	$	741,030
Options written	1,433		8,000		469,894		5,956		8,000		741,855
Options expired			(18,025	)	(75,705	)	(2,733	)	(19,700	)	(533,499	)
Options exercised							(698	)			(24,830	)
Options closed	(1,433	)	(16,000	)	(726,694	)	(1,433	)	(16,000	)	(796,517	)
Outstanding options, end of
period							1,790			$	128,039
HIS
Outstanding options,
beginning of period
Options written	417			$	47,111		1,689			$	117,299
Options expired							(772	)			(60,723	)
Options closed	(417	)			(47,111	)	(417	)			(19,589	)
Outstanding options, end of
period							500			$	36,987
BNA
Outstanding options,
beginning of period		$	61,300	$	2,208,193		539	$	85,015	$	2,585,616
Options written	461		82,875		2,297,188		329		573,250		5,151,136
Options expired	(180	)	(35,175	)	(471,670	)	(596	)	(59,073	)	(1,004,517	)
Options exercised	(15	)	(6,900	)	(46,390	)			(26,442	)	(1,071,191	)
Options closed	(266	)	(69,000	)	(2,895,456	)	(272	)	(53,040	)	(2,515,176	)
Outstanding options, end of
period		$	33,100	$	1,091,865			$	519,710	$	3,145,868
BKT
Outstanding options,
beginning of period		$	11,100	$	353,258		247	$	11,100	$	448,653
Options written	514				296,502		995				315,965
Options expired	(242	)			(150,973	)	(333	)			(128,259	)
Options exercised	(20	)			(3,050	)
Options closed	(252	)			(142,479	)	(909	)			(283,102	)
Outstanding options, end of
period		$	11,100	$	353,258			$	11,100	$	353,257
BHD
Outstanding options,
beginning of period
Options written								$	4,400	$	50,160
Options exercised
Outstanding options, end of
period								$	4,400	$	50,160

128 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

Notes to Financial Statements (continued)

5. Income Tax Information:

As of August 31, 2011, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

Expires August 31,	BHK	HYV	HYT	HIS	BHY	BNA	BHD
2012				$ 2,339,279	$ 316,410
2014				7,043,976	2,060,533
2015					2,467,772
2016	$ 17,011,639			10,829,322	2,039,760	$ 13,511,023	$ 687,454
2017	7,416,000	$ 25,464,032	$ 31,939,528	3,140,056	916,541	7,369,088	930,008
2018		45,786,654	54,927,764	15,169,557	5,191,260	10,964,638	3,835,687
2019					737,843
Total	$ 24,427,639	$ 71,250,686	$ 86,867,292	$ 38,522,190	$ 13,730,119	$ 31,844,749	$ 5,453,149

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Trusts after August 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.

As of February 29, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	BHK — $ 519,485,199	$	535,075,073	$	557,006,304	$	149,699,172	$	57,208,243	$	529,204,687	$	827,769,995	$	117,113,498
Gross unrealized appreciation	32,902,354		33,420,622		33,884,899		6,927,547		3,410,212		34,312,914		45,547,388		8,324,695
Gross unrealized depreciation	(7,597,991	)	(21,039,743	)	(21,692,446	)	(4,793,667	)	(944,821	)	(7,892,219	)	(18,707,213	)	(1,444,535	)
Net unrealized appreciation (depreciation)	$ 25,304,363	$	12,380,879	$	12,192,453	$	2,133,880	$	2,465,391	$	26,420,695	$	26,840,175	$	6,880,160

6. Borrowings:

HYV, HYT, HIS, BHY and BHD entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the SSB Agreement) with State Street Bank and Trust Company (SSB). The Trusts have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:

	Commitment Amount
HYV	$ 204,500,000
HYT	$ 213,800,000
HIS	$ 63,600,000
BHY	$ 23,000,000
BHD	$ 50,200,000

Prior to March 2, 2012, advances were made by SSB to the Trusts, at the Trusts option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

Effective March 2, 2012, advances will be made by SSB to the Trusts, at the Trusts option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Trusts pay a facility fee and a commitment fee based upon SSBs total commitment to the Trusts. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Trusts as of February 29, 2012 are shown in the Statements of Assets and Liabilities as loan payable.

The Trusts may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowing is less than 300%.

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 129

Notes to Financial Statements (continued)

For the six months ended February 29, 2012, the daily weighted average interest rates for Trusts with borrowings from reverse repurchase agreements and treasury roll transactions were as follows:

BHK	0.16 %
BNA	0.15 %
BKT	0.19 %

For the six months ended February 29, 2012, the daily weighted average interest rates for Trusts with loans under the revolving credit agreements were as follows:

HYV	0.96 %
HYT	0.96 %
HIS	0.96 %
BHY	0.96 %
BHD	0.96 %

7. Commitments:

Certain Trusts may invest in floating rate loan interests. In connection with these investments, the Trust may also enter into bridge loan commitments (commitments). Bridge loan commitments may obligate the Trust to furnish temporary financing to a borrower until permanent financing can be arranged. At February 29, 2012, the Trusts had outstanding bridge loan commitments as follows:

	Commitment Amounts
HYV	$ 5,101,399
HYT	$ 5,352,437
HIS	$ 1,557,646
BHY	$ 574,917
BHD	$ 510,000

In connection with these commitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. The unrecognized commitment fee income is recorded on the Statements of Assets and Liabilities as deferred income.

8. Concentration, Market and Credit Risk:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Trusts Statements of Assets and Liabilities, less any collateral held by the Trusts.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

9. Capital Share Transactions:

BHK, BHY and BHD are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BNA and BKT are authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. HYV and HYT are authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. HIS is authorized to issue an unlimited number of shares, no par value, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

HYV	25,438
HYT	38,517
HIS	51,607
BHY	759

130 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

Notes to Financial Statements (concluded)

Shares issued and outstanding remained constant during the six months ended February 29, 2012 and the year ended August 31, 2011 for BHK, BNA, BKT and BHD.

10. Subsequent Events:

Managements evaluation of the impact of all subsequent events on the Trusts financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts paid a net investment income dividend in the following amounts per share on March 30, 2012 to shareholders of record on March 15, 2012:

| | Common
Dividend Per Share |
| --- | --- |
| BHK | $ 0.0670 |
| HYV | $ 0.0860 |
| HYT | $ 0.0835 |
| HIS | $ 0.0142 |
| BHY | $ 0.0435 |
| BNA | $ 0.0530 |
| BKT | $ 0.0405 |
| BHD | $ 0.0845 |

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 131

O fficers and Trustees 1

| Richard E. Cavanagh,
Chairman of the Board and Trustee |
| --- |
| Karen P. Robards, Vice
Chairperson of the Board, Chairperson of the Audit Committee and Trustee |
| Paul L. Audet, Trustee |
| Michael J. Castellano,
Trustee and Member of the Audit Committee |
| Frank J. Fabozzi, Trustee
and Member of the Audit Committee |
| Kathleen F. Feldstein,
Trustee |
| James T. Flynn, Trustee and
Member of the Audit Committee |
| Henry Gabbay, Trustee |
| Jerrold B. Harris, Trustee |
| R. Glenn Hubbard, Trustee |
| W. Carl Kester, Trustee and
Member of the Audit Committee |
| John M. Perlowski,
President and Chief Executive Officer |
| Anne Ackerley, Vice
President |
| Brendan Kyne, Vice
President |
| Neal Andrews, Chief
Financial Officer |
| Jay Fife, Treasurer |
| Brian Kindelan, Chief
Compliance Officer and Anti-Money Laundering Officer |
| Ira P. Shapiro, Secretary |

1 John F. Powers, who was a Trustee of the Trusts, resigned as of February 21, 2012.

| Investment
Advisor |
| --- |
| BlackRock Advisors, LLC |
| Wilmington, DE 19809 |
| Sub-Advisor 2 |
| BlackRock Financial
Management, Inc. |
| New York, NY 10055 |
| Custodian
and Accounting Agent |
| State Street Bank and Trust
Company |
| Boston, MA 02110 |
| Transfer
Agent |
| Computershare Trust
Company, N.A. |
| Canton, MA 02021 |
| Independent
Registered Public Accounting Firm |
| Deloitte & Touche LLP |
| Boston, MA 02116 |
| Legal
Counsel |
| Skadden, Arps, Slate,
Meagher & Flom LLP |
| New York, NY 10036 |
| Address of
the Trusts |
| 100 Bellevue Parkway |
| Wilmington, DE 19809 |

2 For BHK, HYV, HYT, HIS and BHD.

BHK, BNA and BKT are managed by a team of investment professionals. Effective March 16, 2012, Tom Musmanno was added to the team of portfolio managers responsible for the day-to-day management of the Trusts portfolio and the selection of its investments.

132 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

| A dditional Information |
| --- |
| Dividend
Policy |
| Each Trusts dividend
policy is to distribute all or a portion of its net investment income to its
shareholders on a monthly basis. In order to provide shareholders with a more
stable level of dividend distributions, the Trusts may at times pay out less
than the entire amount of net investment income earned in any particular
month and may at times in any particular month pay out such accumulated but
undistributed income in addition to net investment income earned in that
month. As a result, the dividends paid by the Trusts for any particular month
may be more or less than the amount of net investment income earned by the
Trusts during such month. The Trusts current accumulated but undistributed
net investment income, if any, is disclosed in the Statements of Assets and
Liabilities, which comprises part of the financial information included in
this report. |
| General
Information |
| The Trusts do not make
available copies of their 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 the respective Trusts offerings and the information contained in each
Trusts Statement of Additional Information may have become outdated. |
| During the period, there
were no material changes in the Trusts investment objectives or policies or
to the Trusts charter or by-laws that would delay or prevent a change of
control of the Trusts that were not approved by shareholders or in the
principal risk factors associated with investment in the Trusts. Other than
as disclosed on page 132, there have been no changes in the persons who are
primarily responsible for the day-to-day management of the Trusts
portfolios. |
| Quarterly performance,
semi-annual and annual reports and other information regarding the Trusts may
be found on BlackRocks website, which can be accessed at
http://www.blackrock.com. This reference to BlackRocks web-site is intended
to allow investors public access to information regarding the Trusts and does
not, and is not intended to, incorporate BlackRocks website in this report. |
| Electronic
Delivery |
| Electronic copies of most
financial reports are available on the Trusts web-site or shareholders can
sign up for e-mail notifications of quarterly statements, annual and
semi-annual reports by enrolling in the Trusts electronic delivery program. |
| Shareholders
Who Hold Accounts with Investment Advisors, Banks or Brokerages: |
| Please contact your
financial advisor to enroll. Please note that not all investment advisors,
banks or brokerages may offer this service. |
| Householding |
| 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 call
the Trusts at (800) 441-7762. |
| Availability
of Quarterly Schedule of Investments |
| The Trusts file their
complete schedule of portfolio holdings with the SEC for the first and third
quarters of each fiscal year on Form N-Q. The Trusts Forms N-Q are available
on the SECs website at http://www.sec.gov and may also be reviewed and
copied at the SECs Public Reference Room in Washington, D.C. Information on
how to access documents on the SECs website without charge may be obtained
by calling (800) SEC-0330. The Trusts Forms N-Q may also be obtained upon
request and without charge by calling (800) 441-7762. |
| Availability
of Proxy Voting Policies and Procedures |
| A description of the
policies and procedures that the Trusts use to determine how to vote proxies
relating to portfolio securities is available (1) without charge, upon
request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3)
on the SECs website at http://www.sec.gov. |
| Availability
of Proxy Voting Record |
| Information about how the
Trusts voted proxies relating to securities held in the Trusts portfolios
during the most recent 12-month period ended June 30 is available upon
request and without charge (1) at http://www.blackrock.com or by calling
(800) 441-7762 and (2) on the SECs website at http://www.sec.gov. |
| Availability
of Trust Updates |
| BlackRock will update
performance and certain other data for the Trusts on a monthly basis on its
website in the Closed-end Funds section of http://www.blackrock.com.
Investors and others are advised to periodically check the website for
updated performance information and the release of other material information
about the Trusts. This reference to BlackRocks website is intended to allow
investors public access to information regarding the Trusts and does not, and
is not intended to, incorporate BlackRocks website in this report. |

SEMI-ANNUAL REPORT FEBRUARY 29, 2012 133

| Additional Information (concluded) |
| --- |
| Section 19(a) Notices |
| These reported amounts and
sources of distributions are estimates and are not being provided for tax
reporting purposes. The actual amounts and sources for tax reporting purposes
will depend upon each Trusts investment experience during the year and may
be subject to changes based on the tax regulations. Each Trust will provide a
Form 1099-DIV each calendar year that will explain the character of these
dividends and distributions for federal income tax purposes. |

| February
29, 2012 | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Total
Fiscal Year-to-Date Cumulative Distributions by Character | | | | Percent
of Fiscal Year-to-Date Cumulative Distributions by Character | | | |
| | 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 |
| BHY | $ 0.256197 | | $ 0.004803 | $ 0.261000 | 98 % | 0 % | 2 % | 100 % |

Each Trust estimates that it has distributed more than the amount of earned 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 shareholders investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trusts investment performance and should not be confused with yield or income.

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 non-public 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 non-public 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 websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated 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 non-public 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 non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

134 SEMI-ANNUAL REPORT FEBRUARY 29, 2012

This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares yield. Statements and other information herein are as dated and are subject to change.

CEF -1-8-2/12-SAR

end

Item 2 –	Code of Ethics – Not Applicable to this semi-annual report
Item 3 –	Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 –	Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 –	Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 –	Investments
	(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
	(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 –	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 –	Portfolio Managers of Closed-End Management Investment Companies

(a)	Not Applicable to this semi-annual report
(b)	As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 –	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 –	Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 –	Controls and Procedures
	(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing
of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
	(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
	(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
	(a)(2) – Certifications – Attached hereto
	(a)(3) – Not Applicable
	(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 Income Trust, Inc.
By:	/s/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	BlackRock Income Trust, Inc.
Date: May 1, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By:	/s/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	BlackRock Income Trust, Inc.
Date: May 1, 2012
By:	/s/ Neal J. Andrews
	Neal J. Andrews
	Chief Financial Officer (principal financial officer) of
	BlackRock Income Trust, Inc.
Date: May 1, 2012

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