N-CSRS 1 i00206_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

Registrants telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2011

Date of reporting period: 02/28/2011

Item 1 Report to Stockholders

insert

February 28, 2011

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	100
Statements of Operations	104
Statements of Changes in Net Assets	106
Statements of Cash Flows	108
Financial
Highlights	110
Notes
to Financial Statements	118
Officers
and Trustees	131
Additional
Information	132

2 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

D ear Shareholder

Over the past 12 months, we have seen a sluggish, stimulus-driven economic recovery at long last gain real traction, accelerate, and transition into a consumption-driven expansion. For the most part, 2010 was plagued with widely fluctuating economic data, but as the year drew to a close, it became clear that cyclical stimulus had beaten out structural problems as economic data releases generally became more positive and financial markets showed signs of continuing improvement. Although the sovereign debt crises and emerging market inflation that troubled the global economy in 2010 remain a challenge, overall investor sentiment considerably improved. Near the end of the period, geopolitical tensions across the Middle East North Africa (MENA) region along with rising oil prices introduced new cause for concern about the future of the global economy. As of this writing, economic news remains fairly positive although we face additional uncertainties related to the aftermath of the devastating earthquake in Japan, with particular focus on the damage to nuclear power plants.

In the United States, strength from the corporate sector and increasing consumer spending have been key drivers of economic growth, while the housing and labor markets have been the heaviest burdens. While housing has yet to show any meaningful sign of improvement, labor statistics have delivered a mixed bag month after month, but became increasingly encouraging toward the end of the period when the unemployment rate fell to its lowest level since April 2009.

Global equity markets experienced uneven growth and high volatility over the course of 2010, but ended the year strong. Following a strong start to 2011, stocks lost their momentum on the back of geopolitical events in the MENA region and a sharp rise in oil prices. Overall, equities posted strong returns for the 12-month period. US stocks outpaced most international markets and small cap stocks outperformed large caps as investors moved into higher-risk assets.

Fixed income markets saw yields trend lower over most of 2010, until the fourth quarter brought an abrupt reversal in sentiment and risk tolerance that drove yields sharply upward (pushing bond prices down) through year end. Improving economic data continued to pressure fixed income yields in 2011; however, escalating geopolitical risks have acted as a counterweight, restoring relative stability to yield movements. Nevertheless, the yield curve remained steep and higher-risk sectors outperformed the fixed income market.

The tax-exempt municipal market enjoyed a powerful rally during the period of low interest rates in 2010; however, when the yield trend reversed, the market was dealt an additional blow as it became evident that the Build America Bond program would expire at year end. In addition, negative headlines regarding fiscal challenges faced by state and local governments damaged investor confidence and further heightened volatility in the municipal market. Tax-exempt mutual funds experienced heavy outflows, resulting in wider quality spreads and further downward pressure on municipal bond prices. These headwinds began to abate as the period came to a close and municipals finally posted gains in February, following a five-month run of negative performance.

Cash investments, as represented by the 3-month Treasury bill, returned only a fraction over 0% for the 12-month period as short-term interest rates remained low. Yields on money market securities remain near all-time lows.

| Total returns as of February 28,
2011 | 6-month | | 12-month |
| --- | --- | --- | --- |
| US large cap equities
(S&P 500 Index) | 27.73 | % | 22.57 % |
| US small cap equities
(Russell 2000 Index) | 37.55 | | 32.60 |
| International equities
(MSCI Europe, Australasia, Far East Index) | 23.77 | | 20.00 |
| 3-month Treasury bill (BofA
Merrill Lynch 3-Month Treasury Bill Index) | 0.07 | | 0.14 |
| US Treasury securities
(BofA Merrill Lynch 10-Year US Treasury Index) | (6.04 | ) | 4.76 |
| US investment grade bonds
(Barclays Capital US Aggregate Bond Index) | (0.83 | ) | 4.93 |
| Tax-exempt municipal bonds
(Barclays Capital Municipal Bond Index) | (3.51 | ) | 1.72 |
| US high yield bonds
(Barclays Capital US Corporate High Yield 2% Issuer Capped Index) | 10.05 | | 17.34 |

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

While no one can peer into a crystal ball and eliminate the uncertainties presented by the economic landscape and financial markets, BlackRock can offer investors the next best thing: partnership with the worlds largest asset management firm and a unique global perspective that allows us to identify trends early and capitalize on market opportunities. For additional market perspective and investment insight, visit www.blackrock.com/shareholdermagazine , where youll find the most recent issue of our award-winning Shareholder ® magazine, as well as its quarterly companion newsletter, Shareholder Perspectives . As always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the months and years ahead.

Sincerely,
●
Rob Kapito
President, BlackRock
Advisors, LLC

THIS PAGE NOT PART OF YOUR FUND REPORT 3

T rust Summary as of February 28, 2011 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 28, 2011, the Trust returned (8.46)% based on market price and (1.21)% 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 (0.83)% based on
market price and 2.73% based on NAV. All returns reflect reinvestment of
dividends. The Trusts discount to NAV, which widened 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 largest individual
factor impacting the Trusts performance relative to its Lipper category competitors, many of which
carry a lower average credit quality and/or a higher allocation to spread
assets (those driven by movements in credit risk), is the Trusts
high-quality bias. This bias hurt performance for the period as spread
sectors and lower-quality risk assets generally outperformed US Treasuries
and government-related assets. In addition, the Trust carried a higher
duration (sensitivity to interest rates) relative to its Lipper category average,
which detracted from relative performance as interest rates rose
significantly in the fourth quarter of 2010. |
| | Contributing positively to
performance on an absolute basis was the Trusts exposure to non-government spread sectors,
such as investment grade credit, non-agency residential mortgage-backed
securities (MBS) and asset-backed securities (ABS). Also contributing
positively were allocations to high yield corporate credit and commercial
mortgage-backed securities (CMBS), which were among the best performing
fixed income sectors during the period. |
| | The Trust engaged in
financial futures contracts and interest rate options (swaptions) for purposes of hedging and
managing risks related to duration and yield curve positioning. As interest
rates rose during the period, the Trusts interest rate options (swaptions)
had a positive impact on performance while financial futures contracts
detracted. |
| | Describe
recent portfolio activity. |
| | During the period, the
Trust gradually increased its use of leverage and added exposure to corporate credit and
high-quality securitized debt, including CMBS and ABS. In addition, the Trust
reduced its duration during the period. |
| | 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, ABS and
non-agency residential MBS. The Trust also held allocations to
government-related sectors such US Treasuries, agency debt and agency MBS. |

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 28, 2011

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 28, 2011 ($12.28) 1 | 6.55% |
| Current Monthly
Distribution per Common Share 2 | $0.067 |
| Current Annualized
Distribution per Common Share 2 | $0.804 |
| Leverage as of February 28, 2011 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 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:

Market Price	2/28/11 — $ 12.28	8/31/10 — $ 13.92	(11.78	)%	High — $ 13.99	Low — $ 12.00
Net Asset Value	$ 13.51	$ 14.19	(4.79	)%	$ 14.30	$ 13.19

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

	2/28/11	8/31/10
Corporate Bonds	38 %	38 %
U.S. Government Sponsored
Agency Securities	32	23
U.S. Treasury Obligations	14	19
Non-Agency Mortgage-Backed
Securities	10	10
Asset-Backed Securities	3	5
Taxable Municipal Bonds	1	2
Foreign Agency Obligations	1	2
Preferred Securities	1	1

Credit Quality Allocations 4

	2/28/11	8/31/10
AAA/Aaa5	51 %	43 %
AA/Aa	7	11
A	11	17
BBB/Baa	10	11
BB/Ba	7	8
B	10	7
CCC/Caa	3	2
Not Rated	1	1

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 5

Trust Summary as of February 28, 2011 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.

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 28, 2011, the Trust returned 8.59% based on market price and 14.21% based on
NAV. For the same period, the closed-end Lipper High Current Yield Funds
(Leveraged) category posted an average return of 9.98% based on market price
and 12.87% based on NAV. All returns reflect reinvestment of dividends. The
Trusts discount to NAV, which widened 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? |
| | High yield bonds
outperformed the broader fixed income market as risk assets rallied during the period.
Lower-quality high yield bonds outperformed higher-quality issues. The bank loan
sector also posted strong returns, but underperformed high yield. The largest
contributor to the Trusts performance was individual security selection,
particularly among lower-quality credits and special situations in the
automotive sector, including manufacturers of automobiles, auto parts and
components. Within the Trusts small allocation to common stocks, its
holdings in Delphi boosted returns. The Trusts limited exposure to
high-quality, non-investment grade proved beneficial, as did its large allocation
to lower-quality credits later in the period. |
| | During the period, the
Trust maintained leverage at an average amount between 20% and 22% of its total managed
assets, which detracted from relative performance versus competitors that
maintained higher levels of leverage, as would be expected when markets are
advancing. During most of the period, the Trust held a significant position
in mid-tier speculative grade names, which detracted modestly as they
underperformed their lower-quality counterparts. Also having a negative
impact was the Trusts exposure to floating rate loan interests; however, the
Trust continues to hold a number of loans issued by speculative companies
where we believe the loans are the most attractive instrument in the companys
capital structure. |
| | Describe
recent portfolio activity. |
| | Over the period, the Trust
shifted its overall positioning from a more conservative stance to that which is more consistent
with a gradually improving economy. The Trust reduced its exposure to the
automotive sector and increased exposure to lower-quality credits as well as
sectors where companies are positioned to benefit from rising commodity
prices. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 80% of its total portfolio in corporate bonds, 12% in floating rate loan interests, 6% in
common stocks and 2% in preferred stocks. Cash positions were negligible for
most of the period. The Trust ended the period with leverage at approximately
24% of its total managed assets. |

6 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

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 28, 2011 ($11.81) 1	8.38%
Current Monthly
Distribution per Common Share 2	$0.0825
Current Annualized
Distribution per Common Share 2	$0.9900
Leverage as of February 28, 2011 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 | A change in the
distribution rate was declared on March 1, 2011. The Monthly Distribution per
Share was increased to $0.085. The Yield on Closing Market Price, Current
Monthly Distribution per Share and Current Annualized Distribution per Share
do not reflect the new distribution rate. The new distribution rate is not
constant and is subject to further change in the future. |
| 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:

	2/28/11	8/31/10		High	Low
Market Price	$ 11.81	$ 11.40	3.60 %	$ 11.94	$ 10.56
Net Asset Value	$ 12.65	$ 11.61	8.96 %	$ 12.69	$ 11.61

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

	2/28/11	8/31/10
Corporate Bonds	80 %	80 %
Floating Rate Loan
Interests	12	15
Common Stocks	4	2
Preferred Stocks	2	1
Other Interests	2	2

Credit Quality Allocations 4

	2/28/11	8/31/10
BBB/Baa	4 %	3 %
BB/Ba	31	35
B	46	46
CCC/Caa	14	11
CC/Ca		1
Not Rated	5	4

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 7

Trust Summary as of February 28, 2011
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.

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 28, 2011, the Trust returned 10.01% based on market price and
13.31% based on NAV. For the same period, the closed-end Lipper High Current
Yield Funds (Leveraged) category posted an average return of 9.98% based on
market price and 12.87% based on NAV. All returns reflect reinvestment of
dividends. The Trusts discount to NAV, which widened 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? |
| | High yield bonds
outperformed the broader fixed income market as risk assets rallied
during the period. Lower-quality high yield bonds outperformed higher-quality
issues. The bank loan sector also posted strong returns, but underperformed
high yield. The largest contributor to the Trusts performance was individual
security selection, particularly among lower-quality credits and special
situations in the automotive sector, including manufacturers of automobiles,
auto parts and components. Within the Trusts small allocation to common
stocks, its holdings in Delphi boosted returns. The Trusts limited exposure
to high-quality, non-investment grade proved beneficial, as did its large
allocation to lower-quality credits later in the period. |
| | During the period, the
Trust maintained leverage at an average amount between 18% and 20% of
its total managed assets, which detracted from relative performance versus
competitors that maintained higher levels of leverage, as would be expected
when markets are advancing. During most of the period, the Trust held a
significant position in mid-tier speculative grade names, which detracted
modestly as they underperformed their lower-quality counterparts. Also having
a negative impact was the Trusts exposure to floating rate loan interests;
however, the Trust continues to hold a number of loans issued by speculative
companies where we believe the loans are the most attractive instrument in
the companys capital structure. |
| | Describe
recent portfolio activity. |
| | Over the period, the Trust
shifted its overall positioning from a more conservative stance to
that which is more consistent with a gradually improving economy. The Trust
reduced its exposure to the automotive sector and increased exposure to
lower-quality credits as well as sectors where companies are positioned to
benefit from rising commodity prices. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 81% of its total portfolio in corporate bonds, 12% in floating
rate loan interests, 6% in common stocks and 1% in preferred stocks. Cash
positions were negligible for most of the period. The Trust ended the period
with leverage at approximately 23% 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 28, 2011

| 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 28, 2011 ($11.79) 1 | 8.40% |
| Current
Monthly Distribution per Common Share 2 | $0.0825 |
| Current
Annualized Distribution per Common Share 2 | $0.9900 |
| Leverage as
of February 28, 2011 3 | 23% |

| 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:

	2/28/11	8/31/10		High	Low
Market Price	$ 11.79	$ 11.19	5.36 %	$ 11.90	$ 10.52
Net Asset
Value	$ 12.35	$ 11.38	8.52 %	$ 12.39	$ 11.38

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

	2/28/11	8/31/10
Corporate
Bonds	81 %	81 %
Floating
Rate Loan Interests	12	15
Common
Stocks	4	2
Other
Interests	2	1
Preferred
Stocks	1	1

Credit Quality Allocations 4

	2/28/11	8/31/10
BBB/Baa	4 %	3 %
BB/Ba	32	36
B	46	47
CCC/Caa	14	11
Not Rated	4	3

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 9

Trust Summary as of February 28, 2011 BlackRock High Income Shares

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.

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 28, 2011, the Trust returned 9.43% based on market price and
12.65% based on NAV. For the same period, the closed-end Lipper High Current
Yield Funds (Leveraged) category posted an average return of 9.98% based on
market price and 12.87% based on NAV. All returns reflect reinvestment of
dividends. The Trusts discount to NAV, which widened 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? |
| | High yield bonds
outperformed the broader fixed income market as risk assets rallied
during the period. Lower-quality high yield bonds outperformed higher-quality
issues. The bank loan sector also posted strong returns, but underperformed
high yield. Given the advancing market, the Trusts use of leverage had a
positive impact on returns on an absolute basis. However, the Trust maintains
a lower level of leverage (at an average amount between 15% and 18% of its
total managed assets) than the average level maintained by its Lipper
category competitors, which detracted from performance on a relative basis. |
| | During most of the
period, the Trust held a significant position in mid-tier speculative
grade names, which detracted modestly as they underperformed their
lower-quality counterparts. Also having a negative impact was the Trusts
exposure to floating rate loan interests; however, the Trust continues to
hold a number of loans issued by speculative companies where we believe the
loans are the most attractive instrument in the companys capital structure. |
| | Contributing positively to
performance was individual security selection, particularly among
lower-quality credits and special situations in the automotive sector,
including manufacturers of automobiles, auto parts and components. Within the
Trusts small allocation to common stocks, its holdings in Delphi boosted
returns. The Trusts limited exposure to high-quality, non-investment grade
proved beneficial, as did its large allocation to lower-quality credits later
in the period. |
| | Describe
recent portfolio activity. |
| | Over the period, the Trust
shifted its overall positioning from a more conservative stance to
that which is more consistent with a gradually improving economy. The Trust
reduced its exposure to the automotive sector and increased exposure to lower-quality
credits as well as sectors where companies are positioned to benefit from
rising commodity prices. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 86% of its total portfolio in corporate bonds, 12% in floating
rate loan interests and 1% in both common stocks and preferred stocks. Cash
positions were negligible for most of the period. The Trust ended the period
with leverage at approximately 18% 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 28, 2011

BlackRock High Income Shares
Trust Information

| Symbol on
NYSE | HIS |
| --- | --- |
| Initial
Offering Date | August 10, 1988 |
| Yield on
Closing Market Price as of February 28, 2011 ($2.16) 1 | 7.89% |
| Current
Monthly Distribution per Common Share 2 | $0.0142 |
| Current
Annualized Distribution per Common Share 2 | $0.1704 |
| Leverage as
of February 28, 2011 3 | 18% |

| 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:

	2/28/11	8/31/10		High	Low
Market Price	$ 2.16	$ 2.09	3.35 %	$ 2.22	$ 1.93
Net Asset
Value	$ 2.33	$ 2.19	6.39 %	$ 2.34	$ 2.19

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

	2/28/11	8/31/10
Corporate
Bonds	86 %	84 %
Floating
Rate Loan Interests	12	13
Preferred Securities	1	2
Common
Stocks	1	1

Credit Quality Allocations 4

	2/28/11	8/31/10
A	1 %
BBB/Baa	4	3 %
BB/Ba	31	35
B	45	46
CCC/Caa	14	11
Not Rated	5	5

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 11

Trust Summary as of February 28, 2011 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 28, 2011, the Trust returned 9.00% based on market price and
12.85% based on NAV. For the same period, the closed-end Lipper High Current
Yield Funds (Leveraged) category posted an average return of 9.98% based on
market price and 12.87% based on NAV. All returns reflect reinvestment of
dividends. The Trusts discount to NAV, which widened 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? |
| | High yield bonds
outperformed the broader fixed income market as risk assets rallied
during the period. Lower-quality high yield bonds outperformed higher-quality
issues. The bank loan sector also posted strong returns, but underperformed
high yield. Given the advancing market, the Trusts use of leverage had a
positive impact on returns on an absolute basis. However, the Trust maintains
a lower level of leverage (at an average amount between 15% and 18% of its
total managed assets) than the average level maintained by its Lipper
category competitors, which detracted from performance on a relative basis. |
| | During most of the period, the
Trust held a significant position in mid-tier speculative grade names,
which detracted modestly as they underperformed their lower-quality
counterparts. Also having a negative impact was the Trusts exposure to
floating rate loan interests; however, the Trust continues to hold a number
of loans issued by speculative companies where we believe the loans are the
most attractive instrument in the companys capital structure. |
| | Contributing positively to
performance was individual security selection, particularly among
lower-quality credits and special situations in the automotive sector,
including manufacturers of automobiles, auto parts and components. Within the
Trusts small allocation to common stocks, its holdings in Delphi boosted
returns. The Trusts limited exposure to high-quality, non-investment grade
proved beneficial, as did its large allocation to lower-quality credits later
in the period. |
| | Describe
recent portfolio activity. |
| | Over the period, the Trust
shifted its overall positioning from a more conservative stance to
that which is more consistent with a gradually improving economy. The Trust
reduced its exposure to the automotive sector and increased exposure to
lower-quality credits as well as sectors where companies are positioned to
benefit from rising commodity prices. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 85% of its total portfolio in corporate bonds, 12% in floating
rate loan interests and 3% in stocks. Cash positions were negligible for most
of the period. The Trust ended the period with leverage at approximately 18%
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. |

12 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

BlackRock High Yield Trust
Trust Information

| Symbol on
NYSE | BHY |
| --- | --- |
| Initial
Offering Date | December 23, 1998 |
| Yield on
Closing Market Price as of February 28, 2011 ($6.75) 1 | 7.73% |
| Current
Monthly Distribution per Common Share 2 | $0.0435 |
| Current
Annualized Distribution per Common Share 2 | $0.5220 |
| Leverage as
of February 28, 2011 3 | 18% |

| 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:

	2/28/11	8/31/10		High	Low
Market Price	$ 6.75	$ 6.44	4.81 %	$ 6.77	$ 5.94
Net Asset
Value	$ 7.26	$ 6.69	8.52 %	$ 7.28	$ 6.69

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

	2/28/11	8/31/10
Corporate
Bonds	85 %	84 %
Floating
Rate Loan Interests	12	13
Other
Interests	2	1
Preferred
Securities	1	1
Common
Stocks		1

Credit Quality Allocations 4

	2/28/11	8/31/10
BBB/Baa	4 %	3 %
BB/Ba	35	38
B	44	42
CCC/Caa	13	12
Not Rated	4	5

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 13

Trust Summary as of February 28, 2011 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 28, 2011, the Trust returned (6.69)% based on market price and
(1.64)% based on NAV. For the same period, the closed-end Lipper Corporate
Debt Funds BBB-Rated category posted an average return of (0.83)% based on
market price and 2.73% based on NAV. All returns reflect reinvestment of
dividends. The Trusts discount to NAV, which widened 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 largest individual
factor impacting performance relative to its Lipper category
competitors, many of which carry a lower average credit quality and/or a
higher allocation to spread assets (those driven by movements in credit
risk), is the Trusts high-quality bias. This bias hurt performance for the
period as spread sectors and lower-quality risk assets generally outperformed
US Treasuries and government-related assets. In addition, the Trust carried a
higher duration (sensitivity to interest rates) relative to its Lipper
category average, which detracted from relative performance as interest rates
rose significantly in the fourth quarter of 2010. |
| | Contributing positively to
performance on an absolute basis was the Trusts exposure to
non-government spread sectors, such as investment grade credit, non-agency
residential MBS and ABS. Also contributing positively were allocations to
high yield corporate credit and CMBS, which were among the best performing
fixed income sectors during the period. |
| | The Trust engaged in
financial futures contracts for purposes of hedging and managing risks
related to duration and yield curve positioning. As interest rates rose
during the period, the Trusts financial futures contracts had a negative
impact on performance. |
| | Describe
recent portfolio activity. |
| | During the period, the
Trust gradually reduced its exposure to agency MBS, while it increased
exposure to corporate credit and reduced the duration of its portfolio. |
| | 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, ABS and
non-agency residential MBS. The Trust also held allocations to
government-related sectors such US Treasuries, agency debt and agency MBS. |
| | 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. |

14 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

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 28, 2011 ($9.52) 1 | 6.43% |
| Current
Monthly Distribution per Common Share 2 | $0.051 |
| Current
Annualized Distribution per Common Share 2 | $0.612 |
| Leverage as
of February 28, 2011 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:

Market Price	2/28/11 — $ 9.52	8/31/10 — $ 10.56	(9.85	)%	High — $ 10.59	Low — $ 9.30
Net Asset
Value	$ 10.52	$ 11.07	(4.97	)%	$ 11.13	$ 10.28

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

| Corporate
Bonds | 39 % | 38 % |
| --- | --- | --- |
| U.S.
Government Sponsored Agency Securities | 32 | 23 |
| U.S.
Treasury Obligations | 13 | 18 |
| Non-Agency
Mortgage-Backed Securities | 11 | 12 |
| Asset-Backed
Securities | 3 | 4 |
| Taxable
Municipal Bonds | 2 | 2 |
| Foreign
Agency Obligations | | 2 |
| Preferred
Securities | | 1 |

Credit Quality Allocations 4

AAA/Aaa 5	50 %	41 %
AA/Aa	6	11
A	12	20
BBB/Baa	11	12
BB/Ba	7	9
B	10	6
CCC/Caa	4	1

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 15

Trust Summary as of February 28, 2011 BlackRock Income Trust, Inc.

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.

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 28, 2011, the Trust returned 0.01% based on market price and
2.22% based on NAV. For the same period, the closed-end Lipper US Mortgage
Funds category posted an average return of 1.37% based on market price and
6.30% based on NAV. All returns reflect reinvestment of dividends. The
Trusts discount to NAV, which widened 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 largest individual
factor impacting performance relative to its Lipper category
competitors, many of which carry a lower average credit quality and/or a
higher allocation to CMBS and non-agency residential MBS, is the Trusts
high-quality bias. This bias hurt performance for the period as CMBS and
non-agency residential MBS generally outperformed agency MBS. |
| | Contributing positively to
performance on an absolute basis was the Trusts exposure to CMBS and
non-agency residential MBS. Security selection among agency MBS had a
positive impact on performance, most notably with respect to positioning in
agency interest-only (IO) mortgages. |
| | The Trust engaged in
financial futures contracts and interest rate swaps for purposes of
hedging and managing risks related to duration and yield curve positioning.
As interest rates rose during the period, the Trusts financial futures
contracts and interest rate swaps had a positive impact on performance. |
| | Describe
recent portfolio activity. |
| | During the period, the
Trust gradually reduced exposure to CMBS and altered its agency IO
mortgage exposure by moving from higher-coupon mortgages to lower-coupon
mortgages. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
maintained its exposure to high-quality agency MBS with varying
maturities and coupons and held allocations to non-agency residential MBS and
CMBS. |

16 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

BlackRock Income Trust, Inc.

Trust Information

| Symbol on
NYSE | BKT |
| --- | --- |
| Initial
Offering Date | July 22, 1988 |
| Yield on
Closing Market Price as of February 28, 2011 ($6.80) 1 | 4.68% |
| Current
Monthly Distribution per Common Share 2 | $0.0265 |
| Current
Annualized Distribution per Common Share 2 | $0.3180 |
| Leverage as
of February 28, 2011 3 | 16% |

| 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 and the Term Asset-Backed Securities Loan Facility
(TALF) 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:

Market Price	2/28/11 — $ 6.80	8/31/10 — $ 6.95	(2.16	)%	High — $ 7.06	Low — $ 6.63
Net Asset
Value	$ 7.76	$ 7.76		%	$ 7.84	$ 7.64

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

Portfolio Composition

| U.S.
Government Sponsored Agency Securities | 86 % | 83 % |
| --- | --- | --- |
| U.S.
Treasury Obligations | 9 | 11 |
| Non-Agency
Mortgage Backed Securities | 4 | 5 |
| Asset-Backed
Securities | 1 | 1 |

Credit Quality Allocations 4

AAA/Aaa 5	100 %	100 %

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 17

Trust Summary as of February 28, 2011
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 28, 2011, the Trust returned 3.55% based on market price and
9.30% based on NAV. For the same period, the closed-end Lipper High Current Yield
Funds (Leveraged) category posted an average return of 9.98% based on market
price and 12.87% based on NAV. All returns reflect reinvestment of dividends.
The Trusts discount to NAV, which widened 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? |
| | High yield bonds delivered
strong performance as risk assets rallied during the period. The
Trusts average allocation to high yield contributed to performance on an
absolute basis, its average allocation to investment grade credit, which
underperformed amid rising interest rates, hurt performance relative to its
Lipper category competitors, which invest primarily in high yield bonds. The
Trust also invests in floating rate loan interests (approximately 14% of the
portfolio during the period), which detracted from relative performance as
the bank loan sector underperformed high yield during the period. |
| | The Trust maintained
leverage at an average amount between 18% and 22% of its total managed
assets, which detracted from relative performance versus competitors that
maintained higher levels of leverage, as would be expected when markets are
advancing. |
| | Within the Trusts high
yield segment, a large allocation to lower-quality credits benefited
performance, as did security selection in that space. |
| | Describe
recent portfolio activity. |
| | Over the period, the Trust
shifted its overall positioning from a more conservative stance to
that which is more consistent with a gradually improving economy. In
particular, the Trust increased exposure to lower-quality credits and sectors
that are more sensitive to commodity prices and economic conditions. |
| | Describe
portfolio positioning at period end. |
| | At period end, the Trust
held 83% of its total portfolio in corporate bonds and 12% in floating
rate loan interests, with the remainder in US Treasury obligations and
stocks. Cash positions were negligible for most of the period. The Trust
ended the period with leverage at approximately 22% of its total managed
assets. |

18 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

BlackRock Strategic Bond Trust
Trust Information

| Symbol on
NYSE | BHD |
| --- | --- |
| Initial
Offering Date | February 26, 2002 |
| Yield on
Closing Market Price as of February 28, 2011 ($13.02) 1 | 7.33% |
| Current
Monthly Distribution per Common Share 2 | $0.0795 |
| Current
Annualized Distribution per Common Share 2 | $0.9540 |
| Leverage as
of February 28, 2011 3 | 22% |

| 1 | Yield on closing market
price is calculated by dividing the current annualized distribution per share
by the closing market price. Past performance does not guarantee future
results. |
| --- | --- |
| 2 | A change in the
distribution rate was declared on March 1, 2011. The Monthly Distribution per
Share was increased to $0.0845. The Yield on Closing Market Price, Current
Monthly Distribution per Share and Current Annualized Distribution per Share
do not reflect the new distribution rate. The new distribution rate is not
constant and is subject to further change in the future. |
| 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:

Market Price	2/28/11 — $ 13.02	8/31/10 — $ 13.17	(1.14	)%	High — $ 13.53	Low — $ 12.22
Net Asset
Value	$ 14.16	$ 13.57	4.35	%	$ 14.23	$ 13.57

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

| Corporate
Bonds | 83 % | 85 % |
| --- | --- | --- |
| Floating
Rate Loan Interests | 12 | 11 |
| U.S.
Treasury Obligations | 2 | |
| Other
Interests | 2 | 1 |
| Preferred
Securities | 1 | 2 |
| Common
Stocks | | 1 |

Credit Quality Allocations 4

AA/Aa	3 %	3 %
A	13	14
BBB/Baa	14	13
BB/Ba	25	28
B	35	33
CCC/Caa	8	8
Not Rated	2	1

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 19

T he Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the yield and NAV. However, these objectives cannot be achieved in all interest rate environments.

The Trusts may utilize leverage by borrowing through a credit facility, participation in the TALF, 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 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 of 6%, the yield curve has a negative slope. In this case, the Trust pays interest expense on the 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 NAV positively or negatively in addition to the impact on Trust performance from leverage and borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Trusts and shareholders, 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, each 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, the Trusts are permitted to borrow through their credit facility, through participation in the TALF or entering into reverse repurchase agreements up to 33 1 / 3 % of their total managed assets. As of February 28, 2011, the Trusts had outstanding leverage from borrowings as a percentage of their total managed assets as follows:

| | Percent
of Leverage |
| --- | --- |
| BHK | 29% |
| HYV | 24% |
| HYT | 23% |
| HIS | 18% |
| BHY | 18% |
| BNA | 30% |
| BKT | 16% |
| BHD | 22% |

D erivative Financial Instruments

The Trusts may invest in various derivative instruments, including financial futures contracts, swaps, options and foreign currency exchange contracts, as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, foreign currency exchange rate, interest rate and/or other risks. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative instrument. The Trusts ability to use a derivative instrument successfully depends on the investment advisors ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative 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 28, 2011

Sc hedule of Investments February 28, 2011 (Unaudited) BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets)

| Asset-Backed
Securities | Par (000) | | Value |
| --- | --- | --- | --- |
| 321 Henderson Receivables I LLC (a): | | | |
| Series 2010-1A, Class B, 9.31%, 7/15/61 | USD | 1,150 | $ 1,218,578 |
| Series 2010-3A, Class A, 3.82%, 12/15/48 | | 876 | 848,511 |
| Capital One Multi-Asset Execution Trust, Series 2006-A5, Class A5, 0.33%, 1/15/16 (b) | | 350 | 347,911 |
| Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.41%, 1/25/37 (b) | | 1,323 | 945,960 |
| Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a) | | 1,980 | 1,978,918 |
| Globaldrive BV, Series 2008-2, Class A, 4.00%, 10/20/16 | EUR | 500 | 696,859 |
| Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.37%, 7/25/37 (b) | USD | 239 | 232,483 |
| Maryland Insurance Backed Securities Trust, Series 2006-1A, Class A, 5.55%, 12/10/65 | | 2,500 | 1,675,000 |
| Nelnet Student Loan Trust, Series 2008-3, Class A4, 4.61%, 11/25/24 (b) | | 650 | 674,808 |
| SLM Student Loan Trust (b): | | | |
| Series 2006-A, Class A4, 0.42%, 1/15/19 | | 460 | 447,017 |
| Series 2008-5, Class A3, 1.60%, 1/25/18 | | 1,140 | 1,171,618 |
| Series 2008-5, Class A4, 2.00%, 7/25/23 | | 3,620 | 3,785,960 |
| Santander Consumer Acquired Receivables Trust, Series 2011-WO, Class C, 3.19%, 10/15/15 (a) | | 580 | 578,956 |
| Santander Drive Auto Receivables Trust: | | | |
| Series 2010-2, Class B, 2.24%, 12/15/14 | | 860 | 862,511 |
| Series 2010-2, Class C, 3.89%, 7/17/17 | | 1,010 | 1,040,100 |
| Series 2010-B, Class B, 2.10%, 9/15/14 (a) | | 700 | 701,209 |
| Series 2010-B, Class C, 3.02%, 10/17/16 (a) | | 740 | 740,709 |
| Series 2011-S1A, Class B, 1.48%, 5/15/17 (a) | | 597 | 596,574 |
| Series 2011-S1A, Class D, 3.10%, 5/15/17 (a) | | 610 | 610,000 |
| Small Business Administration, Class 1: | | | |
| Series 2003-P10B, 5.14%, 8/10/13 | | 368 | 388,871 |
| Series 2004-P10B, 4.75%, 8/10/14 | | 239 | 252,915 |
| | | | 19,795,468 |
| Interest Only Asset-Backed Securities 0.2% | | | |
| Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a) | | 4,494 | 289,381 |
| Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 (a) | | 7,069 | 516,906 |
| | | | 806,287 |
| Total Asset-Backed Securities 5.6% | | | 20,601,755 |

| Common
Stocks | | |
| --- | --- | --- |
| Software
0.0% | | |
| Bankruptcy Management
Solutions, Inc. (c) | 135 | 474 |
| Total
Common Stocks 0.0% | | 474 |

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Aerospace & Defense 0.9% | | | |
| Northrop-Grumman Corp., 7.88%, 3/01/26 | USD | 960 | $ 1,256,664 |
| United Technologies Corp.: | | | |
| 4.88%, 5/01/15 | | 1,125 | 1,241,176 |
| 6.13%, 7/15/38 | | 700 | 783,555 |
| | | | 3,281,395 |
| Airlines 0.4% | | | |
| American Airlines, Inc., Series 2001-2, 7.86%, 4/01/13 | | 380 | 392,350 |
| Continental Airlines, Inc., Series 2010-1-B, 6.00%, 7/12/20 | | 700 | 698,250 |
| United Air Lines, Inc., 12.75%, 7/15/12 | | 334 | 373,141 |
| | | | 1,463,741 |
| Auto Components 0.1% | | | |
| BorgWarner Inc., 4.63%, 9/15/20 | | 265 | 266,315 |
| Beverages 1.1% | | | |
| Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 (a)(d) | | 2,950 | 3,657,227 |
| Crown European Holdings SA, 7.13%, 8/15/18 (a) | EUR | 355 | 521,725 |
| | | | 4,178,952 |
| Building Products 0.1% | | | |
| Momentive Performance Materials, Inc., 11.50%, 12/01/16 | USD | 235 | 254,975 |
| Capital Markets 4.1% | | | |
| American Capital Ltd., 7.96%, 12/31/13 | | 720 | 737,330 |
| CDP Financial, Inc. (a)(d): | | | |
| 3.00%, 11/25/14 | | 1,935 | 1,970,987 |
| 5.60%, 11/25/39 | | 2,935 | 3,041,787 |
| Credit Suisse, 5.50%, 5/01/14 | | 575 | 632,216 |
| The Goldman Sachs Group, Inc.: | | | |
| 3.70%, 8/01/15 | | 800 | 811,063 |
| 5.38%, 3/15/20 | | 1,725 | 1,772,298 |
| 6.00%, 6/15/20 | | 870 | 932,803 |
| 6.25%, 2/01/41 | | 345 | 351,093 |
| Morgan Stanley: | | | |
| 2.81%, 5/14/13 (b)(d) | | 1,890 | 1,955,713 |
| 4.20%, 11/20/14 | | 490 | 508,739 |
| 4.00%, 7/24/15 | | 410 | 419,778 |
| 6.25%, 8/28/17 | | 875 | 955,726 |
| 5.63%, 9/23/19 | | 630 | 647,171 |
| Nomura Holdings Inc., 4.13%, 1/19/16 | | 389 | 387,269 |
| | | | 15,123,973 |
| Chemicals 0.5% | | | |
| American Pacific Corp., 9.00%, 2/01/15 | | 250 | 245,625 |
| The Dow Chemical Co., 4.25%, 11/15/20 | | 185 | 178,283 |
| Hexion U.S. Finance Corp., 8.88%, 2/01/18 | | 595 | 638,881 |
| Huntsman International LLC, 6.88%, 11/15/13 (a) | EUR | 435 | 613,784 |
| | | | 1,676,573 |

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:

| CAD | Canadian
Dollar |
| --- | --- |
| EUR | Euro |
| EURIBOR | Euro
Interbank Offered Rate |
| FHLMC | Federal Home
Loan Mortgage Corp. |
| FKA | Formerly
Known As |
| FNMA | Federal
National Mortgage Association |
| GBP | British
Pound |

| GNMA | Government
National Mortgage Association |
| --- | --- |
| GO | General
Obligation Bonds |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| LIBOR | London
InterBank Offered Rate |
| RB | Revenue
Bonds |
| USD | US Dollar |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 21 |
| --- | --- | --- |

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

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Commercial Banks 7.8% | | | |
| BNP Paribas Home Loan Covered Bonds SA, 2.20%, 11/02/15 (a) | USD | 3,130 | $ 3,001,110 |
| Bank of Nova Scotia, 1.65%, 10/29/15 (a) | | 4,795 | 4,604,791 |
| CIT Group, Inc.: | | | |
| 7.00%, 5/01/16 | | 110 | 110,963 |
| 7.00%, 5/01/17 | | 1,680 | 1,692,600 |
| Canadian Imperial Bank of Commerce, 2.75%, 1/27/16 (a) | | 1,490 | 1,488,891 |
| DEPFA ACS Bank, 5.13%, 3/16/37 (a) | | 3,775 | 2,475,822 |
| Discover Bank, 8.70%, 11/18/19 | | 1,045 | 1,257,230 |
| DnB NOR Boligkreditt, 2.10%, 10/14/15 (a) | | 4,020 | 3,859,288 |
| Eksportfinans ASA: | | | |
| 2.00%, 9/15/15 (d) | | 2,455 | 2,393,821 |
| 5.50%, 6/26/17 | | 950 | 1,063,828 |
| HSBC Bank USA NA, 5.88%, 11/01/34 (d) | | 775 | 769,860 |
| HSBC Holdings Plc, 6.50%, 5/02/36 | | 300 | 310,513 |
| Royal Bank of Canada, 3.13%, 4/14/15 (a) | | 3,870 | 3,967,598 |
| Sparebanken 1 Boligkreditt, 1.25%, 10/25/13 (a) | | 1,580 | 1,565,162 |
| | | | 28,561,477 |
| Commercial
Services & Supplies 0.3% | | | |
| AWAS Aviation Capital Ltd.,
7.00%, 10/15/16 (a) | | 250 | 256,875 |
| Mobile Mini, Inc., 7.88%,
12/01/20 (a) | | 320 | 340,800 |
| RR Donnelley & Sons
Co., 7.63%, 6/15/20 | | 169 | 177,153 |
| West Corp., 7.88%, 1/15/19
(a) | | 200 | 205,250 |
| | | | 980,078 |
| Construction
Materials 0.5% | | | |
| Inversiones CMPC SA, 4.75%,
1/19/18 (a) | | 220 | 211,666 |
| Nortek, Inc., 10.00%,
12/01/18 (a) | | 1,450 | 1,547,875 |
| | | | 1,759,541 |
| Consumer Finance 0.5% | | | |
| Ford Motor Credit Co. LLC: | | | |
| 3.05%, 1/13/12 (b) | | 125 | 126,274 |
| 7.80%, 6/01/12 | | 340 | 362,591 |
| SLM Corp.: | | | |
| 6.25%, 1/25/16 | | 661 | 677,525 |
| Series A, 0.59%, 1/27/14 (b) | | 550 | 519,227 |
| | | | 1,685,617 |
| Containers
& Packaging 1.3% | | | |
| Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a) | EUR | 425 | 605,539 |
| Ball Corp.: | | | |
| 7.38%, 9/01/19 | USD | 270 | 293,625 |
| 6.75%, 9/15/20 | | 675 | 707,063 |
| Berry Plastics Corp., 9.75%, 1/15/21 (a) | | 975 | 977,438 |
| Pregis Corp., 12.38%, 10/15/13 | | 260 | 261,950 |
| Smurfit Kappa Acquisitions (a): | | | |
| 7.25%, 11/15/17 | EUR | 725 | 1,060,491 |
| 7.75%, 11/15/19 | | 685 | 1,011,434 |
| | | | 4,917,540 |
| Diversified
Financial Services 6.2% | | | |
| Ally Financial, Inc.: | | | |
| 8.30%, 2/12/15 | USD | 1,920 | 2,167,200 |
| 6.25%, 12/01/17 (a) | | 240 | 250,500 |
| 8.00%, 3/15/20 | | 560 | 630,700 |
| 8.00%, 11/01/31 | | 320 | 366,400 |
| Bank of America Corp.: | | | |
| 7.63%, 6/01/19 | | 450 | 526,129 |
| 5.63%, 7/01/20 | | 1,070 | 1,113,020 |
| Citigroup, Inc., 4.75%, 5/19/15 | | 375 | 395,823 |

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Diversified
Financial Services (concluded) | | | |
| General Electric Capital Corp.: | | | |
| 5.30%, 2/11/21 | USD | 370 | $ 380,110 |
| 6.15%, 8/07/37 (d)(e) | | 4,150 | 4,287,797 |
| 5.88%, 1/14/38 (d) | | 177 | 177,581 |
| 6.88%, 1/10/39 (d) | | 135 | 152,878 |
| JPMorgan Chase & Co.: | | | |
| 3.70%, 1/20/15 (d) | | 3,425 | 3,543,741 |
| 2.60%, 1/15/16 | | 690 | 668,739 |
| 6.00%, 1/15/18 | | 125 | 139,034 |
| 6.30%, 4/23/19 (d) | | 2,000 | 2,248,738 |
| 4.25%, 10/15/20 | | 190 | 183,193 |
| Novus USA Trust, 1.56%, 11/18/11 (a)(b) | | 860 | 859,679 |
| Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (a) | | 890 | 947,850 |
| Reynolds Group Issuer, Inc. (a): | | | |
| 7.75%, 10/15/16 | EUR | 550 | 804,511 |
| 7.13%, 4/15/19 | USD | 2,111 | 2,163,775 |
| 9.00%, 4/15/19 | | 600 | 625,500 |
| | | | 22,632,898 |
| Diversified
Telecommunication Services 5.1% | | | |
| AT&T Inc.: | | | |
| 6.45%, 6/15/34 | | 780 | 820,613 |
| 6.55%, 2/15/39 (d)(e) | | 3,375 | 3,596,305 |
| BellSouth Telecommunications, Inc., 8.30%, 12/15/95 (f) | | 1,700 | 1,184,599 |
| GCI, Inc., 8.63%, 11/15/19 | | 1,700 | 1,870,000 |
| Level 3 Financing, Inc., 8.75%, 2/15/17 | | 340 | 334,050 |
| Qwest Communications International, Inc.: | | | |
| 7.50%, 2/15/14 | | 60 | 60,900 |
| Series B, 7.50%, 2/15/14 | | 30 | 30,450 |
| Qwest Corp., 8.38%, 5/01/16 | | 180 | 214,875 |
| Telecom Italia Capital SA: | | | |
| 4.95%, 9/30/14 (d) | | 1,075 | 1,104,561 |
| 6.00%, 9/30/34 | | 1,550 | 1,372,201 |
| Telefonica Emisiones SAU, 7.05%, 6/20/36 | | 1,975 | 2,125,535 |
| Verizon Communications, Inc.: | | | |
| 8.75%, 11/01/18 | | 1,220 | 1,574,381 |
| 6.40%, 2/15/38 (d) | | 2,125 | 2,273,419 |
| 8.95%, 3/01/39 | | 900 | 1,254,778 |
| Verizon Global Funding Corp., 7.75%, 12/01/30 | | 70 | 85,914 |
| Verizon New Jersey, Inc.: | | | |
| 5.88%, 1/17/12 | | 335 | 349,792 |
| 7.85%, 11/15/29 | | 230 | 264,657 |
| Windstream Corp.: | | | |
| 8.13%, 8/01/13 | | 60 | 66,075 |
| 8.63%, 8/01/16 | | 90 | 95,175 |
| 7.88%, 11/01/17 | | 60 | 65,175 |
| | | | 18,743,455 |
| Electric
Utilities 4.2% | | | |
| Alabama Power Co., 6.00%, 3/01/39 (d) | | 1,275 | 1,388,687 |
| Duke Energy Carolinas LLC: | | | |
| 6.10%, 6/01/37 | | 315 | 341,058 |
| 6.00%, 1/15/38 | | 825 | 894,700 |
| EDF SA, 5.60%, 1/27/40 (a)(d) | | 1,400 | 1,446,916 |
| E.ON International Finance BV, 6.65%, 4/30/38 (a) | | 1,525 | 1,812,020 |
| Elwood Energy LLC, 8.16%, 7/05/26 | | 92 | 91,191 |
| Florida Power & Light Co., 4.95%, 6/01/35 | | 950 | 922,505 |
| Florida Power Corp.: | | | |
| 6.35%, 9/15/37 (d) | | 1,325 | 1,491,237 |
| 6.40%, 6/15/38 | | 430 | 488,961 |
| PacifiCorp., 6.25%, 10/15/37 | | 575 | 639,186 |
| Public Service Co. of Colorado, 6.25%, 9/01/37 (d) | | 1,200 | 1,366,902 |

See Notes to Financial Statements. — 22	SEMI-ANNUAL REPORT	FEBRUARY 28, 2011

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

Corporate Bonds	Par (000)		Value
Electric Utilities (concluded)
Southern California Edison Co.:
5.63%, 2/01/36	USD	625	$ 652,879
Series 05-E, 5.35%, 7/15/35		125	125,841
Series 08-A, 5.95%, 2/01/38		1,075	1,174,517
The Toledo Edison Co., 6.15%, 5/15/37		350	361,561
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (d)		2,000	2,161,112
			15,359,273
Energy Equipment & Services 0.6%
Calfrac Holdings LP, 7.50%, 12/01/20 (a)		340	348,500
Exterran Holdings, Inc., 7.25%, 12/01/18 (a)		605	620,125
Frac Tech Services LLC, 7.13%, 11/15/18 (a)		875	905,625
Precision Drilling Corp., 6.63%, 11/15/20 (a)		160	165,200
Thermon Industries, Inc., 9.50%, 5/01/17		180	194,850
			2,234,300
Food & Staples Retailing 0.9%
Wal-Mart Stores, Inc. (d):
6.50%, 8/15/37		1,900	2,192,410
6.20%, 4/15/38		850	946,173
			3,138,583
Food Products 0.6%
Darling International, Inc., 8.50%, 12/15/18 (a)		335	361,381
Kraft Foods, Inc., 7.00%, 8/11/37		1,455	1,652,952
			2,014,333
Health Care Equipment & Supplies 0.3%
DJO Finance LLC, 10.88%, 11/15/14		860	942,775
Health Care Providers & Services 1.0%
ConvaTec Healthcare E SA (a):
7.38%, 12/15/17	EUR	600	861,089
10.50%, 12/15/18	USD	630	672,525
Tenet Healthcare Corp.:
9.00%, 5/01/15		410	451,000
10.00%, 5/01/18		170	199,750
8.88%, 7/01/19		1,150	1,308,125
			3,492,489
Hotels, Restaurants & Leisure 1.9%
Boyd Gaming Corp., 9.13%, 12/01/18 (a)		835	876,750
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18		4,960	4,662,400
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18	EUR	69	99,025
CityCenter Holdings LLC, 7.63%, 1/15/16 (a)	USD	440	458,700
McDonalds Corp., 5.70%, 2/01/39		825	887,904
			6,984,779
Household Durables 1.6%
Beazer Homes USA, Inc.:
8.13%, 6/15/16		255	259,144
12.00%, 10/15/17		1,050	1,220,625
Standard Pacific Corp.:
10.75%, 9/15/16		2,100	2,467,500
8.38%, 5/15/18 (a)		655	694,300
8.38%, 1/15/21 (a)		1,065	1,123,575
			5,765,144
Household Products 0.3%
Kimberly-Clark Corp., 6.63%, 8/01/37		850	1,022,845

Corporate Bonds	Par (000)		Value
IT Services 1.3%
First Data Corp. (a):
8.25%, 1/15/21	USD	674	$ 670,630
12.63%, 1/15/21		520	544,700
iPayment, Inc., 9.75%, 5/15/14		240	237,900
iPayment Investors LP, 12.75%, 7/15/14 (a)(g)		863	803,013
SunGard Data Systems, Inc. (a):
7.38%, 11/15/18		660	681,450
7.63%, 11/15/20		1,730	1,786,225
			4,723,918
Independent Power Producers & Energy Traders 1.9%
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)		1,000	1,085,000
Energy Future Holdings Corp., 10.00%, 1/15/20 (a)		1,520	1,582,855
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20		347	362,217
NRG Energy, Inc., 7.63%, 1/15/18 (a)		3,610	3,758,912
			6,788,984
Industrial Conglomerates 0.8%
Sequa Corp. (a):
11.75%, 12/01/15		690	748,650
13.50%, 12/01/15 (g)		1,940	2,148,984
			2,897,634
Insurance 2.2%
CNO Financial Group, Inc., 9.00%, 1/15/18 (a)		384	408,960
Chubb Corp., 6.00%, 5/11/37		1,100	1,180,541
Hartford Life Global Funding Trusts, 0.48%, 6/16/14 (b)		425	413,269
Manulife Financial Corp., 3.40%, 9/17/15		780	772,868
Metropolitan Life Global Funding I (a)(d):
2.50%, 1/11/13		2,545	2,593,210
5.13%, 6/10/14		775	841,489
Prudential Financial, Inc.:
5.70%, 12/14/36		675	672,223
Series D, 5.90%, 3/17/36		500	508,541
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (a)		505	581,081
			7,972,182
Life Sciences Tools & Services 0.0%
Life Technologies Corp., 5.00%, 1/15/21		145	146,784
Machinery 1.0%
AGY Holding Corp., 11.00%, 11/15/14		310	275,900
Navistar International Corp.:
3.00%, 10/15/14 (h)		1,040	1,453,400
8.25%, 11/01/21		880	974,600
Titan International, Inc., 5.63%, 1/15/17 (a)(h)		340	885,700
			3,589,600
Marine 0.9%
Horizon Lines, Inc., 4.25%, 8/15/12 (h)		2,355	2,184,263
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d)		1,050	1,055,250
			3,239,513
Media 8.4%
Affinion Group, Inc., 7.88%, 12/15/18 (a)		625	598,438
CBS Corp., 8.88%, 5/15/19		510	643,120
CCH II LLC, 13.50%, 11/30/16		2,300	2,786,330
CMP Susquehanna Corp., 3.44%, 5/15/14 (a)		52	36,656
Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (a)		1,095	1,136,062
Citadel Broadcasting Corp., 7.75%, 12/15/18 (a)		350	375,375

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 23 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Media
(concluded)
Clear Channel Worldwide Holdings, Inc., Series B, 9.25%, 12/15/17	USD	1,127	$ 1,253,787
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22		600	818,149
Comcast Corp.:
6.45%, 3/15/37		790	826,880
6.40%, 3/01/40		390	405,819
Cox Enterprises, Inc:
Loan Close 2, 4.00%, 8/15/18		1,059	1,058,750
Loan Close 3, 12.00%, 8/15/18		1,092	1,091,944
Shares Loan, 4.00%, 8/15/18		926	926,058
Discovery Communications LLC, 3.70%, 6/01/15		480	497,355
Gray Television, Inc., 10.50%, 6/29/15		485	515,313
Interactive Data Corp., 10.25%, 8/01/18 (a)		1,480	1,657,600
NBC Universal, Inc. (a):
5.15%, 4/30/20		968	997,873
4.38%, 4/01/21		795	765,150
The New York Times Co., 6.63%, 12/15/16 (a)		1,800	1,840,500
News America Holdings, Inc.:
7.70%, 10/30/25		825	982,841
8.45%, 8/01/34		625	757,894
News America, Inc.:
4.50%, 2/15/21 (a)		625	621,179
7.63%, 11/30/28		385	443,378
6.15%, 2/15/41 (a)		750	762,343
Rainbow National Services LLC (a):
8.75%, 9/01/12		200	200,750
10.38%, 9/01/14		943	981,899
TCI Communications, Inc., 7.88%, 2/15/26		610	741,576
Time Warner Cable, Inc.:
7.30%, 7/01/38		930	1,047,756
5.88%, 11/15/40		465	441,535
Time Warner, Inc.:
4.70%, 1/15/21		350	351,794
6.10%, 7/15/40		215	217,041
UPC Germany GmbH, 8.13%, 12/01/17 (a)		2,600	2,788,500
Virgin Media Secured Finance Plc, 6.50%, 1/15/18		525	574,875
Ziggo Finance BV, 6.13%, 11/15/17 (a)	EUR	1,135	1,601,484
			30,746,004
Metals & Mining 2.7%
Cliffs Natural Resources, Inc., 4.80%, 10/01/20	USD	240	237,630
Corporacion Nacional del Cobre de Chile, 3.75%, 11/04/20 (a)		259	243,763
Drummond Co., Inc.:
9.00%, 10/15/14 (a)		805	859,338
7.38%, 2/15/16		375	388,125
Falconbridge Ltd., 6.20%, 6/15/35		1,250	1,273,561
Goldcorp, Inc., 2.00%, 8/01/14 (h)		645	811,894
New World Resources NV, 7.88%, 5/01/18	EUR	215	318,941
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (h)	USD	615	820,256
Novelis, Inc., 8.75%, 12/15/20 (a)(d)		4,380	4,828,950
			9,782,458
Oil, Gas & Consumable Fuels 6.6%
Arch Coal, Inc., 7.25%, 10/01/20		1,225	1,301,562
BP Capital Markets Plc, 3.13%, 3/10/12		1,270	1,298,656
Bill Barrett Corp., 9.88%, 7/15/16		75	84,000
Burlington Resources Finance Co., 7.40%, 12/01/31		875	1,037,802
Canadian Natural Resources, Ltd.:
6.50%, 2/15/37		410	454,739
6.25%, 3/15/38		375	405,435
6.75%, 2/01/39		1,025	1,174,411
Cenovus Energy, Inc., 6.75%, 11/15/39		895	1,018,578
Chesapeake Energy Corp., 6.63%, 8/15/20		1,185	1,244,250

Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36	USD	535	$ 570,894
Crosstex Energy LP, 8.88%, 2/15/18		130	143,325
Devon Energy Corp., 7.95%, 4/15/32		625	812,944
EnCana Corp.:
6.50%, 8/15/34		670	720,681
6.63%, 8/15/37		700	772,526
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 (a)		580	623,500
Enterprise Products Operating LLC:
6.13%, 2/01/13		695	748,350
6.13%, 10/15/39		700	701,354
Marathon Petroleum Corp., 6.50%, 3/01/41 (a)		434	439,682
MidAmerican Energy Co., 5.80%, 10/15/36		700	728,622
MidAmerican Energy Holdings Co.:
5.95%, 5/15/37		800	829,182
6.50%, 9/15/37		1,900	2,112,181
Niska Gas Storage US LLC, 8.88%, 3/15/18 (a)		1,000	1,090,000
Peabody Energy Corp., 6.50%, 9/15/20		620	663,400
Petrobras International Finance Co.:
3.88%, 1/27/16		1,785	1,802,343
5.88%, 3/01/18		75	79,816
5.75%, 1/20/20		1,725	1,789,943
Rockies Express Pipeline LLC, 3.90%, 4/15/15 (a)		680	676,399
Valero Energy Corp., 6.63%, 6/15/37		641	655,030
			23,979,605
Paper & Forest Products 1.1%
Boise Paper Holdings LLC:
9.00%, 11/01/17		490	546,350
8.00%, 4/01/20		210	231,525
Clearwater Paper Corp., 10.63%, 6/15/16		620	708,350
International Paper Co., 7.30%, 11/15/39		750	879,151
NewPage Corp., 11.38%, 12/31/14		900	897,750
Verso Paper Holdings LLC, 11.50%, 7/01/14		745	821,362
			4,084,488
Pharmaceuticals 1.6%
Grifols, Inc., 8.25%, 2/01/18 (a)		175	179,812
Merck & Co., Inc., 6.55%, 9/15/37 (d)		1,125	1,331,296
Roche Holdings, Inc., 7.00%, 3/01/39 (a)(d)		850	1,050,912
Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36		1,445	1,592,389
Wyeth (d):
6.00%, 2/15/36		675	738,964
5.95%, 4/01/37		925	999,772
			5,893,145
Real Estate Investment Trusts (REITs) 0.1%
Kimco Realty Corp., 6.88%, 10/01/19		430	501,873
Road & Rail 0.9%
Avis Budget Car Rental LLC, 9.63%, 3/15/18		715	799,012
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40		950	989,889
Canadian National Railway Co., 6.25%, 8/01/34		350	398,372
Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)		490	512,050
The Hertz Corp., 7.38%, 1/15/21 (a)		670	700,150
			3,399,473
Semiconductors & Semiconductor
Equipment 0.1%
Spansion LLC, 7.88%, 11/15/17 (a)		390	397,800
Software 0.2%
Oracle Corp., 5.38%, 7/15/40 (a)		895	872,369

See Notes to Financial Statements. — 24	SEMI-ANNUAL REPORT	FEBRUARY 28, 2011

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

Corporate Bonds	Par (000)		Value
Thrifts & Mortgage Finance 1.6%
Achmea Hypotheekbank NV, 3.20%, 11/03/14 (a)(d)	USD	1,305	$ 1,348,186
MGIC Investment Corp., 5.38%, 11/01/15		840	791,700
The PMI Group, Inc., 6.00%, 9/15/16		1,400	1,115,235
Radian Group, Inc.:
5.63%, 2/15/13		1,400	1,400,000
5.38%, 6/15/15		1,400	1,270,500
			5,925,621
Tobacco 0.2%
Philip Morris International, Inc., 4.50%, 3/26/20		640	660,671
Wireless Telecommunication Services 3.0%
Clearwire Communications LLC (a):
12.00%, 12/01/15		190	207,100
12.00%, 12/01/17		160	172,800
Cricket Communications, Inc., 10.00%, 7/15/15		35	38,588
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)		1,420	1,542,170
Digicel Group Ltd. (a):
9.13%, 1/15/15 (g)		560	583,240
8.25%, 9/01/17		150	156,750
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (a)		1,050	1,078,875
MetroPCS Wireless, Inc.:
7.88%, 9/01/18		850	897,812
6.63%, 11/15/20		850	827,687
Rogers Communications, Inc., 7.50%, 8/15/38		1,150	1,426,112
SBA Tower Trust, 4.25%, 4/15/40 (a)		950	992,928
Sprint Capital Corp., 6.88%, 11/15/28		745	671,431
Syniverse Holdings, Inc., 9.13%, 1/15/19 (a)		350	378,000
Vodafone Group Plc, 4.15%, 6/10/14 (d)		2,050	2,171,122
			11,144,615
Total Corporate Bonds 74.9%			273,227,788
Foreign Agency Obligations
Hellenic Republic Government Bond, 4.60%, 9/20/40	EUR	160	122,363
Israel Government AID Bond:
5.50%, 4/26/24	USD	825	928,541
5.50%, 9/18/33		845	932,093
Italy Government International Bond, 5.38%, 6/15/33		455	451,167
Japan Finance Corp., 2.00%, 6/24/11		860	864,548
Japan Finance Organization for Municipal Enterprises, 4.00%, 1/13/21		500	494,995
Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13 (d)		660	664,720
Mexico Government International Bond, 5.63%, 1/15/17		370	407,925
United Mexican States, Series A, 5.13%, 1/15/20		215	225,213
Total Foreign Agency Obligations 1.4%			5,091,565
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations 7.3%
Adjustable Rate Mortgage Trust, Series 2005-7, Class 4A1, 5.40%, 10/25/35 (b)		1,017	948,981
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37		1,100	766,422
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 14A1, 5.39%, 11/25/34 (b)		487	462,605
CS First Boston Mortgage Securities Corp., Series 2005-12, Class 6A1, 6.00%, 1/25/36		980	734,672

| Non-Agency Mortgage-Backed
Securities | Par (000) | | Value |
| --- | --- | --- | --- |
| Collateralized Mortgage Obligations (concluded) | | | |
| Chase Mortgage Finance Corp., Series 2005-A1, Class 1A1, 5.40%, 12/25/35 (b) | USD | 974 | $ 939,756 |
| Countrywide Alternative Loan Trust: | | | |
| Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | | 1,583 | 1,417,855 |
| Series 2006-0A19, Class A1, 0.44%, 2/20/47 (b) | | 465 | 243,000 |
| Series 2006-0A21, Class A1, 0.45%, 3/20/47 (b) | | 865 | 517,994 |
| Series 2006-41CB, Class 1A4, 5.75%, 1/25/37 | | 800 | 618,562 |
| Series 2007-HY4, Class 4A1, 5.54%, 6/25/47 (b) | | 984 | 712,299 |
| Countrywide Home Loan Mortgage Pass-Through Trust: | | | |
| Series 2006-0A5, Class 2A1, 0.46%, 4/25/46 (b) | | 359 | 222,275 |
| Series 2007-10, Class A22, 6.00%, 7/25/37 | | 771 | 646,481 |
| Credit Suisse Mortgage Capital Certificates: | | | |
| Series 2007-1, Class 5A14, 6.00%, 2/25/37 | | 598 | 518,929 |
| Series 2011-2R, Class 2A1, 5.25%, 7/25/36 | | 1,730 | 1,569,283 |
| Series 2011-2R, Class 2A1, 4.58%, 7/27/36 (a)(b) | | 1,700 | 1,542,070 |
| Series 2011-4R, Class 1A1, 5.69%, 5/27/36 (a)(b) | | 900 | 801,562 |
| Series 2011-4R, Class 1A1, 5.16%, 8/25/47 | | 1,800 | 1,603,125 |
| Series 2011-4R, Class 2A1, 5.17%, 5/27/36 (a)(b) | | 1,165 | 1,060,150 |
| Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Series 2006-0A1, Class A1, 0.46%, 2/25/47 (b) | | 283 | 186,587 |
| GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.14%, 6/19/35 (b) | | 1,571 | 1,554,435 |
| GSR Mortgage Loan Trust: | | | |
| Series 2005-AR4, Class 6A1, 5.25%, 7/25/35 (b) | | 399 | 388,958 |
| Series 2006-4F, Class 1A1, 5.00%, 5/25/36 | | 824 | 706,005 |
| Series 2006-AR1, Class 2A1, 2.81%, 1/25/36 (b) | | 732 | 630,129 |
| Series 2007-4F, Class 3A1, 6.00%, 7/25/37 | | 920 | 883,367 |
| Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.44%, 12/25/36 (b) | | 723 | 563,042 |
| IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37 | | 1,100 | 964,887 |
| JPMorgan Mortgage Trust: | | | |
| Series 2006-S3, Class 1A12, 6.50%, 8/25/36 | | 677 | 664,324 |
| Series 2007-S1, Class 2A22, 5.75%, 3/25/37 | | 651 | 560,013 |
| Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 3.78%, 5/25/36 (b) | | 750 | 572,897 |
| Residential Funding Mortgage Securities I, Series 2007-S6, Class 1A16, 6.00%, 6/25/37 | | 524 | 462,693 |
| Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32 | | 1,592 | 1,508,967 |
| Wells Fargo Mortgage-Backed Securities Trust: | | | |
| Series 2006, Class 1A29, 6.00%, 8/25/36 | | 593 | 591,712 |
| Series 2006-3, Class A9, 5.50%, 3/25/36 | | 460 | 466,513 |
| Series 2007-8, Class 2A9, 6.00%, 7/25/37 | | 524 | 505,154 |
| Series 2007-10, Class 1A21, 6.00%, 7/25/37 | | 223 | 221,576 |
| | | | 26,757,280 |
| Commercial Mortgage-Backed Securities 13.3% | | | |
| Banc of America Commercial Mortgage, Inc.: | | | |
| Series 2006-4, Class A4, 5.63%, 7/10/46 | | 420 | 456,014 |
| Series 2006-4, Class AM, 5.68%, 7/10/46 | | 250 | 262,516 |
| Series 2007-1, Class A4, 5.45%, 1/15/49 | | 1,520 | 1,619,758 |
| Series 2007-2, Class A4, 5.69%, 4/10/49 (b) | | 750 | 804,771 |
| Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, 5.69%, 6/11/50 (b) | | 870 | 941,924 |
| CS First Boston Mortgage Securities Corp., Series 2002-CP5, Class A2, 4.94%, 12/15/35 | | 2,720 | 2,846,124 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 25 |
| --- | --- | --- |

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

| Non-Agency Mortgage-Backed
Securities | Par (000) | | Value |
| --- | --- | --- | --- |
| Commercial Mortgage-Backed Securities | | | |
| (concluded) | | | |
| Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.10%, 12/10/49 (b) | USD | 1,370 | $ 1,505,121 |
| Commercial Mortgage Pass-Through Certificates, Series 2004-LB3A, Class A3, 5.09%, 7/10/37 (b) | | 960 | 965,501 |
| Credit Suisse Mortgage Capital Certificates (b): | | | |
| Series 2006-C3, Class AM, 5.83%, 6/15/38 | | 1,000 | 1,054,967 |
| Series 2010-RR2, Class 2A, 5.80%, 9/15/39 (a) | | 1,010 | 1,098,384 |
| Extended Stay America Trust, Series 2010-ESHA (a): | | | |
| Class A, 2.95%, 11/05/27 | | 2,544 | 2,523,389 |
| Class C, 4.86%, 11/05/27 | | 1,005 | 1,042,587 |
| First Union National Bank Commercial Mortgage: | | | |
| Series 2001-C3, Class A3, 6.42%, 8/15/33 | | 1,254 | 1,260,450 |
| Series 2001-C4, Class A2, 6.22%, 12/12/33 | | 1,937 | 1,975,134 |
| GMAC Commercial Mortgage Securities, Inc., Series 2002-C3, Class A2, 4.93%, 7/10/39 | | 2,350 | 2,455,871 |
| GS Mortgage Securities Corp. II, Series 2010-C2, Class C, 5.23%, 12/10/43 (a)(b) | | 900 | 908,863 |
| JPMorgan Chase Commercial Mortgage Securities Corp.: | | | |
| Series 2001-C1, Class A3, 5.86%, 10/12/35 | | 1,841 | 1,858,449 |
| Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (a) | | 748 | 763,664 |
| Series 2004-CBX, Class A4, 4.53%, 1/12/37 | | 2,180 | 2,209,522 |
| Series 2006-CB14, Class AM, 5.45%, 12/12/44 (b) | | 330 | 343,812 |
| Series 2006-CB16, Class AJ, 5.62%, 5/12/45 | | 730 | 711,852 |
| Series 2007-CB19, Class A4, 5.74%, 2/12/49 (b) | | 640 | 689,319 |
| LB-UBS Commercial Mortgage Trust (b): | | | |
| Series 2007-C6, Class A4, 5.86%, 7/15/40 | | 1,761 | 1,901,423 |
| Series 2007-C7, Class A3, 5.87%, 9/15/45 | | 700 | 755,432 |
| Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A3, 4.47%, 10/12/41 (b) | | 4,200 | 4,253,371 |
| Morgan Stanley Capital I: | | | |
| Series 2004-HQ4, Class A7, 4.97%, 4/14/40 | | 1,000 | 1,061,717 |
| Series 2005-T17, Class A4, 4.52%, 12/13/41 | | 2,525 | 2,560,777 |
| Wachovia Bank Commercial Mortgage Trust: | | | |
| Series 2005-C21, Class A3, 5.20%, 10/15/44 (b) | | 156 | 159,191 |
| Series 2006-C28, Class A2, 5.50%, 10/15/48 | | 7,374 | 7,475,260 |
| Series 2007-C33, Class A4, 5.90%, 2/15/51 (b) | | 1,935 | 2,090,161 |
| | | | 48,555,324 |
| Total Non-Agency Mortgage-Backed Securities 20.6% | | | 75,312,604 |
| | Beneficial | | |
| | Interest | | |
| Other
Interests (i) | (000) | | |
| Health Care Providers & Services 0.0% | | | |
| Critical Care Systems International, Inc. (c) | | 2 | 191 |
| Total Other Interests 0.0% | | | 191 |

Preferred Securities
	Par
Capital Trusts	(000)		Value
Capital Markets 0.2%
Credit Suisse Guernsey Ltd., 5.86% (b)(j)	USD	494	$ 477,327
Insurance 0.7%
The Allstate Corp., 6.50%, 5/15/67 (b)		1,950	2,001,187
Lincoln National Corp., 6.05%, 4/20/67 (b)		675	645,503
			2,646,690
Total Capital Trusts 0.9%			3,124,017
Preferred
Stocks	Shares
Automobiles 0.4%
General Motors Co., 4.75%		30,000	1,526,400
Media 0.0%
CMP Susquehanna Radio Holdings Corp., 0.00% (a)(c)		12,033
Total Preferred Stocks 0.4%			1,526,400
Total Preferred Securities 1.3%			4,650,417
	Par
Taxable
Municipal Bonds	(000)
City of Chicago Illinois, RB, Build America Bonds, 6.40%, 1/01/40	USD	250	240,293
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40		950	953,078
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40		1,275	1,307,028
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39		625	713,125
New York City Municipal Water Finance Authority, RB:
Build America Bonds, 5.72%, 6/15/42		700	686,350
Second General Resolution, Series EE, 5.38%, 6/15/43		385	390,386
Second General Resolution, Series EE, 5.50%, 6/15/43		465	477,722
New York State Dormitory Authority, RB, Build America Bonds:
5.63%, 3/15/39		550	540,447
5.60%, 3/15/40		950	896,762
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29		385	393,666
State of California, GO:
Build America Bonds, 7.30%, 10/01/39		1,090	1,146,822
Build America Bonds, 7.35%, 11/01/39		540	571,509
Build America Bonds, Various Purpose, 7.50%, 4/01/34		360	389,113
Various Purpose, Series 3, 5.45%, 4/01/15		2,300	2,429,076
University of California, RB, Build America Bonds, 5.95%, 5/15/45		445	411,785
Total Taxable Municipal Bonds 3.2%			11,547,162

| See Notes to Financial
Statements. — 26 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

| U.S. Government Sponsored Agency
Securities | | Par (000) | Value |
| --- | --- | --- | --- |
| Agency
Obligations 2.7% | | | |
| Fannie Mae: | | | |
| 6.44%, 10/09/19 (d)(k) | USD | 5,875 | $ 3,919,500 |
| 5.63%, 7/15/37 (l) | | 775 | 865,811 |
| Federal Home Loan Banks: | | | |
| 5.25%, 12/09/22 (l) | | 675 | 745,391 |
| 5.37%, 9/09/24 (d) | | 1,075 | 1,192,130 |
| Resolution Funding Corp.
(k): | | | |
| 6.39%, 7/15/18 | | 525 | 410,908 |
| 6.39%, 10/15/18 | | 525 | 405,901 |
| Tennessee Valley Authority,
5.25%, 9/15/39 (d) | | 2,355 | 2,466,387 |
| | | | 10,006,028 |
| Collateralized
Mortgage Obligations 0.5% | | | |
| Fannie Mae Mortgage-Backed Securities, Series 2005-5, Class PK, 5.00%, 12/25/34 | | 1,043 | 1,110,085 |
| Freddie Mac Mortgage-Backed Securities, Series 2825, Class VP, 5.50%, 6/15/15 | | 803 | 867,047 |
| | | | 1,977,132 |
| Federal
Deposit Insurance Corporation Guaranteed 0.7% | | | |
| General Electric Capital Corp. (d): | | | |
| 2.00%, 9/28/12 | | 1,850 | 1,891,092 |
| 2.13%, 12/21/12 | | 515 | 527,962 |
| | | | 2,419,054 |
| Interest
Only Collateralized Mortgage Obligations 0.1% | | | |
| Freddie Mac Mortgage-Backed Securities: | | | |
| Series 2579, Class HI, 5.00%, 8/15/17 | | 589 | 27,933 |
| Series 2611, Class QI, 5.50%, 9/15/32 | | 2,405 | 317,147 |
| | | | 345,080 |
| Mortgage-Backed Securities 60.4% | | | |
| Fannie Mae Mortgage-Backed Securities (m): | | | |
| 4.00%, 3/15/41 | | 45,400 | 44,931,989 |
| 4.50%, 3/15/41 | | 43,100 | 43,928,339 |
| 5.00%, 3/15/26 4/15/41 | | 54,600 | 57,137,707 |
| 5.50%, 3/15/26 4/15/41 | | 41,900 | 44,770,955 |
| 6.00%, 8/01/29 3/15/41 (d) | | 25,841 | 28,115,657 |
| Freddie Mac Mortgage-Backed Securities: | | | |
| 4.50%, 3/15/41 (m) | | 100 | 101,828 |
| 5.00%, 3/15/41 (m) | | 100 | 104,609 |
| 6.00%, 2/01/13 12/01/18 | | 992 | 1,084,462 |
| Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33 | | 140 | 152,877 |
| | | | 220,328,423 |
| Total U.S.
Government Sponsored Agency Securities 64.4% | | | 235,075,717 |
| U.S.
Treasury Obligations | | | |
| U.S. Treasury Bonds: | | | |
| 8.13%, 8/15/21 (d) | | 1,550 | 2,189,617 |
| 6.25%, 8/15/23 (d) | | 5,720 | 7,138,383 |
| 3.50%, 2/15/39 (e) | | 330 | 277,510 |
| 4.38%, 5/15/40 (d) | | 6,375 | 6,249,476 |
| 3.88%, 8/15/40 (d) | | 2,560 | 2,298,399 |
| 4.25%, 11/15/40 | | 11,625 | 11,150,921 |
| 4.75%, 2/15/41 (d) | | 4,975 | 5,187,990 |
| U.S.
Treasury Obligations | | Par (000) | Value |
| U.S. Treasury Notes: | | | |
| 0.63%, 1/31/13 (d) | USD | 8,720 | $ 8,715,570 |
| 0.50%, 10/15/13 (d)(e) | | 2,695 | 2,661,312 |
| 1.25%, 2/15/14 | | 1,840 | 1,844,600 |
| 2.00%, 1/31/16 (d) | | 20,415 | 20,317,702 |
| 2.63%, 1/31/18 | | 2,605 | 2,575,897 |
| 2.63%, 8/15/20 | | 1,105 | 1,038,700 |
| 2.63%, 11/15/20 (d) | | 23,506 | 21,992,333 |
| 3.63%, 2/15/21 (d) | | 3,550 | 3,612,679 |
| 4.25%, 5/15/39 (d) | | 6,045 | 5,816,426 |
| Total U.S. Treasury Obligations 28.3% | | | 103,067,515 |
| Warrants
(n) | | Shares | |
| Media 0.0% | | | |
| CMP Susquehanna Radio Holdings Corp. (Expires 3/26/19) (a) | | 13,751 | |
| Software 0.0% | | | |
| Bankruptcy Management Solutions, Inc. (Expires 9/29/17) | | 90 | 1 |
| Total Warrants 0.0% | | | 1 |
| Total
Long-Term Investments (Cost $711,383,341) 199.7% | | | 728,575,189 |
| Short-Term
Securities | | | |
| BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (o)(p) | | 2,222,695 | 2,222,695 |
| Total
Short-Term Securities (Cost $2,222,695) 0.6% | | | 2,222,695 |
| Options
Purchased | | Contracts | |
| Exchange-Traded Call Options 0.0% | | | |
| 10-Year U.S. Treasury Note, Strike Price USD 120.50, Expires 5/20/11 | | 98 | 93,406 |
| Exchange-Traded Put Options 0.1% | | | |
| 10-Year U.S. Treasury Note, Strike Price USD 117.50, Expires 3/25/11 | | 71 | 26,625 |
| Eurodollar 1-Year Mid-Curve Options, Strike Price USD 98.25, Expires 9/16/11 | | 264 | 174,900 |
| | | | 201,525 |
| | | Notional Amount (000) | |
| Over-the-Counter Call Swaptions 0.9% | | | |
| Receive a fixed rate of 4.22% and pay a floating rate based on 3-month LIBOR, Expires 4/29/11, Broker Credit Suisse International | USD | 9,000 | 484,448 |
| Receive a fixed rate of 3.65% and pay a floating rate based on 3-month LIBOR, Expires 5/05/11, Broker Credit Suisse International | | 5,700 | 97,996 |
| Receive a fixed rate of 4.01% and pay a floating rate based on 3-month LIBOR, Expires 5/16/11, Broker Goldman Sachs Bank USA | | 6,000 | 229,883 |
| Receive a fixed rate of 3.86% and pay a floating rate based on 3-month LIBOR, Expires 5/19/11, Broker JPMorgan Chase Bank NA | | 10,700 | 306,334 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 27 |
| --- | --- | --- |

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

Options Purchased		Notional Amount (000)	Value
Over-the-Counter Call Swaptions (concluded)
Receive a fixed rate of 3.00% and pay a floating rate based on 3-month LIBOR, Expires 9/02/11, Broker UBS AG	USD	5,000	$ 21,334
Receive a fixed rate of 3.12% and pay a floating rate based on 3-month LIBOR, Expires 11/08/11, Broker Deutsche Bank AG		3,000	21,765
Receive a fixed rate of 3.54% and pay a floating rate based on 3-month LIBOR, Expires 12/01/11, Broker Citibank NA		6,500	113,658
Receive a fixed rate of 3.63% and pay a floating rate based on 3-month LIBOR, Expires 12/02/11, Broker Deutsche Bank AG		3,200	65,972
Receive a fixed rate of 3.99% and pay a floating rate based on 3-month LIBOR, Expires 1/12/12, Broker UBS AG		1,700	59,532
Receive a fixed rate of 1.76% and pay a floating rate based on 3-month LIBOR, Expires 1/26/12, Broker Deutsche Bank AG		9,300	61,470
Receive a fixed rate of 4.29% and pay a floating rate based on 3-month LIBOR, Expires 2/06/12, Broker UBS AG		2,100	104,266
Receive a fixed rate of 4.33% and pay a floating rate based on 3-month LIBOR, Expires 2/07/12, Broker Goldman Sachs Bank USA		2,100	108,757
Receive a fixed rate of 4.39% and pay a floating rate based on 3-month LIBOR, Expires 5/08/12, Broker Citibank NA		2,400	125,772
Receive a fixed rate of 3.89% and pay a floating rate based on 3-month LIBOR, Expires 7/09/12, Broker Goldman Sachs Bank USA		4,200	124,617
Receive a fixed rate of 3.93% and pay a floating rate based on 3-month LIBOR, Expires 7/16/12, Broker Goldman Sachs Bank USA		4,700	146,009
Receive a fixed rate of 3.70% and pay a floating rate based on 3-month LIBOR, Expires 8/03/12, Broker Credit Suisse International		4,800	113,574
Receive a fixed rate of 3.30% and pay a floating rate based on 3-month LIBOR, Expires 10/22/12, Broker JPMorgan Chase Bank NA		4,000	57,019
Receive a fixed rate of 3.46% and pay a floating rate based on 3-month LIBOR, Expires 10/22/12, Broker UBS AG		5,500	96,396
Receive a fixed rate of 4.25% and pay a floating rate based on 3-month LIBOR, Expires 1/14/13, Broker Morgan Stanley Capital Services, Inc.		2,100	87,952
Receive a fixed rate of 3.81% and pay a floating rate based on 3-month LIBOR, Expires 9/17/13, Broker Citibank NA		1,500	39,970
Receive a fixed rate of 3.88% and pay a floating rate based on 3-month LIBOR, Expires 10/28/13, Broker Deutsche Bank AG		2,000	57,239
Receive a fixed rate of 5.20% and pay a floating rate based on 3-month LIBOR, Expires 4/28/15, Broker Citibank NA		9,300	661,248
			3,185,211
Over-the-Counter Put Options 0.0%
EUR Put Option, Strike Price USD 1.32, Expires 5/19/11, Broker Citibank NA	EUR	12,780	121,510
JPY Put Option, Strike Price USD 86.00, Expires 5/20/11, Broker Deutsche Bank AG	USD	2,925	10,472
			131,982
Options
Purchased		Notional Amount (000)	Value
Over-the-Counter Put Swaptions 1.2%
Pay a fixed rate of 4.22% and receive a floating rate based on 3-month LIBOR, Expires 4/29/11, Broker Credit Suisse International	USD	9,000	$ 19,960
Pay a fixed rate of 4.02% and receive a floating rate based on 3-month LIBOR, Expires 5/05/11, Broker Credit Suisse International		9,200	46,807
Pay a fixed rate of 4.01% and receive a floating rate based on 3-month LIBOR, Expires 5/16/11, Broker Goldman Sachs Bank USA		6,000	39,250
Pay a fixed rate of 3.86% and receive a floating rate based on 3-month LIBOR, Expires 5/19/11, Broker JPMorgan Chase Bank NA		10,700	111,360
Pay a fixed rate of 3.00% and receive a floating rate based on 3-month LIBOR, Expires 9/02/11, Broker UBS AG		5,000	358,717
Pay a fixed rate of 3.12% and receive a floating rate based on 3-month LIBOR, Expires 11/08/11, Broker Deutsche Bank AG		3,000	216,492
Pay a fixed rate of 3.54% and receive a floating rate based on 3-month LIBOR, Expires 12/01/11, Broker Citibank NA		6,500	323,870
Pay a fixed rate of 3.63% and receive a floating rate based on 3-month LIBOR, Expires 12/02/11, Broker Deutsche Bank AG		3,200	144,109
Pay a fixed rate of 3.99% and receive a floating rate based on 3-month LIBOR, Expires 1/12/12, Broker UBS AG		1,700	57,834
Pay a fixed rate of 1.76% and receive a floating rate based on 3-month LIBOR, Expires 1/26/12, Broker Deutsche Bank AG		9,300	75,871
Pay a fixed rate of 2.50% and receive a floating rate based on 3-month LIBOR, Expires 1/26/12, Broker Deutsche Bank AG		4,500	17,797
Pay a fixed rate of 4.29% and receive a floating rate based on 3-month LIBOR, Expires 2/06/12, Broker UBS AG		2,100	54,748
Pay a fixed rate of 4.33% and receive a floating rate based on 3-month LIBOR, Expires 2/07/12, Broker UBS AG		2,100	52,458
Pay a fixed rate of 4.39% and receive a floating rate based on 3-month LIBOR, Expires 5/08/12, Broker Citibank NA		2,400	74,776
Pay a fixed rate of 3.89% and receive a floating rate based on 3-month LIBOR, Expires 7/09/12, Broker Goldman Sachs Bank USA		4,200	237,205
Pay a fixed rate of 3.93% and receive a floating rate based on 3-month LIBOR, Expires 7/16/12, Broker Goldman Sachs Bank USA		4,700	259,789
Pay a fixed rate of 3.70% and receive a floating rate based on 3-month LIBOR, Expires 8/03/12, Broker Credit Suisse International		4,800	326,799
Pay a fixed rate of 3.30% and receive a floating rate based on 3-month LIBOR, Expires 10/22/12, Broker JPMorgan Chase Bank NA		4,000	393,369
Pay a fixed rate of 3.46% and receive a floating rate based on 3-month LIBOR, Expires 10/22/12, Broker UBS AG		5,500	489,653
Pay a fixed rate of 4.25% and receive a floating rate based on 3-month LIBOR, Expires 1/14/13, Broker Morgan Stanley Capital Services, Inc.		2,100	117,736
Pay a fixed rate of 3.81% and receive a floating rate based on 3-month LIBOR, Expires 9/17/13, Broker Citibank NA		1,500	139,443

| See Notes to Financial
Statements. — 28 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Options Purchased		Notional Amount (000)	Value
Over-the-Counter
Put Swaptions (concluded)
Pay a fixed rate of 3.88% and receive a floating rate based on 3-month LIBOR, Expires 10/28/13, Broker Deutsche Bank AG	USD	2,000	$ 182,448
Pay a fixed rate of 5.20% and receive a floating rate based on 3-month LIBOR, Expires 4/28/15, Broker Citibank NA		9,300	533,684
			4,274,175
Total
Options Purchased (Cost $9,378,271) 2.2%			7,886,299
Total
Investments Before TBA Sale Commitments and Options Written (Cost $722,984,307*) 202.4%			738,684,183
TBA
Sale Commitments (m)		Par (000)
Fannie Mae Mortgage-Backed Securities:
4.00%, 3/15/41		34,200	(33,719,080	)
4.50%, 3/15/41		33,600	(34,245,758	)
5.00%, 3/15/26 4/15/41		50,700	(53,043,895	)
5.50%, 3/15/26 4/15/41		36,000	(38,450,934	)
6.00%, 8/01/29 3/15/41		32,000	(34,746,082	)
Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33		100	(108,312	)
Total TBA
Sale Commitments (Proceeds $193,476,453) (53.3)%			(194,314,061	)
Options
Written		Contracts
Exchange-Traded Call Options (0.0)%
10-Year U.S. Treasury Note:
Strike Price USD 121.50, Expires 5/20/11		98	(62,781	)
Strike Price USD 122.50, Expires 5/20/11		98	(39,813	)
			(102,594	)
Exchange-Traded Put Options (0.0)%
Eurodollar 1-Year Mid-Curve Options, Strike Price USD 97.75, Expires 9/16/11		264	(92,400	)
		Notional Amount (000)
Over-the-Counter Call Swaptions (1.2)%
Pay a fixed rate of 4.06% and receive a floating rate based on 3-month LIBOR, Expires 5/12/11, Broker Royal Bank of Scotland Plc	USD	6,800	(286,459	)
Pay a fixed rate of 4.06% and receive a floating rate based on 3-month LIBOR, Expires 5/13/11, Broker BNP Paribas SA		3,500	(146,820	)
Pay a fixed rate of 4.49% and receive a floating rate based on 3-month LIBOR, Expires 12/05/11, Broker Deutsche Bank AG		4,000	(254,121	)
Pay a fixed rate of 3.82% and receive a floating rate based on 3-month LIBOR, Expires 12/08/11, Broker JPMorgan Chase Bank NA		3,200	(89,139	)
Pay a fixed rate of 3.83% and receive a floating rate based on 3-month LIBOR, Expires 12/12/11, Broker JPMorgan Chase Bank NA		2,300	(64,772	)
Pay a fixed rate of 3.85% and receive a floating rate based on 3-month LIBOR, Expires 12/12/11, Broker UBS AG		1,200	(35,207	)
Options
Written		Notional Amount (000)	Value
Over-the-Counter Call Swaptions (continued)
Pay a fixed rate of 3.95% and receive a floating rate based on 3-month LIBOR, Expires 12/13/11, Broker Goldman Sachs Bank USA	USD	3,500	$ (117,705	)
Pay a fixed rate of 4.00% and receive a floating rate based on 3-month LIBOR, Expires 1/05/12, Broker JPMorgan Chase Bank NA		3,200	(113,951	)
Pay a fixed rate of 4.02% and receive a floating rate based on 3-month LIBOR, Expires 2/02/12, Broker Goldman Sachs Bank USA		2,700	(97,121	)
Pay a fixed rate of 4.02% and receive a floating rate based on 3-month LIBOR, Expires 2/02/12, Broker UBS AG		3,600	(130,312	)
Pay a fixed rate of 2.08% and receive a floating rate based on 3-month LIBOR, Expires 2/07/12, Broker Goldman Sachs Bank USA		9,300	(97,025	)
Pay a fixed rate of 4.14% and receive a floating rate based on 3-month LIBOR, Expires 6/15/12, Broker Deutsche Bank AG		3,700	(147,241	)
Pay a fixed rate of 4.05% and receive a floating rate based on 3-month LIBOR, Expires 6/18/12, Broker Deutsche Bank AG		3,500	(126,281	)
Pay a fixed rate of 3.83% and receive a floating rate based on 3-month LIBOR, Expires 7/30/12, Broker Citibank NA		1,200	(33,263	)
Pay a fixed rate of 3.86% and receive a floating rate based on 3-month LIBOR, Expires 11/23/12, Broker Deutsche Bank AG		4,600	(129,889	)
Pay a fixed rate of 3.77% and receive a floating rate based on 3-month LIBOR, Expires 11/23/12, Broker UBS AG		3,300	(84,998	)
Pay a fixed rate of 4.03% and receive a floating rate based on 3-month LIBOR, Expires 12/06/12, Broker UBS AG		2,000	(67,904	)
Pay a fixed rate of 4.90% and receive a floating rate based on 3-month LIBOR, Expires 3/04/13, Broker Deutsche Bank AG		4,800	(337,450	)
Pay a fixed rate of 4.92% and receive a floating rate based on 3-month LIBOR, Expires 3/05/13, Broker Deutsche Bank AG		7,000	(500,989	)
Pay a fixed rate of 5.00% and receive a floating rate based on 3-month LIBOR, Expires 4/22/13, Broker JPMorgan Chase Bank NA		6,100	(454,027	)
Pay a fixed rate of 4.32% and receive a floating rate based on 3-month LIBOR, Expires 5/28/13, Broker Royal Bank of Scotland Plc		500	(21,535	)
Pay a fixed rate of 4.07% and receive a floating rate based on 3-month LIBOR, Expires 7/08/13, Broker Deutsche Bank AG		1,700	(58,418	)
Pay a fixed rate of 4.06% and receive a floating rate based on 3-month LIBOR, Expires 7/15/13, Broker Credit Suisse International		2,600	(88,458	)
Pay a fixed rate of 3.44% and receive a floating rate based on 6-month EURIBOR, Expires 10/21/13, Broker Deutsche Bank AG	EUR	1,300	(684	)
Pay a fixed rate of 4.76% and receive a floating rate based on 3-month LIBOR, Expires 1/27/14, Broker Royal Bank of Scotland Plc	USD	1,100	(63,692	)
Pay a fixed rate of 5.08% and receive a floating rate based on 3-month LIBOR, Expires 2/10/14, Broker Bank of America NA		3,500	(249,986	)
Pay a fixed rate of 5.09% and receive a floating rate based on 3-month LIBOR, Expires 2/10/14, Broker Goldman Sachs Bank USA		3,800	(273,165	)

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 29 |
| --- | --- | --- |

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

Options Written		Notional Amount (000)	Value
Over-the-Counter Call Swaptions (concluded)
Pay a fixed rate of 4.84% and receive a floating rate based on 3-month LIBOR, Expires 12/02/14, Broker JPMorgan Chase Bank NA	USD	2,500	$ (145,141	)
Pay a fixed rate of 4.89% and receive a floating rate based on 3-month LIBOR, Expires 12/03/14, Broker Deutsche Bank AG		2,900	(173,813	)
			(4,389,566	)
Over-the-Counter Put Swaptions (1.2)%
Receive a fixed rate of 1.80% and pay a floating rate based on 3-month LIBOR, Expires 3/02/11, Broker Royal Bank of Scotland Plc		14,000	(368,745	)
Receive a fixed rate of 2.15% and pay a floating rate based on 3-month LIBOR, Expires 4/26/11, Broker Deutsche Bank AG		3,700	(64,791	)
Receive a fixed rate of 4.06% and pay a floating rate based on 3-month LIBOR, Expires 5/12/11, Broker Royal Bank of Scotland Plc		6,800	(35,210	)
Receive a fixed rate of 4.06% and pay a floating rate based on 3-month LIBOR, Expires 5/13/11, Broker BNP Paribas SA		3,500	(18,611	)
Receive a fixed rate of 4.49% and pay a floating rate based on 3-month LIBOR, Expires 12/05/11, Broker Deutsche Bank AG		4,000	(62,389	)
Receive a fixed rate of 3.82% and pay a floating rate based on 3-month LIBOR, Expires 12/08/11, Broker JPMorgan Chase Bank NA		3,200	(118,383	)
Receive a fixed rate of 3.83% and pay a floating rate based on 3-month LIBOR, Expires 12/12/11, Broker JPMorgan Chase Bank NA		2,300	(85,302	)
Receive a fixed rate of 3.85% and pay a floating rate based on 3-month LIBOR, Expires 12/12/11, Broker UBS AG		1,200	(43,090	)
Receive a fixed rate of 3.95% and pay a floating rate based on 3-month LIBOR, Expires 12/13/11, Broker Goldman Sachs Bank USA		3,500	(112,524	)
Receive a fixed rate of 4.00% and pay a floating rate based on 3-month LIBOR, Expires 1/05/12, Broker JPMorgan Chase Bank NA		3,200	(105,090	)
Receive a fixed rate of 4.02% and pay a floating rate based on 3-month LIBOR, Expires 2/02/12, Broker Goldman Sachs Bank USA		2,700	(95,026	)
Receive a fixed rate of 4.02% and pay a floating rate based on 3-month LIBOR, Expires 2/02/12, Broker UBS AG		3,600	(126,012	)
Receive a fixed rate of 2.08% and pay a floating rate based on 3-month LIBOR, Expires 2/07/12, Broker Goldman Sachs Bank USA		9,300	(58,916	)
Receive a fixed rate of 4.14% and pay a floating rate based on 3-month LIBOR, Expires 6/15/12, Broker Deutsche Bank AG		3,700	(160,559	)
Receive a fixed rate of 4.05% and pay a floating rate based on 3-month LIBOR, Expires 6/18/12, Broker Deutsche Bank AG		3,500	(165,142	)
Receive a fixed rate of 3.83% and pay a floating rate based on 3-month LIBOR, Expires 7/30/12, Broker Citibank NA		1,200	(73,305	)
Receive a fixed rate of 3.86% and pay a floating rate based on 3-month LIBOR, Expires 11/23/12, Broker Deutsche Bank AG		4,600	(322,745	)
Receive a fixed rate of 3.77% and pay a floating rate based on 3-month LIBOR, Expires 11/23/12, Broker UBS AG		3,300	(245,375	)
Options
Written		Notional Amount (000)	Value
Over-the-Counter Put Swaptions (concluded)
Receive a fixed rate of 4.03% and pay a floating rate based on 3-month LIBOR, Expires 12/06/12, Broker UBS AG	USD	2,000	$ (125,738	)
Receive a fixed rate of 4.90% and pay a floating rate based on 3-month LIBOR, Expires 3/04/13, Broker Deutsche Bank AG		4,800	(177,227	)
Receive a fixed rate of 4.92% and pay a floating rate based on 3-month LIBOR, Expires 3/05/13, Broker Deutsche Bank AG		7,000	(253,940	)
Receive a fixed rate of 5.00% and pay a floating rate based on 3-month LIBOR, Expires 4/22/13, Broker JPMorgan Chase Bank NA		6,100	(223,818	)
Receive a fixed rate of 4.32% and pay a floating rate based on 3-month LIBOR, Expires 5/28/13, Broker Royal Bank of Scotland Plc		500	(31,169	)
Receive a fixed rate of 4.07% and pay a floating rate based on 3-month LIBOR, Expires 7/08/13, Broker Deutsche Bank AG		1,700	(128,711	)
Receive a fixed rate of 4.06% and pay a floating rate based on 3-month LIBOR, Expires 7/15/13, Broker Credit Suisse International		2,600	(199,177	)
Receive a fixed rate of 3.44% and pay a floating rate based on 6-month EURIBOR, Expires 10/21/13, Broker Deutsche Bank AG	EUR	1,300	(504	)
Receive a fixed rate of 4.76% and pay a floating rate based on 3-month LIBOR, Expires 1/27/14, Broker Royal Bank of Scotland Plc	USD	1,100	(63,244	)
Receive a fixed rate of 5.08% and pay a floating rate based on 3-month LIBOR, Expires 2/10/14, Broker Bank of America NA		3,500	(166,547	)
Receive a fixed rate of 5.09% and pay a floating rate based on 3-month LIBOR, Expires 2/10/14, Broker Goldman Sachs Bank USA		3,800	(179,668	)
Receive a fixed rate of 4.84% and pay a floating rate based on 3-month LIBOR, Expires 12/02/14, Broker JPMorgan Chase Bank NA		2,500	(164,970	)
Receive a fixed rate of 4.89% and pay a floating rate based on 3-month LIBOR, Expires 12/03/14, Broker Deutsche Bank AG		2,900	(186,256	)
Receive a fixed rate of 4.47% and pay a floating rate based on 3-month LIBOR, Expires 8/05/15, Broker JPMorgan Chase Bank NA		7,900	(364,095	)
			(4,526,279	)
Total
Options Written (Premiums Received $9,961,055) (2.5)%			(9,110,839	)
Total
Investments, Net of TBA Sale Commitments and Options Written 146.6%			535,259,283
Liabilities in Excess of Other Assets (46.6)%			(170,398,068	)
Net Assets 100.0%			$ 364,861,215

* — Aggregate cost	$ 723,768,152
Gross unrealized
appreciation	$ 26,146,872
Gross unrealized
depreciation	(11,230,841	)
Net unrealized appreciation	$ 14,916,031

| See Notes to Financial
Statements. — 30 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

| (a) | Security exempt from
registration under Rule 144A of 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) | All or a portion of
security has been pledged as collateral in connection with swaps. |
| (f) | 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
reflects the current yield as of report date. |
| (g) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (h) | Convertible security. |
| (i) | Other interests represent
beneficial interest in liquidation trusts and other reorganization entities
and are non-income producing. |
| (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) | All or a
portion of security has been pledged as collateral in connection with open
financial futures contracts. |
| (m) | Represents or includes a
to-be-announced (TBA) transaction. Unsettled TBA transactions as of report
date were as follows: |

Counterparty — Banc Nationale De Paris	Value — $ 1,157,810		Unrealized Appreciation (Depreciation) — $ 2,810
Citigroup Global Markets,
Inc.	$ (633,236	)	$ (106,436	)
Credit Suisse Securities
(USA) LLC	$ 12,397,500		$ 141,203
Deutsche Bank Securities,
Inc.	$ (28,828,732	)	$ 31,186
Goldman Sachs & Co.	$ (4,581,236	)	$ 59,756
Greenwich Financial
Services	$ 5,383,538		$ 46,710
JPMorgan Securities, Inc.	$ 789,502		$ 18,295
Morgan Stanley Capital
Services, Inc.	$ (44,682	)	$ (854	)
Nomura Securities International,
Inc.	$ 36,383,969		$ 213,508
UBS Securities	$ 171,140		$ 45,593

| (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. |
| --- | --- |
| (o) | 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 | 506,274 | 1,716,421 | 2,222,695 | Income — $ 1,843 |
| --- | --- | --- | --- | --- |

| (p) | Represents
the current yield as of report date. |
| --- | --- |
| | Reverse repurchase
agreements outstanding as of February 28, 2011 were as follows: |

| Counterparty | Interest Rate | Trade Date | Maturity Date | Net
Closing Amount | Face Amount |
| --- | --- | --- | --- | --- | --- |
| Barclays Capital, Inc. | 0.24% | 10/19/10 | Open | $ 7,778,941 | $ 7,772,050 |
| Barclays Capital, Inc. | 0.28% | 10/19/10 | Open | 6,082,248 | 6,075,962 |
| Barclays Capital, Inc. | 0.40% | 10/19/10 | Open | 4,803,987 | 4,796,898 |
| Credit Suisse Securities
(USA), Inc. | 0.26% | 10/19/10 | Open | 2,366,020 | 2,363,750 |
| Credit Suisse Securities
(USA), Inc. | 0.31% | 10/19/10 | Open | 1,850,452 | 1,848,335 |
| Barclays Capital, Inc. | 0.26% | 10/20/10 | Open | 1,286,225 | 1,285,000 |
| Royal Bank of Scotland Plc | 0.33% | 10/26/10 | Open | 1,373,344 | 1,371,760 |
| Credit Suisse Securities
(USA), Inc. | 0.40% | 11/03/10 | Open | 3,138,411 | 3,138,000 |
| UBS Securities LLC | 0.38% | 11/04/10 | Open | 3,469,523 | 3,465,244 |
| Merrill Lynch & Co.,
Inc. | 0.23% | 12/13/10 | Open | 6,330,341 | 6,327,187 |
| Merrill Lynch & Co.,
Inc. | 0.24% | 12/13/10 | Open | 3,819,047 | 3,817,062 |
| UBS Securities LLC | 0.38% | 12/13/10 | Open | 4,165,693 | 4,162,266 |
| UBS Securities LLC | 0.40% | 12/13/10 | Open | 2,051,520 | 2,049,744 |
| Deutsche Bank AG | 0.40% | 12/14/10 | Open | 10,094,379 | 10,085,750 |
| Credit Suisse Securities
(USA), Inc. | 0.26% | 1/19/11 | Open | 1,010,312 | 1,010,013 |
| Deutsche Bank AG | 0.60% | 1/21/11 | Open | 4,273,276 | 4,270,500 |
| Credit Suisse Securities
(USA), Inc. | 0.40% | 1/27/11 | Open | 4,399,644 | 4,398,031 |
| Deutsche Bank AG | 0.40% | 1/28/11 | Open | 7,296,218 | 7,293,625 |
| BNP Paribas | 0.23% | 2/11/11 | 3/10/11 | 2,450,282 | 2,450,000 |
| Credit Suisse Securities
(USA), Inc. | 0.19% | 2/14/11 | 3/15/11 | 4,304,606 | 4,304,288 |
| Credit Suisse Securities
(USA), Inc. | 0.45% | 2/24/11 | 3/11/11 | 8,010,745 | 8,010,345 |
| Barclays Capital, Inc. | 0.18% | 2/28/11 | 3/01/11 | 8,720,044 | 8,720,000 |
| Credit Suisse Securities (USA),
Inc. | 0.03% | 2/28/11 | 3/01/11 | 3,149,165 | 3,149,163 |
| Credit Suisse Securities
(USA), Inc. | 0.18% | 2/28/11 | 3/01/11 | 22,154,045 | 22,153,934 |
| Credit Suisse Securities
(USA), Inc. | 0.19% | 2/28/11 | 3/01/11 | 5,416,797 | 5,416,769 |
| Deutsche Bank AG | 0.14% | 2/28/11 | 3/01/11 | 20,389,561 | 20,389,481 |
| Total | | | | $ 150,184,826 | $ 150,125,157 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 31 |
| --- | --- | --- |

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

Financial futures contracts purchased as of February 28, 2011 were as follows:

Contracts	Issue	Exchange	Expiration	Unrealized Appreciation (Depreciation)
57	5-Year
U.S. Treasury Note	Chicago
Board of Trade	March
2011	$ 6,708,123	$ 10,752
3	Euro-Bund
Future	Eurex	March
2011	$ 516,722	(2,883	)
30	Euro-Dollar
Future	Chicago
Mercantile Exchange	March
2011	$ 7,463,033	13,343
67	2-Year
U.S. Treasury Note	Chicago
Board of Trade	June
2011	$ 14,599,133	26,757
322	30-Year
U.S. Treasury Bond	Chicago
Board of Trade	June
2011	$ 38,656,617	94,070
Total				$ 142,039

Financial futures contracts sold as of February 28, 2011 were as follows:

Contracts	Issue	Exchange	Expiration	Unrealized Depreciation
45	2-Year
U.S. Treasury Note	Chicago
Board of Trade	March
2011	$ 9,853,971	$ (326	)
400	10-Year
U.S. Treasury Note	Chicago
Board of Trade	March
2011	$ 47,804,098	(333,402	)
29	30-Year
U.S. Treasury Ultra Bond	Chicago
Board of Trade	March
2011	$ 3,512,119	(114,693	)
404	5-Year
U.S. Treasury Note	Chicago
Board of Trade	June
2011	$ 47,002,933	(239,817	)
101	10-Year
U.S. Treasury Note	Chicago
Board of Trade	June
2011	$ 11,886,543	(137,192	)
59	Euro-Dollar
Future	Chicago
Mercantile Exchange	December
2011	$ 14,589,078	(70,947	)
Total				$ (896,377	)

Foreign currency exchange contracts as of February 28, 2011 were as follows:

Currency Purchased		Currency Sold		Counterparty
INR	82,735,100	USD	1,810,000	Goldman
Sachs International	3/01/11	$ 17,794
INR	249,834,300	USD	5,493,831	Morgan
Stanley Capital Services, Inc.	3/01/11	25,539
USD	1,823,564	INR	82,735,100	Goldman
Sachs International	3/01/11	(4,230	)
USD	5,442,766	INR	249,834,300	Morgan
Stanley Capital Services, Inc.	3/01/11	(76,604	)
EUR	4,345,000	USD	5,842,602	BNP
Paribas SA	3/03/11	153,204
EUR	2,385,000	USD	3,161,778	Citibank
NA	3/03/11	129,360
EUR	2,040,000	USD	2,683,056	Royal
Bank of Scotland Plc	3/03/11	132,006
EUR	1,335,000	USD	1,787,483	UBS
AG	3/03/11	54,727

Foreign currency exchange contracts as of February 28, 2011 were as follows (concluded):

Currency Purchased		Currency Sold		Counterparty	Unrealized Appreciation (Depreciation)
USD	1,766,259	EUR	1,345,000	BNP
Paribas SA	3/03/11	$ (89,750	)
USD	4,436,684	EUR	3,355,000	Citibank
NA	3/03/11	(192,989	)
USD	3,561,350	EUR	2,685,000	Deutsche
Bank AG	3/03/11	(143,768	)
USD	3,592,535	EUR	2,720,000	Goldman
Sachs International	3/03/11	(160,881	)
EUR	830,000	USD	1,118,757	Citibank
NA	3/23/11	26,295
USD	1,071,598	EUR	830,000	UBS
AG	3/23/11	(73,454	)
USD	7,810,630	EUR	5,707,500	Citibank
NA	4/27/11	(59,966	)
EUR	1,032,500	USD	1,415,228	Citibank
NA	5/06/11	8,402
USD	1,391,543	EUR	1,032,500	UBS
AG	5/06/11	(32,087	)
Total					$ (286,402	)

Credit default swaps on single-name issues buy protection outstanding as of February 28, 2011 were as follows:

| Issuer — Radian Group, Inc. | Pay Fixed Rate — 5.00% | Counterparty — Citibank
NA | Expiration Date — 3/20/13 | $ 1,400 | $ (77,693 | ) |
| --- | --- | --- | --- | --- | --- | --- |
| Radian Group, Inc. | 5.00% | Citibank
NA | 6/20/15 | $ 1,400 | (67,048 | ) |
| MGIC Investment Corp. | 5.00% | Citibank
NA | 12/20/15 | $ 840 | (41,442 | ) |
| Spain (Kingdom of) | 1.00% | Citibank
NA | 3/20/16 | $ 936 | (2,742 | ) |
| Spain (Kingdom of) | 1.00% | JPMorgan
Chase Bank NA | 3/20/16 | $ 4,682 | (6,637 | ) |
| The PMI Group, Inc. | 5.00% | Citibank
NA | 9/20/16 | $ 1,400 | 18,962 | |
| The New York Times Co. | 1.00% | Barclays
Bank Plc | 12/20/16 | $ 1,800 | (34,752 | ) |
| Total | | | | | $ (211,352 | ) |

Credit default swaps on traded indexes buy protection outstanding as of February 28, 2011 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 Capital Services, Inc.	12/20/15	$ 990	$ (1,721	)
Dow Jones CDX North America
High Yield Index Series 15	5.00%	Credit
Suisse International	12/20/15	$ 5,000	(35,389	)
Total					$ (37,110	)

| See Notes to Financial
Statements. — 32 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Interest rate swaps outstanding as of February 28, 2011 were as follows:

Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
0.63% (a)	3-month
LIBOR	Credit
Suisse International	11/26/12	$ 23,300	$ 43,111
0.96% (a)	3-month
LIBOR	Deutsche
Bank AG	2/08/13	$ 7,600	(16,877	)
0.92% (b)	3-month
LIBOR	Credit
Suisse International	2/28/13	$ 3,800	3,398
0.91% (b)	3-month
LIBOR	Deutsche
Bank AG	2/28/13	$ 6,100	3,642
1.36% (a)	3-month
LIBOR	Royal
Bank of Scotland Plc	11/08/15	$ 3,700	143,817
2.80% (b)	3-month
LIBOR	Deutsche
Bank AG	2/10/21	$ 3,900	(177,578	)
3.73% (b)	3-month
LIBOR	Credit
Suisse International	2/15/21	$ 700	12,597
3.77% (b)	3-month
LIBOR	Morgan
Stanley Capital Services, Inc.	2/15/21	$ 1,400	29,882
3.67% (b)	3-month
LIBOR	Credit
Suisse International	2/22/21	$ 3,100	37,873
3.57% (b)	3-month
LIBOR	Citibank
NA	2/25/21	$ 300	1,233
4.47% (a)	3-month
LIBOR	Barclays
Bank Plc	2/15/41	$ 1,500	(53,414	)
Total					$ 27,684

| | (a) | Pays a fixed interest rate
and receives floating rate. |
| --- | --- | --- |
| | (b) | Pays floating rate and
receives fixed 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. This definition 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 derivatives. These inputs
are summarized in three broad levels for financial statement purposes as
follows: | |
| | | Level 1 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 derivatives) |
| | The inputs or
methodologies used for valuing securities are not necessarily an indication
of the risk associated with investing in those securities. For information
about the Trusts policy regarding valuation of investments and derivatives 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 28, 2011 in determining the fair
valuation of the Trusts investments and derivatives: | |

Valuation Inputs	Level 1	Level 2			Total
Assets:
Investments in Securities:
Asset-Backed Securities		$ 16,334,938	$	4,266,817	$ 20,601,755
Common Stocks		474			474
Corporate Bonds		270,151,036		3,076,752	273,227,788
Foreign Agency Obligations		5,091,565			5,091,565
Non-Agency Mortgage-Backed Securities		73,743,321		1,569,283	75,312,604
Other Interests				191	191
Preferred Securities	$ 1,526,400	3,124,017			4,650,417
Taxable Municipal Bonds		11,547,162			11,547,162
U.S. Government Sponsored Agency Securities		235,075,717			235,075,717
U.S. Treasury Obligations		103,067,515			103,067,515
Warrants				1	1
Short-Term Securities	2,222,695				2,222,695
Liabilities:
TBA Sale Commitments		(194,314,061	)		(194,314,061	)
Total	$ 3,749,095	$ 523,821,684	$	8,913,044	$ 536,483,823

| Valuation Inputs | Derivative
Financial Instruments 1 — Level 1 | | Level 2 | Level 3 | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Assets: | | | | | | | |
| Credit contracts | | | $ 18,962 | | | $ 18,962 | |
| Foreign currency exchange contracts | | | 679,309 | | | 679,309 | |
| Interest rate contracts | $ 439,853 | | 7,734,939 | | | 8,174,792 | |
| Liabilities: | | | | | | | |
| Credit contracts | | | (267,424 | ) | | (267,424 | ) |
| Foreign currency exchange contracts | | | (833,729 | ) | | (833,729 | ) |
| Interest rate contracts | (1,094,254 | ) | (9,163,714 | ) | | (10,257,968 | ) |
| Total | $ (654,401 | ) | $ (1,831,657 | ) | | $ (2,486,058 | ) |

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

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 33 |
| --- | --- | --- |

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 in determining fair value:

	Asset-Backed Securities												Warrants
Assets:
Balance, as of
August 31, 2010	$ 5,104,409	$	11,492	$	3,029,472	$	2,310,902	$	381	$	56,838			$	10,513,494
Accrued discounts/premiums	19,470				177,849		9,203								206,522
Net realized gain
(loss)			(294,917	)			34,661				113,247				(147,009	)
Net change in
unrealized appreciation/depreciation 2	477,832		315,473		(93,913	)	(34,542	)	(190	)	(11,539	)	$ (1,590	)	651,531
Purchases	1,889,760						1,569,283						1,591		3,460,634
Sales	(103,465	)	(32,048	)			(1,673,742	)			(158,546	)			(1,967,801	)
Transfer in 3
Transfer out 3	(3,121,189	)			(36,656	)	(646,482	)							(3,804,327	)
Balance
as of February 28, 2011	$ 4,266,817			$	3,076,752	$	1,569,283	$	191				$ 1	$	8,913,044

| 2 | Included in the related net
change in unrealized appreciation/depreciation on the Statements of
Operations. The change in the unrealized appreciation/depreciation on the
securities still held on February 28, 2011 was $432,573. |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — 34 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

Schedule of Investments February 28, 2011 (Unaudited) BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)

Common Stocks		Value
Capital Markets 0.2%
E*Trade Financial Corp. (a)	43,000	$ 687,140
Chemicals 0.1%
LyondellBasell Industries NV, Class A (a)	4,740	180,499
Wellman Holdings, Inc. (a)	2,499	125
		180,624
Commercial Banks 0.1%
CIT Group, Inc. (a)	10,229	443,120
Commercial Services & Supplies 0.1%
Air Lease Corp. (a)(b)	19,100	401,100
Communications Equipment 0.6%
Loral Space & Communications Ltd. (a)	31,026	2,347,427
Construction Materials 0.0%
Nortek, Inc. (a)	3,280	145,960
Diversified Financial Services 0.3%
Bank of America Corp.	85,000	1,214,650
Electrical Equipment 0.0%
Medis Technologies Ltd. (a)	109,685	2,303
Food Products 0.1%
Zhongpin, Inc. (a)	17,361	322,741
Health Care Equipment & Supplies 0.1%
Zimmer Holdings, Inc. (a)	8,271	515,614
Hotels, Restaurants & Leisure 0.0%
Buffets Restaurants Holdings, Inc. (a)	1,854	7,880
Household Durables 0.2%
Beazer Homes USA, Inc. (a)	83,108	386,452
Pulte Group, Inc. (a)	80,900	558,210
		944,662
Machinery 0.2%
Navistar International Corp. (a)	11,667	723,121
Media 1.0%
Charter Communications, Inc. (a)	83,448	3,819,415
Clear Channel Outdoor Holdings, Inc., Class A (a)	16,306	240,351
		4,059,766
Metals & Mining 0.1%
African Minerals Ltd. (a)	45,951	404,501
Oil, Gas & Consumable Fuels 0.7%
Alpha Natural Resources, Inc. (a)	18,200	986,804
Marathon Oil Corp.	42,300	2,098,080
		3,084,884
Paper & Forest Products 0.3%
Ainsworth Lumber Co. Ltd. (a)	181,600	600,006
Ainsworth Lumber Co. Ltd. (a)(b)	208,741	689,680
Western Forest Products, Inc. (a)	74,889	57,041
Western Forest Products, Inc. (a)(b)	74,936	57,076
		1,403,803
Road & Rail 0.3%
Dollar Thrifty Automotive Group, Inc. (a)	26,300	1,396,793
Semiconductors
& Semiconductor Equipment 0.3%
Spansion, Inc., Class A (a)	66,453	1,400,165
SunPower Corp., Class B (a)	573	9,672
		1,409,837
Software 0.3%
Bankruptcy Management Solutions, Inc. (a)	737	2,578
HMH Holdings/EduMedia (a)	133,690	668,450
TiVo, Inc. (a)	32,660	335,745
		1,006,773

Common Stocks	Shares		Value
Wireless
Telecommunication Services 0.7%
American Tower Corp., Class
A (a)		17,063	$ 920,720
Crown Castle International
Corp. (a)		41,121	1,733,250
FiberTower Corp. (a)		127,570	416,157
			3,070,127
Total
Common Stocks 5.7%			23,772,826
Corporate Bonds	Par (000)
Aerospace & Defense 0.3%
DynCorp International, Inc., 10.38%, 7/01/17 (b)	USD	410	440,750
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		690	777,975
			1,218,725
Air Freight & Logistics 0.5%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15		1,069	1,068,667
Series 2, 12.38%, 10/08/15		1,079	1,078,933
			2,147,600
Airlines 2.7%
Air Canada, 9.25%, 8/01/15 (b)		1,570	1,679,900
American Airlines, Inc.:
10.50%, 10/15/12		1,400	1,536,500
Series 2001-2, 7.86%, 4/01/13		490	505,925
Continental Airlines, Inc.:
6.75%, 9/15/15 (b)		900	924,750
Series 1997-4-B, 6.90%, 7/02/18		71	71,788
Series 2001-1-C, 7.03%, 12/15/12		269	270,351
Series 2010-1-B, 6.00%, 7/12/20		700	698,250
Delta Air Lines, Inc.:
Series 2010-1-B, 6.38%, 7/02/17		800	796,000
Series B, 9.75%, 12/17/16		1,353	1,460,907
United Air Lines, Inc., 12.75%, 7/15/12		2,838	3,171,701
			11,116,072
Auto Components 1.5%
Allison Transmission, Inc. (b):
11.00%, 11/01/15		350	380,625
11.25%, 11/01/15 (c)		272	296,480
Delphi International Holdings Unsecured, 12.00%, 10/06/14		134	147,905
Exide Technologies, 8.63%, 2/01/18 (b)		550	586,438
Icahn Enterprises LP, 8.00%, 1/15/18		4,815	4,983,525
			6,394,973
Beverages 0.2%
Cott Beverages, Inc., 8.13%, 9/01/18		394	424,042
Crown European Holdings SA, 7.13%, 8/15/18 (b)	EUR	365	536,424
			960,466
Biotechnology 0.2%
QHP Pharma, 10.25%, 3/15/15 (b)	USD	715	720,608
Building Products 1.2%
Associated Materials LLC, 9.13%, 11/01/17 (b)		730	789,313
Building Materials Corp. of America (b):
6.88%, 8/15/18		785	804,625
7.00%, 2/15/20		930	979,987
Momentive Performance Materials, Inc.:
11.50%, 12/01/16		255	276,675
9.00%, 1/15/21 (b)		1,900	2,021,125
			4,871,725

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 35 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Capital Markets 0.6%
American Capital Ltd., 7.36%, 12/31/13 (d)	USD	740	$ 757,812
E*Trade Financial Corp., 3.43%, 8/31/19 (b)(e)(f)		356	550,020
KKR Group Finance Co., 6.38%, 9/29/20 (b)		970	999,416
			2,307,248
Chemicals 3.4%
American Pacific Corp., 9.00%, 2/01/15		1,300	1,277,250
Chemtura Corp., 7.88%, 9/01/18 (b)		785	837,987
Georgia Gulf Corp., 9.00%, 1/15/17 (b)		245	272,563
Hexion U.S. Finance Corp.:
8.88%, 2/01/18		1,135	1,218,706
9.00%, 11/15/20 (b)		550	585,062
Huntsman International LLC (b):
6.88%, 11/15/13	EUR	415	585,568
8.63%, 3/15/21	USD	740	821,400
Ineos Finance Plc, 9.00%, 5/15/15 (b)		625	685,937
KRATON Polymers LLC, 6.75%, 3/01/19 (b)		185	188,700
MacDermid, Inc., 9.50%, 4/15/17 (b)		1,845	1,964,925
Nalco Co., 6.63%, 1/15/19 (b)		490	506,537
Nexeo Solutions LLC, 8.38%, 3/01/18 (b)(g)		275	279,813
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)		1,010	1,108,475
Omnova Solutions, Inc., 7.88%, 11/01/18 (b)		220	225,775
Polymer Group, Inc., 7.75%, 2/01/19 (b)		214	222,828
PolyOne Corp., 7.38%, 9/15/20		320	339,200
Rhodia SA, 6.88%, 9/15/20 (b)		1,085	1,110,769
TPC Group LLC, 8.25%, 10/01/17 (b)		495	526,556
Wellman Holdings, Inc., Subordinate Note (e):
(Second Lien), 10.00%, 1/29/19		1,385	1,204,950
(Third Lien), 5.00%, 1/29/19 (c)		466	181,602
			14,144,603
Commercial Banks 2.8%
CIT Group, Inc.:
7.00%, 5/01/16		5,078	5,122,240
7.00%, 5/01/17		6,594	6,643,386
Glitnir Banki HF, 6.38%, 9/25/12 (b)(h)		1,005
			11,765,626
Commercial Services & Supplies 1.8%
ACCO Brands Corp., 10.63%, 3/15/15		1,115	1,259,950
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b)		376	386,340
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)		780	838,500
Casella Waste Systems, Inc., 7.75%, 2/15/19 (b)		549	562,725
International Lease Finance Corp., 8.25%, 12/15/20		478	531,775
Mobile Mini, Inc., 7.88%, 12/01/20 (b)		345	367,425
RSC Equipment Rental, Inc. (b):
10.00%, 7/15/17		870	1,000,500
8.25%, 2/01/21		872	922,140
West Corp. (b):
8.63%, 10/01/18		1,120	1,187,200
7.88%, 1/15/19		290	297,612
			7,354,167
Communications Equipment 0.2%
Avaya, Inc., 7.00%, 4/01/19 (b)		640	633,600
Computers & Peripherals 0.3%
EMC Corp., 1.75%, 12/01/13 (e)		720	1,258,200
Construction Materials 1.4%
Nortek, Inc.:
11.00%, 12/01/13		3,655	3,892,125
10.00%, 12/01/18 (b)		1,770	1,889,475
			5,781,600

Corporate Bonds	Par (000)		Value
Consumer Finance 0.7%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	1,010	$ 1,088,275
Ford Motor Credit Co. LLC:
3.05%, 1/13/12 (i)		310	313,159
7.80%, 6/01/12		300	319,933
6.63%, 8/15/17		1,150	1,223,115
			2,944,482
Containers & Packaging 2.2%
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (b)	EUR	710	1,011,612
Ball Corp., 6.75%, 9/15/20	USD	750	785,625
Berry Plastics Corp.:
8.25%, 11/15/15		205	219,606
9.75%, 1/15/21 (b)		1,380	1,383,450
Graham Packaging Co. LP, 8.25%, 10/01/18		375	404,063
Graphic Packaging International, Inc.:
9.50%, 6/15/17		1,180	1,309,800
7.88%, 10/01/18		590	634,250
OI European Group BV, 6.88%, 3/31/17	EUR	233	334,793
Pregis Corp., 12.38%, 10/15/13	USD	835	841,263
Smurfit Kappa Acquisitions (b):
7.25%, 11/15/17	EUR	735	1,075,125
7.75%, 11/15/19		700	1,033,588
			9,033,175
Diversified Consumer Services 1.1%
Service Corp. International, 7.00%, 6/15/17	USD	4,425	4,712,625
Diversified Financial Services 5.8%
Ally Financial, Inc.:
7.50%, 12/31/13		460	501,400
2.51%, 12/01/14 (i)		592	581,732
8.30%, 2/12/15		1,890	2,133,337
6.25%, 12/01/17 (b)		1,130	1,179,438
8.00%, 3/15/20		2,170	2,443,962
7.50%, 9/15/20 (b)		1,800	1,968,750
8.00%, 11/01/31		1,310	1,500,465
8.00%, 11/01/31		1,490	1,706,050
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16		665	733,163
FCE Bank Plc, 7.13%, 1/15/13	EUR	1,300	1,890,369
Leucadia National Corp., 8.13%, 9/15/15	USD	1,780	1,958,000
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b)		1,945	2,071,425
Reynolds Group Issuer, Inc. (b):
7.75%, 10/15/16	EUR	550	804,515
7.13%, 4/15/19	USD	860	881,500
9.00%, 4/15/19		2,570	2,679,225
6.88%, 2/15/21		585	586,463
8.25%, 2/15/21		730	731,825
			24,351,619
Diversified Telecommunication Services 4.1%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12		1,530	1,524,262
Frontier Communications Corp.:
8.25%, 4/15/17		546	603,330
8.50%, 4/15/20		500	555,000
GCI, Inc., 8.63%, 11/15/19		1,700	1,870,000
ITC Deltacom, Inc., 10.50%, 4/01/16		530	581,675
Level 3 Communications, Inc., 6.50%, 10/01/16 (e)		410	585,275
Level 3 Financing, Inc.:
5.50%, 11/01/14		190	196,175
8.75%, 2/15/17		2,160	2,122,200

| See Notes to Financial
Statements. — 36 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Diversified
Telecommunication Services (concluded)
Qwest Communications International, Inc.:
7.50%, 2/15/14	USD	2,990	$ 3,034,850
8.00%, 10/01/15		800	873,000
Series B, 7.50%, 2/15/14		2,285	2,319,275
Qwest Corp., 7.63%, 6/15/15		850	975,375
Windstream Corp.:
8.13%, 8/01/13		510	561,638
7.88%, 11/01/17		1,090	1,184,012
			16,986,067
Electronic
Equipment, Instruments & Components 0.7%
CDW LLC:
11.00%, 10/12/15		180	195,750
11.50%, 10/12/15 (c)		980	1,063,300
8.00%, 12/15/18 (b)		840	903,000
NXP BV, 3.05%, 10/15/13 (i)		770	766,150
			2,928,200
Energy Equipment & Services 1.4%
Bayou Well Services, 0.16%, 12/22/13		950	950,000
Calfrac Holdings LP, 7.50%, 12/01/20 (b)		365	374,125
Compagnie Générale de Géophysique-Veritas:
7.50%, 5/15/15		1,455	1,505,925
7.75%, 5/15/17		365	385,988
Exterran Holdings, Inc., 7.25%, 12/01/18 (b)		655	671,375
Frac Tech Services LLC, 7.13%, 11/15/18 (b)		925	957,375
Precision Drilling Corp., 6.63%, 11/15/20 (b)		170	175,525
Thermon Industries, Inc., 9.50%, 5/01/17		810	876,825
			5,897,138
Food & Staples Retailing 0.7%
AmeriQual Group LLC, 9.50%, 4/01/12 (b)		855	846,450
BI-LO LLC, 9.25%, 2/15/19 (b)		495	514,800
Rite Aid Corp.:
9.75%, 6/12/16		615	692,644
7.50%, 3/01/17		925	930,781
			2,984,675
Food Products 0.7%
B&G Foods, Inc., 7.63%, 1/15/18		330	352,275
Blue Merger Sub, Inc., 7.63%, 2/15/19 (b)		1,560	1,575,600
Darling International, Inc., 8.50%, 12/15/18 (b)		360	388,350
Reddy Ice Corp., 11.25%, 3/15/15		650	682,500
Smithfield Foods, Inc., 10.00%, 7/15/14		102	120,360
			3,119,085
Health Care Equipment & Supplies 1.4%
DJO Finance LLC, 10.88%, 11/15/14		3,630	3,979,388
Hologic, Inc., 2.86%, 12/15/37 (d)(e)		2,035	1,961,231
			5,940,619
Health Care Providers & Services 5.6%
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (b)		415	432,638
ConvaTec Healthcare E SA (b):
7.38%, 12/15/17	EUR	800	1,148,125
10.50%, 12/15/18	USD	710	757,925
DaVita, Inc., 6.38%, 11/01/18		590	598,112
Gentiva Health Services, Inc., 11.50%, 9/01/18		1,050	1,182,562
HCA, Inc.:
9.13%, 11/15/14		2,605	2,731,994
8.50%, 4/15/19		1,505	1,685,600
7.25%, 9/15/20		3,430	3,700,112

Corporate Bonds	Par (000)		Value
Health Care Providers & Services (concluded)
inVentiv Health, Inc., 10.00%, 8/15/18 (b)	USD	970	$ 996,675
Omnicare, Inc.:
6.13%, 6/01/13		266	266,998
6.88%, 12/15/15		685	707,262
7.75%, 6/01/20		930	992,775
Priory Group Ltd., 7.00%, 2/15/18	GBP	209	348,254
Tenet Healthcare Corp.:
9.00%, 5/01/15	USD	1,952	2,147,200
10.00%, 5/01/18		662	777,850
8.88%, 7/01/19		4,400	5,005,000
			23,479,082
Health Care Technology 1.1%
IMS Health, Inc., 12.50%, 3/01/18 (b)		3,550	4,162,375
MedAssets, Inc., 8.00%, 11/15/18 (b)		245	251,738
			4,414,113
Hotels, Restaurants & Leisure 3.7%
Boyd Gaming Corp., 9.13%, 12/01/18 (b)		925	971,250
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18		5,580	5,245,200
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18	EUR	79	113,377
CityCenter Holdings LLC, 7.63%, 1/15/16 (b)	USD	505	526,463
Diamond Resorts Corp., 12.00%, 8/15/18 (b)		1,770	1,898,325
Enterprise Inns Plc, 6.50%, 12/06/18	GBP	625	922,046
Harrahs Operating Co., Inc., 11.25%, 6/01/17	USD	970	1,100,950
Inn of the Mountain Gods Resort & Casino (b):
1.25%, 11/30/20 (c)		1,653	859,560
8.75%, 11/30/20		735	698,250
Little Traverse Bay Bands, 9.00%, 8/31/20 (b)		548	452,100
MGM Resorts International:
10.38%, 5/15/14		395	442,400
11.13%, 11/15/17		1,220	1,406,050
Palace Entertainment Holding LLC, 8.88%, 4/15/17 (b)		180	183,600
Travelport LLC:
4.94%, 9/01/14 (i)		210	187,425
9.88%, 9/01/14		280	273,350
9.00%, 3/01/16		180	170,100
Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (a)(h)		475	48
			15,450,494
Household Durables 4.0%
American Standard Americas, 10.75%, 1/15/16 (b)		600	637,500
Ashton Woods USA LLC, 21.57%, 6/30/15 (b)(d)		1,300	845,000
Beazer Homes USA, Inc.:
8.13%, 6/15/16		470	477,638
12.00%, 10/15/17		1,960	2,278,500
9.13%, 6/15/18		2,615	2,699,987
Jarden Corp., 7.50%, 1/15/20	EUR	447	643,057
K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16	USD	2,560	2,774,400
Ryland Group, Inc., 6.63%, 5/01/20		1,000	980,000
Standard Pacific Corp.:
10.75%, 9/15/16		2,210	2,596,750
8.38%, 5/15/18		650	689,000
8.38%, 5/15/18 (b)		710	752,600
8.38%, 1/15/21 (b)		1,155	1,218,525
			16,592,957
IT Services 1.8%
First Data Corp. (b):
8.88%, 8/15/20		1,890	2,069,550
8.25%, 1/15/21		2,626	2,612,870
12.63%, 1/15/21		1,070	1,120,825
SunGard Data Systems, Inc. (b):
7.38%, 11/15/18		700	722,750
7.63%, 11/15/20		880	908,600
			7,434,595

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 37 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Independent
Power Producers & Energy Traders 3.2%
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b)	USD	1,875	$ 2,034,375
Calpine Corp. (b):
7.50%, 2/15/21		700	715,750
7.88%, 1/15/23		950	976,125
Energy Future Holdings Corp., 10.00%, 1/15/20 (b)		4,955	5,159,899
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20		253	264,095
NRG Energy, Inc., 7.63%, 1/15/18 (b)		4,060	4,227,475
			13,377,719
Industrial Conglomerates 2.5%
Sequa Corp. (b):
11.75%, 12/01/15		3,550	3,851,750
13.50%, 12/01/15 (c)		5,797	6,419,931
			10,271,681
Insurance 1.0%
Alliant Holdings I, Inc., 11.00%, 5/01/15 (b)		2,500	2,643,750
CNO Financial Group, Inc., 9.00%, 1/15/18 (b)		508	541,020
USI Holdings Corp., 4.16%, 11/15/14 (b)(i)		1,000	965,000
			4,149,770
Machinery 1.9%
AGY Holding Corp., 11.00%, 11/15/14		1,640	1,459,600
Navistar International Corp.:
3.00%, 10/15/14 (e)		2,720	3,801,200
8.25%, 11/01/21		880	974,600
Oshkosh Corp., 8.25%, 3/01/17		150	166,500
Titan International, Inc. (b):
5.63%, 1/15/17 (e)		360	937,800
7.88%, 10/01/17		685	732,950
			8,072,650
Marine 0.7%
Horizon Lines, Inc., 4.25%, 8/15/12 (e)		3,130	2,903,075
Media 12.8%
AMC Entertainment Holdings, Inc., 9.75%, 12/01/20 (b)		755	809,737
Affinion Group, Inc., 7.88%, 12/15/18 (b)		845	809,087
CCH II LLC, 13.50%, 11/30/16		539	652,903
CCO Holdings LLC:
7.88%, 4/30/18		700	747,250
8.13%, 4/30/20		700	755,125
CMP Susquehanna Corp., 3.44%, 5/15/14 (b)		236	166,361
CSC Holdings, Inc., 8.50%, 4/15/14		580	649,600
Catalina Marketing Corp., 10.50%, 10/01/15 (b)(c)		885	958,012
Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (b)		2,175	2,256,562
Checkout Holding Corp., 10.98%, 11/15/15 (b)(f)		1,300	838,500
Citadel Broadcasting Corp., 7.75%, 12/15/18 (b)		380	407,550
Clear Channel Communications, Inc., 9.00%, 3/01/21 (b)		375	381,094
Clear Channel Worldwide Holdings, Inc.:
9.25%, 12/15/17		2,246	2,493,060
Series B, 9.25%, 12/15/17		8,250	9,178,125
Cox Enterprises, Inc.:
Loan Close 2, 4.00%, 8/15/18		988	987,796
Loan Close 3, 12.00%, 8/15/18		1,129	1,129,333
Shares Loan, 4.00%, 8/15/18		1,165	1,164,740
DISH DBS Corp., 7.00%, 10/01/13		140	150,500
Gray Television, Inc., 10.50%, 6/29/15		1,420	1,508,750
Harland Clarke Holdings Corp.:
6.00%, 5/15/15 (i)		510	457,725
9.50%, 5/15/15		620	609,150

Corporate Bonds	Par (000)		Value
Media (concluded)
Interactive Data Corp., 10.25%, 8/01/18 (b)	USD	1,525	$ 1,708,000
Liberty Global, Inc., 4.50%, 11/15/16 (e)		580	1,004,850
Liberty Media Corp., 3.13%, 3/30/23 (e)		1,616	1,991,720
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)		1,235	1,272,050
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)		810	870,750
Nielsen Finance LLC:
11.63%, 2/01/14		91	106,925
7.75%, 10/15/18 (b)		3,340	3,611,375
ProQuest LLC, 9.00%, 10/15/18 (b)		745	771,075
Rainbow National Services LLC (b):
8.75%, 9/01/12		650	652,438
10.38%, 9/01/14		2,432	2,532,320
Regal Entertainment Group, 9.13%, 8/15/18		585	625,950
UPC Germany GmbH (b):
8.13%, 12/01/17	EUR	662	983,189
8.13%, 12/01/17	USD	1,035	1,110,037
9.63%, 12/01/19	EUR	845	1,324,940
UPC Holding BV, 9.88%, 4/15/18 (b)	USD	800	888,000
UPCB Finance II Ltd., 6.38%, 7/01/20	EUR	1,218	1,659,732
Unitymedia GmbH, 9.63%, 12/01/19		235	368,475
Univision Communications, Inc., 7.88%, 11/01/20 (b)	USD	685	734,662
Virgin Media Secured Finance Plc, 7.00%, 1/15/18	GBP	877	1,536,183
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)	EUR	583	862,843
Ziggo Finance BV, 6.13%, 11/15/17 (b)		1,185	1,672,043
			53,398,517
Metals & Mining 4.2%
Drummond Co., Inc.:
9.00%, 10/15/14 (b)	USD	850	907,375
7.38%, 2/15/16		335	346,725
FMG Resources August 2006 Property Ltd., 7.00%, 11/01/15 (b)		2,240	2,324,000
Foundation PA Coal Co., 7.25%, 8/01/14		2,925	2,983,500
Goldcorp, Inc., 2.00%, 8/01/14 (e)		890	1,120,287
New World Resources NV, 7.88%, 5/01/18	EUR	990	1,468,620
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (e)	USD	630	840,262
Novelis, Inc., 8.75%, 12/15/20 (b)		5,230	5,766,075
Ryerson, Inc.:
7.66%, 11/01/14 (i)		600	576,000
12.00%, 11/01/15		400	430,000
Steel Dynamics, Inc., 7.38%, 11/01/12		310	329,375
Vedanta Resources Plc, 9.50%, 7/18/18 (b)		305	336,263
			17,428,482
Multiline Retail 1.8%
Dollar General Corp., 11.88%, 7/15/17 (c)		6,421	7,424,281
Oil, Gas & Consumable Fuels 7.4%
Arch Coal, Inc., 7.25%, 10/01/20		1,270	1,349,375
Berry Petroleum Co., 8.25%, 11/01/16		750	792,188
Bill Barrett Corp., 9.88%, 7/15/16		70	78,400
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 (b)		340	361,250
Chaparral Energy, Inc., 8.25%, 9/01/21 (b)		375	381,563
Chesapeake Energy Corp.:
6.63%, 8/15/20		2,345	2,462,250
6.13%, 2/15/21		1,405	1,433,100
2.25%, 12/15/38 (e)		1,200	1,098,000
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)		392	427,280
Concho Resources, Inc., 7.00%, 1/15/21		610	638,975
Connacher Oil and Gas Ltd. (b):
11.75%, 7/15/14		260	281,450
10.25%, 12/15/15		1,695	1,792,462

| See Notes to Financial
Statements. — 38 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Oil, Gas
& Consumable Fuels (concluded)
Consol Energy, Inc., 8.25%,
4/01/20	USD	2,935	$ 3,235,837
Continental Resources,
Inc., 7.13%, 4/01/21 (b)		545	580,425
Crosstex Energy LP, 8.88%,
2/15/18		265	292,163
Denbury Resources, Inc.:
8.25%, 2/15/20		1,025	1,140,312
6.38%, 8/15/21		520	525,200
Energy Transfer Equity LP,
7.50%, 10/15/20		195	211,331
Energy XXI Gulf Coast, Inc.
(b):
9.25%, 12/15/17		630	677,250
7.75%, 6/15/19		785	792,850
Hilcorp Energy I LP, 7.63%,
4/15/21 (b)		1,150	1,213,250
Linn Energy LLC (b):
8.63%, 4/15/20		1,630	1,817,450
7.75%, 2/01/21		880	935,000
MarkWest Energy Partners
LP, 6.75%, 11/01/20		385	394,625
Niska Gas Storage US LLC,
8.88%, 3/15/18 (b)		2,775	3,024,750
Oasis Petroleum, Inc.,
7.25%, 2/01/19 (b)		335	340,025
Peabody Energy Corp.,
6.50%, 9/15/20		755	807,850
Petrohawk Energy Corp.:
10.50%, 8/01/14		555	638,250
7.88%, 6/01/15		695	736,700
Range Resources Corp.,
8.00%, 5/15/19		600	660,750
SM Energy Co., 6.63%,
2/15/19 (b)		425	429,781
Teekay Corp., 8.50%,
1/15/20		970	1,043,963
United Refining Co.,
10.50%, 2/28/18 (b)(g)		360	356,400
			30,950,455
Paper
& Forest Products 3.0%
Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (b)(c)		1,728	1,754,061
Boise Paper Holdings LLC:
9.00%, 11/01/17		495	551,925
8.00%, 4/01/20		240	264,600
Clearwater Paper Corp.:
10.63%, 6/15/16		585	668,363
7.13%, 11/01/18 (b)		865	897,438
Georgia-Pacific LLC, 8.25%,
5/01/16 (b)		2,395	2,700,362
NewPage Corp., 11.38%,
12/31/14		4,050	4,039,875
Verso Paper Holdings LLC:
11.50%, 7/01/14		1,265	1,394,662
8.75%, 2/01/19 (b)		345	360,525
			12,631,811
Pharmaceuticals
0.8%
Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (i)		1,365	1,146,600
Grifols, Inc., 8.25%,
2/01/18 (b)		195	200,363
Novasep Holding SAS, 9.63%,
12/15/16 (b)	EUR	784	876,328
Valeant Pharmaceuticals
International (b):
6.75%, 10/01/17	USD	560	579,600
7.00%, 10/01/20		715	739,131
			3,542,022
Professional
Services 0.3%
FTI Consulting, Inc.,
6.75%, 10/01/20 (b)		1,370	1,370,000
Real
Estate Investment Trusts (REITs) 0.4%
Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (b)		790	797,900
The Rouse Co. LP, 6.75%,
11/09/15		770	806,575
			1,604,475

Corporate Bonds	Par (000)		Value
Real
Estate Management & Development 1.9%
CB Richard Ellis Services,
Inc., 6.63%, 10/15/20	USD	500	$ 515,625
Forest City Enterprises,
Inc., 7.63%, 6/01/15		2,300	2,231,000
Realogy Corp. (b):
11.50%, 4/15/17		1,170	1,246,050
7.88%, 2/15/19		3,855	3,869,456
			7,862,131
Road &
Rail 2.1%
Avis Budget Car Rental LLC:
9.63%, 3/15/18		760	849,300
8.25%, 1/15/19		1,150	1,220,437
Florida East Coast Railway
Corp., 8.13%, 2/01/17 (b)		610	637,450
The Hertz Corp. (b):
7.50%, 10/15/18		960	1,016,400
6.75%, 4/15/19		660	673,200
7.38%, 1/15/21		730	762,850
Hertz Holdings Netherlands
BV, 8.50%, 7/31/15 (b)	EUR	1,975	2,963,890
Syncreon Global Ireland
Ltd., 9.50%, 5/01/18 (b)	USD	540	560,250
			8,683,777
Semiconductors
& Semiconductor Equipment 0.3%
Linear Technology Corp., Series A, 3.00%, 5/01/27 (e)		655	713,131
Spansion LLC, 7.88%,
11/15/17 (b)		420	428,400
			1,141,531
Specialty
Retail 1.6%
Asbury Automotive Group,
Inc., 8.38%, 11/15/20 (b)		490	514,500
Claires Escrow Corp.,
8.88%, 3/15/19 (b)(g)		480	481,800
Hillman Group, Inc.,
10.88%, 6/01/18		790	869,000
Limited Brands, Inc.,
8.50%, 6/15/19		1,170	1,339,650
PETCO Animal Supplies,
Inc., 9.25%, 12/01/18 (b)		675	729,000
Sonic Automotive, Inc.,
9.00%, 3/15/18		550	588,500
Toys R US-Delaware, Inc.,
7.38%, 9/01/16 (b)		630	663,863
United Auto Group, Inc.,
7.75%, 12/15/16		1,550	1,600,375
			6,786,688
Thrifts
& Mortgage Finance 0.2%
Radian Group, Inc., 3.00%,
11/15/17 (e)		740	699,300
Transportation
Infrastructure 0.2%
Aguila 3 SA, 7.88%, 1/31/18
(b)		632	655,700
Wireless
Telecommunication Services 4.5%
Clearwire Communications
LLC (b):
12.00%, 12/01/15		730	795,700
12.00%, 12/01/17		1,670	1,803,600
Cricket Communications,
Inc.:
10.00%, 7/15/15		1,120	1,234,800
7.75%, 5/15/16		1,140	1,205,550
Digicel Group Ltd. (b):
8.88%, 1/15/15		1,030	1,071,200
9.13%, 1/15/15 (c)		2,787	2,902,660
8.25%, 9/01/17		1,650	1,724,250
10.50%, 4/15/18		800	912,000
FiberTower Corp., 9.00%,
1/01/16 (c)		503	437,711
iPCS, Inc., 2.43%, 5/01/13
(i)		1,200	1,185,000
Intelsat Jackson Holdings
SA, 7.25%, 10/15/20 (b)		500	513,750
MetroPCS Wireless, Inc.:
7.88%, 9/01/18		770	813,313
6.63%, 11/15/20		1,140	1,110,075
NII Holdings, Inc., 3.13%,
6/15/12 (e)		550	547,250
Sprint Capital Corp.,
6.88%, 11/15/28		2,290	2,063,862
Syniverse Holdings, Inc.,
9.13%, 1/15/19 (b)		380	410,400
			18,731,121
Total
Corporate Bonds 102.9%			428,629,325

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 39 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)

Floating Rate Loan Interests (i)	Par (000)		Value
Building
Products 0.3%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/13/17	USD	1,175	$ 1,210,984
Capital
Markets 0.1%
Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14		755	613,494
Chemicals
0.3%
PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan (First Lien), 3.52% 3.56%, 7/30/14		449	441,749
Styron Sarl, Term Loan B,
6.00%, 7/27/17		1,000	1,009,000
			1,450,749
Commercial
Services & Supplies 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%, 6/10/16		770	790,694
Delos Aircraft, Inc., Term
Loan 2, 7.00%, 3/17/16		875	882,499
Volume Services America, Inc. (Centerplate), Term Loan B, 10.50% 10.75%, 8/24/16		1,496	1,510,584
			3,183,777
Construction
& Engineering 0.7%
Safway Services, LLC, Last Out Term Loan, 15.63%, 12/14/17		3,000	3,000,000
Consumer
Finance 1.5%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 7.25%, 4/21/15		6,000	6,053,400
Electric
Utilities 0.1%
New Development Holdings LLC, Term Loan, 7.00%, 7/03/17		209	211,321
Food
Products 0.3%
Advance Pierre Foods, Term
Loan, 11.25%, 9/29/17		1,300	1,332,500
Health
Care Providers & Services 0.7%
Harden Healthcare, Inc.:
Tranche A Additional Term Loan, 7.75%, 3/02/15		760	744,800
Tranche A Term Loan, 8.50%,
2/22/15		630	617,556
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term Loan B, 4.75%, 7/31/16		1,393	1,399,094
			2,761,450
Hotels,
Restaurants & Leisure 0.8%
Harrahs Operating Co., Inc., Term Loan B-3, 3.30%, 1/28/15		625	580,295
Travelport LLC (FKA Travelport, Inc.), Loan, 8.31%, 3/27/12 (c)		3,095	2,761,909
			3,342,204
Household
Durables 0.7%
Visant Corp. (FKA Jostens), Term Loan B, 7.00%, 12/20/16		1,496	1,509,641
Visant Holding Corp. Term
Loan, 4.31%, 12/22/16		1,500	1,500,000
			3,009,641
IT
Services 0.5%
First Data Corp.:
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14		254	240,882
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14		608	576,064
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14		1,119	1,059,193
			1,876,139

Floating Rate Loan Interests (i)	Par (000)		Value
Independent
Power Producers & Energy Traders 1.0%
Texas Competitive Electric
Holdings Co., LLC (TXU):
Initial Tranche B-1 Term Loan, 3.76% 3.80%, 10/10/14	USD	321	$ 270,421
Initial Tranche B-2 Term Loan, 3.76% 3.80%, 10/10/14		313	263,372
Initial Tranche B-3 Term Loan, 3.76% 3.80%, 10/10/14		4,233	3,558,478
			4,092,271
Media
4.0%
Cengage Learning Acquisitions, Inc. (Thomson Learning), Tranche 1 Incremental Term Loan, 7.50%, 7/03/14		2,438	2,448,469
HMH Publishing Co., Ltd., Tranche A Term Loan, 6.01%, 6/12/14		1,371	1,301,692
Intelsat Jackson Holdings Ltd., Term Loan B, 5.25%, 3/07/18		10,750	10,822,229
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		2,150	2,285,719
			16,858,109
Metals
& Mining 0.1%
Euramax International,
Inc., Domestic Term Loan:
10.00%, 6/29/13		258	248,803
14.00%, 6/29/13		248	238,839
			487,642
Multiline
Retail 0.4%
Hema Holding BV, Mezzanine, 4.41% 5.00%, 1/29/17 (c)	EUR	1,338	1,808,986
Oil, Gas
& Consumable Fuels 1.2%
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15	USD	3,453	3,539,449
Turbo Beta Ltd., Dollar Facility, 2.50% 12.00%, 3/15/18 (c)		3,527	1,446,152
			4,985,601
Paper
& Forest Products 0.4%
Verso Paper Finance
Holdings LLC, 7.30%, 2/01/13		2,020	1,818,170
Pharmaceuticals
0.2%
Axcan Pharma, Inc., Term Loan, 0.50% 5.50%, 2/03/17		1,000	1,002,500
Real
Estate Investment Trusts (REITs) 0.1%
iStar Financial, Inc., Term Loan (Second Lien), 6/28/11		350	345,187
Real
Estate Management & Development 0.3%
Realogy Corp.:
Term Loan B, 4.56% 6.50%, 10/16/16		1,084	1,039,930
Term Loan C, 0.11% 4.40%, 10/16/16		196	188,120
			1,228,050
Specialty
Retail 0.2%
Claires Stores, Inc., Term Loan B, 3.01% 5.00%, 5/29/14		215	209,544
Michaels Stores, Inc., Term Loan B-1, 2.56% 2.63%, 10/31/13		486	484,218
			693,762
Wireless
Telecommunication Services 0.7%
Vodafone Americas Finance 2, Inc., Initial Loan, 6.88%, 7/30/15		2,847	2,946,808
Total
Floating Rate Loan Interests 15.4%			64,312,745

| See Notes to Financial
Statements. — 40 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

Schedule of Investments (continued) BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)

Other Interests (j)	Beneficial Interest (000)		Value
Auto
Components 2.5%
Delphi Debtor-in-Possession
Holding Co. LLP, Class B Membership Interests	USD	1	$ 10,484,987
Lear Corp. Escrow		790	21,725
			10,506,712
Hotels,
Restaurants & Leisure 0.0%
Buffets, Inc.		970	10
Media
0.0%
Adelphia Escrow		1,250	12
Adelphia Recovery Trust		1,568	157
			169
Total
Other Interests 2.5%			10,506,891

Preferred Stocks
Auto
Components 0.7%
Dana Holding Corp., 4.00%
(b)(e)	18,800	3,085,550
Automobiles
0.8%
General Motors Co., 4.75%
(a)	68,700	3,495,456
Diversified
Financial Services 0.8%
Citigroup, Inc., 7.50% (e)	24,500	3,295,250
Household
Durables 0.1%
Beazer Homes USA, Inc.,
7.50% (e)	17,226	429,789
Media
0.2%
CMP Susquehanna Radio Holdings Corp., 0.00% (a)(b)	55,038	1
TRA Global, Inc., 0.00% (a)	420,689	679,833
		679,834
Professional
Services 0.1%
Nielsen Holdings NV, 6.25%
(a)(e)	6,584	363,355
Real
Estate Investment Trusts (REITs) 0.1%
MPG Office Trust, Inc.,
Series A, 7.63% (a)	13,326	247,197
Thrifts
& Mortgage Finance 0.1%
Fannie Mae, Series O, 0.00%
(a)	40,000	128,000
Freddie Mac, Series Z,
8.38% (a)	108,377	210,251
		338,251
Total
Preferred Stocks 2.9%		11,934,682

Warrants (k)
Containers
& Packaging 0.0%
MDP Acquisitions Plc
(Expires 10/01/13)	1,100	70,991
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	8
Media
0.0%
CMP Susquehanna Radio Holdings Corp. (Expires 3/26/19) (b)	62,894	1
New Vision Holdings LLC
(Expires 9/30/14)	4	40
New Vision Holdings LLC
(Expires 9/30/14)	22	222
		263

Warrants (k)	Shares
Oil, Gas
& Consumable Fuels 0.0%
Turbo Cayman Ltd. (No
Expiration)	2
Software
0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)	491	$ 5
HMH Holdings/EduMedia
(Expires 3/09/17)	20,878
		5
Total
Warrants 0.0%		71,268
Total
Long-Term Investments (Cost $512,793,951) 129.4%		539,227,737

| Short-Term Securities — BlackRock Liquidity Funds,
TempFund, Institutional Class, 0.15% (l)(m) | 1,708,712 | 1,708,712 | |
| --- | --- | --- | --- |
| Total
Short-Term Securities (Cost $1,708,712) 0.4% | | 1,708,712 | |
| Total
Investments (Cost $514,502,663*) 129.8% | | 540,936,449 | |
| Liabilities
in Excess of Other Assets (29.8)% | | (124,241,865 | ) |
| Net Assets
100.0% | $ | 416,694,584 | |

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:

Aggregate cost	$
Gross unrealized
appreciation	$ 42,092,541
Gross unrealized
depreciation	(17,046,969	)
Net unrealized appreciation	$ 25,045,572

| (a) | Non-income producing
security. |
| --- | --- |
| (b) | Security exempt from
registration under Rule 144A of the Securities Act of 1933. These securities may be
resold in transactions exempt from registration to qualified institutional
investors. |
| (c) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (d) | 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 reflects the current yield
as of report date. |
| (e) | Convertible security. |
| (f) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (g) | When-issued security. Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation
Banc of America NA	$ 198,413	$ 2,278
Credit Suisse International	$ 838,200	$ 11,002
Sterne Agee	$ 81,400	$ 934

| (h) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| --- | --- |
| (i) | Variable rate security.
Rate shown is as of report date. |
| (j) | Other interests represent
beneficial interest in liquidation trusts and other reorganization entities
and are non-income producing. |
| (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. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 41 |
| --- | --- | --- |

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

(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	2,725,924	(1,017,212)	1,708,712	Income — $ 2,318

| (m) | Represents the current
yield as of report date. |
| --- | --- |
| | 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. This definition may not apply for purposes of
this report, which may combine such industry sub-classifications for reporting
ease. |
| | Financial futures
contracts sold as of February 28, 2011 were as follows: |

| Contracts — 158 | Issue — E-mini
S&P 500 | Exchange — Chicago
Mercantile | Expiration — March
2011 | $ 10,036,115 | $ (440,075 | ) |
| --- | --- | --- | --- | --- | --- | --- |

Credit default swaps on single-name issues buy protection outstanding as of February 28, 2011 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration	Notional Amount (000)	Unrealized Depreciation
K. Hovnanian Enterprises, Inc.	5.00%	Goldman
Sachs International	12/20/11	$ 755	$ (34,429	)
K. Hovnanian Enterprises, Inc.	5.00%	Goldman
Sachs Bank USA	12/20/13	$ 1,475	(125,466	)
Louisiana-Pacific Corp.	5.00%	JPMorgan
Chase Bank NA	3/20/14	$ 1,000	(228,385	)
Harrahs Operating Co., Inc.	5.00%	Deutsche
Bank AG	12/20/15	$ 1,900	(265,072	)
Republic of Hungary	1.00%	Deutsche
Bank AG	12/20/15	$ 450	(8,158	)
Israel (State of)	1.00%	Deutsche
Bank AG	3/20/16	$ 1,000	(3,843	)
iStar Financial, Inc.	5.00%	Deutsche
Bank AG	12/20/16	$ 350	(69,478	)
Total					$ (734,831	)

Credit default swaps on single-name issues sold protection outstanding as of February 28, 2011 were as follows:

Issuer	Receive Fixed Rate	Counterparty	Expiration Date	Issuer Credit Rating 1	Notional Amount (000) 2	Unrealized Appreciation (Depreciation)
iStar Financial, Inc.	5.00%	Deutsche
Bank AG	9/20/11	CCC	$ 350	$ 37,448
MBIA Insurance Corp.	5.00%	Deutsche
Bank AG	3/20/12	B	$ 175	15,688
Texas Competitive Electric Holdings Co. LLC	5.00%	Goldman
Sachs International	9/20/12	D	$ 750	(75,717	)
MBIA Insurance Corp.	5.00%	Deutsche
Bank AG	12/20/12	B	$ 1,060	114,600
Advanced Micro Devices, Inc.	5.00%	JPMorgan
Chase Bank NA	3/20/15	B+	$ 700	85,150
Realogy Corp.	5.00%	JPMorgan
Chase Bank NA	9/20/15	CC	$ 200	30,606
Assured Guaranty Ltd.	5.00%	Deutsche
Bank AG	12/20/15	A+	$ 100	782
D.R. Horton, Inc.	1.00%	JPMorgan
Chase Bank NA	12/20/15	BB	$ 450	13,845
M.D.C. Holdings, Inc.	1.00%	Deutsche
Bank AG	12/20/15	BBB	$ 510	4,893
M.D.C. Holdings, Inc.	1.00%	JPMorgan
Chase Bank NA	12/20/15	BBB	$ 510	2,764
Realogy Corp.	5.00%	JPMorgan
Chase Bank NA	12/20/15	CC	$ 1,125	63,108
ARAMARK Corp.	5.00%	Goldman
Sachs International	3/20/16	B	$ 750	(1,360	)
Chesapeake Energy Corp.	5.00%	Credit
Suisse International	3/20/16	BB	$ 400	7,499
Chesapeake Energy Corp.	5.00%	Goldman
Sachs International	3/20/16	BB	$ 400	4,449
Chesapeake Energy Corp.	5.00%	JPMorgan
Chase Bank NA	3/20/16	BB	$ 400	7,499
Realogy Corp.	5.00%	JPMorgan
Chase Bank NA	3/20/16	CC	$ 225	946
General Motors Co.	5.00%	Deutsche
Bank AG	3/20/21	BB	$ 600	(1,503	)
Total						$ 310,697

| 1 | Using Standard and Poors
rating. |
| --- | --- |
| 2 | The maximum potential
amount the Trust may pay should a negative event take place as defined under
the terms of agreement. |

| See Notes to Financial
Statements. — 42 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Credit default swaps on traded indexes sold protection outstanding as of February 28, 2011 were as follows:

Index	Receive Fixed Rate	Counterparty	Expiration Date	Credit Rating 1	Notional Amount (000) 2	Unrealized Depreciation
Dow Jones CDX North America High Yield Index Series 10	0.00%	Deutsche
Bank AG	6/20/11	CCC	$ 1,066	$ (8,217	)
Dow Jones CDX North America High Yield Index Series 9	0.00%	Deutsche
Bank AG	12/20/12	CCC	$ 822	(31,787	)
Dow Jones CDX North America High Yield Index Series 15	5.00%	Credit
Suisse International	12/20/15	B	$ 2,950	(9,424	)
Total						$ (49,428	)

| 1 | Using Standard and Poors
rating of the underlying securities. |
| --- | --- |
| 2 | The maximum potential
amount the Trust may pay should a negative event take place as defined under
the terms of agreement. |

Foreign currency exchange contracts as of February 28, 2011 were as follows:

Currency Purchased		Currency Sold		Counterparty	Unrealized Appreciation (Depreciation)
USD	587,989	CAD	583,000	Citibank
NA	4/14/11	$ (11,490	)
USD	1,245,434	GBP	788,500	Citibank
NA	4/14/11	(35,857	)
USD	1,226,071	GBP	763,000	Deutsche
Bank AG	4/14/11	(13,783	)
USD	88,511	GBP	55,000	Royal
Bank of Scotland Plc	4/14/11	(863	)
USD	372,564	GBP	232,000	UBS
AG	4/14/11	(4,430	)
EUR	71,000	USD	97,839	Citibank
NA	4/27/11	67
USD	19,897,306	EUR	14,539,500	Citibank
NA	4/27/11	(152,089	)
USD	767,085	EUR	568,000	Deutsche
Bank AG	4/27/11	(16,164	)
USD	2,615,558	EUR	1,910,000	Royal
Bank of Scotland Plc	4/27/11	(18,257	)
Total					$ (252,866	)


	Level 1 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 derivatives)
The inputs or
methodologies used for valuing securities are not necessarily an indication
of the risk associated with investing in those securities. For information
about the Trusts policy regarding valuation of investments and derivatives
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 28, 2011 in determining the fair
valuation of the Trusts investments and derivatives:

Valuation Inputs	Level 1	Level 2	Level 3
Assets:
Investments in Securities:
Common Stocks	$ 22,010,893	$ 692,258	$ 1,069,675	$	23,772,826
Corporate Bonds		420,263,251	8,366,074		428,629,325
Floating Rate Loan Interests		48,867,310	15,445,435		64,312,745
Other Interests	157	10,484,987	21,747		10,506,891
Preferred Stocks	7,677,943	3,576,905	679,834		11,934,682
Warrants		70,991	277		71,268
Short-Term Securities	1,708,712				1,708,712
Unfunded Loan Commitments		1,563			1,563
Liabilities:
Unfunded Loan Commitments			(38,321	)	(38,321	)
Total	$ 31,397,705	$ 483,957,265	$ 25,544,721	$	540,899,691

| Valuation Inputs | Derivative
Financial Instruments 1 — Level 1 | | Level 2 | Level 3 | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Assets: | | | | | | | |
| Credit contracts | | | $ 389,277 | | | $ 389,277 | |
| Foreign currency exchange contracts | | | 67 | | | 67 | |
| Liabilities: | | | | | | | |
| Credit contracts | | | (862,839 | ) | | (862,839 | ) |
| Foreign currency exchange contracts | | | (252,933 | ) | | (252,933 | ) |
| Interest rate contracts | $ (440,075 | ) | | | | (440,075 | ) |
| Total | $ (440,075 | ) | $ (726,428 | ) | | $ (1,166,503 | ) |

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 shown at the unrealized appreciation/ depreciation on the instrument and options are shown at value.

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 43 |
| --- | --- | --- |

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

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

	Common Stocks	Corporate Bonds					Preferred Stocks	Warrants				Total
Assets/Liabilities:
Balance, as of August 31, 2010	$ 1,056,339	$ 7,015,576	$	21,875,386	$	16,367	$ 679,708	$ 49,708	$	(70,023	)	$ 30,623,061
Accrued discounts/premiums		436,843		734,165								1,171,008
Net realized gain (loss)		15,033		49,238								64,271
Net change in unrealized appreciation/depreciation 2	13,336	(231,373	)	6,129,124		5,380	126	21,554		31,702		5,969,849
Purchases		1,462,895		7,612,215				6				9,075,116
Sales		(166,539	)	(14,590,337	)							(14,756,876	)
Transfers in 3				1,446,152								1,446,152
Transfers out 3		(166,361	)	(7,810,508	)			(70,991	)			(8,047,860	)
Balance as of February 28, 2011	$ 1,069,675	$ 8,366,074	$	15,445,435	$	21,747	$ 679,834	$ 277	$	(38,321	)	$ 25,544,721

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The net change in the unrealized appreciation/depreciation on the
securities still held on February 28, 2011 was $5,947,885. |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — 44 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

Schedule of Investments February 28, 2011 (Unaudited)
(Percentages
shown are based on Net Assets)

Common Stocks		Value
Auto
Components 0.3%
Dana Holding Corp. (a)	76,490	$ 1,444,131
Capital
Markets 0.2%
E*Trade Financial Corp. (a)	46,400	741,472
Chemicals
0.0%
Wellman Holdings, Inc. (a)	2,616	131
Commercial
Banks 0.1%
CIT Group, Inc. (a)	10,736	465,084
Communications
Equipment 0.6%
Loral Space &
Communications Ltd. (a)	36,431	2,756,369
Construction
Materials 0.0%
Nortek, Inc. (a)	3,445	153,303
Diversified
Financial Services 0.3%
Bank of America Corp.	89,000	1,271,810
Electrical
Equipment 0.0%
Medis Technologies Ltd. (a)	116,910	2,455
Food
Products 0.1%
Zhongpin, Inc. (a)	18,157	337,539
Health
Care Equipment & Supplies 0.1%
Zimmer Holdings, Inc. (a)	8,727	544,041
Hotels,
Restaurants & Leisure 0.0%
Buffets Restaurants
Holdings, Inc. (a)	1,816	7,718
Household
Durables 0.2%
Beazer Homes USA, Inc. (a)	68,300	317,595
Pulte Group, Inc. (a)	84,500	583,050
		900,645
Machinery
0.1%
Navistar International Corp.
(a)	5,338	330,849
Media
1.0%
Charter Communications,
Inc. (a)	85,376	3,907,660
Clear Channel Outdoor
Holdings, Inc., Class A (a)	16,704	246,217
		4,153,877
Metals
& Mining 0.1%
African Minerals Ltd. (a)	50,501	444,554
Oil, Gas
& Consumable Fuels 0.8%
Alpha Natural Resources,
Inc. (a)	19,000	1,030,180
Marathon Oil Corp.	44,400	2,202,240
		3,232,420
Paper
& Forest Products 0.3%
Ainsworth Lumber Co. Ltd.
(a)	192,951	637,510
Ainsworth Lumber Co. Ltd.
(a)(b)	221,591	732,136
Western Forest Products,
Inc. (a)(b)	78,039	59,440
		1,429,086
Road &
Rail 0.3%
Dollar Thrifty Automotive
Group, Inc. (a)	27,600	1,465,836
Semiconductors
& Semiconductor
Equipment
0.4%
Spansion, Inc., Class A (a)	73,658	1,551,974
SunPower Corp., Class B (a)	1,235	20,847
		1,572,821

Common Stocks		Value
Software
0.2%
Bankruptcy Management
Solutions, Inc. (a)	787	$ 2,754
HMH Holdings/EduMedia (a)	141,287	706,434
		709,188
Wireless
Telecommunication Services 0.7%
American Tower Corp., Class
A (a)	17,859	963,672
Crown Castle International
Corp. (a)	43,048	1,814,473
FiberTower Corp. (a)	127,570	423,532
		3,201,677
Total
Common Stocks 5.8%		25,165,006

Corporate Bonds	Par (000)
Aerospace
& Defense 0.3%
DynCorp International,
Inc., 10.38%, 7/01/17 (b)	USD	440	473,000
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		730	823,075
			1,296,075
Airlines
2.9%
Air Canada, 9.25%, 8/01/15
(b)		1,640	1,754,800
American Airlines, Inc.:
10.50%, 10/15/12		1,470	1,613,325
Series 2001-2, 7.86%, 4/01/13		510	526,575
Continental Airlines, Inc.:
6.75%, 9/15/15 (b)		900	924,750
Series 1997-4-B, 6.90%, 7/02/18		1,132	1,148,600
Series 2001-1-C, 7.03%, 12/15/12		284	285,712
Series 2010-1-B, 6.00%, 7/12/20		700	698,250
Delta Air Lines, Inc.:
Series 2010-1-B, 6.38%, 7/02/17		900	895,500
Series B, 9.75%, 12/17/16		1,443	1,558,301
United Air Lines, Inc.,
12.75%, 7/15/12		3,064	3,424,120
			12,829,933
Auto
Components 1.5%
Allison Transmission, Inc.
(b):
11.00%, 11/01/15		360	391,500
11.25%, 11/01/15 (c)		284	309,560
Delphi International Holdings Unsecured, 12.00%, 10/06/14		69	76,049
Exide Technologies, 8.63%,
2/01/18 (b)		580	618,425
Icahn Enterprises LP,
8.00%, 1/15/18		5,060	5,237,100
			6,632,634
Beverages
0.2%
Cott Beverages, Inc.,
8.13%, 9/01/18		413	444,491
Crown European Holdings SA,
7.13%, 8/15/18 (b)	EUR	380	558,469
			1,002,960
Biotechnology
0.2%
QHP Pharma, 10.25%, 3/15/15
(b)	USD	763	768,649
Building
Products 1.2%
Associated Materials LLC,
9.13%, 11/01/17 (b)		760	821,750
Building Materials Corp. of
America (b):
6.88%, 8/15/18		825	845,625
7.00%, 2/15/20		980	1,032,675
Momentive Performance
Materials, Inc.:
11.50%, 12/01/16		265	287,525
9.00%, 1/15/21 (b)		1,985	2,111,544
			5,099,119

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 45 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)
Capital
Markets 0.6%
American Capital Ltd.,
7.96%, 12/31/13 (d)	USD	780	$ 798,775
E*Trade Financial Corp.,
3.43%, 8/31/19 (b)(d)(e)		380	587,100
KKR Group Finance Co.,
6.38%, 9/29/20 (b)		1,020	1,050,932
			2,436,807
Chemicals
3.4%
American Pacific Corp.,
9.00%, 2/01/15		1,400	1,375,500
Chemtura Corp., 7.88%,
9/01/18 (b)		825	880,687
Georgia Gulf Corp., 9.00%,
1/15/17 (b)		260	289,250
Hexion U.S. Finance Corp.:
8.88%, 2/01/18		1,225	1,315,344
9.00%, 11/15/20 (b)		575	611,656
Huntsman International LLC
(b):
6.88%, 11/15/13	EUR	440	620,843
8.63%, 3/15/21	USD	780	865,800
Ineos Finance Plc, 9.00%,
5/15/15 (b)		655	718,863
KRATON Polymers LLC, 6.75%,
3/01/19 (b)		195	198,900
MacDermid, Inc., 9.50%,
4/15/17 (b)		1,985	2,114,025
Nalco Co., 6.63%, 1/15/19
(b)		515	532,381
Nexeo Solutions LLC, 8.38%,
3/01/18 (b)(f)		290	295,075
OXEA Finance/Cy SCA, 9.50%,
7/15/17 (b)		1,055	1,157,862
Omnova Solutions, Inc.,
7.88%, 11/01/18 (b)		230	236,038
Polymer Group, Inc., 7.75%,
2/01/19 (b)		228	237,405
PolyOne Corp., 7.38%,
9/15/20		335	355,100
Rhodia SA, 6.88%, 9/15/20
(b)		1,135	1,161,956
TPC Group LLC, 8.25%,
10/01/17 (b)		520	553,150
Wellman Holdings, Inc.,
Subordinate Note (e):
(Second Lien), 10.00%, 1/29/19		1,450	1,261,500
(Third Lien), 5.00%, 1/29/19 (c)		488	190,229
			14,971,564
Commercial
Banks 2.8%
CIT Group, Inc.:
7.00%, 5/01/16		2,995	3,021,206
7.00%, 5/01/17		9,275	9,344,563
			12,365,769
Commercial
Services & Supplies 1.7%
ACCO Brands Corp., 10.63%,
3/15/15		1,170	1,322,100
AWAS Aviation Capital Ltd.,
7.00%, 10/15/16 (b)		276	283,590
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)		815	876,125
Casella Waste Systems,
Inc., 7.75%, 2/15/19 (b)		576	590,400
International Lease Finance Corp., 8.25%, 12/15/20		503	559,588
Mobile Mini, Inc., 7.88%,
12/01/20 (b)		360	383,400
RSC Equipment Rental, Inc.
(b):
10.00%, 7/15/17		935	1,075,250
8.25%, 2/01/21		913	965,497
West Corp. (b):
8.63%, 10/01/18		1,170	1,240,200
7.88%, 1/15/19		305	313,006
			7,609,156
Communications
Equipment 0.2%
Avaya, Inc., 7.00%, 4/01/19
(b)		670	663,300
Computers
& Peripherals 0.3%
EMC Corp., 1.75%, 12/01/13
(c)		740	1,293,150
Construction
Materials 1.3%
Nortek, Inc.:
11.00%, 12/01/13		3,460	3,685,231
10.00%, 12/01/18 (b)		1,850	1,974,875
			5,660,106

Corporate Bonds	Par (000)		Value
Consumer
Finance 0.7%
Credit Acceptance Corp.,
9.13%, 2/01/17	USD	1,080	$ 1,163,700
Ford Motor Credit Co. LLC:
3.05%, 1/13/12 (g)		340	343,465
7.80%, 6/01/12		300	319,933
6.63%, 8/15/17		1,140	1,212,479
			3,039,577
Containers
& Packaging 2.2%
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (b)	EUR	680	968,868
Ball Corp., 6.75%, 9/15/20	USD	785	822,288
Berry Plastics Corp.:
8.25%, 11/15/15		215	230,319
9.75%, 1/15/21 (b)		1,435	1,438,587
Graham Packaging Co. LP,
8.25%, 10/01/18		390	420,225
Graphic Packaging
International, Inc.:
9.50%, 6/15/17		1,245	1,381,950
7.88%, 10/01/18		620	666,500
OI European Group BV,
6.88%, 3/31/17	EUR	254	364,968
Pregis Corp., 12.38%,
10/15/13	USD	905	911,787
Smurfit Kappa Acquisitions
(b):
7.25%, 11/15/17	EUR	785	1,148,263
7.75%, 11/15/19		745	1,100,033
			9,453,788
Diversified
Consumer Services 1.2%
Service Corp.
International, 7.00%, 6/15/17	USD	4,775	5,085,375
Diversified
Financial Services 6.0%
Ally Financial, Inc.:
7.50%, 12/31/13		700	763,000
2.51%, 12/01/14 (g)		635	623,986
8.30%, 2/12/15		1,930	2,178,487
6.25%, 12/01/17 (b)		1,230	1,283,813
8.00%, 3/15/20		2,360	2,657,950
7.50%, 9/15/20 (b)		1,900	2,078,125
8.00%, 11/01/31		1,570	1,797,650
8.00%, 11/01/31		1,370	1,569,188
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16		695	766,238
FCE Bank Plc, 7.13%,
1/15/13	EUR	1,450	2,108,489
Leucadia National Corp.,
8.13%, 9/15/15	USD	1,870	2,057,000
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b)		2,050	2,183,250
Reynolds Group Issuer, Inc.
(b):
7.75%, 10/15/16	EUR	600	877,653
7.13%, 4/15/19	USD	910	932,750
9.00%, 4/15/19		2,685	2,799,112
6.88%, 2/15/21		610	611,525
8.25%, 2/15/21		760	761,900
			26,050,116
Diversified
Telecommunication Services 4.1%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12		1,680	1,673,700
Frontier Communications
Corp.:
8.25%, 4/15/17		598	660,790
8.50%, 4/15/20		500	555,000
GCI, Inc., 8.63%, 11/15/19		1,700	1,870,000
ITC Deltacom, Inc., 10.50%,
4/01/16		550	603,625
Level 3 Communications,
Inc., 6.50%, 10/01/16 (d)		440	628,100
Level 3 Financing, Inc.:
5.50%, 11/01/14		200	206,500
8.75%, 2/15/17		2,240	2,200,800

| See Notes to Financial
Statements. — 46 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Diversified
Telecommunication Services (concluded)
Qwest Communications International, Inc.:
7.50%, 2/15/14	USD	3,190	$ 3,237,850
8.00%, 10/01/15		900	982,125
Series B, 7.50%, 2/15/14		2,370	2,405,550
Qwest Corp., 7.63%, 6/15/15		875	1,004,062
Windstream Corp.:
8.13%, 8/01/13		703	774,179
7.88%, 11/01/17		1,017	1,104,716
			17,906,997
Electronic Equipment, Instruments & Components
0.7%
CDW LLC:
11.00%, 10/12/15		190	206,625
11.50%, 10/12/15 (c)		1,030	1,117,550
8.00%, 12/15/18 (b)		880	946,000
NXP BV, 3.05%, 10/15/13 (f)		800	796,000
			3,066,175
Energy Equipment & Services 1.4%
Bayou Well Services, 0.16%, 12/22/13		975	975,000
Calfrac Holdings LP, 7.50%, 12/01/20 (b)		380	389,500
Compagnie Générale de Géophysique-Veritas:
7.50%, 5/15/15		1,535	1,588,725
7.75%, 5/15/17		395	417,712
Exterran Holdings, Inc., 7.25%, 12/01/18 (b)		685	702,125
Frac Tech Services LLC, 7.13%, 11/15/18 (b)		965	998,775
Precision Drilling Corp., 6.63%, 11/15/20 (b)		180	185,850
Thermon Industries, Inc., 9.50%, 5/01/17		850	920,125
			6,177,812
Food & Staples Retailing 0.7%
AmeriQual Group LLC, 9.50%, 4/01/12 (b)		910	900,900
BI-LO LLC, 9.25%, 2/15/19 (b)		515	535,600
Rite Aid Corp.:
9.75%, 6/12/16		660	743,325
7.50%, 3/01/17		945	950,906
			3,130,731
Food Products 0.7%
B&G Foods, Inc., 7.63%, 1/15/18		340	362,950
Blue Merger Sub, Inc., 7.63%, 2/15/19 (b)		1,640	1,656,400
Darling International, Inc., 8.50%, 12/15/18 (b)		375	404,531
Reddy Ice Corp., 11.25%, 3/15/15		690	724,500
Smithfield Foods, Inc., 10.00%, 7/15/14		102	120,360
			3,268,741
Health Care Equipment & Supplies 1.4%
DJO Finance LLC, 10.88%, 11/15/14		3,810	4,176,712
Hologic, Inc., 2.00%, 12/15/37 (e)(h)		2,150	2,072,063
			6,248,775
Health Care Providers & Services 5.6%
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (b)		430	448,275
ConvaTec Healthcare E SA (b):
7.38%, 12/15/17	EUR	800	1,148,125
10.50%, 12/15/18	USD	740	789,950
DaVita, Inc., 6.38%, 11/01/18		620	628,525
Gentiva Health Services, Inc., 11.50%, 9/01/18		1,095	1,233,244
HCA, Inc.:
9.13%, 11/15/14		2,745	2,878,819
8.50%, 4/15/19		1,550	1,736,000
7.25%, 9/15/20		3,605	3,888,894
inVentiv Health, Inc., 10.00%, 8/15/18 (b)		1,020	1,048,050

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Health Care Providers & Services (concluded) | | | |
| Omnicare, Inc.: | | | |
| 6.13%, 6/01/13 | USD | 276 | $ 277,035 |
| 6.88%, 12/15/15 | | 675 | 696,937 |
| 7.75%, 6/01/20 | | 980 | 1,046,150 |
| Priory Group Ltd., 7.00%, 2/15/18 | GBP | 220 | 366,583 |
| Tenet Healthcare Corp.: | | | |
| 9.00%, 5/01/15 | USD | 2,935 | 3,228,500 |
| 10.00%, 5/01/18 | | 1,050 | 1,233,750 |
| 8.88%, 7/01/19 | | 3,360 | 3,822,000 |
| | | | 24,470,837 |
| Health Care Technology 1.1% | | | |
| IMS Health, Inc., 12.50%, 3/01/18 (b) | | 3,760 | 4,408,600 |
| MedAssets, Inc., 8.00%, 11/15/18 (b) | | 255 | 262,013 |
| | | | 4,670,613 |
| Hotels, Restaurants & Leisure 3.7% | | | |
| Boyd Gaming Corp., 9.13%, 12/01/18 (b) | | 970 | 1,018,500 |
| Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18 | | 5,835 | 5,484,900 |
| Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 81 | 116,248 |
| CityCenter Holdings LLC, 7.63%, 1/15/16 (b) | USD | 530 | 552,525 |
| Diamond Resorts Corp., 12.00%, 8/15/18 (b) | | 1,860 | 1,994,850 |
| Enterprise Inns Plc, 6.50%, 12/06/18 | GBP | 656 | 967,780 |
| Harrahs Operating Co., Inc., 11.25%, 6/01/17 | USD | 980 | 1,112,300 |
| Inn of the Mountain Gods Resort & Casino (b): | | | |
| 1.25%, 11/30/20 (c) | | 1,738 | 903,760 |
| 8.75%, 11/30/20 | | 772 | 733,400 |
| Little Traverse Bay Bands, 9.00%, 8/31/20 (b) | | 561 | 462,825 |
| MGM Resorts International: | | | |
| 10.38%, 5/15/14 | | 415 | 464,800 |
| 11.13%, 11/15/17 | | 1,310 | 1,509,775 |
| Palace Entertainment Holding LLC, 8.88%, 4/15/17 (b) | | 190 | 193,800 |
| Travelport LLC: | | | |
| 4.94%, 9/01/14 (g) | | 195 | 174,037 |
| 9.88%, 9/01/14 | | 285 | 278,231 |
| 9.00%, 3/01/16 | | 190 | 179,550 |
| Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (a)(i) | | 515 | 52 |
| | | | 16,147,333 |
| Household Durables 4.1% | | | |
| American Standard Americas, 10.75%, 1/15/16 (b) | | 630 | 669,375 |
| Ashton Woods USA LLC, 21.57%, 6/30/15 (b)(h) | | 1,360 | 884,000 |
| Beazer Homes USA, Inc.: | | | |
| 8.13%, 6/15/16 | | 495 | 503,044 |
| 12.00%, 10/15/17 | | 2,080 | 2,418,000 |
| 9.13%, 6/15/18 | | 3,240 | 3,345,300 |
| Jarden Corp., 7.50%, 1/15/20 | EUR | 455 | 654,566 |
| K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16 | USD | 2,730 | 2,958,637 |
| Ryland Group, Inc., 6.63%, 5/01/20 | | 1,045 | 1,024,100 |
| Standard Pacific Corp.: | | | |
| 10.75%, 9/15/16 | | 2,355 | 2,767,125 |
| 8.38%, 5/15/18 | | 680 | 720,800 |
| 8.38%, 5/15/18 (b) | | 745 | 789,700 |
| 8.38%, 1/15/21 (b) | | 1,210 | 1,276,550 |
| | | | 18,011,197 |
| IT Services 1.8% | | | |
| First Data Corp. (b): | | | |
| 8.88%, 8/15/20 | | 1,980 | 2,168,100 |
| 8.25%, 1/15/21 | | 2,721 | 2,707,395 |
| 12.63%, 1/15/21 | | 1,115 | 1,167,962 |
| SunGard Data Systems, Inc. (b): | | | |
| 7.38%, 11/15/18 | | 740 | 764,050 |
| 7.63%, 11/15/20 | | 930 | 960,225 |
| | | | 7,767,732 |

See Notes to Financial Statements. — SEMI-ANNUAL REPORT	FEBRUARY 28, 2011	47

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

Corporate Bonds	Par (000)		Value
Independent
Power Producers & Energy Traders 3.2%
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b)	USD	2,010	$ 2,180,850
Calpine Corp. (b):
7.50%, 2/15/21		730	746,425
7.88%, 1/15/23		995	1,022,363
Energy Future Holdings Corp., 10.25%, 1/15/20 (b)		5,200	5,415,030
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20		271	282,884
NRG Energy, Inc., 7.63%, 1/15/18 (b)		4,245	4,420,106
			14,067,658
Industrial Conglomerates 2.5%
Sequa Corp. (b):
11.75%, 12/01/15		3,810	4,133,850
13.50%, 12/01/15 (c)		6,236	6,906,494
			11,040,344
Insurance 1.0%
Alliant Holdings I, Inc., 11.00%, 5/01/15 (b)		2,600	2,749,500
CNO Financial Group, Inc., 9.00%, 1/15/18 (b)		530	564,450
USI Holdings Corp., 4.16%, 11/15/14 (b)(g)		1,070	1,032,550
			4,346,500
Machinery 1.7%
AGY Holding Corp., 11.00%, 11/15/14		1,650	1,468,500
Navistar International Corp.:
3.00%, 10/15/14 (d)		2,840	3,968,900
8.25%, 11/01/21		940	1,041,050
Oshkosh Corp., 8.25%, 3/01/17		160	177,600
Titan International, Inc., 7.88%, 10/01/17 (b)		720	770,400
			7,426,450
Marine 0.7%
Horizon Lines, Inc., 4.25%, 8/15/12 (d)		3,340	3,097,850
Media 12.8%
AMC Entertainment Holdings, Inc., 9.75%, 12/01/20 (b)		795	852,637
Affinion Group, Inc., 7.88%, 12/15/18 (b)		885	847,388
CCH II LLC, 13.50%, 11/30/16		876	1,061,523
CCO Holdings LLC:
7.88%, 4/30/18		730	779,275
8.13%, 4/30/20		730	787,488
CMP Susquehanna Corp., 3.44%, 5/15/14		254	179,050
CSC Holdings, Inc., 8.50%, 4/15/14		550	616,000
Catalina Marketing Corp., 10.50%, 10/01/15 (b)(c)		935	1,012,137
Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (b)		2,275	2,360,312
Checkout Holding Corp., 10.98%, 11/15/15 (b)		1,360	877,200
Citadel Broadcasting Corp., 7.75%, 12/15/18 (b)		400	429,000
Clear Channel Communications, Inc., 9.00%, 3/01/21 (b)		390	396,338
Clear Channel Worldwide Holdings, Inc.:
9.25%, 12/15/17		2,368	2,628,480
Series B, 9.25%, 12/15/17		8,711	9,690,987
Cox Enterprises, Inc.:
Loan Close 2, 4.00%, 8/15/18		1,019	1,018,664
Loan Close 3, 12.00%, 8/15/18		1,165	1,164,625
Shares Loan, 4.00%, 8/15/18		1,203	1,203,139
DISH DBS Corp., 7.00%, 10/01/13		150	161,250
Gray Television, Inc., 10.50%, 6/29/15		1,425	1,514,062
Harland Clarke Holdings Corp.:
6.00%, 5/15/15 (g)		550	493,625
9.50%, 5/15/15		660	648,450
Interactive Data Corp., 10.25%, 8/01/18 (b)		1,600	1,792,000
Liberty Global, Inc., 4.50%, 11/15/16 (d)		580	1,004,850

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Media (concluded) | | | |
| Liberty Media Corp., 3.13%, 3/30/23 (d) | USD | 1,748 | $ 2,154,410 |
| Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | | 1,280 | 1,318,400 |
| NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | | 845 | 908,375 |
| Nielsen Finance LLC: | | | |
| 11.63%, 2/01/14 | | 147 | 172,725 |
| 7.75%, 10/15/18 (b) | | 3,425 | 3,703,281 |
| ProQuest LLC, 9.00%, 10/15/18 (b) | | 775 | 802,125 |
| Rainbow National Services LLC, 10.38%, 9/01/14 (b) | | 2,570 | 2,676,012 |
| Regal Entertainment Group, 9.13%, 8/15/18 | | 610 | 652,700 |
| UPC Germany GmbH (b): | | | |
| 8.13%, 12/01/17 | | 985 | 1,056,412 |
| 8.13%, 12/01/17 | EUR | 701 | $ 1,041,111 |
| 9.63%, 12/01/19 | | 900 | 1,411,179 |
| UPC Holding BV, 9.88%, 4/15/18 (b) | USD | 800 | 888,000 |
| UPCB Finance II Ltd., 6.38%, 7/01/20 | EUR | 1,273 | 1,734,679 |
| Unitymedia GmbH, 9.63%, 12/01/19 | | 244 | 382,586 |
| Unitymedia Hessen GmbH & Co. KG, 8.13%, 12/01/17 | | 120 | 178,222 |
| Univision Communications, Inc., 7.88%, 11/01/20 (b) | USD | 715 | 766,838 |
| Virgin Media Secured Finance Plc, 7.00%, 1/15/18 | GBP | 910 | 1,593,987 |
| Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) | EUR | 610 | 902,803 |
| Ziggo Finance BV, 6.13%, 11/15/17 (b) | | 1,240 | 1,749,648 |
| | | | 55,611,973 |
| Metals & Mining 4.3% | | | |
| Drummond Co., Inc.: | | | |
| 9.00%, 10/15/14 (b) | USD | 905 | 966,088 |
| 7.38%, 2/15/16 | | 360 | 372,600 |
| FMG Resources August 2006 Property Ltd., 7.00%, 11/01/15 (b) | | 2,385 | 2,474,437 |
| Foundation PA Coal Co., 7.25%, 8/01/14 | | 3,250 | 3,315,000 |
| Goldcorp, Inc., 2.00%, 8/01/14 (d) | | 930 | 1,170,637 |
| New World Resources NV, 7.88%, 5/01/18 | EUR | 1,055 | 1,565,044 |
| Newmont Mining Corp., Series A, 1.25%, 7/15/14 (d) | USD | 665 | 886,944 |
| Novelis, Inc., 8.75%, 12/15/20 (b) | | 5,470 | 6,030,675 |
| Ryerson, Inc.: | | | |
| 7.68%, 11/01/14 (g) | | 640 | 614,400 |
| 12.00%, 11/01/15 | | 450 | 483,750 |
| Steel Dynamics, Inc., 7.38%, 11/01/12 | | 325 | 345,313 |
| Vedanta Resources Plc, 9.50%, 7/18/18 (b) | | 325 | 358,313 |
| | | | 18,583,201 |
| Multiline Retail 1.8% | | | |
| Dollar General Corp., 11.88%, 7/15/17 (c) | | 6,753 | 7,808,156 |
| Oil, Gas & Consumable Fuels 7.5% | | | |
| Arch Coal, Inc., 7.25%, 10/01/20 | | 1,335 | 1,418,437 |
| Berry Petroleum Co., 8.25%, 11/01/16 | | 800 | 845,000 |
| Bill Barrett Corp., 9.88%, 7/15/16 | | 70 | 78,400 |
| Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 (b) | | 355 | 377,188 |
| Chaparral Energy, Inc., 8.25%, 9/01/21 (b) | | 390 | 396,825 |
| Chesapeake Energy Corp.: | | | |
| 6.63%, 8/15/20 | | 2,460 | 2,583,000 |
| 6.13%, 2/15/21 | | 1,475 | 1,504,500 |
| 2.25%, 12/15/38 (d) | | 1,250 | 1,143,750 |
| Coffeyville Resources LLC, 9.00%, 4/01/15 (b) | | 414 | 451,260 |

See Notes to Financial Statements. — 48	SEMI-ANNUAL REPORT	FEBRUARY 28, 2011

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

Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Concho Resources, Inc., 7.00%, 1/15/21	USD	635	$ 665,163
Connacher Oil and Gas Ltd. (b):
11.75%, 7/15/14		280	303,100
10.25%, 12/15/15		1,755	1,855,912
Consol Energy, Inc., 8.25%, 4/01/20		3,095	3,412,237
Continental Resources, Inc., 7.13%, 4/01/21 (b)		575	612,375
Crosstex Energy LP, 8.88%, 2/15/18		280	308,700
Denbury Resources Inc.:
6.38%, 8/15/21		540	545,400
8.25%, 2/15/20		1,095	1,218,188
Energy Transfer Equity LP, 7.50%, 10/15/20		210	227,588
Energy XXI Gulf Coast, Inc. (b):
9.25%, 12/15/17		660	709,500
7.75%, 6/15/19		820	828,200
Hilcorp Energy I LP, 7.63%, 4/15/21 (b)		1,200	1,266,000
Linn Energy LLC (b):
8.63%, 4/15/20		1,715	1,912,225
7.75%, 2/01/21		920	977,500
MarkWest Energy Partners LP, 6.75%, 11/01/20		405	415,125
Niska Gas Storage US LLC, 8.88%, 3/15/18 (b)		2,930	3,193,700
Oasis Petroleum, Inc., 7.25%, 2/01/19 (b)		355	360,325
Peabody Energy Corp., 6.50%, 9/15/20		805	861,350
Petrohawk Energy Corp.:
10.50%, 8/01/14		595	684,250
7.88%, 6/01/15		680	720,800
Range Resources Corp., 8.00%, 5/15/19		700	770,875
SM Energy Co., 6.63%, 2/15/19 (b)		445	450,006
Teekay Corp., 8.50%, 1/15/20		1,020	1,097,775
United Refining Co., 10.50%, 2/28/18 (b)(f)		375	371,250
			32,565,904
Paper & Forest Products 3.1%
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(c)		1,835	1,862,044
Boise Paper Holdings LLC:
9.00%, 11/01/17		525	585,375
8.00%, 4/01/20		240	264,600
Clearwater Paper Corp.:
10.63%, 6/15/16		625	714,063
7.13%, 11/01/18 (b)		885	918,188
Georgia-Pacific LLC, 8.25%, 5/01/16 (b)		2,570	2,897,675
NewPage Corp., 11.38%, 12/31/14		4,335	4,324,162
Verso Paper Holdings LLC:
11.50%, 7/01/14		1,335	1,471,837
8.75%, 2/01/19 (b)		360	376,200
			13,414,144
Pharmaceuticals 0.9%
Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (g)		1,441	1,210,440
Grifols, Inc., 8.25%, 2/01/18 (b)		205	210,638
Novasep Holding SAS, 9.63%, 12/15/16 (b)	EUR	822	918,803
Valeant Pharmaceuticals International (b):
6.75%, 10/01/17	USD	590	610,650
7.00%, 10/01/20		750	775,312
			3,725,843
Professional Services 0.3%
FTI Consulting, Inc., 6.75%, 10/01/20 (b)		1,450	1,450,000
Real Estate Investment Trusts (REITs) 0.4%
Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (b)		830	838,300
The Rouse Co. LP, 6.75%, 11/09/15		805	843,238
			1,681,538

| Corporate
Bonds | | Par (000) | Value |
| --- | --- | --- | --- |
| Real Estate Management & Development 1.9% | | | |
| CB Richard Ellis Services Inc., 6.63%, 10/15/20 | USD | 520 | $ 536,250 |
| Forest City Enterprises, Inc., 7.63%, 6/01/15 | | 2,300 | 2,231,000 |
| Realogy Corp. (b): | | | |
| 11.50%, 4/15/17 | | 1,230 | 1,309,950 |
| 7.88%, 2/15/19 | | 4,070 | 4,085,262 |
| | | | 8,162,462 |
| Road & Rail 2.1% | | | |
| Avis Budget Car Rental LLC: | | | |
| 9.63%, 3/15/18 | | 800 | 894,000 |
| 8.25%, 1/15/19 | | 1,205 | 1,278,806 |
| Florida East Coast Railway Corp., 8.13%, 2/01/17 (b) | | 650 | 679,250 |
| The Hertz Corp. (b): | | | |
| 7.50%, 10/15/18 | | 1,005 | 1,064,044 |
| 6.75%, 4/15/19 | | 695 | 708,900 |
| 7.38%, 1/15/21 | | 765 | 799,425 |
| Hertz Holdings Netherlands BV, 8.50%, 7/31/15 (b) | EUR | 2,080 | 3,121,464 |
| Syncreon Global Ireland Ltd., 9.50%, 5/01/18 (b) | USD | 550 | 570,625 |
| | | | 9,116,514 |
| Semiconductors
& Semiconductor Equipment 0.1% | | | |
| Spansion LLC, 7.88%, 11/15/17 (b) | | 430 | 438,600 |
| Specialty Retail 1.6% | | | |
| Asbury Automotive Group, Inc., 8.38%, 11/15/20 (b) | | 515 | 540,750 |
| Claires Escrow Corp., 8.88%, 3/15/19 (b)(f) | | 500 | 501,875 |
| Hillman Group, Inc., 10.88%, 6/01/18 | | 830 | 913,000 |
| Limited Brands, Inc., 8.50%, 6/15/19 | | 1,255 | 1,436,975 |
| PETCO Animal Supplies, Inc., 9.25%, 12/01/18 (b) | | 705 | 761,400 |
| Sonic Automotive, Inc., 9.00%, 3/15/18 | | 580 | 620,600 |
| Toys R US-Delaware, Inc., 7.38%, 9/01/16 (b) | | 660 | 695,475 |
| United Auto Group, Inc., 7.75%, 12/15/16 | | 1,670 | 1,724,275 |
| | | | 7,194,350 |
| Transportation Infrastructure 0.2% | | | |
| Aguila 3 SA, 7.88%, 1/31/18 (b) | | 665 | 689,938 |
| Wireless Telecommunication Services 4.4% | | | |
| Clearwire Communications LLC (b): | | | |
| 12.00%, 12/01/15 | | 750 | 817,500 |
| 12.00%, 12/01/17 | | 1,760 | 1,900,800 |
| Cricket Communications, Inc.: | | | |
| 10.00%, 7/15/15 | | 1,155 | 1,273,387 |
| 7.75%, 5/15/16 | | 1,080 | 1,142,100 |
| Digicel Group Ltd. (b): | | | |
| 8.88%, 1/15/15 | | 1,120 | 1,164,800 |
| 9.13%, 1/15/15 | | 2,864 | 2,982,856 |
| 8.25%, 9/01/17 | | 1,720 | 1,797,400 |
| 10.50%, 4/15/18 | | 800 | 912,000 |
| FiberTower Corp., 9.00%, 1/01/16 (c) | | 503 | 430,336 |
| iPCS, Inc., 2.43%, 5/01/13 (g) | | 1,295 | 1,278,812 |
| Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b) | | 525 | 539,438 |
| MetroPCS Wireless, Inc.: | | | |
| 7.88%, 9/01/18 | | 810 | 855,563 |
| 6.63%, 11/15/20 (b) | | 1,190 | 1,158,763 |
| NII Holdings, Inc., 3.13%, 6/15/12 (d) | | 570 | 567,150 |
| Sprint Capital Corp., 6.88%, 11/15/28 | | 2,370 | 2,135,962 |
| Syniverse Holdings, Inc., 9.13%, 1/15/19 (b) | | 390 | 421,200 |
| | | | 19,378,067 |
| Total Corporate Bonds 102.5% | | | 446,924,513 |

See Notes to Financial Statements. — SEMI-ANNUAL REPORT	FEBRUARY 28, 2011	49

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

Floating Rate Loan Interests (g)	Par (000)		Value
Building Products 0.3%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/13/17	USD	1,200	$ 1,236,750
Capital Markets 0.1%
Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14		755	613,494
Chemicals 0.3%
PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan (First Lien), 3.52% 3.56%, 7/30/14		419	412,462
Styron Sarl, Term Loan B, 6.00%, 7/27/17		1,000	1,009,000
			1,421,462
Commercial Services & Supplies 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%, 6/10/16		845	867,709
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16		975	983,357
Volume Services America, Inc. (Centerplate), Term Loan B, 10.50% 10.75%, 8/24/16		1,596	1,611,290
			3,462,356
Construction & Engineering 0.7%
Safway Services, LLC, Last Out Term Loan, 15.63%, 12/14/17		3,250	3,250,000
Consumer Finance 1.5%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 7.25%, 4/21/15		6,500	6,557,850
Electric Utilities 0.1%
New Development Holdings LLC, Term Loan, 7.00%, 7/03/17		233	235,226
Food Products 0.3%
Advance Pierre Foods, Term Loan, 11.25%, 9/29/17		1,300	1,332,500
Health Care Providers & Services 0.7%
Harden Healthcare, Inc.:
Tranche A Additional Term Loan, 7.75%, 3/02/15		855	837,900
Tranche A Term Loan, 8.50%, 2/22/15		630	617,556
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term Loan B, 6.50%, 7/31/16		1,393	1,399,094
			2,854,550
Hotels, Restaurants & Leisure 0.8%
Harrahs Operating Co., Inc., Term Loan B-3, 3.30%, 1/28/15		675	626,719
Travelport LLC (FKA Travelport, Inc.), Loan, 8.31%, 3/27/12 (c)		3,240	2,891,365
			3,518,084
Household Durables 0.7%
Visant Corp. (FKA Jostens):
Term Loan, 5.25%, 12/22/16		1,500	1,500,000
Tranche B Term Loan, 7.00%, 12/20/16		1,596	1,610,284
			3,110,284
IT Services 0.5%
First Data Corp.:
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14		254	240,882
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14		642	607,816
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14		1,162	1,099,950
			1,948,648

| Floating
Rate Loan Interests (g) | Par (000) | | Value |
| --- | --- | --- | --- |
| Independent
Power Producers & Energy Traders 1.0% | | | |
| Texas Competitive Electric Holdings Co., LLC (TXU): | | | |
| Initial Tranche B-1 Term Loan, 3.76% 3.80%, 10/10/14 | USD | 340 | $ 286,810 |
| Initial Tranche B-2 Term Loan, 3.76% 3.80%, 10/10/14 | | 214 | 179,959 |
| Initial Tranche B-3 Term Loan, 3.76% 3.80%, 10/10/14 | | 4,518 | 3,798,760 |
| | | | 4,265,529 |
| Media 4.1% | | | |
| Cengage Learning Acquisitions, Inc. (Thomson Learning), Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | | 2,681 | 2,693,316 |
| HMH Publishing Co., Ltd., Tranche A Term Loan, 6.01%, 6/12/14 | | 1,444 | 1,371,497 |
| Intelsat Jackson Holdings Ltd., Term Loan B, 5.25%, 3/07/18 | | 11,300 | 11,375,925 |
| Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | | 2,450 | 2,604,656 |
| | | | 18,045,394 |
| Metals & Mining 0.1% | | | |
| Euramax International, Inc., Domestic Term Loan: | | | |
| 10.00%, 6/29/13 | | 271 | 261,243 |
| 14.00%, 6/29/13 | | 261 | 250,781 |
| | | | 512,024 |
| Multiline Retail 0.5% | | | |
| Hema Holding BV, Mezzanine, 4.41% 5.00%, 1/29/17 (c) | EUR | 1,605 | 2,170,783 |
| Oil, Gas & Consumable Fuels 1.2% | | | |
| Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15 | USD | 3,621 | 3,711,485 |
| Turbo Beta Ltd., Dollar Facility, 2.50% 12.00%, 3/15/18 (c) | | 3,848 | 1,577,620 |
| | | | 5,289,105 |
| Paper & Forest Products 0.4% | | | |
| Verso Paper Finance Holdings LLC, 6.55% 7.30%, 2/01/13 | | 2,089 | 1,880,289 |
| Pharmaceuticals 0.2% | | | |
| Axcan Pharma, Inc., Term Loan, 5.50%, 2/03/17 | | 1,000 | 1,002,500 |
| Real Estate Investment Trusts (REITs) 0.1% | | | |
| iStar Financial, Inc., Term Loan (Second Lien), 1.76%, 6/28/11 | | 350 | 345,187 |
| Real Estate Management & Development 0.3% | | | |
| Realogy Corp.: | | | |
| Term Loan B, 4.56% 6.50%, 10/16/16 | | 1,173 | 1,124,943 |
| Term Loan C, 4.51%, 10/16/16 | | 199 | 190,798 |
| | | | 1,315,741 |
| Specialty Retail 0.2% | | | |
| Claires Stores, Inc., Term Loan B, 3.01% 5.00%, 5/29/14 | | 235 | 228,654 |
| Michaels Stores, Inc., Term Loan B-1, 2.56% 2.63%, 10/31/13 | | 516 | 514,754 |
| | | | 743,408 |
| Total Floating Rate Loan Interests 14.9% | | | 65,111,164 |

See Notes to Financial Statements. — 50	SEMI-ANNUAL REPORT	FEBRUARY 28, 2011

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

Other Interests (j)		Beneficial Interest (000)		Value
Auto
Components 2.2%
Delphi Debtor-in-Possession Holding Co. LLP, Class B Membership Interests	USD		(k)	$ 9,614,334
Hotels,
Restaurants & Leisure 0.0%
Buffets, Inc.		950		10
Media
0.0%
Adelphia Escrow		1,300		13
Adelphia Recovery Trust		1,630		163
				176
Total
Other Interests 2.2%				9,614,520

Preferred Stocks	Shares
Auto
Components 0.1%
Dana Holding Corp., 4.00%
(a)(b)(d)	3,000	492,375
Automobiles
0.8%
General Motors Co., 4.75%
(a)	71,550	3,640,464
Media
0.0%
CMP Susquehanna Radio Holdings Corp., 0.00% (a)(b)	59,235	1
Professional
Services 0.1%
Nielsen Holdings NV, 6.25%
(a)(d)	6,917	381,732
Thrifts
& Mortgage Finance 0.1%
Fannie Mae, Series O, 0.00%
(a)	40,000	128,000
Freddie Mac, Series Z,
8.38% (a)	110,157	213,704
		341,704
Total
Preferred Stocks 1.1%		4,856,276

Warrants (l)
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	8
Media
0.0%
CMP Susquehanna Radio Holdings Corp. (Expires 3/26/19) (b)	67,691	1
New Vision Holdings LLC
(Expires 9/14/30)	4	40
New Vision Holdings LLC
(Expires 9/14/30)	22	222
		263
Oil, Gas
& Consumable Fuels 0.0%
Turbo Cayman Ltd. (No
Expiration)	2
Software
0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)	525	5
HMH Holdings/EduMedia
(Expires 3/09/17)	22,578
		5
Total
Warrants 0.0%		277
Total
Long-Term Investments (Cost $526,146,168) 126.5%		551,671,756

Short-Term Securities	Shares	Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (m)(n)	1,225,083	$ 1,225,083
Total
Short-Term Securities (Cost $1,225,083) 0.3%		1,225,083
Total
Investments (Cost $527,371,251*) 126.8%		552,896,839
Liabilities
in Excess of Other Assets (26.8)%		(116,864,147	)
Net Assets
100.0%		$ 436,032,692

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:

Aggregate cost	$
Gross unrealized
appreciation	$ 41,588,921
Gross unrealized
depreciation	(17,402,206	)
Net unrealized appreciation	$ 24,186,715

| (a) | Non-income producing
security. |
| --- | --- |
| (b) | Security exempt from
registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration to qualified
institutional investors. |
| (c) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (d) | Convertible security. |
| (e) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (f) | When-issued security. Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation (Depreciation)
Banc of America NA	$ 208,587	$ 3,587
Credit Suisse International	$ 873,125	$ 11,460
Sterne Agee	$ 86,488	$ (212	)

| (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 reflects the current yield
as of report date. |
| (i) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (j) | Other interests represent
beneficial interest in liquidation trusts and other reorganization entities
and are non-income producing. |
| (k) | Amount is less than $1,000. |
| (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) | 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	1,808,758	(583,675	)	1,225,083	Income — $ 2,129

(n) Represents the current yield as of report date.

| See Notes to Financial
Statements. — SEMI-ANNUAL
REPORT | FEBRUARY 28, 2011 | 51 |
| --- | --- | --- |

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

Contracts	Issue	Exchange		Notional Value	Unrealized Depreciation
168	E-Mini S&P 500	Chicago Mercantile	March 2011	$ 10,668,127	$ (471,113	)

Credit default swaps on single-name issues buy protection outstanding as of February 28, 2011 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Depreciation
K. Hovnanian Enterprises, Inc.	5.00 %	Goldman
Sachs International	12/20/11	$ 805	$ (36,709	)
K. Hovnanian Enterprises, Inc.	5.00 %	Goldman
Sachs Bank USA	12/20/13	$ 1,600	(136,099	)
Louisiana-Pacific Corp.	5.00 %	JPMorgan Chase Bank NA	3/20/14	$ 500	(114,192	)
Harrahs Operating Co., Inc.	5.00 %	Deutsche Bank AG	12/20/15	$ 2,025	(282,511	)
Republic of Hungary	1.00 %	Deutsche Bank AG	12/20/15	$ 470	(8,521	)
Israel (State of)	1.00 %	Deutsche Bank AG	3/20/16	$ 1,050	(4,036	)
iStar Financial, Inc.	5.00 %	Deutsche Bank AG	12/20/16	$ 375	(74,441	)
Total					$ (656,509	)

Credit default swaps on single-name issues sold protection outstanding as of February 28, 2011 were as follows:

Issuer	Received Fixed Rate	Counterparty	Expiration Date	Issuer Credit Rating 1		Unrealized Appreciation (Depreciation)
iStar Financial, Inc.	5.00 %	Deutsche Bank AG	9/20/11	CCC	$ 375	$ 40,123
MBIA Insurance Corp.	5.00 %	Deutsche Bank AG	3/20/12	B	$ 185	16,584
Texas Competitive Electric Holdings Co. LLC	5.00 %	Goldman Sachs International	9/20/12	D	$ 775	(78,240	)
MBIA Insurance Corp.	5.00 %	Deutsche Bank AG	12/20/12	B	$ 1,100	118,890
Advanced Micro Devices, Inc.	5.00 %	JPMorgan Chase Bank NA	3/20/15	B+	$ 1,150	139,889
Realogy Corp.	5.00 %	JPMorgan Chase Bank NA	9/20/15	CC	$ 200	30,606
Assured Guaranty Ltd.	5.00 %	Deutsche Bank AG	12/20/15	A+	$ 105	822
D.R. Horton, Inc.	1.00 %	JPMorgan Chase
Bank NA	12/20/15	BB	$ 475	14,614
M.D.C. Holdings, Inc.	1.00 %	Deutsche Bank AG	12/20/15	BBB	$ 535	5,133
M.D.C. Holdings, Inc.	1.00 %	JPMorgan Chase Bank NA	12/20/15	BBB	$ 535	2,900
Realogy Corp.	5.00 %	JPMorgan Chase Bank NA	12/20/15	CC	$ 1,175	65,711
ARAMARK Corp.	5.00 %	Goldman
Sachs International	3/20/16	B	$ 750	(1,360	)
Chesapeake Energy Corp.	5.00 %	Credit
Suisse International	3/20/16	BB	$ 425	7,968
Chesapeake Energy Corp.	5.00 %	Goldman
Sachs International	3/20/16	BB	$ 425	4,727
Chesapeake Energy Corp.	5.00 %	JPMorgan Chase Bank NA	3/20/16	BB	$ 425	7,968
Realogy Corp.	5.00 %	JPMorgan Chase Bank NA	3/20/16	CC	$ 225	946
General Motors Co.	5.00 %	Deutsche Bank AG	3/20/21	BB	$ 600	(1,503	)
Total						$ 375,778

| 1 | Using Standard & Poors
rating. |
| --- | --- |
| 2 | The maximum potential
amount the Trust may pay should a negative event take place as defined under
the terms of agreement. |

| See Notes to Financial
Statements. — 52 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Credit default swaps on traded indexes sold protection outstanding as of February 28, 2011 were as follows:

Index	Receive Fixed Rate	Counterparty	Expiration Date	Credit Rating 1
Dow Jones CDX North America High Yield Index Series 10	0.00 %	Deutsche Bank AG	6/20/11	CCC	$ 1,119	$ (8,622	)
Dow Jones CDX North America High Yield Index Series 9	0.00 %	Deutsche Bank AG	12/20/12	CCC	$ 822	(31,787	)
Dow Jones CDX North America High Yield Index Series 15	5.00 %	Credit
Suisse International	12/20/15	B	$ 3,100	(9,903	)
Total						$ (50,312	)

| | 1 | Using Standard and Poors
rating. |
| --- | --- | --- |
| | 2 | The maximum potential
amount the Trust may pay should a negative event take place as defined under
the terms of agreement. |
| | Foreign currency exchange
contracts as of February 28, 2011 were as follows: | |

| Currency Purchased — USD | 551,681 | Currency Sold — CAD | 547,000 | Counterparty — Citibank
NA | Settlement Date — 4/14/11 | $ (10,781 | ) |
| --- | --- | --- | --- | --- | --- | --- | --- |
| USD | 1,345,739 | GBP | 852,500 | Citibank
NA | 4/14/11 | (39,551 | ) |
| USD | 1,290,350 | GBP | 803,000 | Deutsche
Bank AG | 4/14/11 | (14,503 | ) |
| USD | 87,706 | GBP | 54,500 | Royal
Bank of Scotland Plc | 4/14/11 | (855 | ) |
| USD | 403,014 | GBP | 251,000 | UBS
AG | 4/14/11 | (4,854 | ) |
| EUR | 75,000 | USD | 103,351 | Citibank
NA | 4/27/11 | 71 | |
| USD | 21,380,076 | EUR | 15,623,000 | Citibank
NA | 4/27/11 | (163,422 | ) |
| USD | 802,198 | EUR | 594,000 | Deutsche
Bank AG | 4/27/11 | (16,904 | ) |
| USD | 2,734,695 | EUR | 1,997,000 | Royal
Bank of Scotland Plc | 4/27/11 | (19,089 | ) |
| Total | | | | | | $ (269,888 | ) |


	Level 1 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)
The inputs or methodologies
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities. For information about the
Trusts policy regarding valuation of investments and derivatives 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 28, 2011 in determining the fair
valuation of the Trusts investments and derivatives:

Valuation Inputs	Level 1	Level 2	Level 3
Assets:
Investments in Securities:
Long-Term Investments:
Common Stocks	$ 23,723,551	$ 734,890	$ 706,565	$	25,165,006
Corporate Bonds		440,572,430	6,352,083		446,924,513
Floating Rate Loan Interests		51,903,814	13,207,350		65,111,164
Other Interests	163	9,614,334	23		9,614,520
Preferred Stocks	3,854,168	1,002,107	1		4,856,276
Warrants			277		277
Short-Term Securities	1,225,083				1,225,083
Unfunded Loan Commitments		4,056			4,056
Liabilities:
Unfunded loan commitments			(19,704	)	(19,704	)
Total	$ 28,802,965	$ 503,831,631	$ 20,246,595	$	552,881,191

| Valuation Inputs | Derivative
Financial Instruments 1 — Level 1 | | Level 2 | Level 3 | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Assets: | | | | | | | |
| Credit contracts | | | $ 456,881 | | | $ 456,881 | |
| Foreign currency exchange contracts | | | 71 | | | 71 | |
| Liabilities: | | | | | | | |
| Credit contracts | | | (787,924 | ) | | (787,924 | ) |
| Foreign currency exchange contracts | | | (269,959 | ) | | (269,959 | ) |
| Interest rate contracts | $ (471,113 | ) | | | | (471,113 | ) |
| Total | $ (471,113 | ) | $ (600,931 | ) | | $ (1,072,044 | ) |

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

| See Notes to Financial
Statements. — SEMI-ANNUAL
REPORT | FEBRUARY 28, 2011 | 53 |
| --- | --- | --- |

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

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

	Common Stocks									Warrants				Total
Assets/Liabilities:
Balance, as of
August 31, 2010	$ 712,707	$	4,851,224	$	20,602,850	$	6,747	$	1	$ 271	$	(36,123	)	$ 26,137,677
Accrued
discounts/premiums			218,405		174,322									392,727
Net realized gain
(loss)					215,718									215,718
Net change in
unrealized appreciation/depreciation 2	83,133		11,795		1,066,366		(6,561	)		(1	)	16,419		1,171,151
Purchases			986,832		5,142,505					7				6,129,344
Sales	(89,275	)			(11,187,604	)								(11,276,879	)
Transfers in 3			462,877		1,577,620		(163	)						2,040,334
Transfers out 3			(179,050	)	(4,384,427	)								(4,563,477	)
Balance
as of February 28, 2011	$ 706,565	$	6,352,083	$	13,207,350	$	23	$	1	$ 277	$	(19,704	)	$ 20,246,595

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The net change in the unrealized appreciation/depreciation on the
securities still held on February 28, 2011 was $779,345. |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — 54 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

| Schedule of Investments February
28, 2011 (Unaudited) |
| --- |
| (Percentages shown are based on Net Assets) |

Common Stocks (a)	Shares		Value
Construction
Materials 0.0%
Nortek, Inc.		960	$ 42,720
Containers
& Packaging 0.4%
Smurfit-Stone Container
Corp.		14,168	544,618
Independent
Power Producers & Energy Traders 0.4%
NRG Energy, Inc.		25,000	499,750
Software
0.2%
Bankruptcy Management
Solutions, Inc.		251	877
HMH Holdings/EduMedia		39,515	197,575
			198,452
Wireless
Telecommunication Services 0.1%
FiberTower Corp.		38,271	127,060
Total
Common Stocks 1.1%			1,412,600
Corporate Bonds		Par (000)
Aerospace
& Defense 0.3%
DynCorp International,
Inc., 10.38%, 7/01/17 (b)	USD	120	129,000
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		210	236,775
			365,775
Air Freight & Logistics 0.5%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15		334	333,958
Series 2, 12.38%, 10/08/15		337	337,167
			671,125
Airlines 2.4%
Air Canada, 9.25%, 8/01/15 (b)		490	524,300
American Airlines, Inc., 10.50%, 10/15/12		440	482,900
American Airlines, Inc. Series 2001-2, 7.86%, 4/01/13		160	165,200
Continental Airlines, Inc.:
6.75%, 9/15/15 (b)		270	277,425
Series 2010-1-B, 6.00%, 7/12/20		200	199,500
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16		473	511,318
United Air Lines, Inc., 12.75%, 7/15/12		835	932,853
			3,093,496
Auto Components 1.8%
Allison Transmission, Inc. (b):
11.00%, 11/01/15		100	108,750
11.25%, 11/01/15 (c)		83	90,470
Delphi International Holdings Unsecured, 12.00%, 10/06/14		4	4,264
Exide Technologies, 8.63%, 2/01/18 (b)		170	181,263
Icahn Enterprises LP, 8.00%, 1/15/18		1,510	1,562,850
Stanadyne Corp., Series 1, 10.00%, 8/15/14		335	346,725
			2,294,322
Beverages 0.2%
Cott Beverages, Inc., 8.13%, 9/01/18		125	134,531
Crown European Holdings SA, 7.13%, 8/15/18 (b)	EUR	115	169,010
			303,541
Biotechnology 0.2%
QHP Pharma, 10.25%, 3/15/15 (b)	USD	225	226,477

Corporate Bonds	Par (000)
Building
Products 1.2%
Associated Materials LLC,
9.13%, 11/01/17 (b)	USD	220	$ 237,875
Building Materials Corp. of
America (b):
6.88%, 8/15/18		245	251,125
7.00%, 2/15/20		290	305,588
Momentive Performance
Materials, Inc.:
11.50%, 12/01/16		80	86,800
9.00%, 1/15/21 (b)		590	627,612
			1,509,000
Capital
Markets 0.8%
American Capital Ltd.,
7.96%, 12/31/13		230	235,536
E*Trade Financial Corp., Series A, 0.17%, 8/31/19 (d)(e)		295	455,775
KKR Group Finance Co., 6.38%, 9/29/20 (b)		300	309,098
			1,000,409
Chemicals 3.1%
American Pacific Corp., 9.00%, 2/01/15		400	393,000
Chemtura Corp., 7.88%, 9/01/18 (b)		245	261,537
Georgia Gulf Corp., 9.00%, 1/15/17 (b)		75	83,438
Hexion U.S. Finance Corp.:
8.88%, 2/01/18		345	370,444
9.00%, 11/15/20 (b)		170	180,838
Huntsman International LLC (b):
6.88%, 11/15/13	EUR	130	183,430
8.63%, 3/15/21	USD	230	255,300
Ineos Finance Plc, 9.00%, 5/15/15 (b)		195	214,012
KRATON Polymers LLC, 6.75%, 3/01/19 (b)		55	56,100
MacDermid, Inc., 9.50%, 4/15/17 (b)		555	591,075
Nalco Co., 6.63%, 1/15/19 (b)		150	155,063
Nexeo Solutions LLC, 8.38%, 3/01/18 (b)(f)		85	86,488
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)		355	389,612
Omnova Solutions, Inc., 7.88%, 11/01/18 (b)		65	66,706
Polymer Group, Inc., 7.75%, 2/01/19 (b)		65	67,681
PolyOne Corp., 7.38%, 9/15/20		100	106,000
Rhodia SA, 6.88%, 9/15/20 (b)		360	368,550
TPC Group LLC, 8.25%, 10/01/17 (b)		155	164,881
			3,994,155
Commercial Banks 2.9%
CIT Group, Inc.:
7.00%, 5/01/16		1,088	1,097,939
7.00%, 5/01/17		2,571	2,590,063
			3,688,002
Commercial Services & Supplies 1.8%
ACCO Brands Corp., 10.63%, 3/15/15		350	395,500
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b)		200	205,500
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)		140	150,500
Casella Waste Systems, Inc., 7.75%, 2/15/19 (b)		174	178,350
International Lease Finance Corp., 8.25%, 12/15/20		151	167,988
Mobile Mini, Inc., 7.88%, 12/01/20 (b)		105	111,825
RSC Equipment Rental, Inc. (b):
10.00%, 7/15/17		275	316,250
8.25%, 2/01/21		267	282,352
West Corp. (b):
8.63%, 10/01/18		345	365,700
7.88%, 1/15/19		95	97,494
			2,271,459
Communications Equipment 0.2%
Avaya Inc., 7.00%, 4/01/19 (b)		200	198,000
Computers & Peripherals 0.3%
EMC Corp., 1.75%, 12/01/13 (d)		240	419,400

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 55 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Construction
Materials 1.3%
Nortek, Inc.:
11.00%, 12/01/13	USD	964	$ 1,026,943
10.00%, 12/01/18 (b)		550	587,125
			1,614,068
Consumer
Finance 0.9%
Credit Acceptance Corp.,
9.13%, 2/01/17		320	344,800
Ford Motor Credit Co. LLC:
3.05%, 1/13/12 (g)		145	146,478
7.80%, 6/01/12		300	319,933
6.63%, 8/15/17		360	382,888
			1,194,099
Containers
& Packaging 2.0%
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (b)	EUR	285	406,067
Ball Corp., 6.75%, 9/15/20	USD	250	261,875
Berry Plastics Corp.:
8.25%, 11/15/15		65	69,631
9.75%, 1/15/21 (b)		430	431,075
Graham Packaging Co. LP, 8.25%, 10/01/18		115	123,913
Graphic Packaging International, Inc.:
9.50%, 6/15/17		355	394,050
7.88%, 10/01/18		185	198,875
OI European Group BV, 6.88%, 3/31/17	EUR	100	143,687
Pregis Corp., 12.38%, 10/15/13	USD	484	487,630
			2,516,803
Diversified Financial Services 5.6%
Ally Financial, Inc.:
7.50%, 12/31/13		90	98,100
2.51%, 12/01/14 (g)		156	153,294
8.30%, 2/12/15		480	541,800
6.25%, 12/01/17 (b)		340	354,875
8.00%, 3/15/20		660	743,325
7.50%, 9/15/20 (b)		520	568,750
8.00%, 11/01/31		390	446,703
8.00%, 11/01/31		450	515,250
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16		205	226,012
FCE Bank Plc, 7.13%, 1/15/13	EUR	450	654,355
Leucadia National Corp., 8.13%, 9/15/15	USD	540	594,000
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b)		595	633,675
Reynolds Group Issuer, Inc. (b):
7.13%, 4/15/19		270	276,750
9.00%, 4/15/19		870	906,975
6.88%, 2/15/21		180	180,450
8.25%, 2/15/21		225	225,563
			7,119,877
Diversified Telecommunication Services 3.9%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12		480	478,200
Frontier Communications Corp.:
8.25%, 4/15/17		196	216,580
8.50%, 4/15/20		180	199,800
GCI, Inc., 8.63%, 11/15/19		600	660,000
ITC Deltacom, Inc., 10.50%, 4/01/16		170	186,575
Level 3 Communications, Inc., 6.50%, 10/01/16 (d)		120	171,300
Level 3 Financing, Inc.:
9.25%, 11/01/14		60	61,950
8.75%, 2/15/17		660	648,450
Qwest Communications International, Inc.:
7.50%, 2/15/14		910	923,650
8.00%, 10/01/15		300	327,375
Series B, 7.50%, 2/15/14		540	548,100

Corporate Bonds	Par (000)		Value
Diversified
Telecommunication Services (concluded)
Windstream Corp.:
8.13%, 8/01/13	USD	112	$ 123,340
8.63%, 8/01/16		205	216,788
7.88%, 11/01/17		253	274,821
			5,036,929
Electric
Utilities 0.5%
Elwood Energy LLC, 8.16%,
7/05/26		358	356,216
Salton Sea Funding Corp., Series E, 8.30%, 5/30/11		235	236,704
			592,920
Electronic
Equipment, Instruments & Components 0.7%
CDW LLC:
11.00%, 10/12/15		60	65,250
11.50%, 10/12/15 (c)		300	325,500
8.00%, 12/15/18 (b)		260	279,500
NXP BV, 3.05%, 10/15/13 (g)		225	223,875
			894,125
Energy Equipment & Services 1.5%
Bayou Well Services, 0.16%, 12/22/13		300	300,000
Calfrac Holdings LP, 7.50%, 12/01/20 (b)		115	117,875
Compagnie Générale de Géophysique-Veritas:
7.50%, 5/15/15		485	501,975
7.75%, 5/15/17		170	179,775
Exterran Holdings, Inc., 7.25%, 12/01/18 (b)		205	210,125
Frac Tech Services LLC, 7.13%, 11/15/18 (b)		285	294,975
Precision Drilling Corp., 6.63%, 11/15/20 (b)		55	56,788
Thermon Industries, Inc., 9.50%, 5/01/17		255	276,037
			1,937,550
Food & Staples Retailing 0.5%
BI-LO LLC, 9.25%, 2/15/19 (b)		150	156,000
Rite Aid Corp.:
9.75%, 6/12/16		195	219,619
7.50%, 3/01/17		290	291,812
			667,431
Food Products 0.7%
B&G Foods, Inc., 7.63%, 1/15/18		100	106,750
Blue Merger Sub Inc., 7.63%, 2/15/19 (b)		480	484,800
Reddy Ice Corp., 11.25%, 3/15/15		210	220,500
Smithfield Foods, Inc., 10.00%, 7/15/14		33	38,940
			850,990
Health Care Equipment & Supplies 1.5%
DJO Finance LLC, 10.88%, 11/15/14		1,135	1,244,243
Hologic, Inc., 2.00%, 12/15/37 (d)(h)		665	640,894
			1,885,137
Health Care Providers & Services 5.7%
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (b)		130	135,525
ConvaTec Healthcare E SA (b):
7.38%, 12/15/17	EUR	200	287,030
10.50%, 12/15/18	USD	220	234,850
DaVita, Inc., 6.38%, 11/01/18		180	182,475
Gentiva Health Services Inc., 11.50%, 9/01/18		325	366,031
HCA, Inc.:
9.13%, 11/15/14		620	650,225
8.50%, 4/15/19		465	520,800
7.25%, 9/15/20		1,295	1,396,981
inVentiv Health, Inc., 10.00%, 8/15/18 (b)		300	308,250

| See Notes to Financial
Statements. — 56 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Health
Care Providers & Services (concluded)
Omnicare, Inc.:
6.13%, 6/01/13	USD	84	$ 84,315
6.88%, 12/15/15		200	206,500
7.75%, 6/01/20		290	309,575
Priory Group Ltd., 7.00%, 2/15/18	GBP	100	166,629
Tenet Healthcare Corp.:
9.00%, 5/01/15	USD	747	821,700
10.00%, 5/01/18		257	301,975
8.88%, 7/01/19		1,175	1,336,563
			7,309,424
Health Care Technology 1.1%
IMS Health, Inc., 12.50%, 3/01/18 (b)		1,125	1,319,062
MedAssets, Inc., 8.00%, 11/15/18 (b)		75	77,063
			1,396,125
Hotels, Restaurants & Leisure 3.0%
Boyd Gaming Corp., 9.13%, 12/01/18 (b)		285	299,250
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18		1,710	1,607,400
CityCenter Holdings LLC, 7.63%, 1/15/16 (b)		155	161,587
Diamond Resorts Corp., 12.00%, 8/15/18 (b)		550	589,875
Harrahs Operating Co., Inc., 11.25%, 6/01/17		310	351,850
MGM Resorts International:
10.38%, 5/15/14		125	140,000
11.13%, 11/15/17		390	449,475
Palace Entertainment Holding LLC, 8.88%, 4/15/17 (b)		55	56,100
Travelport LLC:
4.94%, 9/01/14 (g)		75	66,938
9.88%, 9/01/14		90	87,862
9.00%, 3/01/16		60	56,700
Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (a)(i)		215	22
			3,867,059
Household Durables 3.8%
American Standard Americas, 10.75%, 1/15/16 (b)		190	201,875
Ashton Woods USA LLC, 23.20%, 6/30/15 (b)(j)		400	260,000
Beazer Homes USA, Inc.:
8.13%, 6/15/16		145	147,356
12.00%, 10/15/17		720	837,000
9.13%, 6/15/18		915	944,737
Jarden Corp., 7.50%, 1/15/20	EUR	140	201,404
Ryland Group, Inc., 6.63%, 5/01/20	USD	315	308,700
Standard Pacific Corp.:
10.75%, 9/15/16		890	1,045,750
8.38%, 5/15/18 (b)		220	233,200
8.38%, 5/15/18		210	222,600
8.38%, 1/15/21 (b)		360	379,800
			4,782,422
IT Services 1.8%
First Data Corp. (b):
8.25%, 1/15/21		806	801,970
12.63%, 1/15/21		383	401,192
iPayment, Inc., 9.75%, 5/15/14		335	332,069
iPayment Investors LP, 12.75%, 7/15/14 (b)(c)		292	271,964
SunGard Data Systems, Inc. (b):
7.38%, 11/15/18		220	227,150
7.63%, 11/15/20		280	289,100
			2,323,445

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Independent Power Producers & Energy Traders 4.2% | | | |
| AES Red Oak LLC, Series B, 9.20%, 11/30/29 | USD | 1,250 | $ 1,231,250 |
| Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b) | | 600 | 651,000 |
| Calpine Corp. (b): | | | |
| 7.50%, 2/15/21 | | 215 | 219,838 |
| 7.88%, 1/15/23 | | 290 | 297,975 |
| Energy Future Holdings Corp., 10.00%, 1/15/20 (b) | | 1,460 | 1,520,374 |
| Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20 | | 81 | 84,552 |
| NRG Energy, Inc., 7.63%, 1/15/18 (b) | | 1,245 | 1,296,356 |
| | | | 5,301,345 |
| Industrial Conglomerates 2.4% | | | |
| Sequa Corp. (b): | | | |
| 11.75%, 12/01/15 | | 1,060 | 1,150,100 |
| 13.50%, 12/01/15 (c) | | 1,770 | 1,959,767 |
| | | | 3,109,867 |
| Insurance 1.0% | | | |
| Alliant Holdings I, Inc., 11.00%, 5/01/15 (b) | | 800 | 846,000 |
| CNO Financial Group, Inc., 9.00%, 1/15/18 (b) | | 159 | 169,335 |
| USI Holdings Corp., 4.16%, 11/15/14 (b)(g) | | 310 | 299,150 |
| | | | 1,314,485 |
| Machinery 2.0% | | | |
| AGY Holding Corp., 11.00%, 11/15/14 | | 700 | 623,000 |
| Navistar International Corp.: | | | |
| 3.00%, 10/15/14 (d) | | 760 | 1,062,100 |
| 8.25%, 11/01/21 | | 310 | 343,325 |
| Oshkosh Corp., 8.25%, 3/01/17 | | 50 | 55,500 |
| Titan International, Inc. (b): | | | |
| 5.63%, 1/15/17 (d) | | 110 | 286,550 |
| 7.88%, 10/01/17 | | 190 | 203,300 |
| | | | 2,573,775 |
| Marine 0.5% | | | |
| Horizon Lines, Inc., 4.25%, 8/15/12 (d) | | 700 | 649,250 |
| Media 13.3% | | | |
| Affinion Group, Inc., 7.88%, 12/15/18 (b) | | 260 | 248,950 |
| CCH II LLC, 13.50%, 11/30/16 | | 457 | 553,714 |
| CCO Holdings LLC: | | | |
| 7.88%, 4/30/18 | | 220 | 234,850 |
| 8.13%, 4/30/20 | | 220 | 237,325 |
| CMP Susquehanna Corp., 3.44%, 5/15/14 | | 69 | 48,639 |
| CSC Holdings, Inc., 8.50%, 4/15/14 | | 180 | 201,600 |
| Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (b) | | 665 | 689,937 |
| Checkout Holding Corp., 10.97%, 11/15/15 (b)(e) | | 405 | 261,225 |
| Citadel Broadcasting Corp., 7.75%, 12/15/18 (b) | | 120 | 128,700 |
| Clear Channel Communications Inc., 9.00%, 3/01/21 (b) | | 115 | 116,869 |
| Clear Channel Worldwide Holdings, Inc.: | | | |
| 9.25%, 12/15/17 | | 701 | 778,110 |
| Series B, 9.25%, 12/15/17 | | 2,596 | 2,888,050 |
| Cox Enterprises, Inc.: | | | |
| Loan Close 2, 4.00%, 8/15/18 | | 309 | 308,686 |
| Loan Close 3, 12.00%, 8/15/18 | | 353 | 352,917 |
| Shares Loan, 4.00%, 8/15/18 | | 364 | 363,981 |
| DISH DBS Corp., 7.00%, 10/01/13 | | 192 | 206,400 |
| Gray Television, Inc., 10.50%, 6/29/15 | | 445 | 472,813 |
| Harland Clarke Holdings Corp.: | | | |
| 6.00%, 5/15/15 (g) | | 160 | 143,600 |
| 9.50%, 5/15/15 | | 190 | 186,675 |
| Interactive Data Corp., 10.25%, 8/01/18 (b) | | 480 | 537,600 |
| Liberty Global, Inc., 4.50%, 11/15/16 (d) | | 180 | 311,850 |
| Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | | 365 | 375,950 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 57 |
| --- | --- | --- |

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

Corporate Bonds		Par (000)	Value
Media
(concluded)
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)	USD	290	$ 311,750
Nielsen Finance LLC:
11.63%, 2/01/14		72	84,600
7.75%, 10/15/18 (b)		970	1,048,812
ProQuest LLC, 9.00%, 10/15/18 (b)		230	238,050
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(d)(i)		1,427	14,274
Rainbow National Services LLC, 10.38%, 9/01/14 (b)		1,813	1,887,786
Regal Entertainment Group, 9.13%, 8/15/18		180	192,600
Unitymedia GmbH, 9.63%, 12/01/19	EUR	100	156,797
Univision Communications, Inc., 7.88%, 11/01/20 (b)	USD	215	230,588
UPC Germany GmbH (b):
8.13%, 12/01/17		425	455,813
8.13%, 12/01/17	EUR	175	259,905
9.63%, 12/01/19		245	384,152
UPC Holding BV, 9.88%, 4/15/18 (b)	USD	300	333,000
UPCB Finance II Ltd., 6.38%, 7/01/20	EUR	371	505,548
Virgin Media Secured Finance Plc, 7.00%, 1/15/18	GBP	200	350,327
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)	EUR	175	258,999
Ziggo Finance BV, 6.13%, 11/15/17 (b)		370	522,070
			16,883,512
Metals & Mining 3.2%
Drummond Co., Inc.:
9.00%, 10/15/14 (b)	USD	290	309,575
7.38%, 2/15/16		105	108,675
FMG Resources August 2006 Property Ltd., 7.00%, 11/01/15 (b)		735	762,562
Goldcorp, Inc., 2.00%, 8/01/14 (d)		250	314,688
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (d)		200	266,750
Novelis, Inc., 8.75%, 12/15/20 (b)		1,625	1,791,562
Ryerson, Inc.:
7.68%, 11/01/14 (g)		180	172,800
12.00%, 11/01/15		100	107,500
Steel Dynamics, Inc., 7.38%, 11/01/12		175	185,938
			4,020,050
Multiline Retail 1.8%
Dollar General Corp., 11.88%, 7/15/17 (c)		2,020	2,335,625
Oil, Gas & Consumable Fuels 8.0%
Alpha Natural Resources Inc., 2.38%, 4/15/15 (d)		110	143,687
Arch Coal, Inc., 7.25%, 10/01/20		400	425,000
Berry Petroleum Co., 8.25%, 11/01/16		275	290,469
Bill Barrett Corp., 9.88%, 7/15/16		20	22,400
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 (b)		105	111,563
Chaparral Energy Inc., 8.25%, 9/01/21 (b)		115	117,012
Chesapeake Energy Corp.:
6.50%, 8/15/17		235	252,037
6.63%, 8/15/20		730	766,500
6.13%, 2/15/21		430	438,600
2.25%, 12/15/38 (d)		375	343,125
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)		122	132,980
Concho Resources Inc., 7.00%, 1/15/21		190	199,025
Connacher Oil and Gas Ltd. (b):
11.75%, 7/15/14		85	92,013
10.25%, 12/15/15		520	549,900
Consol Energy, Inc., 8.25%, 4/01/20		920	1,014,300
Continental Resources, Inc., 7.13%, 4/01/21 (b)		170	181,050
Crosstex Energy LP, 8.88%, 2/15/18		85	93,713
Denbury Resources Inc.:
8.25%, 2/15/20		348	387,150
6.38%, 8/15/21		160	161,600
Energy Transfer Equity LP, 7.50%, 10/15/20		65	70,444

| Corporate
Bonds | | Par (000) | Value |
| --- | --- | --- | --- |
| Oil, Gas & Consumable Fuels (concluded) | | | |
| Energy XXI Gulf Coast, Inc. (b): | | | |
| 9.25%, 12/15/17 | USD | 195 | $ 209,625 |
| 7.75%, 6/15/19 | | 240 | 242,400 |
| Hilcorp Energy I LP, 7.63%, 4/15/21 (b) | | 360 | 379,800 |
| Linn Energy LLC (b): | | | |
| 8.63%, 4/15/20 | | 515 | 574,225 |
| 7.75%, 2/01/21 | | 275 | 292,187 |
| MarkWest Energy Partners LP, 6.75%, 11/01/20 | | 120 | 123,000 |
| Niska Gas Storage US LLC, 8.88%, 3/15/18 (b) | | 875 | 953,750 |
| Oasis Petroleum, Inc., 7.25%, 2/01/19 (b) | | 105 | 106,575 |
| Peabody Energy Corp., 6.50%, 9/15/20 | | 250 | 267,500 |
| Petrohawk Energy Corp.: | | | |
| 10.50%, 8/01/14 | | 180 | 207,000 |
| 7.88%, 6/01/15 | | 210 | 222,600 |
| Range Resources Corp., 8.00%, 5/15/19 | | 200 | 220,250 |
| SM Energy Co., 6.63%, 2/15/19 (b) | | 135 | 136,519 |
| Teekay Corp., 8.50%, 1/15/20 | | 300 | 322,875 |
| United Refining Co., 10.50%, 2/28/18 (b)(f) | | 120 | 118,800 |
| | | | 10,169,674 |
| Paper & Forest Products 2.8% | | | |
| Boise Paper Holdings LLC: | | | |
| 9.00%, 11/01/17 | | 155 | 172,825 |
| 8.00%, 4/01/20 | | 70 | 77,175 |
| Catalyst Paper Corp., 7.38%, 3/01/14 | | 175 | 151,375 |
| Clearwater Paper Corp.: | | | |
| 10.63%, 6/15/16 | | 185 | 211,363 |
| 7.13%, 11/01/18 (b) | | 270 | 280,125 |
| Georgia-Pacific LLC, 8.25%, 5/01/16 (b) | | 755 | 851,262 |
| NewPage Corp., 11.38%, 12/31/14 | | 1,280 | 1,276,800 |
| Verso Paper Holdings LLC: | | | |
| 11.50%, 7/01/14 | | 405 | 446,512 |
| 8.75%, 2/01/19 (b) | | 105 | 109,725 |
| | | | 3,577,162 |
| Pharmaceuticals 0.9% | | | |
| Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (g) | | 420 | 352,800 |
| Grifols, Inc., 8.25%, 2/01/18 (b) | | 60 | 61,650 |
| Novasep Holding SAS, 9.75%, 12/15/16 (b) | | 373 | 296,535 |
| Valeant Pharmaceuticals International (b): | | | |
| 6.75%, 10/01/17 | | 175 | 181,125 |
| 7.00%, 10/01/20 | | 225 | 232,594 |
| | | | 1,124,704 |
| Professional Services 0.6% | | | |
| FTI
Consulting, Inc.: | | | |
| 7.75%, 10/01/16 | | 275 | 288,406 |
| 6.75%, 10/01/20 (b) | | 425 | 425,000 |
| | | | 713,406 |
| Real Estate Investment Trusts (REITs) 0.4% | | | |
| Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (b) | | 245 | 247,450 |
| The Rouse Co. LP, 6.75%, 11/09/15 | | 240 | 251,400 |
| | | | 498,850 |
| Real Estate Management & Development 1.3% | | | |
| CB Richard Ellis Services Inc,, 6.63%, 10/15/20 | | 160 | 165,000 |
| Realogy Corp. (b): | | | |
| 11.50%, 4/15/17 | | 355 | 378,075 |
| 7.88%, 2/15/19 | | 1,165 | 1,169,369 |
| | | | 1,712,444 |

| See Notes to Financial
Statements. — 58 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Corporate Bonds		Par (000)	Value
Road &
Rail 1.5%
Avis Budget Car Rental LLC:
9.63%, 3/15/18	USD	240	$ 268,200
8.25%, 1/15/19		355	376,744
Florida East Coast Railway
Corp., 8.13%, 2/01/17 (b)		200	209,000
The Hertz Corp. (b):
7.50%, 10/15/18		420	444,675
6.75%, 4/15/19		195	198,900
7.38%, 1/15/21		225	235,125
Syncreon Global Ireland
Ltd., 9.50%, 5/01/18 (b)		170	176,375
			1,909,019
Semiconductors
& Semiconductor Equipment 0.3%
Linear Technology Corp., Series A, 3.00%, 5/01/27 (d)		200	217,750
Spansion LLC, 7.88%, 11/15/17 (b)		130	132,600
			350,350
Specialty Retail 1.5%
Asbury Automotive Group, Inc., 8.38%, 11/15/20 (b)		155	162,750
Claires Escrow Corp., 8.88%, 3/15/19 (b)(f)		150	150,563
Hillman Group, Inc., 10.88%, 6/01/18		250	275,000
Limited Brands, Inc., 8.50%, 6/15/19		70	80,150
PETCO Animal Supplies, Inc., 9.25%, 12/01/18 (b)		210	226,800
Sonic Automotive, Inc., 9.00%, 3/15/18		175	187,250
Toys R US-Delaware, Inc., 7.38%, 9/01/16 (b)		200	210,750
United Auto Group, Inc., 7.75%, 12/15/16		655	676,287
			1,969,550
Transportation Infrastructure 0.2%
Aguila 3 SA, 7.88%, 1/31/18 (b)		198	205,425
Wireless Telecommunication Services 4.5%
Clearwire Communications LLC (b):
12.00%, 12/01/15		110	119,900
12.00%, 12/01/17		270	291,600
Cricket Communications, Inc.:
10.00%, 7/15/15		325	358,312
7.75%, 5/15/16		320	338,400
Digicel Group Ltd. (b):
8.88%, 1/15/15		370	384,800
9.13%, 1/15/15		1,220	1,270,630
8.25%, 9/01/17		565	590,425
10.50%, 4/15/18		200	228,000
FiberTower Corp., 9.00%, 1/01/16 (c)		151	129,095
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)		155	159,263
iPCS, Inc., 2.43%, 5/01/13 (g)		330	325,875
MetroPCS Wireless, Inc.:
7.88%, 9/01/18		240	253,500
6.63%, 11/15/20		350	340,813
NII Holdings, Inc., 3.13%, 6/15/12 (d)		170	169,150
Sprint Capital Corp., 6.88%, 11/15/28		650	585,812
Syniverse Holdings, Inc., 9.13%, 1/15/19 (b)		120	129,600
			5,675,175
Total Corporate Bonds 100.6%			128,117,233
Floating
Rate Loan Interests (g)		Par (000)	Value
Building Products 0.3%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/13/17	USD	300	$ 309,187
Chemicals 0.2%
Styron Sarl, Term Loan, 7.50%, 6/17/16		300	302,700
Commercial Services & Supplies 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%, 6/10/16		240	246,450
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16		325	327,786
Volume Services America, Inc. (Centerplate), Term Loan B, 10.50%, 8/24/16		449	453,175
			1,027,411
Consumer Finance 1.6%
AGFS Funding Co., Term Loan, 7.25%, 4/21/15		2,000	2,017,800
Electric Utilities 0.0%
New Development Holdings LLC, Term Loan, 7.00%, 7/03/17		45	45,440
Food Products 0.3%
Advance Pierre Foods, Term Loan, 11.25%, 9/29/17		400	410,000
Health Care Providers & Services 0.7%
Harden Healthcare, Inc.:
Add-on Term Loan, 7.75%, 3/02/15		285	279,300
Tranche A Term Loan, 8.50%, 2/22/15		203	198,500
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term Loan B, 4.75%, 7/31/16		398	399,741
			877,541
Hotels, Restaurants & Leisure 0.8%
Harrahs Operating Co., Inc., Term Loan B-3, 3.30%, 1/28/15		200	185,694
Travelport LLC (FKA Travelport, Inc.), Loan, 8.31%, 3/27/12 (c)		946	843,969
			1,029,663
Household Durables 0.7%
Visant Corp. (FKA Jostens), Term Loan B, 7.00%, 12/20/16		499	503,214
Visant Holding Corp. 5.25%, 12/22/16		440	440,000
			943,214
IT Services 0.5%
First Data Corp.:
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14		192	181,437
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14		421	398,279
			579,716
Independent
Power Producers & Energy Traders 1.0%
Texas Competitive Electric Holdings Co., LLC (TXU):
Initial Tranche B-3 Term Loan, 3.76%, 10/10/14		1,451	1,220,138
Term Loan B2, 3.76%, 10/10/14		89	74,939
			1,295,077
Media 4.1%
Cengage Learning Acquisitions, Inc. (Thomson Learning), Tranche 1 Incremental Term Loan, 7.50%, 7/03/14		731	734,540
HMH Publishing Co., Ltd., Tranche A Term Loan, 6.01%, 6/12/14		428	406,529
Intelsat Jackson Holdings Ltd., Term Loan B, 5.25%, 3/07/18		3,300	3,322,173
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		750	797,344
			5,260,586

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 59 |
| --- | --- | --- |

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

Floating Rate Loan Interests (g)		Par (000)
Metals & Mining 0.1%
Euramax International, Inc., Domestic Term Loan:
10.00%, 6/29/13	USD	78	$	74,641
14.00%, 6/29/13		74		71,652
				146,293
Multiline Retail 0.1%
The Neiman Marcus Group, Inc., Term Loan, 2.29%, 4/06/13		117		117,364
Oil, Gas & Consumable Fuels 1.2%
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15		1,078		1,104,550
Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 (c)		1,069		438,228
				1,542,778
Paper & Forest Products 0.4%
Verso Paper Finance Holdings LLC, PIK Loan, 7.30%, 2/01/13		499		449,167
Real Estate Investment Trusts (REITs) 0.1%
iStar Financial, Inc., Term Loan (Second Lien), 6/28/11		100		98,625
Real Estate Management & Development 0.3%
Realogy Corp.:
Synthetic Letter of Credit, 4.51%, 10/10/13		24		22,654
Term Loan B, 4.56%, 10/16/16		351		336,734
Term Loan C, 4.51%, 10/16/16		42		39,905
				399,293
Specialty Retail 0.2%
Claires Stores, Inc., Term Loan B, 3.01%, 5/29/14		73		71,496
Michaels Stores, Inc., Term Loan B-1, 2.56%, 10/31/13		153		152,681
				224,177
Wireless Telecommunication Services 0.6%
Vodafone Americas Finance 2 Inc., Initial Loan, 6.88%, 7/30/15		776		803,675
Total Floating Rate Loan Interests 14.0%				17,879,707
Other
Interests (a)(l)		Beneficial Interest (000)
Auto Components 0.4%
Delphi Debtor-in-Possession Holding Co. LLP, Class B Membership Interests			(k)	560,224
Health Care Providers & Services 0.0%
Critical Care Systems International, Inc.		5		477
Total Other Interests 0.4%				560,701
Preferred
Stocks		Shares	Value
Automobiles 0.8%
General Motors Co., 4.75% (d)		20,600	$	1,048,128
Media 0.1%
CMP Susquehanna Radio Holdings Corp., 0.00% (a)(b)(g)		16,138
Emmis Communications Corp., Series A, 6.25% (a)(d)		10,300		180,250
				180,250
Professional Services 0.1%
Nielsen Holdings NV, 6.25% (a)(d)		2,000		110,375
Real Estate Investment Trusts (REITs) 0.1%
MPG Office Trust, Inc., Series A, 7.63% (a)(d)		4,171		77,372
Thrifts & Mortgage Finance 0.1%
Fannie Mae, Series O (a)		10,000		32,000
Freddie Mac, Series Z (a)		31,930		61,944
				93,944
Total Preferred Stocks 1.2%				1,510,069
Warrants
(m)
Media 0.0%
CMP Susquehanna Radio Holdings Corp. (Expires 3/26/19) (b)		18,441
Software 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)		167		2
HMH Holdings/EduMedia (Expires 3/09/17)		3,476
				2
Total Warrants 0.0%				2
Total
Long-Term Investments (Cost $142,423,935) 117.3%				149,480,312
Short-Term
Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (n)(o)		1,388,372		1,388,372
Total
Short-Term Securities (Cost $1,388,372) 1.1%				1,388,372
Total Investments (Cost $143,812,307*) 118.4%				150,868,684
Liabilities in Excess of Other Assets (18.4)%				(23,501,463	)
Net Assets 100.0%			$	127,367,221

| See Notes to Financial
Statements. — 60 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

* — Aggregate cost	$ 143,425,515
Gross unrealized
appreciation	$ 10,223,896
Gross unrealized
depreciation	(2,780,727	)
Net unrealized appreciation	$ 7,443,169

| (a) | Non-income producing
security. |
| --- | --- |
| (b) | Security exempt from
registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration to qualified
institutional investors. |
| (c) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (d) | Convertible security. |
| (e) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |
| (f) | When-issued security. Unsettled when-issued transactions were as follows: |

Counterparty	Value	Unrealized Appreciation (Depreciation)
Bank of America NA	$ 61,050	$ 1,050
Credit Suisse International	$ 269,363	$ 3,630
Sterne Agee	$ 25,438	$ (62	)

| (g) | Variable rate security.
Rate shown is as of report date. |
| --- | --- |
| (h) | 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. |
| (i) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (j) | 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. |
| (k) | Amount is less than $1,000. |
| (l) | Other interests represent
beneficial interest in liquidation trusts and other reorganization entities
and are non-income producing. |
| (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) | Represents the current
yield as of report date. |
| (o) | 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	2,032,818	(644,446	)	1,388,372	Income — $ 1,748

Financial futures contracts sold as of February 28, 2011 were as follows:

Contracts	Issue	Exchange	Expiration
30	S&P
E-Mini Mercantile	Chicago	March
2011	$ 1,902,242	$ (86,908	)

Foreign currency exchange contracts as of February 28, 2011 were as follows:

| Currency Purchased — USD | 85,369 | Currency Sold — GBP | 53,000 | Counterparty — Citibank
NA | 4/14/11 | Unrealized Depreciation — $ (758 | ) |
| --- | --- | --- | --- | --- | --- | --- | --- |
| USD | 417,526 | GBP | 260,000 | Deutsche
Bank AG | 4/14/11 | (4,984 | ) |
| USD | 3,462,305 | EUR | 2,530,000 | Citibank
NA | 4/27/11 | (26,545 | ) |
| USD | 638,157 | EUR | 466,000 | Royal
Bank of Scotland | 4/27/11 | (4,453 | ) |
| Total | | | | | | $ (36,740 | ) |

| | 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. This definition 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 derivatives. These inputs
are summarized in three broad levels for financial statement purposes as
follows: | |
| | | Level 1 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) |
| | The inputs or methodologies
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities. For information about the
Trusts policy regarding valuation of investments and derivatives and other
significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements. | |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 61 |
| --- | --- | --- |

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

The following tables summarize the inputs used as of February 28, 2011 in determining the fair valuation of the Trusts investments and derivatives:

Valuation Inputs	Level 1		Level 2
Assets:
Investments in Securities:
Common Stocks	$ 1,214,148		$ 877	$	197,575	$	1,412,600
Corporate Bonds			126,101,964		2,015,269		128,117,233
Floating Rate Loan Interests			14,196,287		3,683,420		17,879,707
Other Interests			560,224		477		560,701
Preferred Stocks	1,367,694		142,375				1,510,069
Warrants					2		2
Short-Term Securities	1,388,372						1,388,372
Liabilities:
Unfunded Loan Commitments					(1,105	)	(1,105	)
Total	$ 3,970,214		$ 141,001,727	$	5,895,638	$	150,867,579
	Derivative
Financial Instruments 1
Valuation
Inputs	Level 1		Level 2	Level 3		Total
Liabilities:
Foreign currency exchange contracts			$ (36,740	)		$	(36,740	)
Interest rate contracts	$ (86,908	)					(86,908	)
Total	$ (86,908	)	$ (36,740	)		$	(123,648	)

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

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

| | Common Stocks | | | | | | | | | | | Unfunded
Loan Commitments | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Assets/Liabilities: | | | | | | | | | | | | | | | |
| Balance, as of
August 31, 2010 | $ 283,463 | $ | 3,070,692 | $ | 5,191,058 | $ | 953 | $ | 417,114 | | | $ (2,026 | ) | $ 8,961,254 | |
| Accrued
discounts/premiums | | | 106,362 | | 219,167 | | | | | | | | | 325,529 | |
| Net realized gain
(loss) | (2,246,360 | ) | | | 104,121 | | | | 831,079 | | | | | (1,311,160 | ) |
| Net change in
unrealized appreciation/depreciation 2 | 2,395,668 | | (1,384,292 | ) | 362,698 | | (476 | ) | (84,683 | ) | | 921 | | 1,289,836 | |
| Purchases | | | 300,000 | | 1,856,218 | | | | | $ | 2 | | | 2,156,220 | |
| Sales | (235,196 | ) | (28,875 | ) | (4,010,045 | ) | | | (1,163,510 | ) | | | | (5,437,626 | ) |
| Transfers in 3 | | | | | 438,228 | | | | | | | | | 438,228 | |
| Transfers out 3 | | | (48,618 | ) | (478,025 | ) | | | | | | | | (526,643 | ) |
| Balance,
as of February 28, 2011 | $ 197,575 | $ | 2,015,269 | $ | 3,683,420 | $ | 477 | | | $ | 2 | $ (1,105 | ) | $ 5,895,638 | |

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of Operations.
The net change in unrealized appreciation/depreciation on securities still
held at February 28, 2011 was $(1,000,072). |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — 62 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

| Schedule of
Investments February
28, 2011 (Unaudited) |
| --- |
| (Percentages
shown are based on Net Assets) |

Common Stocks (a)	Shares	Value
Capital Markets 0.2%
E*Trade Financial Corp.	4,900	$ 78,302
Commercial Banks 0.1%
CIT Group, Inc.	600	25,992
Construction Materials 0.0%
Nortek, Inc.	375	16,687
Machinery 0.1%
Navistar International Corp.	474	29,379
Paper & Forest Products 0.0%
Ainsworth Lumber Co. Ltd.	2,234	7,381
Ainsworth Lumber Co. Ltd. (b)	2,507	8,283
		15,664
Software 0.1%
Bankruptcy Management Solutions, Inc.	91	319
HMH Holdings/EduMedia	13,576	67,880
		68,199
Total Common Stocks 0.5%		234,223
Corporate
Bonds	Par (000)
Air Freight & Logistics 0.5%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15	$ 119	119,271
Series 2, 12.38%, 10/08/15	120	120,417
		239,688
Airlines 1.4%
Air Canada, 9.25%, 8/01/15 (b)	180	192,600
American Airlines, Inc. Series 2001-2, 7.86%, 4/01/13	20	20,650
Continental Airlines, Inc.:
6.75%, 9/15/15 (b)	90	92,475
Series 2010-1-B, 6.00%, 7/12/20	100	99,750
United Air Lines, Inc., 12.75%, 7/15/12	246	274,369
		679,844
Auto Components 1.9%
Delphi International Holdings Unsecured, 12.00%, 10/06/14	8	8,422
Icahn Enterprises LP, 8.00%, 1/15/18	650	672,750
Stanadyne Corp., Series 1, 10.00%, 8/15/14	90	93,150
Tenneco Inc., 7.75%, 8/15/18	90	96,863
		871,185
Beverages 0.1%
Cott Beverages, Inc., 8.13%, 9/01/18	43	46,279
Biotechnology 0.2%
QHP Pharma, 10.25%, 3/15/15 (b)	89	89,218
Building Products 0.8%
Building Materials Corp. of America, 6.88%, 8/15/18 (b)	90	92,250
Momentive Performance Materials, Inc.:
11.50%, 12/01/16	30	32,550
9.00%, 1/15/21 (b)	215	228,706
		353,506
Capital Markets 0.7%
American Capital Ltd., 7.96%, 12/31/13	90	92,166
E*Trade Financial Corp., Series A, 2.51%, 8/31/19 (c)(d)	71	109,695
KKR Group Finance Co., 6.38%, 9/29/20 (b)	110	113,336
		315,197
Corporate
Bonds	Par (000)	Value
Chemicals 2.9%
American Pacific Corp., 9.00%, 2/01/15	$ 140	$ 137,550
Chemtura Corp., 7.88%, 9/01/18 (b)	90	96,075
Georgia Gulf Corp., 9.00%, 1/15/17 (b)	30	33,375
Hexion U.S. Finance Corp.:
8.88%, 2/01/18	130	139,588
9.00%, 11/15/20 (b)	60	63,825
Huntsman International LLC, 8.63%, 3/15/21 (b)	85	94,350
Ineos Finance Plc, 9.00%, 5/15/15 (b)	100	109,750
KRATON Polymers LLC, 6.75%, 3/01/19 (b)	20	20,400
MacDermid, Inc., 9.50%, 4/15/17 (b)	195	207,675
Nalco Co., 6.63%, 1/15/19 (b)	55	56,856
Nexeo Solutions LLC, 8.38%, 3/01/18 (b)(e)	30	30,525
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)	100	109,750
Omnova Solutions, Inc., 7.88%, 11/01/18 (b)	25	25,656
Polymer Group, Inc., 7.75%, 2/01/19 (b)	23	23,949
PolyOne Corp., 7.38%, 9/15/20	35	37,100
Rhodia SA, 6.88%, 9/15/20 (b)	100	102,375
TPC Group LLC, 8.25%, 10/01/17 (b)	55	58,506
		1,347,305
Commercial Banks 3.0%
CIT Group, Inc.:
7.00%, 5/01/16	445	448,894
7.00%, 5/01/17	935	942,012
		1,390,906
Commercial Services & Supplies 2.0%
ACCO Brands Corp., 10.63%, 3/15/15	125	141,250
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b)	200	205,500
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)	85	91,375
International Lease Finance Corp., 8.25%, 12/15/20	59	65,637
Mobile Mini, Inc., 7.88%, 12/01/20 (b)	40	42,600
RSC Equipment Rental, Inc. (b):
10.00%, 7/15/17	100	115,000
8.25%, 2/01/21	98	103,635
West Corp. (b):
8.63%, 10/01/18	130	137,800
7.88%, 1/15/19	30	30,788
		933,585
Construction Materials 1.3%
Nortek, Inc.:
11.00%, 12/01/13	377	401,149
10.00%, 12/01/18 (b)	180	192,150
		593,299
Consumer Finance 2.2%
Credit Acceptance Corp., 9.13%, 2/01/17	120	129,300
Ford Motor Credit Co. LLC:
3.05%, 1/13/12 (f)	110	111,121
7.80%, 6/01/12	500	533,222
6.63%, 8/15/17	230	244,623
		1,018,266
Containers & Packaging 1.5%
Ball Corp., 6.75%, 9/15/20	85	89,038
Berry Plastics Corp.:
8.25%, 11/15/15	25	26,781
9.75%, 1/15/21 (b)	155	155,387
Graham Packaging Co. LP, 8.25%, 10/01/18	40	43,100
Graphic Packaging International, Inc.:
9.50%, 6/15/17	160	177,600
7.88%, 10/01/18	65	69,875
Pregis Corp., 12.38%, 10/15/13	150	151,125
		712,906

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 63 |
| --- | --- | --- |

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

Corporate Bonds		Value
Diversified Financial Services 7.0%
Ally Financial, Inc.:
2.51%, 12/01/14 (f)	$ 73	$ 71,734
8.30%, 2/12/15	190	214,462
6.25%, 12/01/17 (b)	150	156,562
8.00%, 3/15/20	300	337,875
7.50%, 9/15/20 (b)	200	218,750
8.00%, 11/01/31	140	160,355
8.00%, 11/01/31	340	389,300
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16	75	82,688
CDX North America High Yield, Series 6-T1, 8.63%, 6/29/11 (b)	435	446,658
Leucadia National Corp.:
8.13%, 9/15/15	200	220,000
7.13%, 3/15/17	110	115,500
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b)	250	266,250
Reynolds Group Issuer, Inc. (b):
9.00%, 4/15/19	400	417,000
6.88%, 2/15/21	65	65,163
8.25%, 2/15/21	100	100,250
		3,262,547
Diversified Telecommunication Services 3.7%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12	195	194,269
Frontier Communications Corp.:
8.25%, 4/15/17	52	57,460
8.50%, 4/15/20	70	77,700
GCI, Inc., 8.63%, 11/15/19	200	220,000
Level 3 Financing, Inc., 8.75%, 2/15/17	40	39,300
Qwest Communications International, Inc.:
7.50%, 2/15/14	685	695,275
8.00%, 10/01/15	100	109,125
Series B, 7.50%, 2/15/14	235	238,525
Windstream Corp.:
8.13%, 8/01/13	25	27,531
8.63%, 8/01/16	50	52,875
7.88%, 11/01/17	25	27,156
		1,739,216
Electric Utilities 0.8%
Elwood Energy LLC, 8.16%, 7/05/26	356	353,366
Energy Equipment & Services 1.5%
Bayou Well Services, 0.16%, 12/22/13	100	100,000
Calfrac Holdings LP, 7.50%, 12/01/20 (b)	40	41,000
Compagnie Générale de Géophysique-Veritas:
7.50%, 5/15/15	175	181,125
7.75%, 5/15/17	65	68,737
Exterran Holdings, Inc., 7.25%, 12/01/18 (b)	75	76,875
Frac Tech Services LLC, 7.13%, 11/15/18 (b)	105	108,675
Precision Drilling Corp., 6.63%, 11/15/20 (b)	20	20,650
Thermon Industries, Inc., 9.50%, 5/01/17	90	97,425
		694,487
Food & Staples Retailing 0.4%
BI-LO LLC, 9.25%, 2/15/19 (b)	55	57,200
Rite Aid Corp., 7.50%, 3/01/17	120	120,750
		177,950
Food Products 0.5%
Blue Merger Sub Inc., 7.63%, 2/15/19 (b)	170	171,700
Darling International, Inc., 8.50%, 12/15/18 (b)	40	43,150
Smithfield Foods, Inc., 10.00%, 7/15/14	6	7,080
		221,930
Corporate
Bonds	Par (000)	Value
Health Care Equipment & Supplies 1.5%
DJO Finance LLC, 10.88%, 11/15/14	$ 410	$ 449,463
Hologic, Inc., 2.00%, 12/15/37 (c)(g)	240	231,300
		680,763
Health Care Providers & Services 5.3%
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (b)	45	46,913
ConvaTec Healthcare E SA, 10.50%, 12/15/18 (b)	200	213,500
Gentiva Health Services Inc., 11.50%, 9/01/18	115	129,519
HCA, Inc.:
9.13%, 11/15/14	265	277,919
8.50%, 4/15/19	205	229,600
7.25%, 9/15/20	340	366,775
inVentiv Health, Inc., 10.00%, 8/15/18 (b)	95	97,613
Omnicare, Inc.:
6.88%, 12/15/15	115	118,737
7.75%, 6/01/20	105	112,087
Tenet Healthcare Corp.:
9.00%, 5/01/15	279	306,900
10.00%, 5/01/18	259	304,325
8.88%, 7/01/19	245	278,687
		2,482,575
Health Care Technology 1.1%
IMS Health, Inc., 12.50%, 3/01/18 (b)	410	480,725
MedAssets, Inc., 8.00%, 11/15/18 (b)	25	25,688
		506,413
Hotels, Restaurants & Leisure 3.3%
Boyd Gaming Corp., 9.13%, 12/01/18 (b)	105	110,250
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18	625	587,500
CityCenter Holdings LLC, 7.63%, 1/15/16 (b)	55	57,337
Diamond Resorts Corp., 12.00%, 8/15/18 (b)	200	214,500
MGM Mirage, 13.00%, 11/15/13	25	29,937
MGM Resorts International, 10.38%, 5/15/14	465	520,800
Palace Entertainment Holding LLC, 8.88%, 4/15/17 (b)	20	20,400
Travelport LLC, 4.94%, 9/01/14 (f)	25	22,313
Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (a)(h)	25	3
		1,563,040
Household Durables 3.7%
Ashton Woods USA LLC, 19.31%, 6/30/15 (b)(i)	145	94,250
Beazer Homes USA, Inc.:
8.13%, 6/15/16	50	50,813
12.00%, 10/15/17	40	46,500
9.13%, 6/15/18	395	407,837
Jarden Corp., 8.00%, 5/01/16	40	43,800
K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16	300	325,125
Ryland Group, Inc., 6.63%, 5/01/20	115	112,700
Standard Pacific Corp.:
10.75%, 9/15/16	300	352,500
8.38%, 5/15/18	70	74,200
8.38%, 5/15/18 (b)	80	84,800
8.38%, 1/15/21 (b)	130	137,150
		1,729,675
IT Services 2.5%
First Data Corp. (b):
8.88%, 8/15/20	210	229,950
8.25%, 1/15/21	292	290,540
12.63%, 1/15/21	116	121,510
iPayment, Inc., 9.75%, 5/15/14	120	118,950
iPayment Investors LP, 11.63%, 7/15/14 (b)(j)	104	96,715

| See Notes to Financial
Statements. — 64 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Corporate Bonds		Value
IT Services (concluded)
SunGard Data Systems, Inc.:
10.63%, 5/15/15	$ 100	$ 110,750
7.38%, 11/15/18 (b)	80	82,600
7.63%, 11/15/20 (b)	100	103,250
		1,154,265
Independent Power Producers &
Energy Traders 4.6%
AES Red Oak LLC:
Series A, 8.54%, 11/30/19	106	106,431
Series B, 9.20%, 11/30/29	500	492,500
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b)	220	238,700
Calpine Corp. (b):
7.50%, 2/15/21	80	81,800
7.88%, 1/15/23	105	107,888
Energy Future Holdings Corp., 10.25%, 1/15/20 (b)	575	598,777
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20	28	29,228
NRG Energy, Inc., 7.63%, 1/15/18 (b)	455	473,769
		2,129,093
Industrial Conglomerates 2.2%
Sequa Corp. (b):
11.75%, 12/01/15	350	379,750
13.50%, 12/01/15 (j)	586	648,748
		1,028,498
Insurance 0.3%
CNO Financial Group, Inc., 9.00%, 1/15/18 (b)	65	69,225
USI Holdings Corp., 4.19%, 11/15/14 (b)(f)	100	96,500
		165,725
Machinery 1.8%
AGY Holding Corp., 11.00%, 11/15/14	170	151,300
Navistar International Corp.:
3.00%, 10/15/14 (c)	240	335,400
8.25%, 11/01/21	210	232,575
Oshkosh Corp., 8.25%, 3/01/17	30	33,300
Titan International, Inc., 5.63%, 1/15/17 (b)(c)	40	104,200
		856,775
Marine 0.5%
Horizon Lines, Inc., 4.25%, 8/15/12 (c)	240	222,600
Media 13.0%
AMC Entertainment Holdings, Inc., 9.75%, 12/01/20 (b)	85	91,163
Affinion Group, Inc., 7.88%, 12/15/18 (b)	115	110,113
CCH II LLC, 13.50%, 11/30/16	169	204,098
CMP Susquehanna Corp., 3.44%, 5/15/14 (b)(f)	23	16,213
CSC Holdings, Inc., 8.50%, 4/15/14	80	89,600
Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (b)	245	254,187
Checkout Holding Corp., 10.69%, 11/15/15 (b)(d)	145	93,525
Citadel Broadcasting Corp., 7.75%, 12/15/18 (b)	45	48,263
Clear Channel Communications Inc., 9.00%, 3/01/21 (b)	40	40,650
Clear Channel Worldwide Holdings, Inc.:
9.25%, 12/15/17	251	278,610
Series B, 9.25%, 12/15/17	946	1,052,425
Cox Enterprises, Inc.:
Loan Close 2, 4.00%, 8/15/18	123	123,474
Loan Close 3, 12.00%, 8/15/18	141	141,167
Shares Loan, 4.00%, 8/15/18	146	145,593
DISH DBS Corp., 7.00%, 10/01/13	40	43,000
Gannett Co., Inc., 10.00%, 4/01/16	60	70,200
Gray Television, Inc., 10.50%, 6/29/15	250	265,625
Corporate
Bonds	Par (000)	Value
Media (concluded)
Harland Clarke Holdings Corp.:
6.00%, 5/15/15 (f)	$ 50	$ 44,875
9.50%, 5/15/15	60	58,950
Interactive Data Corp., 10.25%, 8/01/18 (b)	170	190,400
Liberty Global, Inc., 4.50%, 11/15/16 (c)	60	103,950
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)	135	139,050
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)	105	112,875
The New York Times Co., 6.63%, 12/15/16 (b)	225	230,062
Nielsen Finance LLC, 7.75%, 10/15/18 (b)	600	648,750
ProQuest LLC, 9.00%, 10/15/18 (b)	85	87,975
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(c)(h)	414	4,141
Rainbow National Services LLC (b):
8.75%, 9/01/12	310	311,162
10.38%, 9/01/14	378	393,592
Regal Entertainment Group, 9.13%, 8/15/18	55	58,850
Univision Communications, Inc., 7.88%, 11/01/20 (b)	80	85,800
UPC Germany GmbH, 8.13%, 12/01/17 (b)	400	429,000
UPC Holding BV, 9.88%, 4/15/18 (b)	100	111,000
		6,078,338
Metals & Mining 3.1%
Drummond Co., Inc.:
9.00%, 10/15/14 (b)	110	117,425
7.38%, 2/15/16	40	41,400
FMG Resources August 2006 Property Ltd., 7.00%, 11/01/15 (b)	245	254,187
Goldcorp, Inc., 2.00%, 8/01/14 (c)	85	106,994
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (c)	70	93,363
Novelis, Inc., 8.75%, 12/15/20 (b)	585	644,962
Ryerson, Inc.:
7.66%, 11/01/14 (f)	60	57,600
12.00%, 11/01/15	70	75,250
Steel Dynamics, Inc., 7.38%, 11/01/12	50	53,125
		1,444,306
Multiline Retail 2.3%
Dollar General Corp., 11.88%, 7/15/17 (j)	929	1,074,156
Oil, Gas & Consumable Fuels 7.6%
Alpha Natural Resources Inc., 2.38%, 4/15/15 (c)	40	52,250
Arch Coal, Inc., 7.25%, 10/01/20	145	154,063
Berry Petroleum Co., 8.25%, 11/01/16	80	84,500
Bill Barrett Corp., 9.88%, 7/15/16	5	5,600
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 (b)	40	42,500
Chaparral Energy Inc., 8.25%, 9/01/21 (b)	40	40,700
Chesapeake Energy Corp.:
6.50%, 8/15/17	250	268,125
6.63%, 8/15/20	130	136,500
6.13%, 2/15/21	160	163,200
2.25%, 12/15/38 (c)	125	114,375
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)	45	49,050
Concho Resources Inc., 7.00%, 1/15/21	70	73,325
Connacher Oil and Gas Ltd. (b):
11.75%, 7/15/14	30	32,475
10.25%, 12/15/15	170	179,775
Consol Energy, Inc., 8.25%, 4/01/20	335	369,337
Continental Resources, Inc., 7.13%, 4/01/21 (b)	60	63,900
Crosstex Energy LP, 8.88%, 2/15/18	30	33,075
Denbury Resources, Inc.:
6.38%, 8/15/21	60	60,600
8.25%, 2/15/20	119	132,388
Energy Transfer Equity LP, 7.50%, 10/15/20	20	21,675
Energy XXI Gulf Coast, Inc. (b):
9.25%, 12/15/17	70	75,250
7.75%, 6/15/19	85	85,850
Hilcorp Energy I LP, 7.63%, 4/15/21 (b)	130	137,150

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 65 |
| --- | --- | --- |

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

Corporate Bonds		Value
Oil, Gas & Consumable Fuels (concluded)
Linn Energy LLC (b):
8.63%, 4/15/20	$ 50	$ 55,750
7.75%, 2/01/21	100	106,250
MarkWest Energy Partners LP, 6.75%, 11/01/20	45	46,125
Niska Gas Storage US LLC, 8.88%, 3/15/18 (b)	320	348,800
Oasis Petroleum, Inc., 7.25%, 2/01/19 (b)	40	40,600
Overseas Shipholding Group, Inc., 7.50%, 2/15/24	350	306,250
Peabody Energy Corp., 6.50%, 9/15/20	70	74,900
Petrohawk Energy Corp.:
10.50%, 8/01/14	65	74,750
7.88%, 6/01/15	15	15,900
Range Resources Corp., 8.00%, 5/15/19	25	27,531
SM Energy Co., 6.63%, 2/15/19 (b)	45	45,506
United Refining Co., 10.50%, 2/28/18 (b)(e)	40	39,600
		3,557,625
Paper & Forest Products 3.0%
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(j)	21	21,066
Boise Paper Holdings LLC:
9.00%, 11/01/17	55	61,325
8.00%, 4/01/20	30	33,075
Catalyst Paper Corp., 7.38%, 3/01/14	120	103,800
Clearwater Paper Corp.:
10.63%, 6/15/16	70	79,975
7.13%, 11/01/18 (b)	95	98,563
Georgia-Pacific LLC, 8.25%, 5/01/16 (b)	285	321,338
NewPage Corp., 11.38%, 12/31/14	465	463,837
Verso Paper Holdings LLC:
11.50%, 7/01/14	150	165,375
8.75%, 2/01/19 (b)	40	41,800
		1,390,154
Pharmaceuticals 0.7%
Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (f)	165	138,600
Grifols, Inc., 8.25%, 2/01/18 (b)	20	20,550
Valeant Pharmaceuticals International (b):
6.75%, 10/01/17	65	67,275
7.00%, 10/01/20	80	82,700
		309,125
Professional Services 0.5%
FTI Consulting, Inc.:
7.75%, 10/01/16	100	104,875
6.75%, 10/01/20 (b)	150	150,000
		254,875
Real Estate Investment Trusts (REITs) 0.4%
Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (b)	90	90,900
The Rouse Co. LP, 6.75%, 11/09/15	85	89,038
		179,938
Real Estate Management & Development 1.3%
CB Richard Ellis Services Inc,, 6.63%, 10/15/20	55	56,719
Realogy Corp. (b):
11.50%, 4/15/17	130	138,450
7.88%, 2/15/19	435	436,631
		631,800
Road & Rail 1.3%
Avis Budget Car Rental LLC:
9.63%, 3/15/18	85	94,988
8.25%, 1/15/19	130	137,963
Florida East Coast Railway Corp., 8.13%, 2/01/17 (b)	80	83,600
The Hertz Corp. (b):
7.50%, 10/15/18	150	158,812
6.75%, 4/15/19	70	71,400
7.38%, 1/15/21	80	83,600
		630,363
Corporate
Bonds	Par (000)	Value
Semiconductors & Semiconductor Equipment 0.3%
Linear Technology Corp., Series A, 3.00%, 5/01/27 (c)	$ 70	$ 76,213
Spansion LLC, 7.88%, 11/15/17 (b)	50	51,000
		127,213
Specialty Retail 1.5%
Asbury Automotive Group, Inc.:
7.63%, 3/15/17	60	61,500
8.38%, 11/15/20 (b)	55	57,750
Claires Escrow Corp., 8.88%, 3/15/19 (b)(e)	50	50,188
Limited Brands, Inc., 8.50%, 6/15/19	140	160,300
PETCO Animal Supplies, Inc., 9.25%, 12/01/18 (b)	75	81,000
Sonic Automotive, Inc., 9.00%, 3/15/18	65	69,550
Toys R US-Delaware, Inc., 7.38%, 9/01/16 (b)	70	73,762
United Auto Group, Inc., 7.75%, 12/15/16	165	170,362
		724,412
Trading Companies & Distributors 0.3%
Russel Metals, Inc., 6.38%, 3/01/14	125	126,250
Wireless Telecommunication Services 3.2%
Clearwire Communications LLC (b):
12.00%, 12/01/15	20	21,800
12.00%, 12/01/17	25	27,000
Cricket Communications, Inc.:
10.00%, 7/15/15	95	104,737
7.75%, 5/15/16	270	285,525
Digicel Group Ltd. (b):
9.13%, 1/15/15 (j)	294	306,201
8.25%, 9/01/17	230	240,350
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)	110	113,025
iPCS, Inc., 2.43%, 5/01/13 (f)	110	108,625
MetroPCS Wireless, Inc., 6.63%, 11/15/20	100	97,375
Sprint Capital Corp., 6.88%, 11/15/28	160	144,200
Syniverse Holdings, Inc., 9.13%, 1/15/19 (b)	40	43,200
		1,492,038
Total Corporate Bonds 97.7%		45,580,695
Floating Rate Loan Interests (f)
Building Products 0.1%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/13/17	25	25,766
Commercial Services & Supplies 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%, 6/10/16	120	123,225
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16	100	100,857
Volume Services America, Inc. (Centerplate), Term Loan B, 10.50% 10.75%, 8/24/16	165	166,164
		390,246
Construction & Engineering 0.5%
Safway Services, LLC, Last Out Term Loan, 15.63%, 12/14/17	250	250,000
Consumer Finance 1.6%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 7.25%, 4/21/15	750	756,675
Electric Utilities 0.1%
New Development Holdings, LLC, Term Loan, 7.00%, 7/03/17	23	23,389
Food Products 0.3%
Advance Pierre Foods, Term Loan, 11.25%, 9/29/17	135	138,375

| See Notes to Financial
Statements. — 66 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Floating Rate Loan Interests (f)	Par (000)	Value
Health Care Providers & Services 0.8%
Harden Healthcare, Inc.:
Tranche A Additional Term Loan, 7.75%, 3/02/15	$ 95	$ 93,100
Tranche A Term Loan, 8.50%, 2/22/15	77	74,989
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term Loan B, 6.50%, 7/31/16	199	199,871
		367,960
Hotels, Restaurants & Leisure 0.8%
Harrahs Operating Co., Inc., Term Loan B-3, 3.30%, 1/28/15	75	69,635
Travelport LLC (FKA Travelport, Inc.), Loan, 8.31%, 3/27/12 (i)	347	309,321
		378,956
Household Durables 0.8%
Visant Corp. (FKA Jostens):
Term Loan, 5.25%, 12/22/16	165	165,000
Tranche B Term Loan, 7.00%, 12/20/16	200	201,285
		366,285
IT Services 0.5%
First Data Corp.:
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14	29	27,212
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14	67	63,503
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14	177	167,447
		258,162
Independent
Power Producers & Energy Traders 0.9%
Texas Competitive Electric Holdings Co., LLC (TXU):
Initial Tranche B-2 Term Loan, 3.76% 3.80%, 10/10/14	141	119,167
Initial Tranche B-3 Term Loan, 3.76% 3.80%, 10/10/14	385	323,497
		442,664
Media 4.4%
Cengage Learning Acquisitions, Inc. (Thomson Learning), Tranche 1 Incremental Term Loan, 7.50%, 7/03/14	244	244,847
HMH Publishing Co., Ltd., Tranche A Term Loan, 6.01%, 6/12/14	147	139,610
Intelsat Jackson Holdings SA (FKA Intel Jackson Holdings Ltd.), Tranche B Term Loan, 5.25%, 3/07/18	1,250	1,258,398
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13	375	398,672
		2,041,527
Metals & Mining 0.1%
Euramax International, Inc., Domestic Term Loan:
10.00%, 6/29/13	26	24,880
14.00%, 6/29/13	25	23,884
		48,764
Oil, Gas & Consumable Fuels 0.9%
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15	389	398,811
Paper & Forest Products 0.4%
Verso Paper Finance Holdings LLC, 6.55% 7.30%, 2/01/13 (j)	212	191,135
Real Estate Investment Trusts (REITs) 0.1%
iStar Financial, Inc., Term Loan (Second Lien), 6/28/11	50	49,312
Real Estate Management & Development 0.4%
Realogy Corp.:
Extended Synthetic Letter of Credit Loan, 0.11%, 10/16/16	21	19,953
Extended Term Loan B, 4.56%, 10/16/16	176	168,367
		188,320

| Floating
Rate Loan Interests (f) | Par (000) | Value |
| --- | --- | --- |
| Specialty Retail 0.1% | | |
| Claires Stores, Inc., Term Loan B, 3.01% 5.00%, 5/29/14 | $ 29 | $ 28,628 |
| Wireless Telecommunication Services 0.6% | | |
| Vodafone Americas Finance 2 Inc., Initial Loan, 6.88%, 7/30/15 | 259 | 267,892 |
| Total Floating Rate Loan Interests 14.2% | | 6,612,867 |

| Other
Interests (k) | Beneficial Interest (000) | | |
| --- | --- | --- | --- |
| Auto Components 2.0% | | | |
| Delphi Debtor-in-Possession Holding Co. LLP, Class B Membership Interests | | (l) | 918,325 |
| Health Care Providers & Services 0.0% | | | |
| Critical Care Systems International, Inc. | 5 | | 477 |
| Total Other Interests 2.0% | | | 918,802 |
| Preferred
Stocks | Shares | | |
| Automobiles 0.7% | | | |
| General Motors Co., 4.75% | 7,140 | | 363,283 |
| Media 0.0% | | | |
| CMP Susquehanna Radio Holdings Corp., 0.00% (a)(b) | 5,410 | | |
| Professional Services 0.1% | | | |
| Nielsen Holdings NV, 6.25% (a)(c) | 750 | | 41,391 |
| Total Preferred Stocks 0.8% | | | 404,674 |
| Warrants
(m) | | | |
| Diversified Telecommunication Services 0.0% | | | |
| NEON Communications, Inc. (Expires 12/02/12) | 53,622 | | |
| Media 0.0% | | | |
| CMP Susquehanna Radio Holdings Corp. (Expires 3/26/19) (b) | 6,182 | | |
| Software 0.0% | | | |
| Bankruptcy Management Solutions, Inc. (Expires 9/29/17) | 61 | | 1 |
| HMH Holdings/EduMedia (Expires 3/09/17) | 1,184 | | |
| | | | 1 |
| Total Warrants 0.0% | | | 1 |
| Total
Long-Term Investments (Cost $50,434,626) 115.2% | | | 53,751,262 |
| Short-Term
Securities | | | |
| BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (n)(o) | 1,590,898 | | 1,590,898 |
| Total
Short-Term Securities (Cost $1,590,898) 3.4% | | | 1,590,898 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 67 |
| --- | --- | --- |

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

Options Purchased
Over-the-Counter Call Options 0.0%
Marsico Parent Superholdco LLC, Strike Price $942.86, Expires 12/01/19, Broker Goldman Sachs Bank USA	3
Total Options Purchased (Cost $2,933) 0.0%
Total Investments (Cost $52,028,457*) 118.6%		55,342,160
Liabilities in Excess of Other Assets (18.6)%		(8,696,075	)
Net Assets 100.0%	$	46,646,085

* — Aggregate cost	$ 52,087,055
Gross unrealized
appreciation	$ 3,792,332
Gross unrealized
depreciation	(537,227	)
Net unrealized appreciation	$ 3,255,105

Counterparty	Value	Unrealized Appreciation
Bank of America NA	$ 20,350	$ 217
Credit Suisse International	$ 89,788	$ 1,210
Sterne Agee	$ 10,175	$ 108

| (f) | Variable rate security.
Rate shown is as of report date. |
| --- | --- |
| (g) | 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. |
| (h) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (i) | 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 reflects the current yield
as of report date. |
| (j) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (k) | Other interests represent
beneficial interest in liquidation trusts and other reorganization entities
and are non-income producing. |
| (l) | Amount is less than $1,000. |
| (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 Investment Company Act of 1940, as amended, were as
follows: |

Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class	1,573,222	17,676	1,590,898	Income — $ 1,627

| (o) | Represents the current
yield as of report date. |
| --- | --- |
| | 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. This definition may not apply for purposes of
this report, which may combine such industry sub-classifications for
reporting ease. |
| | Credit default swaps on
single-name issues buy protection outstanding as of February 28, 2011 were as follows: |

Issuer — Harrahs Operating Co., Inc.	5.00 %	Deutsche Bank AG	12/20/15	Notional Amount (000) — $ 225	Unrealized Depreciation — $ (31,390	)
K. Hovnanian Enterprises, Inc.	5.00 %	JPMorgan Chase Bank NA	12/20/15	$ 125	(19,855	)
Republic of Hungary	1.00 %	Deutsche Bank AG	12/20/15	$ 50	(906	)
Israel (State of)	1.00 %	Deutsche Bank AG	3/20/16	$ 100	(384	)
The New York Times Co.	1.00 %	Barclays Bank Plc	12/20/16	$ 225	(4,344	)
Total					$ (56,879	)

Credit default swaps on single-name issues sold protection outstanding as of February 28, 2011 were as follows:

Issuer		Counterparty	Expiration Date	Issuer Credit Rating 1	Notional Amount (000) 2	Unrealized Appreciation
D.R. Horton, Inc.	1.00 %	JPMorgan Chase Bank NA	12/20/15	BB	$ 50	$ 1,538
M.D.C. Holdings, Inc.	1.00 %	Deutsche Bank AG	12/20/15	BBB	$ 55	528
M.D.C. Holdings, Inc.	1.00 %	JPMorgan Chase Bank NA	12/20/15	BBB	$ 55	298
Realogy Corp.	5.00 %	JPMorgan Chase Bank NA	12/20/15	CC	$ 75	5,418
Realogy Corp.	5.00 %	JPMorgan Chase Bank NA	12/20/15	CC	$ 50	1,594
Chesapeake Energy Corp.	5.00 %	Credit
Suisse International	3/20/16	BB	$ 50	937
Chesapeake Energy Corp.	5.00 %	Goldman
Sachs Bank USA	3/20/16	BB	$ 75	834
Chesapeake Energy Corp.	5.00 %	JPMorgan Chase Bank NA	3/20/16	BB	$ 50	937
Realogy Corp.	5.00 %	JPMorgan Chase Bank NA	3/20/16	CC	$ 25	105
Total						$ 12,189

	2
	Credit default swaps on
traded indexes sold protection outstanding as of February 28, 2011 were as follows:

Index	Receive Fixed Rate	Counterparty	Expiration Date	Credit Rating 3	Notional Amount (000) 4	Unrealized Depreciation
Dow Jones CDX North America High Yield Index Series 9	0.00 %	Deutsche Bank AG	12/20/12	CCC	$ 68	$ (2,649	)

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

| See Notes to Financial
Statements. — 68 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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


	Level 1 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 derivatives)
The inputs or
methodologies used for valuing securities are not necessarily an indication
of the risk associated with investing in those securities. For information
about the Trusts policy regarding valuation of investments and derivatives
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 28, 2011 in determining the fair
valuation of the Trusts investments and derivatives:

| Valuation
Inputs | | | | Level 3 | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Assets: | | | | | | | |
| Investments in Securities: | | | | | | | |
| Long-Term Investments: | | | | | | | |
| Common Stocks | $ 157,741 | $ 8,602 | $ | 67,880 | $ | 234,223 | |
| Corporate Bonds | | 44,371,549 | | 1,209,146 | | 45,580,695 | |
| Floating Rate Loan Interests | | 5,198,565 | | 1,414,302 | | 6,612,867 | |
| Other Interests | | 918,325 | | 477 | | 918,802 | |
| Preferred Stocks | 363,283 | 41,391 | | | | 404,674 | |
| Warrants | | | | 1 | | 1 | |
| Short-Term Securities | 1,590,898 | | | | | 1,590,898 | |
| Liabilities: | | | | | | | |
| Unfunded Loan Commitments | | | | (2,182 | ) | (2,182 | ) |
| Total | $ 2,111,922 | $ 50,538,432 | $ | 2,689,624 | $ | 55,339,978 | |
| | Derivative Financial Instruments 1 | | | | | | |
| Valuation
Inputs | Level 1 | Level 2 | | Level 3 | | Total | |
| Assets: | | | | | | | |
| Credit contracts | | $ 12,189 | | | $ | 12,189 | |
| Liabilities: | | | | | | | |
| Credit contracts | | (59,528 | ) | | | (59,528 | ) |
| Total | | $ (47,339 | ) | | $ | (47,339 | ) |

1 Derivative financial instruments are swaps and options. Swaps 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 in determining fair value:

| | Common Stocks | | | | | | | | | | | Unfunded
Loan Commitments (Liabilities) | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Assets/Liabilities: | | | | | | | | | | | | | | | |
| Balance, as of
August 31, 2010 | $ 86,010 | $ | 1,514,877 | $ | 1,544,738 | $ | 953 | $ | 85,806 | $ | 1 | $ (4,001 | ) | $ 3,228,384 | |
| Accrued
discounts/premiums | | | 63,747 | | 125,907 | | | | | | | | | 189,654 | |
| Net realized gain
(loss) | (428,771 | ) | (1,560,455 | ) | 8,662 | | | | 170,964 | | | | | (1,809,600 | ) |
| Net change in
unrealized appreciation/depreciation 2 | 488,794 | | 1,166,750 | | (619,990 | ) | (476 | ) | (17,420 | ) | | 1,819 | | 1,019,477 | |
| Purchases | | | 100,000 | | 534,789 | | | | | | | | | 634,789 | |
| Sales | (78,153 | ) | (59,560 | ) | (40,194 | ) | | | (239,350 | ) | | | | (417,257 | ) |
| Transfers in 3 | | | | | 28,628 | | | | | | | | | 28,628 | |
| Transfers out 3 | | | (16,213 | ) | (168,238 | ) | | | | | | | | (184,451 | ) |
| Balance,
as of February 28, 2011 | $ 67,880 | $ | 1,209,146 | $ | 1,414,302 | $ | 477 | | | $ | 1 | $ (2,182 | ) | $ 2,689,624 | |

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The net change in unrealized appreciation/depreciation on
securities still held at February 28, 2011 was $1,018,628. |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 69 |
| --- | --- | --- |

Schedule of Investments February 28, 2011 (Unaudited)
(Percentages
shown are based on Net Assets)

Asset-Backed Securities	Par (000)		Value
321 Henderson Receivables I
LLC (a):
Series 2010-1A, Class B, 9.31%, 7/15/61	USD	1,150	$ 1,218,578
Series 2010-3A, Class A, 3.82%, 12/15/48		872	843,744
Ameriquest Mortgage Securities, Inc., Series 2004-R11, Class A1, 0.56%, 11/25/34 (b)		733	674,781
Capital One Multi-Asset Execution Trust, Series 2006-A5, Class A5, 0.33%, 1/15/16 (b)		350	347,911
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a)		1,970	1,968,924
Globaldrive BV, Series 2008-2, Class A, 4.00%, 10/20/16	EUR	563	785,610
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.37%, 7/25/37 (b)	USD	259	251,786
Maryland Insurance Backed Securities Trust, Series 2006-1A, Class A, 5.55%, 12/10/65		2,500	1,675,000
Nelnet Student Loan Trust, Series 2008-3, Class A4, 4.61%, 11/25/24 (b)		650	674,809
SLC Student Loan Trust, Series 2006-A, Class A4, 0.42%, 1/15/19 (b)		460	447,017
SLM Student Loan Trust, Series 2008-5 (b):
Class A3, 1.60%, 1/25/18		1,170	1,202,450
Class A4, 2.00%, 7/25/23		3,690	3,859,170
Santander Consumer Acquired Receivables Trust, Series 2011-WO, Class C, 3.19%, 10/15/15 (a)		575	573,965
Santander Drive Auto Receivables Trust:
Series 2010-2, Class B, 2.24%, 12/15/14		870	872,540
Series 2010-2, Class C, 3.89%, 7/17/17		1,020	1,050,398
Series 2010-B, Class B, 2.10%, 9/15/14 (a)		700	701,209
Series 2010-B, Class C, 3.02%, 10/17/16 (a)		735	735,704
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)		597	596,574
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)		610	610,000
Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%, 11/01/16		310	330,824
			19,420,994
Interest Only 0.2%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)		4,772	307,284
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29		7	512,668
			819,952
Total Asset-Backed Securities 5.6%			20,240,946
Common
Stocks		Shares
Software 0.0%
Bankruptcy Management Solutions, Inc. (c)		152	532
Total Common Stocks 0.0%			532
Corporate
Bonds		Par (000)
Aerospace & Defense 0.6%
United Technologies Corp.:
4.88%, 5/01/15	USD	1,250	1,379,085
6.13%, 7/15/38		750	839,523
			2,218,608

| Corporate
Bonds | | Par (000) | |
| --- | --- | --- | --- |
| Airlines 0.4% | | | |
| Continental Airlines, Inc., Series 2010-1-B, 6.00%, 7/12/20 | USD | 700 | $ 698,250 |
| United Air Lines, Inc., 12.75%, 7/15/12 | | 786 | 877,979 |
| | | | 1,576,229 |
| Auto Components 0.4% | | | |
| BorgWarner, Inc., 4.63%, 9/15/20 | | 265 | 266,315 |
| Icahn Enterprises LP, 8.00%, 1/15/18 | | 1,000 | 1,035,000 |
| | | | 1,301,315 |
| Beverages 1.1% | | | |
| Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 (a)(d) | | 3,050 | 3,781,201 |
| Capital Markets 4.7% | | | |
| CDP Financial, Inc. (a)(d)(e): | | | |
| 3.00%, 11/25/14 | | 1,950 | 1,986,266 |
| 5.60%, 11/25/39 | | 2,955 | 3,062,515 |
| Credit Suisse, Inc. (USA): | | | |
| 6.13%, 11/15/11 | | 700 | 727,259 |
| 7.13%, 7/15/32 | | 1,000 | 1,188,026 |
| The Goldman Sachs Group, Inc.: | | | |
| 6.60%, 1/15/12 | | 1,000 | 1,050,984 |
| 3.70%, 8/01/15 | | 800 | 811,063 |
| 5.38%, 3/15/20 | | 1,720 | 1,767,161 |
| 6.00%, 6/15/20 | | 860 | 922,081 |
| 6.25%, 2/01/41 | | 340 | 346,004 |
| Lehman Brothers Holdings, Inc., 6.50%, 7/19/17 (c)(f) | | 225 | 22 |
| Morgan Stanley: | | | |
| 2.81%, 5/14/13 (b) | | 1,880 | 1,945,366 |
| 4.20%, 11/20/14 | | 680 | 706,005 |
| 4.00%, 7/24/15 | | 400 | 409,540 |
| 6.25%, 8/28/17 | | 900 | 983,032 |
| 5.63%, 9/23/19 (d) | | 760 | 780,714 |
| Nomura Holdings, Inc., 4.13%, 1/19/16 | | 389 | 387,269 |
| | | | 17,073,307 |
| Chemicals 1.0% | | | |
| American Pacific Corp., 9.00%, 2/01/15 | | 280 | 275,100 |
| CF Industries, Inc., 7.13%, 5/01/20 | | 1,750 | 1,964,375 |
| The Dow Chemical Co., 4.25%, 11/15/20 | | 185 | 178,283 |
| Nalco Co., 6.63%, 1/15/19 (a) | | 1,000 | 1,033,750 |
| | | | 3,451,508 |
| Commercial Banks 8.0% | | | |
| BNP Paribas Home Loan Covered Bonds SA, 2.20%, 11/02/15 (a) | | 3,125 | 2,996,316 |
| Bank of Nova Scotia, 1.65%, 10/29/15 (a) | | 4,775 | 4,585,584 |
| CIT Group, Inc.: | | | |
| 7.00%, 5/01/16 | | 110 | 110,963 |
| 7.00%, 5/01/17 | | 1,790 | 1,803,425 |
| Canadian Imperial Bank of Commerce, 2.75%, 1/27/16 (a) | | 1,485 | 1,483,895 |
| DEPFA ACS Bank, 5.13%, 3/16/37 (a) | | 4,150 | 2,721,765 |
| Discover Bank, 8.70%, 11/18/19 | | 1,045 | 1,257,230 |
| DnB NOR Boligkreditt, 2.10%, 10/14/15 (a) | | 4,005 | 3,844,888 |
| Eksportfinans ASA: | | | |
| 2.00%, 9/15/15 (d) | | 2,440 | 2,379,195 |
| 5.50%, 6/26/17 | | 1,000 | 1,119,819 |
| HSBC Holdings Plc, 6.50%, 5/02/36 (d) | | 1,275 | 1,319,679 |
| Royal Bank of Canada, 3.13%, 4/14/15 (a) | | 3,855 | 3,952,219 |
| Sparebanken 1 Boligkreditt, 1.25%, 10/25/13 (a) | | 1,575 | 1,560,209 |
| | | | 29,135,187 |

| See Notes to Financial
Statements. — 70 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Corporate Bonds		Par (000)	Value
Commercial Services & Supplies 0.8%
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)	USD	250	$ 256,875
Mobile Mini, Inc., 7.88%, 12/01/20 (a)		1,320	1,405,800
RR Donnelley & Sons Co., 7.63%, 6/15/20		169	177,152
West Corp. (a):
8.63%, 10/01/18		770	816,200
7.88%, 1/15/19		255	261,694
			2,917,721
Construction Materials 0.5%
Inversiones CMPC SA, 4.75%, 1/19/18 (a)		220	211,666
Nortek, Inc., 10.00%, 12/01/18 (a)		1,450	1,547,875
			1,759,541
Consumer Finance 0.6%
Ford Motor Credit Co. LLC:
3.05%, 1/13/12 (b)		120	121,223
7.80%, 6/01/12		380	405,249
6.63%, 8/15/17		380	404,160
SLM Corp.:
6.25%, 1/25/16		651	667,275
Series A, 0.59%, 1/27/14 (b)		600	566,429
			2,164,336
Containers & Packaging 1.4%
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)	EUR	425	605,539
Ball Corp.:
7.13%, 9/01/16	USD	275	301,125
7.38%, 9/01/19		275	299,063
Berry Plastics Corp., 9.75%, 1/15/21 (a)		1,965	1,969,912
Owens-Brockway Glass Container, Inc., 7.38%, 5/15/16		1,435	1,564,150
Pregis Corp., 12.38%, 10/15/13		255	256,913
			4,996,702
Diversified Financial Services 5.2%
Ally Financial, Inc.:
8.30%, 2/12/15		1,100	1,241,625
6.25%, 12/01/17 (a)		240	250,500
8.00%, 3/15/20		560	630,700
8.00%, 11/01/31		320	366,400
Bank of America Corp.:
7.63%, 6/01/19		500	584,588
5.63%, 7/01/20 (d)		1,055	1,097,417
Citigroup, Inc.:
4.75%, 5/19/15		380	401,101
5.38%, 8/09/20		495	513,158
General Electric Capital Corp.:
5.50%, 1/08/20 (d)		2,150	2,294,854
5.30%, 2/11/21		365	374,973
6.75%, 3/15/32 (d)		3,000	3,343,668
JPMorgan Chase & Co.:
2.60%, 1/15/16		685	663,893
6.30%, 4/23/19		1,375	1,546,007
4.25%, 10/15/20		195	188,013
Novus USA Trust, 1.56%, 11/18/11 (a)(b)		850	849,683
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (a)		890	947,850
Reynolds Group Issuer, Inc. (a):
7.75%, 10/15/16	EUR	550	804,511
7.13%, 4/15/19	USD	2,111	2,163,775
6.88%, 2/15/21		515	516,288
			18,779,004

| Corporate
Bonds | | Par (000) | Value |
| --- | --- | --- | --- |
| Diversified Telecommunication Services 5.3% | | | |
| AT&T Inc., 6.55%, 2/15/39 (e) | USD | 3,525 | $ 3,756,141 |
| BellSouth Telecommunications, Inc., 8.30%, 12/15/95 (g) | | 1,700 | 1,184,599 |
| Frontier Communications Corp., 8.25%, 4/15/17 (a) | | 383 | 423,215 |
| GCI, Inc., 8.63%, 11/15/19 | | 1,000 | 1,100,000 |
| Qwest Communications International, Inc.: | | | |
| 7.50%, 2/15/14 | | 15 | 15,225 |
| Series B, 7.50%, 2/15/14 | | 10 | 10,150 |
| Qwest Corp., 8.38%, 5/01/16 | | 170 | 202,937 |
| Telecom Italia Capital SA, 4.95%, 9/30/14 (d) | | 4,375 | 4,495,308 |
| Telefonica Emisiones SAU, 7.05%, 6/20/36 | | 1,000 | 1,076,220 |
| Verizon Communications, Inc.: | | | |
| 8.75%, 11/01/18 | | 720 | 929,143 |
| 6.40%, 2/15/38 (e) | | 2,100 | 2,246,672 |
| 8.95%, 3/01/39 | | 1,125 | 1,568,473 |
| Verizon Global Funding Corp., 7.75%, 6/15/32 | | 575 | 706,935 |
| Verizon Maryland, Inc., Series A, 6.13%, 3/01/12 (d) | | 1,355 | 1,424,266 |
| Windstream Corp.: | | | |
| 8.13%, 8/01/13 | | 50 | 55,063 |
| 8.63%, 8/01/16 | | 100 | 105,750 |
| 7.88%, 11/01/17 | | 50 | 54,313 |
| | | | 19,354,410 |
| Electric Utilities 3.5% | | | |
| Alabama Power Co., 6.00%, 3/01/39 | | 550 | 599,041 |
| Duke Energy Carolinas LLC: | | | |
| 6.10%, 6/01/37 | | 325 | 351,885 |
| 6.00%, 1/15/38 | | 850 | 921,812 |
| EDF SA, 5.60%, 1/27/40 (a) | | 1,400 | 1,446,916 |
| E.ON International Finance BV, 6.65%, 4/30/38 (a)(d) | | 1,575 | 1,871,431 |
| Elwood Energy LLC, 8.16%, 7/05/26 | | 135 | 133,937 |
| Florida Power & Light Co., 4.95%, 6/01/35 | | 575 | 558,358 |
| Florida Power Corp.: | | | |
| 6.35%, 9/15/37 (d) | | 1,450 | 1,631,920 |
| 6.40%, 6/15/38 | | 340 | 386,620 |
| PacifiCorp., 6.25%, 10/15/37 | | 650 | 722,558 |
| Public Service Co. of Colorado, 6.25%, 9/01/37 (d) | | 1,350 | 1,537,765 |
| Southern California Edison Co.: | | | |
| 5.63%, 2/01/36 | | 675 | 705,110 |
| Series 05-E, 5.35%, 7/15/35 | | 150 | 151,009 |
| Series 08-A, 5.95%, 2/01/38 | | 1,100 | 1,201,831 |
| The Toledo Edison Co., 6.15%, 5/15/37 | | 350 | 361,561 |
| | | | 12,581,754 |
| Energy Equipment & Services 0.6% | | | |
| Calfrac Holdings LP, 7.50%, 12/01/20 (a) | | 335 | 343,375 |
| Exterran Holdings, Inc., 7.25%, 12/01/18 (a) | | 600 | 615,000 |
| Frac Tech Services LLC, 7.13%, 11/15/18 (a) | | 875 | 905,625 |
| Precision Drilling Corp., 6.63%, 11/15/20 (a) | | 235 | 242,637 |
| | | | 2,106,637 |
| Food & Staples Retailing 1.0% | | | |
| BI-LO LLC, 9.25%, 2/15/19 (a) | | 430 | 447,200 |
| Wal-Mart Stores, Inc. (d): | | | |
| 6.50%, 8/15/37 | | 1,975 | 2,278,953 |
| 6.20%, 4/15/38 | | 850 | 946,173 |
| | | | 3,672,326 |
| Food Products 0.7% | | | |
| Blue Merger Sub, Inc., 7.63%, 2/15/19 (a) | | 330 | 333,300 |
| Darling International, Inc., 8.50%, 12/15/18 (a) | | 335 | 361,381 |
| Kraft Foods, Inc., 7.00%, 8/11/37 | | 1,670 | 1,897,202 |
| | | | 2,591,883 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 71 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Health Care Equipment & Supplies 0.3%
DJO Finance LLC, 10.88%, 11/15/14	USD	900	$ 986,625
Health Care Providers & Services 1.9%
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)		360	375,300
ConvaTec Healthcare E SA (a):
7.38%, 12/15/17	EUR	600	861,089
10.50%, 12/15/18	USD	630	672,525
HCA, Inc., 8.50%, 4/15/19		1,700	1,904,000
Tenet Healthcare Corp.:
9.00%, 5/01/15		1,200	1,320,000
10.00%, 5/01/18		280	329,000
8.88%, 7/01/19		1,150	1,308,125
			6,770,039
Hotels, Restaurants & Leisure 1.9%
Boyd Gaming Corp., 9.13%, 12/01/18 (a)		835	876,750
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18		4,710	4,427,400
CityCenter Holdings LLC, 7.63%, 1/15/16 (a)		445	463,912
McDonalds Corp., 5.70%, 2/01/39		850	914,810
Palace Entertainment Holding LLC, 8.88%, 4/15/17 (a)		160	163,200
			6,846,072
Household Durables 1.4%
Beazer Homes USA, Inc., 9.13%, 5/15/19 (a)		2,000	2,062,500
Standard Pacific Corp.:
10.75%, 9/15/16		1,000	1,175,000
8.38%, 5/15/18 (a)		655	694,300
8.38%, 1/15/21 (a)		1,060	1,118,300
			5,050,100
Household Products 0.3%
Kimberly-Clark, Corp., 6.63%, 8/01/37		975	1,173,263
IT Services 1.3%
First Data Corp. (a):
8.88%, 8/15/20		1,000	1,095,000
8.25%, 1/15/21		674	670,630
12.63%, 1/15/21		520	544,700
iPayment, Inc., 9.75%, 5/15/14		270	267,637
iPayment Investors LP, 12.75%, 7/15/14 (a)(h)		867	806,208
SunGard Data Systems, Inc., 7.63%, 11/15/20 (a)		1,100	1,135,750
			4,519,925
Independent
Power Producers & Energy Traders 1.5%
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20		1,650	1,722,356
NRG Energy, Inc., 7.63%, 1/15/18 (a)		3,600	3,748,500
			5,470,856
Industrial Conglomerates 0.5%
Sequa Corp. (a):
11.75%, 12/01/15		760	824,600
13.50%, 12/01/15 (h)		927	1,027,185
			1,851,785
Insurance 2.5%
CNO Financial Group, Inc., 9.00%, 1/15/18 (a)		499	531,435
Chubb Corp., 6.00%, 5/11/37 (d)		1,415	1,518,605
Manulife Financial Corp., 3.40%, 9/17/15		780	772,868
Metropolitan Life Global Funding I (a):
2.50%, 1/11/13 (d)		2,550	2,598,305
5.13%, 6/10/14		775	841,489
Prudential Financial, Inc.:
4.75%, 9/17/15 (d)		1,220	1,306,046
5.70%, 12/14/36		950	946,092

Corporate Bonds	Par (000)		Value
Insurance (concluded)
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (a)	USD	505	$ 581,081
			9,095,921
Life Sciences Tools & Services 0.0%
Life Technologies Corp., 5.00%, 1/15/21		145	146,784
Machinery 0.3%
AGY Holding Corp., 11.00%, 11/15/14		340	302,600
Navistar International Corp., 8.25%, 11/01/21		760	841,700
			1,144,300
Marine 0.3%
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d)		1,100	1,105,500
Media 7.7%
Affinion Group, Inc., 7.88%, 12/15/18 (a)		1,505	1,441,037
CBS Corp., 8.88%, 5/15/19		505	636,815
CCH II LLC, 13.50%, 11/30/16		2,265	2,742,998
CMP Susquehanna Corp., 3.44%, 5/15/14		55	38,771
Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (a)		1,870	1,940,125
Citadel Broadcasting Corp., 7.75%, 12/15/18 (a)		350	375,375
Clear Channel Communications Inc., 9.00%, 3/01/21 (a)		325	330,281
Clear Channel Worldwide Holdings, Inc.:
9.25%, 12/15/17		318	352,980
Series B, 9.25%, 12/15/17		1,257	1,398,412
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22		2,000	2,727,162
Comcast Corp., 6.40%, 3/01/40		607	631,621
Discovery Communications LLC, 3.70%, 6/01/15		470	486,993
Gray Television, Inc., 10.50%, 6/29/15		225	239,063
NBC Universal, Inc. (a):
5.15%, 4/30/20		974	1,004,059
4.38%, 4/01/21		795	765,150
The New York Times Co., 6.63%, 12/15/16 (a)		1,800	1,840,500
News America Holdings, Inc.:
8.45%, 8/01/34		2,475	3,001,259
8.15%, 10/17/36		145	178,580
News America, Inc. (a):
4.50%, 2/15/21		620	616,210
6.15%, 2/15/41		745	757,261
Rainbow National Services LLC (a):
8.75%, 9/01/12		225	225,844
10.38%, 9/01/14		1,070	1,114,138
Time Warner Cable, Inc.:
7.30%, 7/01/38		970	1,092,820
5.88%, 11/15/40		460	436,787
Time Warner, Inc.:
4.70%, 1/15/21		1,000	1,005,127
6.10%, 7/15/40		615	620,838
Virgin Media Secured Finance Plc:
6.50%, 1/15/18		330	361,350
7.00%, 1/15/18	GBP	792	1,387,296
			27,748,852
Metals & Mining 1.9%
Cliffs Natural Resources, Inc., 4.80%, 10/01/20	USD	240	237,630
Corporacion Nacional del Cobre de Chile, 3.75%, 11/04/20 (a)		259	243,763
Falconbridge Ltd., 6.20%, 6/15/35		1,550	1,579,216
Novelis, Inc., 8.75%, 12/15/20 (a)		4,365	4,812,413
			6,873,022

| See Notes to Financial
Statements. — 72 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Multi-Utilities
0.4%
Dominion Resources, Inc.,
6.00%, 11/30/17	USD	1,135	$ 1,279,613
Multiline
Retail 0.5%
Dollar General Corp.,
11.88%, 7/15/17 (h)		1,500	1,734,375
Oil, Gas
& Consumable Fuels 7.5%
Arch Coal, Inc., 7.25%,
10/01/20		1,000	1,062,500
BP Capital Markets Plc,
3.13%, 3/10/12 (d)		1,505	1,538,959
Berry Petroleum Co., 8.25%,
11/01/16		160	169,000
Burlington Resources Finance Co., 7.40%, 12/01/31		950	1,126,757
Canadian Natural Resources, Ltd.:
6.50%, 2/15/37		430	476,922
6.25%, 3/15/38		500	540,579
6.75%, 2/01/39		950	1,088,479
Cenovus Energy, Inc., 6.75%, 11/15/39		565	643,013
Chaparral Energy, Inc., 8.25%, 9/01/21 (a)		320	325,600
Chesapeake Energy Corp., 6.63%, 8/15/20		1,175	1,233,750
Conoco Funding Co., 7.25%, 10/15/31		150	184,674
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36		150	160,064
Consol Energy, Inc.:
8.00%, 4/01/17		1,139	1,235,815
8.25%, 4/01/20		861	949,252
Denbury Resources, Inc.:
8.25%, 2/15/20		1,000	1,112,500
6.38%, 8/15/21		450	454,500
Devon Energy Corp., 7.95%, 4/15/32		650	845,461
EnCana Corp.:
6.50%, 8/15/34		70	75,295
6.63%, 8/15/37		775	855,297
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 (a)		575	618,125
Enterprise Products Operating LLC:
6.13%, 2/01/13		710	764,502
6.13%, 10/15/39		700	701,354
Marathon Petroleum Corp., 6.50%, 3/01/41 (a)		434	439,682
MidAmerican Energy Co., 5.80%, 10/15/36		800	832,710
MidAmerican Energy Holdings Co.:
5.95%, 5/15/37		950	984,653
6.50%, 9/15/37		2,115	2,351,191
Peabody Energy Corp., 6.50%, 9/15/20		1,220	1,305,400
Petrobras International Finance Co.:
3.88%, 1/27/16		1,780	1,797,294
5.88%, 3/01/18		80	85,137
5.75%, 1/20/20		1,760	1,826,260
Rockies Express Pipeline LLC, 3.90%, 4/15/15 (a)		680	676,399
Valero Energy Corp., 6.63%, 6/15/37		669	683,643
			27,144,767
Paper & Forest Products 1.5%
Clearwater Paper Corp., 7.13%, 11/01/18 (a)		1,000	1,037,500
Georgia-Pacific LLC, 8.25%, 5/01/16 (a)		1,650	1,860,375
International Paper Co., 7.30%, 11/15/39		610	715,043
NewPage Corp., 11.38%, 12/31/14		1,840	1,835,400
			5,448,318
Pharmaceuticals 2.2%
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (d)		1,500	1,709,451
Grifols, Inc., 8.25%, 2/01/18 (a)		175	179,813
Merck & Co., Inc., 6.55%, 9/15/37 (d)		1,250	1,479,217
Roche Holdings, Inc., 7.00%, 3/01/39 (a)		900	1,112,730
Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36		1,475	1,625,449
Wyeth, 5.95%, 4/01/37		1,775	1,918,482
			8,025,142

Corporate Bonds	Par (000)		Value
Professional Services 0.0%
FTI Consulting, Inc., 7.75%, 10/01/16	USD	125	$ 131,094
Real Estate Investment Trusts (REITs) 0.1%
Kimco Realty Corp., 6.88%, 10/01/19		420	490,202
Road & Rail 1.3%
Avis Budget Car Rental LLC, 8.25%, 1/15/19		1,000	1,061,250
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 (e)		940	979,469
Canadian National Railway Co., 6.38%, 10/15/11		1,000	1,037,517
The Hertz Corp., 7.38%, 1/15/21 (a)		1,670	1,745,150
			4,823,386
Semiconductors
& Semiconductor Equipment 0.1%
Spansion LLC, 7.88%, 11/15/17 (a)		390	397,800
Software 0.2%
Oracle Corp., 5.38%, 7/15/40 (a)		885	862,622
Specialty Retail 0.2%
Claires Escrow Corp., 8.88%, 3/15/19 (a)(i)		415	416,556
General Nutrition Centers, Inc., 10.75%, 3/15/15		405	407,025
			823,581
Thrifts & Mortgage Finance 1.6%
Achmea Hypotheekbank NV, 3.20%, 11/03/14 (a)(d)		1,325	1,368,848
MGIC Investment Corp., 5.38%, 11/01/15		840	791,700
The PMI Group, Inc., 6.00%, 9/15/16		1,400	1,115,235
Radian Group, Inc.:
5.63%, 2/15/13		1,400	1,400,000
5.38%, 6/15/15		1,400	1,270,500
			5,946,283
Tobacco 0.2%
Philip Morris International, Inc., 4.50%, 3/26/20		650	670,994
Wireless Telecommunication Services 4.1%
Clearwire Communications LLC, 12.00%, 12/01/15 (a)		320	348,800
Cricket Communications, Inc.:
10.00%, 7/15/15		35	38,588
7.75%, 5/15/16		1,605	1,697,287
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)		1,595	1,732,226
Digicel Group Ltd. (a):
8.88%, 1/15/15		1,800	1,872,000
8.25%, 9/01/17		150	156,750
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (a)		980	1,006,950
MetroPCS Wireless, Inc.:
7.88%, 9/01/18		850	897,812
6.63%, 11/15/20		840	817,950
Rogers Communications, Inc., 7.50%, 8/15/38		1,175	1,457,114
SBA Tower Trust, 4.25%, 4/15/40 (a)		950	992,928
Sprint Capital Corp.:
6.88%, 11/15/28		620	558,775
8.75%, 3/15/32		350	364,000
Syniverse Holdings, Inc., 9.13%, 1/15/19 (a)		160	172,800
Vodafone Group Plc, 4.15%, 6/10/14 (d)		2,500	2,647,710
			14,761,690
Total Corporate Bonds 77.5%			280,784,580

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 73 |
| --- | --- | --- |

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

Foreign Agency Obligations — Hellenic Republic Government Bond, 4.60%, 9/20/40	Par (000) — EUR	160	$	122,363
Italy Government International Bond, 5.38%, 6/15/33	USD	470		466,041
Japan Finance Corp., 2.00%, 6/24/11		880		884,653
Japan Finance Organization for Municipal Enterprises, 4.00%, 1/13/21		500		494,995
Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13		655		659,685
Mexico Government International Bond, 5.63%, 1/15/17		370		407,925
United Mexican States, Series A, 5.13%, 1/15/20		215		225,212
Total Foreign Agency Obligations 0.9%				3,260,874
Non-Agency
Mortgage-Backed Securities
Collateralized Mortgage Obligations 6.7%
Adjustable Rate Mortgage Trust, Series 2005-7, Class 4A1, 5.40%, 10/25/35 (b)		1,013		944,577
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37		1,100		766,422
Chase Mortgage Finance Corp., Series 2005-A1, Class 1A1, 5.40%, 12/25/35 (b)		972		937,430
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18			(j)	67
Countrywide Alternative Loan Trust:
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35		1,682		1,506,471
Series 2006-0A21, Class A1, 0.45%, 3/20/47 (b)		932		557,840
Series 2006-41CB, Class 1A4, 5.75%, 1/25/37		800		618,562
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2006-0A5, Class 2A1, 0.46%, 4/25/46 (b)		375		231,940
Series 2007-10, Class A22, 6.00%, 7/25/37		771		646,481
Credit Suisse Mortgage Capital Certificates:
Series 2011-2R, Class 2A1, 5.25%, 7/25/36		1,745		1,582,889
Series 2011-2R, Class 2A1, 4.58%, 7/27/36 (a)(b)		1,715		1,555,676
Series 2011-4R, Class 1A1, 5.69%, 5/27/36 (a)(b)		900		801,563
Series 2011-4R, Class 2A1, 5.17%, 5/27/36 (a)(b)		1,160		1,055,600
Series 2011-4R, Class 2A1, 6.25%, 9/25/37		900		801,563
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-0A1, Class A1, 0.46%, 2/25/47 (b)		293		193,331
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.14%, 6/19/35 (b)		1,564		1,547,745
GSR Mortgage Loan Trust (b):
Series 2005-AR4, Class 6A1, 5.25%, 7/25/35		2,715		2,644,912
Series 2006-AR1, Class 2A1, 2.81%, 1/25/36		751		645,715
Harborview Mortgage Loan Trust, Series 2005-8, Class 1A2A, 0.59%, 9/19/35 (b)		99		70,433
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.44%, 12/25/36 (b)		737		573,870
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37		1,100		964,887
JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.75%, 3/25/37		651		560,013
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 3.78%, 5/25/36 (b)		772		589,746

| Non-Agency Mortgage-Backed
Securities | Par (000) | | Value |
| --- | --- | --- | --- |
| Collateralized Mortgage Obligations (concluded) | | | |
| Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33 | USD | 2,739 | $ 2,976,030 |
| WaMu Mortgage Pass-Through Certificates, Series 2007-0A4, Class 1A, 1.10%, 5/25/47 (b) | | 419 | 295,653 |
| Wells Fargo Mortgage-Backed Securities Trust: | | | |
| Series 2006-3, Class A9, 5.50%, 3/25/36 | | 495 | 502,399 |
| Series 2006-AR4, Class 2A4, 5.66%, 4/25/36 (b) | | 300 | 289,338 |
| Series 2007-10, Class 1A21, 6.00%, 7/25/37 | | 239 | 237,403 |
| | | | 24,098,556 |
| Commercial Mortgage-Backed Securities 15.3% | | | |
| Banc of America Commercial Mortgage, Inc.: | | | |
| Series 2006-4, Class A4, 5.63%, 7/10/46 | | 420 | 456,014 |
| Series 2006-4, Class AM, 5.68%, 7/10/46 | | 250 | 262,516 |
| Series 2007-1, Class A4, 5.45%, 1/15/49 | | 1,520 | 1,619,758 |
| Series 2007-2, Class A4, 5.69%, 4/10/49 (b) | | 750 | 804,771 |
| Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, 5.69%, 6/11/50 (b) | | 870 | 941,924 |
| CS First Boston Mortgage Securities Corp., Series 2002-CP5, Class A2, 4.94%, 12/15/35 | | 2,970 | 3,107,716 |
| Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.10%, 12/10/49 (b) | | 2,020 | 2,219,230 |
| Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.01%, 12/10/49 (b) | | 1,515 | 1,655,382 |
| Commercial Mortgage Pass-Through Certificates, Series 2004-LB3A, Class A3, 5.09%, 7/10/37 (b) | | 990 | 995,673 |
| Credit Suisse Mortgage Capital Certificates (b): | | | |
| Series 2006-C3, Class AM, 5.83%, 6/15/38 | | 1,000 | 1,054,967 |
| Series 2010-RR2, Class 2A, 5.80%, 9/15/39 (a) | | 1,010 | 1,098,384 |
| Extended Stay America Trust, Series 2010-ESHA (a): | | | |
| Class A, 2.95%, 11/05/27 | | 2,534 | 2,513,513 |
| Class C, 4.86%, 11/05/27 | | 1,005 | 1,042,587 |
| First Union-Lehman Brothers-Bank of America, Series 1998-C2, Class D, 6.78%, 11/18/35 | | 2,630 | 2,726,039 |
| GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35 | | 2,228 | 2,308,132 |
| GMAC Commercial Mortgage Securities, Inc.: | | | |
| Series 2002-C3, Class A2, 4.93%, 7/10/39 | | 2,580 | 2,696,233 |
| Series 2004-C3, Class A4, 4.55%, 12/10/41 | | 2,475 | 2,503,560 |
| GS Mortgage Securities Corp. II, Series 2010-C2, Class C, 5.23%, 12/10/43 (a)(b) | | 900 | 908,863 |
| JPMorgan Chase Commercial Mortgage Securities Corp.: | | | |
| Series 2001-C1, Class A3, 5.86%, 10/12/35 | | 1,712 | 1,728,184 |
| Series 2004-CBX, Class A4, 4.53%, 1/12/37 | | 2,380 | 2,412,230 |
| Series 2006-CB14, Class AM, 5.45%, 12/12/44 (b) | | 330 | 343,812 |
| Series 2006-CB16, Class AJ, 5.62%, 5/12/45 | | 720 | 702,101 |
| Series 2007-CB19, Class A4, 5.74%, 2/12/49 (b) | | 645 | 694,704 |
| LB-UBS Commercial Mortgage Trust (b): | | | |
| Series 2004-C4, Class A3, 5.11%, 6/15/29 | | 2,040 | 2,120,142 |
| Series 2007-C6, Class A4, 5.86%, 7/15/40 | | 825 | 890,786 |
| Series 2007-C7, Class A3, 5.87%, 9/15/45 | | 700 | 755,432 |
| Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A3, 4.47%, 10/12/41 (b) | | 4,280 | 4,334,388 |
| Morgan Stanley Capital I, Series 2005-T17, Class A4, 4.52%, 12/13/41 | | 2,663 | 2,701,093 |
| Wachovia Bank Commercial Mortgage Trust: | | | |
| Series 2005-C21, Class A3, 5.20%, 10/15/44 (b) | | 161 | 164,439 |
| Series 2006-C28, Class A2, 5.50%, 10/15/48 | | 7,374 | 7,475,237 |
| Series 2007-C33, Class A4, 5.90%, 2/15/51 (b) | | 2,035 | 2,198,179 |
| | | | 55,435,989 |

| See Notes to Financial
Statements. — 74 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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 |
| --- | --- | --- | --- | --- |
| Interest
Only Collateralized Mortgage Obligations 0.0% | | | | |
| Collateralized Mortgage Obligation Trust, Series 42, Class R, 6,000.00%, 10/01/14 | USD | | (j) | $ 226 |
| GSMPS Mortgage Loan Trust, Series 1998-5, Class IO, 0.97%, 6/19/27 (a)(b) | | 2,585 | | 67,864 |
| Salomon Brothers Mortgage Securities VII, Inc., Series 2000-1, Class IO, 0.49%, 3/25/22 (b) | | 360 | | 1,605 |
| | | | | 69,695 |
| Interest
Only Commercial Mortgage-Backed Securities 0.0% | | | | |
| Morgan Stanley Capital I, Series 1997-HF1, Class X, 3.44%, 7/15/29 (a)(b) | | 7 | | 2 |
| Total Non-Agency Mortgage-Backed Securities 22.0% | | | | 79,604,242 |
| Other
Interests (k) | | Beneficial Interest (000) | | |
| Health Care Providers & Services 0.0% | | | | |
| Critical Care Systems International, Inc. | | 2 | | 191 |
| Total Other Interests 0.0% | | | | 191 |
| Preferred Securities | | | | |
| Capital
Trusts | | Par (000) | | |
| Insurance 0.8% | | | | |
| The Allstate Corp., 6.50%, 5/15/67 (b) | | 2,150 | | 2,206,437 |
| Lincoln National Corp., 6.05%, 4/20/67 (b) | | 750 | | 717,225 |
| Total Capital Trusts 0.8% | | | | 2,923,662 |
| Preferred
Stocks | | Shares | | |
| Media 0.0% | | | | |
| CMP Susquehanna Radio Holdings Corp., 0.00% (a)(b)(c) | | 12,873 | | |
| Thrifts & Mortgage Finance 0.1% | | | | |
| Fannie Mae, 8.25% (c) | | 10,000 | | 19,500 |
| Fannie Mae, Series O, 0.00% (c) | | 40,000 | | 128,000 |
| Freddie Mac, Series Z, 8.38% (c) | | 94,539 | | 183,406 |
| Total Preferred Stocks 0.1% | | | | 330,906 |
| Total Preferred Securities 0.9% | | | | 3,254,568 |
| Taxable
Municipal Bonds | | Par (000) | | |
| City of Chicago Illinois, RB, Build America Bonds, 6.40%, 1/01/40 | USD | 250 | | 240,293 |
| East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40 | | 950 | | 953,078 |
| Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40 | | 1,260 | | 1,291,651 |

Taxable Municipal Bonds — Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39	Par (000) — 670	$	Value — 764,470
New York City Municipal Water Finance Authority, RB:
Build America Bonds, 5.72%, 6/15/42	690		676,545
Second General Resolution, Series EE, 5.38%, 6/15/43	385		390,386
Second General Resolution, Series EE, 5.50%, 6/15/43	465		477,722
New York State Dormitory Authority, RB, Build America Bonds:
5.63%, 3/15/39	550		540,447
5.60%, 3/15/40	950		896,762
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29	395		403,892
State of California, GO:
Build America Bonds, 7.30%, 10/01/39	1,100		1,157,343
Build America Bonds, 7.35%, 11/01/39	540		571,509
Build America Bonds, Various Purpose, 7.50%, 4/01/34	360		389,113
Various Purpose, Series 3, 5.45%, 4/01/15	2,475		2,613,897
University of California, RB, Build America Bonds, 5.95%, 5/15/45	440		407,158
Total Taxable Municipal Bonds 3.3%			11,774,266
U.S.
Government Sponsored Agency Securities
Agency Obligations 3.7%
Fannie Mae (d):
6.45%, 10/09/19 (l)	6,125		4,086,288
5.63%, 7/15/37 (e)	825		921,670
Federal Home Loan Banks:
5.25%, 12/09/22	700		772,998
5.37%, 9/09/24 (m)	1,100		1,219,854
Federal Housing Administration, Merrill Projects:
Series 29, 7.43%, 10/01/20	42		41,978
Series 42, 7.43%, 9/25/22	41		40,990
Federal Housing Administration, Westmore Project, 7.25%, 4/01/21	1,372		1,372,348
Resolution Funding Corp., 8.57%, 4/15/30 (l)	6,055		2,429,781
Tennessee Valley Authority, 5.25%, 9/15/39 (d)	2,405		2,518,752
			13,404,659
Collateralized Mortgage Obligations 0.3%
Fannie Mae Mortgage-Backed Securities:
Series 1991-46, Class S, 1,402.63%, 5/25/21 (b)		(j)	2,783
Series 1991-87, Class S, 25.94%, 8/25/21 (b)	28		41,939
Series 2005-5, Class PK, 5.00%, 12/25/34	1,107		1,178,750
Series G-7, Class S, 116.20%, 3/25/21 (b)		(j)	1,780
Series G-17, Class S, 580.11%, 6/25/21 (b)		(j)	2,546
Series G-33, Class PV, 1,078.42%, 10/25/21		(j)	3,219
Series G-49, Class S, 5.55%, 12/25/21 (b)		(j)	1,092
Freddie Mac Mortgage-Backed Securities:
Series 19, Class R, 9,757.35%, 3/15/20 (b)		(j)	741
Series 75, Class R, 9.50%, 1/15/21		(j)	1
Series 75, Class RS, 22.67%, 1/15/21 (b)		(j)	1
Series 173, Class R, 9.00%, 11/15/21		(j)	7
Series 173, Class RS, 9.19%, 11/15/21 (b)		(j)	7
Series 1057, Class J, 1,008.00%, 3/15/21		(j)	1,163
			1,234,029

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 75 |
| --- | --- | --- |

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

| U.S. Government Sponsored Agency
Securities | | Par (000) | | |
| --- | --- | --- | --- | --- |
| Federal
Deposit Insurance Corporation Guaranteed 0.7% | | | | |
| General Electric Capital
Corp.: | | | | |
| 2.00%, 9/28/12 (d) | USD | 1,850 | $ | 1,891,092 |
| 2.13%, 12/21/12 | | 525 | | 538,214 |
| | | | | 2,429,306 |
| Interest
Only Collateralized Mortgage Obligations 0.1% | | | | |
| Fannie Mae Mortgage-Backed
Securities: | | | | |
| Series 7, Class 2, 8.50%, 4/01/17 | | 2 | | 378 |
| Series 89, Class 2, 8.00%, 10/01/18 | | 4 | | 580 |
| Series 94, Class 2, 9.50%, 8/01/21 | | 2 | | 350 |
| Series 1990-123, Class M, 1,009.50%, 10/25/20 | | | (j) | 279 |
| Series 1990-136, Class S, 19.80%, 11/25/20 (b) | | 6 | | 9,391 |
| Series 1991-38, Class N, 1,008.50%, 4/25/21 | | | (j) | 1 |
| Series 1991-99, Class L, 930.00%, 8/25/21 | | | (j) | 1,327 |
| Series 1991-139, Class PT, 648.30%, 10/25/21 | | | (j) | 1,241 |
| Series 1997-50, Class SI, 1.20%, 4/25/23 (b) | | 190 | | 6,560 |
| Series G-10, Class S, 575.40%, 5/25/21 (b) | | | (j) | 5,457 |
| Series G-12, Class S, 608.10%, 5/25/21 (b) | | | (j) | 4,256 |
| Series G92-5, Class H, 9.00%, 1/25/22 | | 37 | | 5,553 |
| Freddie Mac Mortgage-Backed
Securities: | | | | |
| Series 176, Class M, 1,010.00%, 7/15/21 | | | (j) | 362 |
| Series 200, Class R, 98,522.80%, 12/15/22 (b) | | | (j) | 7 |
| Series 1043, Class H, 21.94%, 2/15/21 (b) | | 4 | | 8,703 |
| Series 1054, Class I, 435.30%, 3/15/21 (b) | | | (j) | 639 |
| Series 1056, Class KD, 1,084.50%, 3/15/21 | | | (j) | 750 |
| Series 1148, Class E, 592.50%, 10/15/21 (b) | | | (j) | 2,593 |
| Series 1254, Class Z, 8.50%, 4/15/22 | | 76 | | 16,167 |
| Series 2611, Class QI, 5.50%, 9/15/32 | | 2,405 | | 317,147 |
| | | | | 381,741 |
| Mortgage-Backed
Securities 58.1% | | | | |
| Fannie Mae Mortgage-Backed
Securities (n): | | | | |
| 4.00%, 3/15/41 | | 46,700 | | 46,209,553 |
| 4.50%, 3/15/41 | | 38,100 | | 38,851,279 |
| 5.00%, 2/15/41 4/15/41 | | 52,100 | | 54,509,738 |
| 5.50%, 12/01/13 4/15/41 | | 40,004 | | 42,731,945 |
| 6.00%, 3/01/16 3/15/41 | | 26,106 | | 28,404,082 |
| Freddie Mac Mortgage-Backed Securities, 4.50%, 3/15/41 (n) | | 100 | | 101,828 |
| Ginnie Mae Mortgage-Backed Securities, 8.00%, 4/15/24 6/15/25 | | 20 | | 24,043 |
| | | | | 210,832,468 |
| Principal
Only Collateralized Mortgage Obligations 0.0% | | | | |
| Fannie Mae Mortgage-Backed
Securities: | | | | |
| Series 203, Class 1, 2/01/23 | | 11 | | 9,463 |
| Series 228, Class 1, 6/01/23 | | 7 | | 6,332 |
| Series 1993-51, Class E, 2/25/23 | | 35 | | 31,264 |
| Series 1993-70, Class A, 5/25/23 | | 5 | | 4,701 |
| Freddie Mac Mortgage-Backed Securities, Series 1739, Class B, 2/15/24 | | 24 | | 23,342 |
| | | | | 75,102 |
| Total U.S.
Government Sponsored Agency Securities 62.9% | | | | 228,357,305 |

U.S. Treasury Obligations		Par (000)	Value
U.S. Treasury Bonds (d):
8.13%, 8/15/21	USD	1,550	$ 2,189,617
8.00%, 11/15/21		7,065	9,916,392
6.25%, 8/15/23		4,990	6,227,365
3.50%, 2/15/39		2,865	2,409,287
4.38%, 5/15/40		8,225	8,063,050
3.88%, 8/15/40		1,335	1,198,579
4.25%, 11/15/40		12,900	12,373,925
4.75%, 2/15/41		4,855	5,062,852
U.S. Treasury Notes:
0.63%, 1/31/13 (d)		9,700	9,695,072
0.50%, 10/15/13 (d)		2,745	2,710,687
1.25%, 2/15/14 (d)		1,855	1,859,638
2.00%, 1/31/16 (d)		8,495	8,454,513
2.63%, 1/31/18 (d)		2,595	2,566,009
2.63%, 8/15/20		1,105	1,038,700
2.63%, 11/15/20 (d)		15,229	14,248,165
3.63%, 2/15/21 (d)		3,520	3,582,149
4.25%, 5/15/39 (d)		2,770	2,665,261
Total U.S.
Treasury Obligations 26.0%			94,261,261
Warrants (o)		Shares
Media
0.0%
CMP Susquehanna Radio Holdings Corp. (Expires 3/26/19) (a)		14,710
Software
0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)		101	1
Total
Warrants 0.0%			1
Total
Long-Term Investments (Cost $706,365,317) 199.1%			721,538,766
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (p)(q)		6,527,500	6,527,500
Total
Short-Term Securities (Cost $6,527,500) 1.8%			6,527,500
Options Purchased		Contracts
Exchange-Traded
Call Options 0.0%
Ten-Year U.S. Treasury Bond, Strike Price USD 120.50, Expires 5/20/11		98	93,406
Exchange-Traded
Put Options 0.1%
Ten-Year U.S. Treasury Bond, Strike Price USD 117.50, Expires 3/25/11		71	26,625
Eurodollar 1-Year Mid-Curve Options, Strike Price USD 98.25, Expires 9/16/11		265	175,562
			202,187

| See Notes to Financial
Statements. — 76 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Options Purchased	Notional Amount (000)		Value
Over-the-Counter Call Swaptions 0.8%
Receive a fixed rate of 4.22% and pay a floating rate based on 3-month LIBOR, Expires 4/29/11, Broker Credit Suisse International	USD	4,500	$ 242,224
Receive a fixed rate of 3.65% and pay a floating rate based on 3-month LIBOR, Expires 5/05/11, Broker Credit Suisse International		5,600	96,277
Receive a fixed rate of 4.01% and pay a floating rate based on 3-month LIBOR, Expires 5/16/11, Broker Goldman Sachs Bank USA		6,000	229,883
Receive a fixed rate of 3.86% and pay a floating rate based on 3-month LIBOR, Expires 5/19/11, Broker JPMorgan Chase Bank NA		10,700	306,334
Receive a fixed rate of 3.00% and pay a floating rate based on 3-month LIBOR, Expires 9/02/11, Broker UBS AG		5,000	21,333
Receive a fixed rate of 3.12% and pay a floating rate based on 3-month LIBOR, Expires 11/08/11, Broker Deutsche Bank AG		3,000	21,765
Receive a fixed rate of 3.54% and pay a floating rate based on 3-month LIBOR, Expires 12/01/11, Broker Citibank NA		6,500	113,658
Receive a fixed rate of 3.63% and pay a floating rate based on 3-month LIBOR, Expires 12/02/11, Broker Deutsche Bank AG		3,100	63,911
Receive a fixed rate of 3.99% and pay a floating rate based on 3-month LIBOR, Expires 1/12/12, Broker UBS AG		1,700	59,531
Receive a fixed rate of 1.76% and pay a floating rate based on 3-month LIBOR, Expires 1/26/12, Broker Deutsche Bank AG		9,300	61,470
Receive a fixed rate of 4.29% and pay a floating rate based on 3-month LIBOR, Expires 2/06/12, Broker UBS AG		2,100	104,266
Receive a fixed rate of 4.33% and pay a floating rate based on 3-month LIBOR, Expires 2/07/12, Broker Goldman Sachs Bank USA		2,100	108,757
Receive a fixed rate of 4.39% and pay a floating rate based on 3-month LIBOR, Expires 5/08/12, Broker Citibank NA		2,300	120,531
Receive a fixed rate of 3.89% and pay a floating rate based on 3-month LIBOR, Expires 7/09/12, Broker Goldman Sachs Bank USA		4,200	124,617
Receive a fixed rate of 3.93% and pay a floating rate based on 3-month LIBOR, Expires 7/16/12, Broker Goldman Sachs Bank USA		4,700	146,009
Receive a fixed rate of 3.70% and pay a floating rate based on 3-month LIBOR, Expires 8/03/12, Broker Credit Suisse International		4,700	111,208
Receive a fixed rate of 3.30% and pay a floating rate based on 3-month LIBOR, Expires 10/22/12, Broker JPMorgan Chase Bank NA		4,000	57,019
Receive a fixed rate of 3.46% and pay a floating rate based on 3-month LIBOR, Expires 10/22/12, Broker UBS AG		5,500	96,396
Receive a fixed rate of 3.81% and pay a floating rate based on 3-month LIBOR, Expires 9/17/13, Broker Citibank NA		1,400	37,306
Receive a fixed rate of 3.88% and pay a floating rate based on 3-month LIBOR, Expires 10/28/13, Broker Deutsche Bank AG		1,600	45,792
Receive a fixed rate of 5.20% and pay a floating rate based on 3-month LIBOR, Expires 4/28/15, Broker Citibank NA		9,300	661,248
			2,829,535

Options Purchased	Notional Amount (000)		Value
Over-the-Counter
Put Options 0.0%
EUR Put Option, Strike Price USD 86.00, Expires 5/20/11, Broker Deutsche Bank AG	USD	2,915	$ 10,436
JPY Put Option, Strike Price USD 1.32, Expires 5/19/11, Broker Citibank NA		12,730	121,035
			131,471
Over-the-Counter
Put Swaptions 1.1%
Pay a fixed rate of 4.22% and receive a floating rate based on 3-month LIBOR, Expires 4/29/11, Broker Credit Suisse International		4,500	9,980
Pay a fixed rate of 4.02% and receive a floating rate based on 3-month LIBOR, Expires 5/05/11, Broker Credit Suisse International		9,100	46,298
Pay a fixed rate of 4.01% and receive a floating rate based on 3-month LIBOR, Expires 5/16/11, Broker Goldman Sachs Bank USA		6,000	39,250
Pay a fixed rate of 3.86% and receive a floating rate based on 3-month LIBOR, Expires 5/19/11, Broker JPMorgan Chase Bank NA		10,700	111,360
Pay a fixed rate of 3.00% and receive a floating rate based on 3-month LIBOR, Expires 9/02/11, Broker UBS AG		5,000	358,717
Pay a fixed rate of 3.12% and receive a floating rate based on 3-month LIBOR, Expires 11/08/11, Broker Deutsche Bank AG		3,000	216,492
Pay a fixed rate of 3.54% and receive a floating rate based on 3-month LIBOR, Expires 12/01/11, Broker Citibank NA		6,500	323,870
Pay a fixed rate of 3.63% and receive a floating rate based on 3-month LIBOR, Expires 12/02/11, Broker Deutsche Bank AG		3,100	139,605
Pay a fixed rate of 3.99% and receive a floating rate based on 3-month LIBOR, Expires 1/12/12, Broker UBS AG		1,700	57,834
Pay a fixed rate of 1.76% and receive a floating rate based on 3-month LIBOR, Expires 1/26/12, Broker Deutsche Bank AG		9,300	75,871
Pay a fixed rate of 2.50% and receive a floating rate based on 3-month LIBOR, Expires 1/26/12, Broker Deutsche Bank AG		4,400	17,401
Pay a fixed rate of 4.29% and receive a floating rate based on 3-month LIBOR, Expires 2/06/12, Broker UBS AG		2,100	54,748
Pay a fixed rate of 4.33% and receive a floating rate based on 3-month LIBOR, Expires 2/07/12, Broker UBS AG		2,100	52,458
Pay a fixed rate of 4.39% and receive a floating rate based on 3-month LIBOR, Expires 5/08/12, Broker Citibank NA		2,300	71,660
Pay a fixed rate of 3.89% and receive a floating rate based on 3-month LIBOR, Expires 7/09/12, Broker Goldman Sachs Bank USA		4,200	237,206
Pay a fixed rate of 3.93% and receive a floating rate based on 3-month LIBOR, Expires 7/16/12, Broker Goldman Sachs Bank USA		4,700	259,789
Pay a fixed rate of 3.70% and receive a floating rate based on 3-month LIBOR, Expires 8/03/12, Broker Credit Suisse International		4,700	319,991
Pay a fixed rate of 3.46% and receive a floating rate based on 3-month LIBOR, Expires 10/22/12, Broker UBS AG		5,500	489,653
Pay a fixed rate of 3.30% and receive a floating rate based on 3-month LIBOR, Expires 10/22/12, Broker JPMorgan Chase Bank NA		4,000	393,370

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 77 |
| --- | --- | --- |

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

Options Purchased	Notional Amount (000)		Value
Over-the-Counter Put Swaptions (concluded)
Pay a fixed rate of 3.81% and receive a floating rate based on 3-month LIBOR, Expires 9/17/13, Broker Citibank NA	USD	1,400	$ 130,147
Pay a fixed rate of 3.88% and receive a floating rate based on 3-month LIBOR, Expires 10/28/13, Broker Deutsche Bank AG		1,600	145,958
Pay a fixed rate of 5.20% and receive a floating rate based on 3-month LIBOR, Expires 4/28/15, Broker Citibank NA		9,300	533,684
			4,085,342
Total Options Purchased (Cost $8,738,783) 2.0%			7,341,941
Total Investments Before TBA Sale Commitments and Outstanding Options Written (Cost $721,631,600*) 202.9%			735,408,207

| TBA
Sale Commitments | | | |
| --- | --- | --- | --- |
| Fannie Mae Mortgage-Backed Securities: | | | |
| 4.00%, 3/15/41 | 34,100 | (33,620,486 | ) |
| 4.50%, 3/15/41 | 28,600 | (29,149,663 | ) |
| 5.00%, 2/15/41 4/15/41 | 47,000 | (49,169,880 | ) |
| 5.50%, 12/01/13 4/15/41 | 34,200 | (36,529,184 | ) |
| 6.00%, 3/01/16 3/15/41 | 32,000 | (34,746,082 | ) |
| Total TBA
Sale Commitments (Proceeds $182,488,008) (50.5)% | | (183,215,295 | ) |

| Options
Written | | | |
| --- | --- | --- | --- |
| Exchange-Traded Call Options (0.1)% | | | |
| 10-Year U.S. Treasury Bond: | | | |
| Strike Price USD 122.50, Expires 5/20/11 | 98 | (39,813 | ) |
| Strike Price USD 121.50, Expires 5/20/11 | 98 | (62,781 | ) |
| | | (102,594 | ) |
| Exchange-Traded Put Options (0.0)% | | | |
| Eurodollar 1-Year Mid-Curve Options, Strike Price USD 97.75, Expires 9/16/11 | 265 | (92,750 | ) |

	Notional Amount (000)
Over-the-Counter Call Swaptions (1.2)%
Pay a fixed rate of 4.06% and receive a floating rate based on 3-month LIBOR, Expires 5/12/11, Broker Royal Bank of Scotland Plc	USD	6,800	(286,459	)
Pay a fixed rate of 4.06% and receive a floating rate based on 3-month LIBOR, Expires 5/13/11, Broker BNP Paribas SA		3,500	(146,820	)
Pay a fixed rate of 3.86% and receive a floating rate based on 3-month LIBOR, Expires 6/02/11, Broker UBS AG		5,000	(145,657	)

| Options
Written | Notional Amount (000) | | Value | |
| --- | --- | --- | --- | --- |
| Over-the-Counter Call Swaptions (continued) | | | | |
| Pay a fixed rate of 3.82% and receive a floating rate based on 3-month LIBOR, Expires 12/08/11, Broker JPMorgan Chase Bank NA | USD | 3,200 | $ (89,139 | ) |
| Pay a fixed rate of 3.83% and receive a floating rate based on 3-month LIBOR, Expires 12/12/11, Broker JPMorgan Chase Bank NA | | 2,300 | (64,772 | ) |
| Pay a fixed rate of 3.85% and receive a floating rate based on 3-month LIBOR, Expires 12/12/11, Broker UBS AG | | 1,300 | (38,141 | ) |
| Pay a fixed rate of 3.95% and receive a floating rate based on 3-month LIBOR, Expires 12/13/11, Broker Goldman Sachs Bank USA | | 2,000 | (67,260 | ) |
| Pay a fixed rate of 4.00% and receive a floating rate based on 3-month LIBOR, Expires 1/05/12, Broker JPMorgan Chase Bank NA | | 3,000 | (106,829 | ) |
| Pay a fixed rate of 4.02% and receive a floating rate based on 3-month LIBOR, Expires 2/02/12, Broker Goldman Sachs Bank USA | | 2,800 | (100,718 | ) |
| Pay a fixed rate of 4.02% and receive a floating rate based on 3-month LIBOR, Expires 2/02/12, Broker UBS AG | | 3,500 | (126,693 | ) |
| Pay a fixed rate of 2.08% and receive a floating rate based on 3-month LIBOR, Expires 2/07/12, Broker Goldman Sachs Bank USA | | 9,200 | (95,982 | ) |
| Pay a fixed rate of 4.14% and receive a floating rate based on 3-month LIBOR, Expires 6/15/12, Broker Deutsche Bank AG | | 3,500 | (139,282 | ) |
| Pay a fixed rate of 4.05% and receive a floating rate based on 3-month LIBOR, Expires 6/18/12, Broker Deutsche Bank AG | | 3,500 | (126,281 | ) |
| Pay a fixed rate of 3.83% and receive a floating rate based on 3-month LIBOR, Expires 7/30/12, Broker Citibank NA | | 1,700 | (47,122 | ) |
| Pay a fixed rate of 3.77% and receive a floating rate based on 3-month LIBOR, Expires 11/23/12, Broker UBS AG | | 3,300 | (84,998 | ) |
| Pay a fixed rate of 3.86% and receive a floating rate based on 3-month LIBOR, Expires 11/23/12, Broker Deutsche Bank AG | | 4,600 | (129,889 | ) |
| Pay a fixed rate of 4.03% and receive a floating rate based on 3-month LIBOR, Expires 12/06/12, Broker UBS AG | | 2,000 | (67,904 | ) |
| Pay a fixed rate of 4.90% and receive a floating rate based on 3-month LIBOR, Expires 3/04/13, Broker Deutsche Bank AG | | 4,800 | (337,450 | ) |
| Pay a fixed rate of 4.92% and receive a floating rate based on 3-month LIBOR, Expires 3/05/13, Broker Deutsche Bank AG | | 3,300 | (236,180 | ) |
| Pay a fixed rate of 5.00% and receive a floating rate based on 3-month LIBOR, Expires 4/22/13, Broker JPMorgan Chase Bank NA | | 6,000 | (446,584 | ) |
| Pay a fixed rate of 4.32% and receive a floating rate based on 3-month LIBOR, Expires 5/28/13, Broker Royal Bank of Scotland Plc | | 500 | (21,535 | ) |
| Pay a fixed rate of 4.07% and receive a floating rate based on 3-month LIBOR, Expires 7/08/13, Broker Deutsche Bank AG | | 1,700 | (58,418 | ) |
| Pay a fixed rate of 4.06% and receive a floating rate based on 3-month LIBOR, Expires 7/15/13, Broker Credit Suisse International | | 2,600 | (88,458 | ) |
| 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 | | 9,200 | (620,266 | ) |

See Notes to Financial Statements. — 78	SEMI-ANNUAL REPORT	FEBRUARY 28, 2011

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

Options Written	Notional Amount (000)		Value
Over-the-Counter Call Swaptions (concluded)
Pay a fixed rate of 3.44% and receive a floating rate based on 6-month EURIBOR, Expires 10/21/13, Broker Deutsche Bank AG	EUR	1,300	$ (684	)
Pay a fixed rate of 4.76% and receive a floating rate based on 3-month LIBOR, Expires 1/27/14, Broker Royal Bank of Scotland Plc	USD	1,000	(57,902	)
Pay a fixed rate of 5.08% and receive a floating rate based on 3-month LIBOR, Expires 2/10/14, Broker Bank of America NA		3,500	(249,986	)
Pay a fixed rate of 5.11% and receive a floating rate based on 3-month LIBOR, Expires 2/10/14, Broker Citibank NA		3,800	(275,804	)
Pay a fixed rate of 4.84% and receive a floating rate based on 3-month LIBOR, Expires 12/02/14, Broker JPMorgan Chase Bank NA		2,600	(150,947	)
			(4,408,160	)
Over-the-Counter Put Swaptions (1.2)%
Receive a fixed rate of 1.80% and pay a floating rate based on 3-month LIBOR, Expires 3/02/11, Broker Royal Bank of Scotland Plc		13,900	(366,111	)
Receive a fixed rate of 2.15% and pay a floating rate based on 3-month LIBOR, Expires 4/26/11, Broker Deutsche Bank AG		3,700	(64,791	)
Receive a fixed rate of 4.06% and pay a floating rate based on 3-month LIBOR, Expires 5/12/11, Broker Royal Bank of Scotland Plc		6,800	(35,210	)
Receive a fixed rate of 4.06% and pay a floating rate based on 3-month LIBOR, Expires 5/13/11, Broker BNP Paribas SA		3,500	(18,610	)
Receive a fixed rate of 3.86% and pay a floating rate based on 3-month LIBOR, Expires 6/02/11, Broker UBS AG		5,000	(60,879	)
Receive a fixed rate of 3.82% and pay a floating rate based on 3-month LIBOR, Expires 12/08/11, Broker JPMorgan Chase Bank NA		3,200	(118,383	)
Receive a fixed rate of 3.83% and pay a floating rate based on 3-month LIBOR, Expires 12/12/11, Broker JPMorgan Chase Bank NA		2,300	(85,302	)
Receive a fixed rate of 3.85% and pay a floating rate based on 3-month LIBOR, Expires 12/12/11, Broker UBS AG		1,300	(46,681	)
Receive a fixed rate of 3.95% and pay a floating rate based on 3-month LIBOR, Expires 12/13/11, Broker Goldman Sachs Bank USA		2,000	(64,300	)
Receive a fixed rate of 4.00% and pay a floating rate based on 3-month LIBOR, Expires 1/05/12, Broker JPMorgan Chase Bank NA		3,000	(98,522	)
Receive a fixed rate of 4.02% and pay a floating rate based on 3-month LIBOR, Expires 2/02/12, Broker Goldman Sachs Bank USA		2,800	(98,545	)
Receive a fixed rate of 4.02% and pay a floating rate based on 3-month LIBOR, Expires 2/02/12, Broker UBS AG		3,500	(122,512	)
Receive a fixed rate of 2.08% and pay a floating rate based on 3-month LIBOR, Expires 2/07/12, Broker Goldman Sachs Bank USA		9,200	(58,283	)
Receive a fixed rate of 4.14% and pay a floating rate based on 3-month LIBOR, Expires 6/15/12, Broker Deutsche Bank AG		3,500	(151,880	)
Receive a fixed rate of 4.05% and pay a floating rate based on 3-month LIBOR, Expires 6/18/12, Broker Deutsche Bank AG		3,500	(165,142	)

| Options
Written | Notional Amount (000) | | Value | |
| --- | --- | --- | --- | --- |
| Over-the-Counter Put Swaptions (concluded) | | | | |
| Receive a fixed rate of 3.83% and pay a floating rate based on 3-month LIBOR, Expires 7/30/12, Broker Citibank NA | USD | 1,700 | $ (103,849 | ) |
| Receive a fixed rate of 3.77% and pay a floating rate based on 3-month LIBOR, Expires 11/23/12, Broker UBS AG | | 3,300 | (245,375 | ) |
| Receive a fixed rate of 3.86% and pay a floating rate based on 3-month LIBOR, Expires 11/23/12, Broker Deutsche Bank AG | | 4,600 | (322,745 | ) |
| Receive a fixed rate of 4.03% and pay a floating rate based on 3-month LIBOR, Expires 12/06/12, Broker UBS AG | | 2,000 | (125,738 | ) |
| Receive a fixed rate of 4.90% and pay a floating rate based on 3-month LIBOR, Expires 3/04/13, Broker Deutsche Bank AG | | 4,800 | (177,227 | ) |
| Receive a fixed rate of 4.92% and pay a floating rate based on 3-month LIBOR, Expires 3/05/13, Broker Deutsche Bank AG | | 3,300 | (119,714 | ) |
| Receive a fixed rate of 5.00% and pay a floating rate based on 3-month LIBOR, Expires 4/22/13, Broker JPMorgan Chase Bank NA | | 6,000 | (220,149 | ) |
| Receive a fixed rate of 4.32% and pay a floating rate based on 3-month LIBOR, Expires 5/28/13, Broker Royal Bank of Scotland Plc | | 500 | (31,169 | ) |
| Receive a fixed rate of 4.07% and pay a floating rate based on 3-month LIBOR, Expires 7/08/13, Broker Deutsche Bank AG | | 1,700 | (128,711 | ) |
| Receive a fixed rate of 4.06% and pay a floating rate based on 3-month LIBOR, Expires 7/15/13, Broker Credit Suisse International | | 2,600 | (199,177 | ) |
| 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 | | 9,200 | (136,384 | ) |
| Receive a fixed rate of 3.44% and pay a floating rate based on 6-month EURIBOR, Expires 10/21/13, Broker Deutsche Bank AG | EUR | 1,300 | (504 | ) |
| Receive a fixed rate of 4.76% and pay a floating rate based on 3-month LIBOR, Expires 1/27/14, Broker Royal Bank of Scotland Plc | USD | 1,000 | (57,495 | ) |
| Receive a fixed rate of 5.08% and pay a floating rate based on 3-month LIBOR, Expires 2/10/14, Broker Bank of America NA | | 3,500 | (166,547 | ) |
| Receive a fixed rate of 5.11% and pay a floating rate based on 3-month LIBOR, Expires 2/10/14, Broker Citibank NA | | 3,800 | (177,947 | ) |
| Receive a fixed rate of 4.84% and pay a floating rate based on 3-month LIBOR, Expires 12/02/14, Broker JPMorgan Chase Bank NA | | 2,600 | (171,569 | ) |
| Receive a fixed rate of 4.47% and pay a floating rate based on 3-month LIBOR, Expires 8/05/15, Broker JPMorgan Chase Bank NA | | 7,900 | (364,095 | ) |
| | | | (4,303,546 | ) |
| Total
Options Written (Premiums Received $9,476,295) (2.5)% | | | (8,907,050 | ) |
| Total Investments, Net of TBA Sale Commitments and Options Written 149.9% | | | 543,285,862 | |
| Liabilities in Excess of Other Assets (49.9)% | | | (180,905,113 | ) |
| Net Assets 100.0% | | | $ 362,380,749 | |

See Notes to Financial Statements. — SEMI-ANNUAL REPORT	FEBRUARY 28, 2011	79

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

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:

Aggregate cost	$
Gross unrealized
appreciation	$ 24,422,660
Gross unrealized
depreciation	(11,252,753	)
Net unrealized appreciation	$ 13,169,907

Counterparty	Value	Unrealized Appreciation
Credit Suisse Securities
(USA) LLC	$ 416,556	$ 1,556

(j)	Amount is less than $1,000.
(k)	Other interests represent
beneficial interest in liquidation trusts and other reorganization entities
and are non-income producing.
(l)	Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date.
(m)	All or a
portion of security has been pledged as collateral in connection with open
financial futures contracts.
(n)	Represents or includes a
TBA transaction. Unsettled TBA transactions as of report date were as
follows:

Counterparty — Banque Nationale De Paris	Value — $ 1,157,810		Unrealized Appreciation (Depreciation) — $ 2,810
Citigroup Global Markets Inc.	$ (2,723,970	)	$ (89,735	)
Credit Suisse Securities (USA) LLC	$ 12,397,500		$ 141,187
Deutsche Bank Securities, Inc.	$ (29,371,435	)	$ 28,674
Goldman Sachs & Co.	$ (40,359	)	$ 82,071
Greenwich Financial Services	$ 4,220,505		$ 51,161
JPMorgan	$ 2,267,657		$ 27,204
Morgan Stanley & Co., Inc.	$ (44,682	)	$ (854	)
Nomura Securities International, Inc.	$ 35,541,936		$ 468,467
UBS Securities	$ 884,780		$ 32,030

| (o) | 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. |
| --- | --- |
| (p) | 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		6,527,500	6,527,500	Income — $ 1,327

| (q) | Represents the current yield
as of report date. |
| --- | --- |
| | 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. This definition may not apply for purposes of
this report, which may combine such industry sub-classifications for
reporting ease. |
| | Reverse repurchase
agreements outstanding as of February 28, 2011 were as follows: |

| Counterparty — Barclays Capital, Inc. | 0.28% | 10/19/10 | Open | Net
Closing Amount — $ 6,335,509 | Face Amount — $ 6,328,962 |
| --- | --- | --- | --- | --- | --- |
| UBS Securities LLC | 0.38% | 11/3/10 | Open | 2,407,768 | 2,404,773 |
| UBS Securities LLC | 0.38% | 11/4/10 | Open | 3,174,541 | 3,170,625 |
| Credit Suisse Securities (USA) LLC | 0.40% | 11/22/10 | Open | 2,059,263 | 2,057,000 |
| Merrill Lynch | 0.00% | 12/13/10 | Open | 29,477,013 | 29,477,013 |
| Deutsche Bank, NA | 0.40% | 12/14/10 | Open | 2,501,826 | 2,499,687 |
| Deutsche Bank, NA | 0.40% | 12/16/10 | Open | 4,473,725 | 4,470,000 |
| Deutsche Bank, NA | 0.40% | 12/17/10 | Open | 5,629,876 | 5,625,250 |
| Credit Suisse Securities (USA) LLC | 0.40% | 12/22/10 | Open | 1,840,410 | 1,839,000 |
| UBS Securities LLC | 0.38% | 1/10/11 | Open | 11,656,215 | 11,650,066 |
| Credit Suisse Securities (USA) LLC | 0.26% | 1/19/11 | Open | 2,429,793 | 2,429,080 |
| BNP Paribas Securities Corp. | 0.21% | 1/21/11 | Open | 799,494 | 799,313 |
| Credit Suisse Securities (USA) LLC | 0.40% | 1/21/11 | Open | 1,631,707 | 1,631,000 |
| Deutsche Bank, NA | 0.40% | 1/26/11 | Open | 4,408,415 | 4,406,750 |
| Credit Suisse Securities (USA) LLC | 0.40% | 1/27/11 | Open | 7,703,355 | 7,700,531 |
| BNP Paribas Securities Corp. | 0.23% | 2/10/11 | 3/10/11 | 2,482,301 | 2,482,000 |
| Credit Suisse Securities (USA) LLC | 0.19% | 2/14/11 | 3/15/11 | 3,878,724 | 3,878,437 |
| Credit Suisse Securities (USA) LLC | 0.45% | 2/24/11 | 3/11/11 | 8,634,775 | 8,634,344 |
| Deutsche Bank, NA | 0.14% | 2/28/11 | 3/01/11 | 8,484,414 | 8,484,381 |
| Deutsche Bank, NA | 0.23% | 2/28/11 | 3/01/11 | 12,480,830 | 12,480,750 |
| BNP Paribas Securities Corp. | 0.15% | 2/28/11 | 3/01/11 | 1,857,326 | 1,857,319 |
| BNP Paribas Securities Corp. | 0.24% | 2/28/11 | 3/01/11 | 1,485,010 | 1,485,000 |
| Barclays Capital, Inc. | 0.18% | 2/28/11 | 3/01/11 | 9,700,049 | 9,700,000 |
| Credit Suisse Securities (USA) LLC | 0.03% | 2/28/11 | 3/01/11 | 3,118,640 | 3,118,638 |
| Credit Suisse Securities (USA) LLC | 0.18% | 2/28/11 | 3/01/11 | 14,352,933 | 14,352,861 |
| Credit Suisse Securities (USA) LLC | 0.19% | 2/28/11 | 3/01/11 | 5,297,197 | 5,297,169 |
| Total | | | | $ 158,301,109 | $ 158,259,949 |

See Notes to Financial Statements. — 80	SEMI-ANNUAL REPORT	FEBRUARY 28, 2011

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

Foreign currency exchange contracts as of February 28, 2011 were as follows:

Currency Purchased		Currency Sold		Counterparty	Unrealized Appreciation (Depreciation)
INR	82,506,550	USD	1,805,000	Goldman
Sachs Bank USA	3/01/11	$ 17,745
INR	249,144,150	USD	5,478,654	Morgan
Stanley & Co., Inc.	3/01/11	25,469
USD	5,427,731	INR	249,144,150	Morgan
Stanley & Co., Inc.	3/01/11	(76,392	)
USD	1,818,527	INR	82,506,550	Goldman
Sachs Bank USA	3/01/11	(4,218	)
EUR	4,335,000	USD	5,829,200	BNP
Paribas SA	3/03/11	152,808
EUR	2,405,000	USD	3,189,025	Citibank
NA	3/03/11	129,714
EUR	2,030,000	USD	2,669,912	Royal
Bank of Scotland	3/03/11	131,350
EUR	1,330,000	USD	1,780,954	UBS
AG	3/03/11	54,355
USD	1,773,131	EUR	1,350,000	BNP
Paribas SA	3/03/11	(89,778	)
USD	4,430,235	EUR	3,350,000	Citibank
NA	3/03/11	(192,539	)
USD	3,574,851	EUR	2,695,000	Deutsche
Bank AG	3/03/11	(144,068	)
USD	3,572,683	EUR	2,705,000	Goldman
Sachs Bank USA	3/03/11	(160,035	)
EUR	840,000	USD	1,132,236	Citibank
NA	3/23/11	26,617
USD	1,084,509	EUR	840,000	UBS
AG	3/23/11	(74,344	)
USD	832,260	GBP	533,500	Citibank
NA	4/14/11	(34,704	)
USD	429,150	GBP	267,000	Deutsche
Bank AG	4/14/11	(4,739	)
USD	450,577	GBP	279,500	UBS
AG	4/14/11	(3,624	)
USD	123,963	GBP	77,000	Royal
Bank of Scotland	4/14/11	(1,164	)
USD	3,020,964	EUR	2,207,500	Citibank
NA	4/27/11	(23,201	)
EUR	1,025,000	USD	1,404,948	Citibank
NA	5/06/11	8,368
USD	1,381,434	EUR	1,025,000	UBS
AG	5/06/11	(31,881	)
Total					$ (294,261	)

Financial futures contracts purchased as of February 28, 2011 were as follows:

Contracts		Exchange	Expiration	Notional Value	Unrealized Appreciation (Depreciation)
57	5-Year
U.S. Treasury Note	Chicago
Board of Trade	March 2011	$ 6,707,528	$ 11,348
1	Euro-Bund	Chicago Mercantile	March 2011	$ 172,240	(961	)
30	Euro-Dollar	Chicago Mercantile	March 2011	$ 7,463,033	13,342
57	2-Year
U.S. Treasury Bond	Chicago
Board of Trade	June 2011	$ 12,420,520	22,401
307	30-Year
U.S. Treasury Bond	Chicago
Board of Trade	June 2011	$ 36,818,338	127,194
Total					$ 173,324

Financial futures contracts sold as of February 28, 2011 were as follows:

Contracts	Issue	Exchange		Notional Value	Unrealized Depreciation
45	2-Year
U.S. Treasury Bond	Chicago
Board of Trade	March 2011	$ 9,853,971	$ (326	)
414	10-Year
U.S. Treasury Bond	Chicago
Board of Trade	March 2011	$ 49,464,855	(357,458	)
29	30-Year
Ultra U.S. Treasury Bond	Eurex	March 2011	$ 3,512,119	(114,693	)
406	5-Year
U.S. Treasury Bond	Chicago
Board of Trade	June 2011	$ 47,236,246	(240,379	)
102	10-Year
U.S. Treasury Note	Chicago
Board of Trade	June 2011	$ 12,004,231	(138,550	)
60	Euro-Dollar	Chicago Mercantile	December 2011	$ 14,836,350	(72,150	)
Total					$ (923,556	)

Credit default swaps on single-name issues buy protection outstanding as of February 28, 2011 were as follows:

| Issuer — Radian Group, Inc. | 5.00 % | Citibank
NA | 3/20/13 | Notional Amount (000) — $ 1,400 | Unrealized Appreciation (Depreciation) — $ (77,694 | ) |
| --- | --- | --- | --- | --- | --- | --- |
| Radian Group, Inc. | 5.00 % | Citibank
NA | 6/20/15 | $ 1,400 | (67,048 | ) |
| MGIC | 5.00 % | Citibank
NA | 12/20/15 | $ 840 | (41,442 | ) |
| Investment Corp. | | | | | | |
| Spain | 1.00 % | Citibank
NA | 3/20/16 | $ 936 | (2,742 | ) |
| (Kingdom of) | | | | | | |
| Spain | 1.00 % | JPMorgan | 3/20/16 | $ 4,682 | (6,637 | ) |
| (Kingdom of) | | Chase
Bank NA | | | | |
| The PMI | 5.00 % | Citibank
NA | 9/20/16 | $ 1,400 | 18,962 | |
| Group, Inc. | | | | | | |
| The New York | 1.00 % | Barclays
Bank Plc | 12/20/16 | $ 1,800 | (34,752 | ) |
| Times Co. | | | | | | |
| Total | | | | | $ (211,353 | ) |

Credit default swaps on traded indexes buy protection outstanding as of February 28, 2011 were as follows:

Index — Dow Jones	5.00 %	Morgan	12/20/15	Notional Amount (000) — $ 990	Unrealized Depreciation — $ (1,721	)
CDX Emerging		Stanley
Capital
Markets Series 14		Services,
Inc.
Dow Jones CDX	5.00 %	Credit
Suisse	12/20/15	$ 5,000	(35,389	)
North America		International
High Yield
Index Series 15
Total					$ (37,110	)

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 81 |
| --- | --- | --- |

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

Interest rate swaps outstanding as of February 28, 2011 were as follows:

Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
0.63% (a)	3-month
LIBOR	Credit
Suisse International	11/26/12	$ 23,200	$ 42,926
0.96% (a)	3-month
LIBOR	Deutsche
Bank AG	2/08/13	$ 7,600	(16,877	)
0.92% (b)	3-month
LIBOR	Credit
Suisse International	2/28/13	$ 3,800	3,398
0.91% (b)	3-month
LIBOR	Deutsche
Bank AG	2/28/13	$ 6,100	3,642
1.32% (b)	3-month
LIBOR	Morgan
Stanley Capital Services, Inc.	10/22/15	$ 1,500	(59,070	)
1.35% (b)	3-month
LIBOR	Credit
Suisse International	10/25/15	$ 1,600	(61,140	)
1.39% (b)	3-month
LIBOR	Deutsche
Bank AG	10/27/15	$ 1,900	(69,978	)
3.73% (b)	3-month
LIBOR	Credit
Suisse International	2/15/21	$ 700	12,597
3.74% (b)	3-month
LIBOR	Deutsche
Bank AG	2/15/21	$ 200	3,772
3.77% (b)	3-month
LIBOR	Morgan
Stanley Capital Services, Inc.	2/15/21	$ 1,300	27,748
3.67% (b)	3-month
LIBOR	Credit
Suisse International	2/22/21	$ 3,100	37,873
3.57% (b)	3-month
LIBOR	Citibank
NA	2/25/21	$ 300	1,233
4.47% (a)	3-month
LIBOR	Barclays
Bank Plc	2/15/41	$ 1,400	(49,853	)
Total					$ (123,729	)

| (a) | Pays fixed interest rate
and receives floating rate. |
| --- | --- |
| (b) | Pays floating interest rate
and receives fixed rate. |


	Level 1 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 derivatives)
The inputs or methodologies
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities. For information about the
Trusts policy regarding valuation of investments and derivatives 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 28, 2011 in determining the fair valuation of the Trusts investments and derivatives:

Valuation Inputs	Level 1	Level 2			Total
Assets:
Investments in Securities:
Long-Term Investments:
Asset-Backed Securities		$ 15,965,455	$	4,275,491	$ 20,240,946
Common Stocks		532			532
Corporate Bonds		280,784,580			280,784,580
Foreign Agency Obligations		3,260,874			3,260,874
Non-Agency Mortgage-Backed Securities		78,021,060		1,583,182	79,604,242
Other Interests				191	191
Preferred Securities	$ 202,906	3,051,662			3,254,568
Taxable Municipal Bonds		11,774,266			11,774,266
U.S. Government Sponsored Agency Securities		226,901,225		1,456,080	228,357,305
U.S. Treasury Obligations		94,261,261			94,261,261
Warrants				1	1
Short-Term Securities	6,527,500				6,527,500
Liabilities:
Investments in Securities:
Long-Term Investments:
TBA Sale Commitments		(183,215,295	)		(183,215,295	)
Total	$ 6,730,406	$ 530,805,620	$	7,314,945	$ 544,850,971

See Notes to Financial Statements. — 82	SEMI-ANNUAL REPORT	FEBRUARY 28, 2011

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

| Valuation Inputs | Derivative
Financial Instruments 1 — Level 1 | | Level 2 | | Level 3 | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Assets: | | | | | | | |
| Credit contracts | | | $ 18,962 | | | $ 18,962 | |
| Foreign currency exchange contracts | | | 677,897 | | | 677,897 | |
| Interest rate contracts | $ 469,878 | | 7,048,066 | | | 7,517,944 | |
| Liabilities: | | | | | | | |
| Credit contracts | | | (267,425 | ) | | (267,425 | ) |
| Foreign currency exchange contracts | | | (840,687 | ) | | (840,687 | ) |
| Interest rate contracts | (1,119,861 | ) | (8,968,624 | ) | | (10,088,485 | ) |
| Total | $ (649,983 | ) | $ (2,331,811 | ) | | $ (2,981,794 | ) |

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

	Asset-Backed Securities														Warrants	Total
Assets:
Balance, as of
August 31, 2010	$ 5,145,849	$	13,235	$	1,100	$	2,331,908	$	381	$	65,455	$	1,499,795			$ 9,057,723
Accrued
discounts/ premiums	(37,773	)					(5,361	)					(2,757	)		(45,891	)
Net realized Gain
(loss)	(37,408	)	(339,688	)			34,483				130,416		(1,133	)		(213,330	)
Net change in appreciation/depreciation 2	564,997		363,361		37,671		(141,112	)	(190	)	(13,289	)	(79,036	)	$ 1	732,403
Purchases	1,781,342						1,582,889									3,364,231
Sales			(36,908	)			(1,505,280	)			(182,582	)	39,211			(1,685,559	)
Transfers in 3
Transfers out 3	(3,141,516	)			(38,771	)	(714,345	)								(3,894,632	)
Balance,
as of February 28, 2011	$ 4,275,491					$	1,583,182	$	191			$	1,456,080		$ 1	$ 7,314,945

| 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 28, 2011 was $(717,307). |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 83 |
| --- | --- | --- |

Schedule of Investments February 28, 2011 (Unaudited) BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets)

Asset-Backed Securities — First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF2, Class M2, 0.70%, 3/25/35 (a)	Par (000) — $ 5,890	$	5,373,164
Freddie Mac Mortgage-Backed Securities, Series T-11, Class A9, 2.37%, 1/25/28 (a)	2,549		2,500,361
GSAA Home Equity Trust, Series 2005-1, Class AF2, 4.32%, 11/25/34 (a)	639		642,076
Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.69%, 10/25/35 (a)	1,875		1,326,437
Small Business Administration Participation Certificates:
Series 1996-20E, Class 1, 7.60%, 5/01/16	236		251,999
Series 1996-20G, Class 1, 7.70%, 7/01/16	223		245,450
Series 1996-20H, Class 1, 7.25%, 8/01/16	316		342,938
Series 1996-20K, Class 1, 6.95%, 11/01/16	586		626,391
Series 1997-20C, Class 1, 7.15%, 3/01/17	242		263,621
			11,572,437
Interest Only 0.2%
Small Business Administration, Series 1, 1.00%, 4/01/15	2,056		20,561
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)	4,882		314,372
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29	9		637,987
			972,920
Total Asset-Backed Securities 2.5%			12,545,357
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations 2.7%
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18		(c)	143
Countrywide Alternative Loan Trust, Series 2005-28CB, Class 1A5, 5.50%, 8/25/35	1,289		1,235,499
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21	1,240		1,108,172
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.53%, 10/25/35 (a)	3,297		2,535,668
JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2, 5.71%, 1/25/37 (a)	454		346,269
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.14%, 8/25/23 (a)	54		59,512
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33	3,835		4,166,443
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.66%, 8/25/34 (a)	1,410		1,318,415
WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1C, 1.40%, 1/25/46 (a)	5,330		2,702,706
			13,472,827
Commercial Mortgage-Backed Securities 3.8%
Credit Suisse Mortgage Capital Certificates:
Series 2006-C5, Class A2, 5.25%, 12/15/39 (d)	13,093		13,290,170
Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)	2,420		2,541,785
First Union-Lehman Brothers Commercial Mortgage, Series 1997-C2, Class D, 7.12%, 11/18/29	2,540		2,707,685
			18,539,640

| Non-Agency Mortgage-Backed
Securities | Par (000) | | |
| --- | --- | --- | --- |
| Interest
Only Collateralized Mortgage Obligations 1.2% | | | |
| Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1AIO, 0.29%, 5/25/18 (a) | $ 100,144 | $ | 829,489 |
| CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37 | 1,029 | | 110,239 |
| Collateralized Mortgage Obligation Trust, Series 42, Class R, 6,000.00%, 10/01/14 | | (c) | 484 |
| First Boston Mortgage Securities Corp., Series C, Class I-O, 10.97%, 4/25/17 | 28 | | 4,236 |
| GSMPS Mortgage Loan Trust, Series 1998-5, Class IO, 0.97%, 6/19/27 (a)(b) | 5,140 | | 134,908 |
| IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37 | 113,207 | | 566,033 |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.98%, 4/25/34 | 13,744 | | 154,615 |
| MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19 | 674 | | 96,057 |
| Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19 | 736 | | 78,866 |
| Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.00%, 3/20/35 (a) | 40,157 | | 652,556 |
| Structured Adjustable Rate Mortgage Loan Trust: | | | |
| Series 2005-18, Class 7AX, 5.50%, 9/25/35 (a) | 129 | | 15,013 |
| Series 2005-20, Class 3AX, 5.50%, 10/25/35 | 1,764 | | 202,820 |
| Series 2006-7, Class 3AS, 2.37%, 8/25/36 (a) | 29,758 | | 3,124,639 |
| Vendee Mortgage Trust, Series 1999-2, Class 1IO, 0.05%, 5/15/29 (a) | 59,501 | | 105,097 |
| | | | 6,075,052 |
| Interest
Only Commercial Mortgage-Backed Securities 0.0% | | | |
| CS First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.67%, 6/20/29 (a)(b) | 3,045 | | 101,718 |
| Morgan Stanley Capital I, Series 1997-HF1, Class X, 3.44%, 7/15/29 (a)(b) | 22 | | 8 |
| | | | 101,726 |
| Principal
Only Collateralized Mortgage Obligations 0.8% | | | |
| Countrywide Home Loan Mortgage Pass-Through Trust: | | | |
| Series 2003-26, Class PO, 8/25/33 | 2,121 | | 1,679,600 |
| Series 2003-J4, Class PO, 6/25/33 | 371 | | 278,089 |
| Series 2003-J5, Class PO, 7/25/33 | 645 | | 495,883 |
| Series 2003-J8, Class PO, 9/25/23 | 475 | | 387,586 |
| Drexel Burnham Lambert CMO Trust, Class 1: | | | |
| Series K, 9/23/17 | 11 | | 11,119 |
| Series V, 9/01/18 | 55 | | 54,947 |
| MASTR Asset Securitization Trust, Series 2004-3, Class 4A15, 3/25/34 | 104 | | 93,618 |
| Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36 | 946 | | 612,166 |
| Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24 | 8 | | 5,395 |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35 | 642 | | 423,926 |
| | | | 4,042,329 |
| Total Non-Agency Mortgage-Backed Securities 8.5% | | | 42,231,574 |

| See Notes to Financial
Statements. — 84 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

| U.S. Government Sponsored Agency
Securities | Par (000) | | |
| --- | --- | --- | --- |
| Agency Obligations 2.2% | | | |
| Federal Housing Administration, General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22 | $ 225 | $ | 225,375 |
| Federal Housing Administration, Merrill Projects, Series 54, 7.43%, 5/15/23 | 2 | | 2,048 |
| Federal Housing Administration, Reilly Project, Series 41, 8.28%, 3/01/20 | 599 | | 598,822 |
| Federal Housing Administration, USGI Projects: | | | |
| Series 87, 7.43%, 12/01/22 | 68 | | 68,113 |
| Series 99, 7.43%, 6/01/21 | 4,564 | | 4,563,634 |
| Series 99, 7.43%, 10/01/23 | 42 | | 42,397 |
| Series 99, 7.43%, 10/01/23 | 125 | | 125,265 |
| Resolution Funding Corp., 9.89%, 4/15/30 (e) | 13,000 | | 5,216,705 |
| | | | 10,842,359 |
| Collateralized Mortgage Obligations 13.2% | | | |
| Fannie Mae Mortgage-Backed Securities: | | | |
| Series 1991-38, Class F, 8.33%, 4/25/21 (a) | 3 | | 2,665 |
| Series 1991-38, Class SA, 10.19%, 4/25/21 (a) | 3 | | 2,693 |
| Series 1991-46, Class S, 1,400.00%, 5/25/21 (a) | | (c) | 6,051 |
| Series 1991-87, Class S, 25.94%, 8/25/21 (a) | 62 | | 91,637 |
| Series 1993-247, Class SN, 10.00%, 12/25/23 (a) | 462 | | 589,452 |
| Series 2003-32, Class VT, 6.00%, 9/25/15 | 4,479 | | 4,607,060 |
| Series 2003-135, Class PB, 6.00%, 1/25/34 | 12,264 | | 13,346,375 |
| Series 2004-29, Class HC, 7.50%, 7/25/30 | 686 | | 724,988 |
| Series 2004-31, Class ZG, 7.50%, 5/25/34 | 3,036 | | 3,524,826 |
| Series 2005-68, Class PC, 5.50%, 7/25/35 | 997 | | 1,078,893 |
| Series 2005-73, Class DS, 16.87%, 8/25/35 (a) | 3,386 | | 4,235,625 |
| Series 2006-2, Class KP, 0.00%, 2/25/35 (a) | 263 | | 244,606 |
| Series G-7, Class S, 116.20%, 3/25/21 (a) | | (c) | 3,820 |
| Series G-17, Class S, 580.11%, 6/25/21 (a) | | (c) | 5,527 |
| Series G-33, Class PV, 1,078.42%, 10/25/21 | | (c) | 6,910 |
| Series G-49, Class S, 5.55%, 12/25/21 (a) | | (c) | 2,382 |
| Freddie Mac Mortgage-Backed Securities: | | | |
| Series 19, Class F, 8.50%, 3/15/20 | 101 | | 109,672 |
| Series 19, Class R, 9,757.35%, 3/15/20 (a) | | (c) | 1,591 |
| Series 40, Class K, 6.50%, 8/17/24 | 393 | | 444,304 |
| Series 75, Class R, 9.50%, 1/15/21 | | (c) | 3 |
| Series 75, Class RS, 22.67%, 1/15/21 (a) | | (c) | 3 |
| Series 173, Class R, 9.00%, 11/15/21 | | (c) | 15 |
| Series 173, Class RS, 9.19%, 11/15/21 (a) | | (c) | 15 |
| Series 192, Class U, 1.01%, 2/15/22 (a) | | (c) | 68 |
| Series 1057, Class J, 1,008.00%, 3/15/21 | | (c) | 2,497 |
| Series 1160, Class F, 38.83%, 10/15/21 (a) | 21 | | 40,052 |
| Series 1961, Class H, 6.50%, 5/15/12 | 2 | | 2,365 |
| Series 2218, Class Z, 8.50%, 3/15/30 | 5,811 | | 6,595,703 |
| Series 2542, Class UC, 6.00%, 12/15/22 | 9,589 | | 10,539,926 |
| Series 2758, Class KV, 5.50%, 5/15/23 | 9,748 | | 10,648,929 |
| Series 2765, Class UA, 4.00%, 3/15/11 | 75 | | 75,239 |
| Series 2861, Class AX, 10.40%, 9/15/34 (a) | 279 | | 310,072 |
| Series 2927, Class BZ, 5.50%, 2/15/35 | 2,884 | | 3,058,577 |
| Ginnie Mae Mortgage-Backed Securities: | | | |
| Series 1996-5, Class Z, 7.00%, 5/16/26 | 609 | | 665,860 |
| Series 2001-33, Class PB, 6.50%, 7/20/31 | 996 | | 1,040,646 |
| Series 2004-89, Class PE, 6.00%, 10/20/34 | 3,392 | | 3,702,513 |
| | | | 65,711,560 |
| Federal
Deposit Insurance Corporation Guaranteed 0.8% | | | |
| Citigroup Funding, Inc., 1.88%, 10/22/12 | 3,800 | | 3,877,315 |

| U.S. Government Sponsored Agency
Securities | Par (000) | | |
| --- | --- | --- | --- |
| Interest
Only Collateralized Mortgage Obligations 2.6% | | | |
| Fannie Mae Mortgage-Backed Securities: | | | |
| Series 7, Class 2, 8.50%, 4/01/17 | $ 5 | $ | 812 |
| Series 89, Class 2, 8.00%, 10/01/18 | 9 | | 1,244 |
| Series 94, Class 2, 9.50%, 8/01/21 | 3 | | 751 |
| Series 1990-123, Class M, 1,009.50%, 10/25/20 | | (c) | 574 |
| Series 1990-136, Class S, 19.80%, 11/25/20 (a) | 14 | | 20,009 |
| Series 1991-38, Class N, 1,008.50%, 4/25/21 | | (c) | 3 |
| Series 1991-99, Class L, 930.00%, 8/25/21 | | (c) | 2,849 |
| Series 1991-139, Class PT, 648.30%, 10/25/21 | | (c) | 2,665 |
| Series 1993-199, Class SB, 2.63%, 10/25/23 (a) | 921 | | 125,528 |
| Series 1996-68, Class SC, 2.26%, 1/25/24 (a) | 599 | | 46,011 |
| Series 1997-50, Class SI, 1.20%, 4/25/23 (a) | 381 | | 13,119 |
| Series 1997-90, Class M, 6.00%, 1/25/28 | 6,810 | | 1,183,652 |
| Series 1999-W4, Class IO, 6.50%, 12/25/28 | 402 | | 80,750 |
| Series 2005-43, Class IC, 6.00%, 3/25/34 | 12 | | 156 |
| Series G-10, Class S, 575.40%, 5/25/21 (a) | | (c) | 11,896 |
| Series G-12, Class S, 608.10%, 5/25/21 (a) | | (c) | 9,272 |
| Series G-50, Class G, 1,158.60%, 12/25/21 | | (c) | 67 |
| Series G92-5, Class H, 9.00%, 1/25/22 | 96 | | 14,280 |
| Series G92-12, Class C, 1,016.80%, 2/25/22 | | (c) | 5,786 |
| Series G92-60, Class SB, 1.60%, 10/25/22 (a) | | (c) | 10,469 |
| Freddie Mac Mortgage-Backed Securities: | | | |
| Series 176, Class M, 1,010.00%, 7/15/21 | | (c) | 772 |
| Series 200, Class R, 98,522.80%, 12/15/22 (a) | | (c) | 15 |
| Series 1043, Class H, 0.02%, 2/15/21 (a) | 8,904 | | 18,482 |
| Series 1054, Class I, 435.30%, 3/15/21 (a) | | (c) | 1,372 |
| Series 1056, Class KD, 1,084.50%, 3/15/21 | | (c) | 1,610 |
| Series 1148, Class E, 592.50%, 10/15/21 (a) | | (c) | 5,567 |
| Series 1914, Class PC, 0.75%, 12/15/11 | 164 | | 297 |
| Series 2545, Class NI, 5.50%, 3/15/22 | 308 | | 7,555 |
| Series 2559, Class IO, 5.00%, 8/15/30 (a) | 233 | | 2,972 |
| Series 2611, Class QI, 5.50%, 9/15/32 | 4,389 | | 578,837 |
| Series 2949, Class IO, 5.50%, 3/15/35 | 761 | | 66,812 |
| Ginnie Mae Mortgage-Backed Securities: | | | |
| Series 2009-92, Class SC, 5.86%, 10/16/39 (a) | 12,075 | | 1,514,632 |
| Series 2010-42 Class BS, 6.22%, 4/20/40 (a) | 17,820 | | 3,073,597 |
| Series 2010-47 Class AS, 6.18%, 4/20/40 (a) | 24,057 | | 3,696,093 |
| Series 2010-101, Class YT, 2.00%, 8/16/13 | 64,946 | | 2,379,434 |
| | | | 12,877,940 |
| Mortgage-Backed Securities 168.2% | | | |
| Fannie Mae Mortgage-Backed Securities: | | | |
| 4.00%, 3/15/41 (f) | 59,500 | | 58,663,311 |
| 4.50%, 8/01/25 3/15/41 (f)(g) | 210,102 | | 215,270,523 |
| 5.00%, 1/01/23 4/15/41 (f)(g) | 177,903 | | 186,670,568 |
| 5.50%, 3/15/26 4/15/41 (f)(g) | 240,255 | | 257,406,300 |
| 5.97%, 8/01/16 | 3,074 | | 3,386,357 |
| 6.00%, 10/01/37 3/15/41 (f) | 42,800 | | 47,095,302 |
| 6.50%, 3/15/41 (f) | 49,900 | | 55,700,875 |
| 7.50%, 2/01/22 | | (d) | 126 |
| 9.50%, 1/01/19 9/01/19 | 3 | | 3,534 |
| Freddie Mac Mortgage-Backed Securities: | | | |
| 2.61%, 1/01/35 (a) | 206 | | 207,786 |
| 4.51%, 11/01/17 (a) | 19 | | 19,886 |
| 4.98%, 10/01/34 (a) | 541 | | 565,997 |
| 5.00%, 2/01/22 4/01/22 (g) | 1,367 | | 1,458,464 |
| 5.50%, 3/01/26 (f) | 7,000 | | 7,538,125 |
| 9.00%, 9/01/20 (g) | 60 | | 67,720 |
| Ginnie Mae Mortgage-Backed Securities: | | | |
| 7.50%, 8/15/21 12/15/23 | 266 | | 304,696 |
| 8.00%, 10/15/22 2/15/29 | 91 | | 107,194 |
| 9.00%, 6/15/18 9/15/21 | 9 | | 10,244 |
| | | | 834,477,008 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 85 |
| --- | --- | --- |

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

| U.S. Government Sponsored Agency
Securities | Par (000) | Value |
| --- | --- | --- |
| Principal
Only Collateralized Mortgage Obligations 0.5% | | |
| Fannie Mae Mortgage-Backed Securities: | | |
| Series 203, Class 1, 2/01/23 | $ 23 | $ 20,317 |
| Series 228, Class 1, 6/01/23 | 15 | 13,594 |
| Series 1991-7, Class J, 2/25/21 | 20 | 18,175 |
| Series 1993-51, Class E, 2/25/23 | 76 | 67,123 |
| Series 1993-70, Class A, 5/25/23 | 11 | 10,093 |
| Series 1999-W4, Class PO, 2/25/29 | 206 | 175,319 |
| Series 2002-13, Class PR, 3/25/32 | 442 | 387,851 |
| Series G93-2, Class KB, 1/25/23 | 183 | 166,019 |
| Freddie Mac Mortgage-Backed Securities: | | |
| Series 1418, Class M, 11/15/22 | 82 | 73,536 |
| Series 1571, Class G, 8/15/23 | 471 | 395,971 |
| Series 1691, Class B, 3/15/24 | 1,095 | 969,932 |
| Series 1739, Class B, 2/15/24 | 54 | 52,310 |
| Series T-8, Class A10, 11/15/28 | 148 | 131,536 |
| | | 2,481,776 |
| Total U.S. Government Sponsored Agency Securities
187.5% | | 930,267,958 |
| U.S.
Treasury Obligations | | |
| U.S. Treasury Bonds (h): | | |
| 6.25%, 8/15/23 | 3,320 | 4,143,257 |
| 4.38%, 5/15/40 | 36,985 | 36,256,765 |
| 4.25%, 11/15/40 (i) | 17,975 | 17,241,962 |
| 4.75%, 2/15/41 | 4,340 | 4,525,804 |
| U.S. Treasury Notes: | | |
| 2.00%, 1/31/16 (h) | 7,840 | 7,802,635 |
| 2.63%, 1/31/18 | 3,500 | 3,460,898 |
| 2.63%, 8/15/20 | 1,455 | 1,367,700 |
| 2.63%, 11/15/20 (h) | 19,598 | 18,335,911 |
| 3.63%, 2/15/21 (h) | 8,665 | 8,817,989 |
| 4.50%, 8/15/39 (g) | 330 | 330,928 |
| Total U.S. Treasury Obligations 20.6% | | 102,283,849 |
| Total
Long-Term Investments (Cost $1,080,941,190) 219.1% | | 1,087,328,738 |
| Short-Term
Securities | Shares | |
| BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (j)(k) | 36,489,702 | 36,489,702 |
| Total
Short-Term Securities (Cost $36,489,702) 7.4% | | 36,489,702 |
| Options
Purchased | Contracts | |
| Exchange-Traded Call Options 0.0% | | |
| Ten-Year U.S. Treasury Note, Strike Price USD 120.50, Expires 5/20/11 | 134 | 127,719 |
| Exchange-Traded Put Options 0.0% | | |
| Ten-Year U.S. Treasury Note, Strike Price USD 117.50, Expires 3/25/11 | 97 | 36,375 |
| Eurodollar 1-Year Mid-Curve Options, Strike Price USD 98.25, Expires 9/16/11 | 303 | 200,737 |
| | | 237,112 |

| Options
Purchased | Notional Amount (000) | Value | |
| --- | --- | --- | --- |
| Over-the-Counter Call Options 0.2% | | | |
| Receive a fixed rate of 5.47% and pay a floating rate based on 3-month LIBOR, Expires 5/08/12, Broker Bank of America NA | $ 6,200 | $ 748,803 | |
| Over-the-Counter Put Options 0.0% | | | |
| Pay a fixed rate of 5.47% and receive a floating rate based on 3-month LIBOR, Expires 5/08/12, Broker Bank of America NA | 6,200 | 61,570 | |
| Total
Options Purchased (Cost $895,866) 0.2% | | 1,175,204 | |
| Total
Investments Before TBA Sale Commitments and Options Written (Cost $1,118,326,758*) 226.7% | | 1,124,993,644 | |
| TBA
Sale Commitments (f) | Par (000) | | |
| Fannie Mae Mortgage-Backed Securities: | | | |
| 4.00%, 3/15/41 | 40,700 | (40,127,677 | ) |
| 4.50%, 8/01/25 3/15/41 | 49,300 | (50,759,383 | ) |
| 5.00%, 1/01/23 4/15/41 | 51,900 | (54,306,192 | ) |
| 5.50%, 3/15/26 4/15/41 | 95,100 | (101,607,183 | ) |
| 6.00%, 10/01/37 3/15/41 | 21,000 | (22,817,802 | ) |
| Freddie Mac Mortgage-Backed Securities, 5.00%, 2/01/22 4/01/22 | 1,300 | (1,379,219 | ) |
| Total TBA
Sale Commitments (Proceeds $269,507,715) (54.6)% | | (270,997,456 | ) |
| Options
Written | Contracts | | |
| Exchange-Traded Call Options 0.0% | | | |
| Ten-Year U.S. Treasury Note, Citibank NA: | | | |
| Strike Price USD 121.50, Expires 5/20/11 | 134 | (85,844 | ) |
| Strike Price USD 122.50, Expires 5/20/11 | 134 | (54,437 | ) |
| | | (140,281 | ) |
| Exchange-Traded Put Options 0.0% | | | |
| Eurodollar 1-Year Mid-Curve Options, Strike Price USD 97.75, Expires 9/16/11 | 303 | (106,050 | ) |

| See Notes to Financial
Statements. — 86 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Options Written	Notional Amount (000)	Value
Over-the-Counter Call Swaptions (0.2)%
Pay a fixed rate of 3.43% and receive a floating rate based on 3-month
LIBOR, Expires 3/24/11, Broker JPMorgan Chase Bank NA	$ 7,000	$ (30,884	)
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	(748,364	)
		(779,248	)
Over-the-Counter Put Swaptions (0.1)%
Receive a fixed rate of 3.43% and pay a floating rate based on 3-month
LIBOR, Expires 3/24/11, Broker JPMorgan Chase Bank NA	7,000	(115,705	)
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	(164,551	)
		(280,256	)
Total Options Written (Premiums Received $1,634,665) (0.3)%		(1,305,835	)
Total Investments, Net of TBA Sale Commitments and Options Written 171.8%		852,690,353
Liabilities in Excess of Other Assets (71.8)%		(356,568,539	)
Net Assets 100.0%		$ 496,121,814

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:

Aggregate cost	$
Gross unrealized appreciation	$ 26,319,011
Gross unrealized
depreciation	(19,935,037	)
Net unrealized appreciation	$ 6,383,974

| (a) | Variable rate security.
Rate shown is as of report date. |
| --- | --- |
| (b) | Security exempt from
registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration to qualified
institutional investors. |
| (c) | Amount is less than $1,000. |
| (d) | All or a portion of
security has been pledged as collateral in connection with TALF program. |
| (e) | Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date. |
| (f) | Represents or includes a TBA transaction. Unsettled TBA
transactions as of report date were as follows: |

Counterparty — Bank Nationale De Paris	Value — $ 1,193,434		Unrealized Appreciation (Depreciation) — $ 2,497
Citigroup Global Markets,
Inc.	$ 30,577,627		$ (31,326	)
Credit Suisse International	$ 56,711,706		$ 824,722
Deutsche Bank Securities,
Inc.	$ (29,199,002	)	$ 61,568
Goldman Sachs & Co.	$ 104,933,320		$ 1,195,414
Greenwich Financial
Services	$ 8,153,752		$ 54,533
JPMorgan Chase Securities,
Inc.	$ 1,972,970		$ 24,024
Morgan Stanley & Co.,
Inc.	$ 15,644,535		$ (44,223	)
Nomura Securities
International, Inc.	$ 56,
119,420		$ 248,553
UBS Securities	$ (19,916,760	)	$ (186,671	)

| (g) | All or a portion of
security has been pledged as collateral in connection with swaps. |
| --- | --- |
| (h) | All or
a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements. |
| (i) | All or a portion of
security has been pledged as collateral in connection with open financial
futures contracts. |
| (j) | 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 | 857,657 | 35,632,045 | 36,489,702 | Income — $ 6,976 |
| --- | --- | --- | --- | --- |

| (k) | Represents the current
yield as of report date. |
| --- | --- |
| | Interest rate floors
outstanding as of February 28, 2011 were as follows: |

	Notional Amount (000)	Value		Unrealized Appreciation (Depreciation)
Pay to broker the difference between 3-month LIBOR and a floor of
4.80%
Broker Goldman Sachs Bank USA Expires 3/19/11	$ 50,000	$ (537,050	)	$ 16,283
Pay to broker the difference between 3-month LIBOR and a floor of
5.50%
Broker Citibank NA Expires 9/17/11	$ 24,000	(917,760	)	(457,760	)
Total		$ (1,454,810	)	$ (441,477	)

Reverse repurchase agreements outstanding as of February 28, 2011 were as follows:

Counterparty	Interest Rate	Trade Date	Maturity Date	Net Closing Amount	Unrealized Appreciation
Barclays Capital, Inc.	0.30%	10/15/10	Open	$ 4,499,581	$ 4,494,450
Credit Suisse Securities
(USA) LLC	0.24%	11/03/10	Open	8,836,946	8,830,000
Merrill Lynch & Co.,
Inc.	0.23%	12/08/10	Open	16,887,794	16,878,844
Merrill Lynch & Co.,
Inc.	0.18%	1/21/11	Open	11,627,267	11,625,000
Credit Suisse Securities
(USA) LLC	0.03%	2/28/11	3/01/11	8,816,645	8,816,637
Credit Suisse Securities
(USA) LLC	0.18%	2/28/11	3/01/11	18,470,736	18,470,644
Credit Suisse Securities
(USA) LLC	0.19%	2/28/11	3/01/11	5,169,503	5,169,475
Deutsche Bank, NA	0.14%	2/28/11	3/01/11	7,830,230	7,830,200
Total				$ 82,138,702	$ 82,115,250

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 87 |
| --- | --- | --- |

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

Financial futures contracts purchased as of February 28, 2011 were as follows:

Contracts	Issue	Exchange	Expiration	Unrealized Appreciation (Depreciation)
78	5-Year
U.S. Treasury Note	Chicago
Mercantile	March
2011	$ 9,188,789	$ 5,461
132	Euro
Dollars	Chicago
Mercantile	March
2011	$ 32,863,870	32,180
49	Ultra
Long U.S. Treasury Bond	Chicago
Mercantile	March
2011	$ 5,961,742	166,320
116	Euro
Dollars	Chicago
Mercantile	June
2011	$ 28,849,169	44,981
113	Euro
Dollars	Chicago
Mercantile	September
2011	$ 28,061,561	61,314
99	Euro
Dollars	Chicago
Mercantile	March
2012	$ 24,485,285	49,390
121	Euro
Dollars	Chicago
Mercantile	June
2012	$ 29,881,183	(233	)
135	Euro
Dollars	Chicago
Mercantile	September
2012	$ 33,292,096	(77,034	)
64	Euro
Dollars	Chicago
Mercantile	December
2012	$ 15,688,226	4,574
36	Euro
Dollars	Chicago
Mercantile	March
2013	$ 8,808,686	(7,137	)
70	Euro
Dollars	Chicago
Mercantile	June
2013	$ 17,136,768	(69,893	)
64	Euro
Dollars	Chicago
Mercantile	September
2013	$ 15,623,589	(59,588	)
31	Euro
Dollars	Chicago
Mercantile	December
2013	$ 7,519,548	(110	)
Total				$ 150,225

Financial futures contracts sold as of February 28, 2011 were as follows:

Contracts	Issue	Exchange	Expiration	Unrealized Depreciation
354	2-Year
U.S. Treasury Note	Chicago
Mercantile	March
2011	$ 77,445,257	$ (75,212	)
252	5-Year
U.S. Treasury Note	Chicago
Mercantile	June
2011	$ 29,390,006	(78,244	)
105	10-Year
U.S. Treasury Note	Chicago
Mercantile	March
2011	$ 12,604,257	(31,836	)
1,687	10-Year
U.S. Treasury Note	Chicago
Mercantile	June
2011	$ 199,063,721	(1,768,357	)
114	30-Year
U.S. Treasury Note	Chicago
Mercantile	June
2011	$ 13,704,008	(15,179	)
195	Euro
Dollars	Chicago
Mercantile	December
2011	$ 48,260,391	(192,234	)
Total				$ (2,161,062	)

Interest rate swaps outstanding as of February 28, 2011 were as follows:

Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
1.45% (b)	3-month
LIBOR	JPMorgan
Chase Bank NA	7/29/11	$ 20,000	$ (93,669	)
0.83% (b)	3-month
LIBOR	Deutsche
Bank AG	7/27/12	$ 34,800	(127,165	)
4.88% (a)	3-month
LIBOR	UBS
AG	3/21/15	$ 25,000	2,889,495
4.87% (a)	3-month
LIBOR	Goldman
Sachs Bank USA	1/25/16	$ 5,500	662,082
2.81% (a)	3-month
LIBOR	Citibank
NA	2/06/16	$ 20,000	462,757
5.72% (a)	3-month
LIBOR	JPMorgan
Chase Bank NA	7/14/16	$ 5,400	893,072
5.51% (a)	3-month
LIBOR	Bank
of America NA	8/03/17	$ 95,147	15,285,756
5.88% (b)	3-month
LIBOR	Deutsche
Bank AG	6/25/18	$ 31,930	(5,529,070	)
4.55% (b)	3-month
LIBOR	Citibank
NA	9/26/18	$ 41,600	(4,107,683	)
4.31% (b)	3-month
LIBOR	Deutsche
Bank AG	10/01/18	$ 66,000	(5,440,574	)
3.09% (b)	3-month
LIBOR	Deutsche
Bank AG	3/09/19	$ 25,700	213,286
3.17% (a)	3-month
LIBOR	Bank
of America NA	3/18/19	$ 4,700	(15,572	)
2.88% (a)	3-month
LIBOR	Deutsche
Bank AG	4/01/19	$ 39,700	(988,328	)
3.23% (b)	3-month
LIBOR	Deutsche
Bank AG	5/19/19	$ 2,800	3,251
3.90% (b)	3-month
LIBOR	Barclays
Bank Plc	6/05/19	$ 20,000	(969,551	)
3.55% (b)	3-month
LIBOR	Deutsche
Bank AG	8/18/19	$ 15,000	(437,571	)
5.49% (b)	3-month
LIBOR	JPMorgan
Chase Bank NA	10/28/19	$ 1,400	(188,235	)
3.67% (a)	3-month
LIBOR	Deutsche
Bank AG	12/21/19	$ 2,000	50,242
5.67% (b)	3-month
LIBOR	Citigroup
Global Markets, Inc.	1/06/20	$ 12,400	(1,694,036	)
3.88% (a)	3-month
LIBOR	Morgan
Stanley Capital Services, Inc.	1/07/20	$ 7,600	315,549
3.71% (b)	3-month
LIBOR	Deutsche
Bank AG	2/11/20	$ 6,200	(164,854	)
3.73% (a)	3-month
LIBOR	Morgan
Stanley Capital Services, Inc.	5/05/20	$ 28,000	719,472
5.41% (a)	3-month
LIBOR	JPMorgan
Chase Bank NA	8/15/22	$ 9,565	1,576,854
Total					$ 3,315,508

| (a) | Pays floating interest rate
and receives fixed rate. |
| --- | --- |
| (b) | Pays fixed interest rate
and receives floating rate. |

| See Notes to Financial
Statements. — 88 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

| | 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. This definition 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 derivatives. These inputs
are summarized in three broad levels for financial statement purposes as
follows: | |
| | | Level 1 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 derivatives) |
| | The inputs or methodologies
used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities. For information about the
Trusts policy regarding valuation of investments and derivatives 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 28, 2011 in determining the fair
valuation of the Trusts investments and derivatives: | |

Valuation Inputs	Level 1	Level 2			Total
Assets:
Investments in Securities:
Long-Term Investments:
Asset-Backed Securities		$ 11,572,437	$	972,920	$ 12,545,357
Non-Agency Mortgage-Backed Securities		37,163,607		5,067,967	42,231,574
U.S. Government Sponsored Agency Securities		924,640,662		5,627,296	930,267,958
U.S. Treasury Obligations		102,283,849			102,283,849
Short-Term Securities	$ 36,489,702				36,489,702
Liabilities:
Investments in Securities:
Long-Term Investments:
TBA Sale Commitments		(270,997,456	)		(270,997,456	)
TALF Loans		(10,940,517	)		(10,940,517	)
Total	$ 36,489,702	$ 793,722,582	$	11,668,183	$ 841,880,467

| Valuation Inputs | Derivative
Financial Instruments 1 — Level 1 | | Level 2 | | Level 3 | | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Assets: | | | | | | | | |
| Interest rate contracts | $ 729,051 | | $ 23,882,189 | | | | $ 24,611,240 | |
| Liabilities: | | | | | | | | |
| Interest rate contracts | (2,621,388 | ) | (21,733,572 | ) | $ (537,050 | ) | (24,892,010 | ) |
| Total | $ (1,892,337 | ) | $ 2,148,617 | | $ (537,050 | ) | $ (280,770 | ) |

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

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 89 |
| --- | --- | --- |

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

The following tables are a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used in determining fair value:

	Asset-Backed Securities
Assets/Liabilities:
Balance, as of August 31,
2010	$ 1,261,564	$	8,085,631	$	5,750,715	$	15,097,910
Accrued discounts/premiums	(98,416	)	(327,220	)	244,798		(180,838	)
Net realized gain (loss)			(560,914	)	(6,335	)	(567,249	)
Net change in unrealized
appreciation/depreciation 2	(190,228	)	261,392		(206,640	)	(135,476	)
Purchases
Sales			(387,308	)	(155,242	)	(542,550	)
Transfers in 3
Transfers out 3			(2,003,614	)			(2,003,614	)
Balance,
as of February 28, 2011	$ 972,920	$	5,067,967	$	5,627,296	$	11,668,183

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The net change in unrealized appreciation/depreciation on
securities still held at February 28, 2011 was $(661,822). |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| | Interest
Rate Contracts | |
| --- | --- | --- |
| Liabilities: | | |
| Balance, as of August 31,
2010 | $ (3,446,023 | ) |
| Accrued discounts/premiums | | |
| Realized gain (loss) | (1,876,795 | ) |
| Change in unrealized
appreciation/depreciation 4 | 1,825,213 | |
| Purchases | | |
| Sales | 2,042,795 | |
| Transfers in 5 | | |
| Transfers out 5 | 917,760 | |
| Balance,
as of February 28, 2011 | $ (537,050 | ) |

| 4 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The net change in unrealized appreciation/depreciation on
securities still held at February 28, 2011 was $1,201,839. |
| --- | --- |
| 5 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — 90 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

| Schedule of Investments February
28, 2011 (Unaudited) |
| --- |
| (Percentages shown are based on Net Assets) |

Common Stocks (a)	Shares		Value
Construction
Materials 0.0%
Nortek, Inc.		450	$ 20,025
Media
0.0%
Adelphia Recovery Trust		396,568	2,380
Software
0.0%
Bankruptcy Management
Solutions, Inc.		84	292
Total
Common Stocks 0.0%			22,697
Corporate Bonds		Par (000 )
Airlines
0.8%
American Airlines, Inc. Series 2001-2, 7.86%, 4/01/13	USD	190	196,175
Continental Airlines, Inc., Series 2010-1-A, 4.75%, 7/12/22		435	431,737
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16		180	194,788
			822,700
Auto Components 0.7%
Delphi International Holdings Unsecured, 12.00%, 10/06/14		17	18,692
Icahn Enterprises LP, 8.00%, 1/15/18		670	693,450
			712,142
Automobiles 1.1%
DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12		1,000	1,055,717
Beverages 0.1%
Crown European Holdings SA, 7.13%, 8/15/18 (b)	EUR	90	132,268
Biotechnology 0.2%
QHP Pharma, 10.25%, 3/15/15 (b)	USD	184	185,299
Building Products 1.1%
Building Materials Corp. of America (b):
6.88%, 8/15/18		195	199,875
7.00%, 2/15/20		290	305,588
Momentive Performance Materials, Inc.:
11.50%, 12/01/16		60	65,100
9.00%, 1/15/21 (b)		470	499,962
			1,070,525
Capital Markets 2.3%
Credit Suisse AG, 5.40%, 1/14/20		480	486,331
E*Trade Financial Corp., Series A, 8/31/19 (c)(d)		100	154,500
The Goldman Sachs Group, Inc.:
6.15%, 4/01/18		25	27,388
7.50%, 2/15/19		125	147,338
5.38%, 3/15/20		225	231,169
6.00%, 6/15/20		250	268,047
KKR Group Finance Co., 6.38%, 9/29/20 (b)		170	175,155
Merrill Lynch & Co., Inc., 6.05%, 5/16/16		325	346,381
Morgan Stanley, 5.50%, 1/26/20		425	430,561
			2,266,870
Chemicals 2.5%
American Pacific Corp., 9.00%, 2/01/15		180	176,850
Chemtura Corp., 7.88%, 9/01/18 (b)		195	208,162
Georgia Gulf Corp., 9.00%, 1/15/17 (b)		60	66,750
Hexion U.S. Finance Corp.:
8.88%, 2/01/18		275	295,281
9.00%, 11/15/20 (b)		135	143,606
Huntsman International LLC, 8.63%, 3/15/21 (b)		185	205,350
Ineos Finance Plc, 9.00%, 5/15/15 (b)		155	170,112
KRATON Polymers LLC, 6.75%, 3/01/19 (b)		45	45,900

Corporate Bonds	Par (000)		Value
Chemicals
(concluded)
Nalco Co., 6.63%, 1/15/19
(b)	USD	120	$ 124,050
Nexeo Solutions LLC, 8.38%,
3/01/18 (b)(e)		65	66,138
OXEA Finance/Cy SCA, 9.50%,
7/15/17 (b)		305	334,737
Omnova Solutions, Inc.,
7.88%, 11/01/18 (b)		55	56,444
Polymer Group, Inc., 7.75%,
2/01/19 (b)		51	53,104
PolyOne Corp., 7.38%,
9/15/20		80	84,800
Rhodia SA, 6.88%, 9/15/20
(b)		305	312,244
TPC Group LLC, 8.25%,
10/01/17 (b)		125	132,969
			2,476,497
Commercial
Banks 4.7%
BNP Paribas, 3.60%, 2/23/16		580	583,522
Barclays Bank Plc, 5.14%,
10/14/20		450	427,236
CIT Group, Inc.:
7.00%, 5/01/16		649	654,185
7.00%, 5/01/17		1,516	1,527,285
HSBC Bank USA NA, 4.88%,
8/24/20		550	538,992
Itau Unibanco, 5.75%,
1/22/21 (b)		225	220,113
Lloyds TSB Bank Plc, 5.80%,
1/13/20 (b)		300	298,663
Standard Chartered Plc,
5.50%, 11/18/14 (b)		450	492,261
			4,742,257
Commercial
Services & Supplies 1.7%
ACCO Brands Corp., 10.63%,
3/15/15		195	220,350
AWAS Aviation Capital Ltd.,
7.00%, 10/15/16 (b)		226	232,215
Brickman Group Holdings,
Inc., 9.13%, 11/01/18 (b)		190	204,250
International Lease Finance
Corp., 8.25%, 12/15/20		72	80,100
Mobile Mini, Inc., 7.88%,
12/01/20 (b)		85	90,525
RSC Equipment Rental, Inc.
(b):
10.00%, 7/15/17		240	276,000
8.25%, 2/01/21		210	222,075
West Corp. (b):
8.63%, 10/01/18		280	296,800
7.88%, 1/15/19		70	71,837
			1,694,152
Construction
Materials 0.7%
Inversiones CMPC SA, 4.75%,
1/19/18 (b)		175	168,371
Nortek, Inc., 11.00%,
12/01/13		452	481,379
			649,750
Consumer
Finance 2.4%
Credit Acceptance Corp.,
9.13%, 2/01/17		260	280,150
Ford Motor Credit Co. LLC:
5.54%, 6/15/11 (f)		1,600	1,615,248
7.80%, 6/01/12		250	266,611
SLM Corp., 6.25%, 1/25/16		275	281,875
			2,443,884
Containers
& Packaging 2.3%
Ardagh Packaging Finance
Plc, 7.38%, 10/15/17 (b)	EUR	260	370,448
Ball Corp., 6.75%, 9/15/20	USD	180	188,550
Berry Plastics Corp.:
8.25%, 11/15/15		50	53,563
9.75%, 1/15/21 (b)		335	335,837
Graham Packaging Co. LP,
8.25%, 10/01/18		95	102,363
Graphic Packaging
International, Inc.:
9.50%, 6/15/17		250	277,500
7.88%, 10/01/18		145	155,875
Pregis Corp., 12.38%,
10/15/13		265	266,987
Smurfit Kappa Acquisitions
(b):
7.25%, 11/15/17	EUR	190	277,922
7.75%, 11/15/19		180	265,778
			2,294,823

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 91 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Diversified
Financial Services 6.2%
Ally Financial, Inc.:
2.51%, 12/01/14 (f)	USD	110	$ 108,092
8.30%, 2/12/15		510	575,662
6.25%, 12/01/17 (b)		40	41,750
8.00%, 3/15/20		60	67,575
7.50%, 9/15/20 (b)		900	984,375
8.00%, 11/01/31		680	778,600
8.00%, 11/01/31		530	607,058
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16		165	181,913
Bank of America Corp.:
4.50%, 4/01/15		375	391,697
6.50%, 8/01/16		410	460,033
5.75%, 12/01/17		340	363,494
Citigroup, Inc., 8.13%, 7/15/39		55	69,753
JPMorgan Chase & Co., 5.50%, 10/15/40		350	347,449
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b)		450	479,250
Reynolds Group Issuer, Inc. (b):
9.00%, 4/15/19		375	390,938
6.88%, 2/15/21		140	140,350
8.25%, 2/15/21		170	170,425
			6,158,414
Diversified Telecommunication Services 5.0%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12		155	154,419
Frontier Communications Corp.:
8.25%, 4/15/17		30	33,150
8.50%, 4/15/20		70	77,700
GCI, Inc., 8.63%, 11/15/19		400	440,000
Qwest Communications International, Inc.:
7.50%, 2/15/14		1,120	1,136,800
Series B, 7.50%, 2/15/14		305	309,575
Qwest Corp., 8.38%, 5/01/16		270	322,313
Telefonica Emisiones SAU, 5.46%, 2/16/21		250	253,789
Verizon New England, Inc., 6.50%, 9/15/11		2,000	2,062,842
Windstream Corp.:
8.13%, 8/01/13		45	49,556
8.63%, 8/01/16		70	74,025
7.88%, 11/01/17		45	48,881
			4,963,050
Electric Utilities 1.3%
Elwood Energy LLC, 8.16%, 7/05/26		23	22,798
Progress Energy, Inc., 7.75%, 3/01/31		1,000	1,249,676
			1,272,474
Energy Equipment & Services 1.4%
Bayou Well Services, 0.16%, 12/22/13		225	225,000
Calfrac Holdings LP, 7.50%, 12/01/20 (b)		90	92,250
Compagnie Générale de Géophysique-Veritas:
7.50%, 5/15/15		355	367,425
7.75%, 5/15/17		55	58,163
Exterran Holdings, Inc., 7.25%, 12/01/18 (b)		160	164,000
Frac Tech Services LLC, 7.13%, 11/15/18 (b)		230	238,050
Precision Drilling Corp., 6.63%, 11/15/20 (b)		45	46,463
Thermon Industries, Inc., 9.50%, 5/01/17		195	211,087
			1,402,438
Food & Staples Retailing 0.4%
BI-LO LLC, 9.25%, 2/15/19 (b)		120	124,800
Rite Aid Corp.:
9.75%, 6/12/16		45	50,681
7.50%, 3/01/17		195	196,219
			371,700

| Corporate
Bonds | Par (000) | | Value |
| --- | --- | --- | --- |
| Food Products 1.4% | | | |
| Blue Merger Sub, Inc., 7.63%, 2/15/19 (b) | USD | 380 | $ 383,800 |
| Darling International, Inc., 8.50%, 12/15/18 (b) | | 90 | 97,087 |
| Kraft Foods, Inc.: | | | |
| 6.13%, 8/23/18 | | 250 | 281,001 |
| 5.38%, 2/10/20 | | 600 | 638,260 |
| | | | 1,400,148 |
| Health Care Equipment & Supplies 1.7% | | | |
| CareFusion Corp., 6.38%, 8/01/19 | | 195 | 219,487 |
| DJO Finance LLC, 10.88%, 11/15/14 | | 880 | 964,700 |
| Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) | | 410 | 469,962 |
| | | | 1,654,149 |
| Health Care Providers & Services 5.4% | | | |
| Aviv Healthcare Properties LP, 7.75%, 2/15/19 (b) | | 100 | 104,250 |
| ConvaTec Healthcare E SA (b): | | | |
| 7.38%, 12/15/17 | EUR | 200 | 287,030 |
| 10.50%, 12/15/18 | USD | 200 | 213,500 |
| Gentiva Health Services, Inc., 11.50%, 9/01/18 | | 180 | 202,725 |
| HCA, Inc.: | | | |
| 9.13%, 11/15/14 | | 335 | 351,331 |
| 8.50%, 4/15/19 | | 310 | 347,200 |
| 7.25%, 9/15/20 | | 610 | 658,037 |
| inVentiv Health, Inc., 10.00%, 8/15/18 (b) | | 150 | 154,125 |
| Omnicare, Inc.: | | | |
| 6.13%, 6/01/13 | | 32 | 32,120 |
| 6.88%, 12/15/15 | | 160 | 165,200 |
| 7.75%, 6/01/20 | | 140 | 149,450 |
| Priory Group Ltd., 7.00%, 2/15/18 | GBP | 100 | 166,629 |
| Tenet Healthcare Corp.: | | | |
| 9.00%, 5/01/15 | USD | 555 | 610,500 |
| 10.00%, 5/01/18 | | 625 | 734,375 |
| 8.88%, 7/01/19 | | 195 | 221,813 |
| WellPoint, Inc., 5.95%, 12/15/34 | | 1,000 | 1,029,592 |
| | | | 5,427,877 |
| Health Care Technology 0.8% | | | |
| IMS Health, Inc., 12.50%, 3/01/18 (b) | | 660 | 773,850 |
| MedAssets, Inc., 8.00%, 11/15/18 (b) | | 60 | 61,650 |
| | | | 835,500 |
| Hotels, Restaurants & Leisure 3.0% | | | |
| Boyd Gaming Corp., 9.13%, 12/01/18 (b) | | 225 | 236,250 |
| Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18 | | 1,345 | 1,264,300 |
| CityCenter Holdings LLC, 7.63%, 1/15/16 (b) | | 120 | 125,100 |
| Diamond Resorts Corp., 12.00%, 8/15/18 (b) | | 310 | 332,475 |
| Harrahs Operating Co., Inc., 11.25%, 6/01/17 | | 135 | 153,225 |
| MGM Resorts International, 10.38%, 5/15/14 | | 750 | 840,000 |
| Palace Entertainment Holding LLC, 8.88%, 4/15/17 (b) | | 45 | 45,900 |
| Tropicana Entertainment LLC, Series WI, 9.63%, 12/15/14 (a)(g) | | 50 | 5 |
| | | | 2,997,255 |
| Household Durables 3.7% | | | |
| Ashton Woods USA LLC, 22.62%, 6/30/15 (b)(h) | | 314 | 204,230 |
| Beazer Homes USA, Inc.: | | | |
| 8.13%, 6/15/16 | | 50 | 50,813 |
| 12.00%, 10/15/17 | | 280 | 325,500 |
| 9.13%, 6/15/18 | | 840 | 867,300 |
| K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16 | | 650 | 704,437 |
| Ryland Group, Inc., 6.63%, 5/01/20 | | 250 | 245,000 |

| See Notes to Financial
Statements. — 92 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Household
Durables (concluded)
Standard Pacific Corp.:
10.75%, 9/15/16	USD	565	$ 663,875
8.38%, 5/15/18 (b)		175	185,500
8.38%, 5/15/18		175	185,500
8.38%, 1/15/21 (b)		280	295,400
			3,727,555
IT
Services 2.4%
First Data Corp. (b):
8.88%, 8/15/20		470	514,650
8.25%, 1/15/21		516	513,420
12.63%, 1/15/21		239	250,352
iPayment, Inc., 9.75%,
5/15/14		175	173,469
iPayment Investors LP,
12.75%, 7/15/14 (b)(i)		231	215,089
SunGard Data Systems, Inc.:
10.63%, 5/15/15		295	326,712
7.38%, 11/15/18 (b)		180	185,850
7.63%, 11/15/20 (b)		220	227,150
			2,406,692
Independent
Power Producers & Energy
Traders 3.2%
AES Ironwood LLC, 8.86%,
11/30/25		90	89,974
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b)		515	558,775
Calpine Corp. (b):
7.50%, 2/15/21		170	173,825
7.88%, 1/15/23		235	241,462
Energy Future Holdings Corp., 10.00%, 1/15/20 (b)		1,005	1,046,559
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20		28	29,228
NRG Energy, Inc., 7.63%, 1/15/18 (b)		975	1,015,219
			3,155,042
Industrial Conglomerates 1.5%
Sequa Corp. (b):
11.75%, 12/01/15		460	499,100
13.50%, 12/01/15 (i)		854	946,092
			1,445,192
Insurance 3.1%
American International Group, Inc., 6.40%, 12/15/20		1,130	1,225,265
CNO Financial Group, Inc., 9.00%, 1/15/18 (b)		138	146,970
Lincoln National Corp., 8.75%, 7/01/19		575	724,372
MetLife, Inc., 4.75%, 2/08/21		300	307,636
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (b)		250	271,448
Prudential Financial, Inc., 5.38%, 6/21/20		400	422,324
			3,098,015
Machinery 1.1%
AGY Holding Corp., 11.00%, 11/15/14		220	195,800
Navistar International Corp.:
3.00%, 10/15/14 (c)		430	600,925
8.25%, 11/01/21		260	287,950
			1,084,675
Marine 0.6%
Horizon Lines, Inc., 4.25%, 8/15/12 (c)		595	551,863
Media 15.7%
AMC Entertainment Holdings, Inc., 9.75%, 12/01/20 (b)		180	193,050
Affinion Group, Inc., 7.88%, 12/15/18 (b)		235	225,012
CCH II LLC, 13.50%, 11/30/16		289	350,571
CMP Susquehanna Corp., 3.44%, 5/15/14		40	28,197

| Corporate
Bonds | Par (000) | | |
| --- | --- | --- | --- |
| Media (concluded) | | | |
| Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (b) | USD | 520 | $ 539,500 |
| Checkout Holding Corp., 10.97%, 11/15/15 (b)(d) | | 320 | 206,400 |
| Citadel Broadcasting Corp., 7.75%, 12/15/18 (b) | | 95 | 101,888 |
| Clear Channel Communications Inc., 9.00%, 3/01/21 (b) | | 90 | 91,463 |
| Clear Channel Worldwide Holdings, Inc.: | | | |
| 9.25%, 12/15/17 | | 384 | 426,240 |
| Series B, 9.25%, 12/15/17 | | 1,774 | 1,973,575 |
| DIRECTV Holdings LLC, 6.00%, 8/15/40 | | 175 | 171,209 |
| DISH DBS Corp., 7.00%, 10/01/13 | | 201 | 216,075 |
| Gray Television, Inc., 10.50%, 6/29/15 | | 165 | 175,313 |
| Interactive Data Corp., 10.25%, 8/01/18 (b) | | 380 | 425,600 |
| Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | | 165 | 169,950 |
| NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | | 220 | 236,500 |
| NBC Universal, Inc., 4.38%, 4/01/21 (b) | | 1,025 | 986,514 |
| The New York Times Co., 6.63%, 12/15/16 (b) | | 500 | 511,250 |
| News America, Inc., 6.20%, 12/15/34 | | 1,500 | 1,546,831 |
| Nielsen Finance LLC, 7.75%, 10/15/18 (b) | | 765 | 827,156 |
| ProQuest LLC, 9.00%, 10/15/18 (b) | | 130 | 134,550 |
| Rainbow National Services LLC (b): | | | |
| 8.75%, 9/01/12 | | 210 | 210,787 |
| 10.38%, 9/01/14 | | 1,455 | 1,515,019 |
| Regal Entertainment Group, 9.13%, 8/15/18 | | 85 | 90,950 |
| TCI Communications, Inc., 7.88%, 2/15/26 | | 1,000 | 1,215,698 |
| Time Warner Cable, Inc., 5.88%, 11/15/40 | | 410 | 389,310 |
| UPC Germany GmbH (b): | | | |
| 8.13%, 12/01/17 | | 200 | 214,500 |
| 8.13%, 12/01/17 | EUR | 210 | 311,886 |
| 9.63%, 12/01/19 | USD | 190 | 297,914 |
| UPC Holding BV, 9.88%, 4/15/18 (b) | | 200 | 222,000 |
| UPCB Finance II Ltd., 6.38%, 7/01/20 | EUR | 292 | 397,897 |
| Unitymedia GmbH, 9.63%, 12/01/19 | | 50 | 78,398 |
| Univision Communications, Inc., 7.88%, 11/01/20 (b) | USD | 170 | 182,325 |
| Virgin Media Secured Finance Plc: | | | |
| 6.50%, 1/15/18 | | 200 | 219,000 |
| 7.00%, 1/15/18 | GBP | 100 | 175,164 |
| Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) | EUR | 165 | 244,199 |
| Ziggo Finance BV, 6.13%, 11/15/17 (b) | | 295 | 416,245 |
| | | | 15,718,136 |
| Metals & Mining 3.3% | | | |
| Drummond Co., Inc.: | | | |
| 9.00%, 10/15/14 (b) | USD | 205 | 218,837 |
| 7.38%, 2/15/16 | | 95 | 98,325 |
| FMG Resources August 2006 Property Ltd., 7.00%, 11/01/15 (b) | | 540 | 560,250 |
| Goldcorp, Inc., 2.00%, 8/01/14 (c) | | 220 | 276,925 |
| New World Resources NV: | | | |
| 7.88%, 5/01/18 | EUR | 65 | 96,424 |
| 7.88%, 5/01/18 (b) | | 76 | 112,742 |
| Newmont Mining Corp.: | | | |
| 5.13%, 10/01/19 | USD | 225 | 242,204 |
| Series A, 1.25%, 7/15/14 (c) | | 160 | 213,400 |
| Novelis, Inc., 8.75%, 12/15/20 (b) | | 1,275 | 1,405,687 |
| Steel Dynamics, Inc., 7.38%, 11/01/12 | | 65 | 69,063 |
| | | | 3,293,857 |
| Multi-Utilities 0.4% | | | |
| DTE Energy Co., 7.05%, 6/01/11 | | 250 | 253,716 |
| Dominion Resources, Inc., 5.70%, 9/17/12 | | 100 | 106,939 |
| | | | 360,655 |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 93 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Multiline Retail 1.3%
Dollar General Corp., 11.88%, 7/15/17 (i)	USD	1,135	$ 1,312,344
Oil, Gas & Consumable Fuels 9.0%
Alpha Natural Resources Inc., 2.38%, 4/15/15 (c)		85	111,031
Anadarko Petroleum Corp., 5.95%, 9/15/16		365	400,278
Arch Coal, Inc., 7.25%, 10/01/20		315	334,687
BP Capital Markets Plc, 3.13%, 10/01/15		650	659,252
Berry Petroleum Co., 8.25%, 11/01/16		100	105,625
Bill Barrett Corp., 9.88%, 7/15/16		20	22,400
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 (b)		85	90,312
Chaparral Energy, Inc., 8.25%, 9/01/21 (b)		90	91,575
Chesapeake Energy Corp.:
6.63%, 8/15/20		580	609,000
6.13%, 2/15/21		340	346,800
2.25%, 12/15/38 (c)		275	251,625
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)		99	107,910
Concho Resources, Inc., 7.00%, 1/15/21		150	157,125
Consol Energy, Inc., 8.25%, 4/01/20		725	799,312
Continental Resources, Inc., 7.13%, 4/01/21 (b)		135	143,775
Crosstex Energy LP, 8.88%, 2/15/18		65	71,663
Denbury Resources, Inc.:
8.25%, 2/15/20		259	288,137
6.38%, 8/15/21		125	126,250
Energy Transfer Equity LP, 7.50%, 10/15/20		50	54,188
Energy XXI Gulf Coast, Inc. (b):
9.25%, 12/15/17		155	166,625
7.75%, 6/15/19		190	191,900
Enterprise Products Operating LLC, 3.70%, 6/01/15		500	516,052
Hilcorp Energy I LP, 7.63%, 4/15/21 (b)		200	211,000
Linn Energy LLC (b):
8.63%, 4/15/20		115	128,225
7.75%, 2/01/21		220	233,750
MarkWest Energy Partners LP, 6.75%, 11/01/20		95	97,375
Niska Gas Storage US LLC, 8.88%, 3/15/18 (b)		695	757,550
Oasis Petroleum, Inc., 7.25%, 2/01/19 (b)		80	81,200
Peabody Energy Corp., 6.50%, 9/15/20		155	165,850
Petrobras International Finance Co.:
3.88%, 1/27/16		1,100	1,110,688
5.88%, 3/01/18		200	212,841
7.88%, 3/15/19		100	117,856
6.88%, 1/20/40		25	25,883
Range Resources Corp., 8.00%, 5/15/19		50	55,063
SM Energy Co., 6.63%, 2/15/19 (b)		100	101,125
United Refining Co., 10.50%, 2/28/18 (b)(e)		90	89,100
			9,033,028
Paper & Forest Products 2.8%
Boise Paper Holdings LLC:
9.00%, 11/01/17		125	139,375
8.00%, 4/01/20		65	71,663
Clearwater Paper Corp.:
10.63%, 6/15/16		160	182,800
7.13%, 11/01/18 (b)		215	223,063
Georgia-Pacific LLC, 8.25%, 5/01/16 (b)		355	400,262
International Paper Co.:
7.95%, 6/15/18		220	267,804
7.30%, 11/15/39		5	5,861
NewPage Corp., 11.38%, 12/31/14		1,075	1,072,312
Verso Paper Holdings LLC:
11.50%, 7/01/14		330	363,825
8.75%, 2/01/19 (b)		85	88,825
			2,815,790

Corporate Bonds	Par (000)		Value
Pharmaceuticals 1.0%
Grifols, Inc., 8.25%, 2/01/18 (b)	USD	45	$ 46,238
Novasep Holding SAS, 9.63%, 12/15/16 (b)	EUR	171	191,137
Valeant Pharmaceuticals International (b):
6.75%, 10/01/17	USD	100	103,500
7.00%, 10/01/20		125	129,219
Wyeth, 6.50%, 2/01/34		500	573,936
			1,044,030
Professional Services 0.3%
FTI Consulting, Inc., 6.75%, 10/01/20 (b)		265	265,000
Real Estate Investment Trusts (REITs) 1.0%
HCP, Inc., 5.38%, 2/01/21		225	229,978
iStar Financial, Inc., 5.65%, 9/15/11		500	500,000
Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (b)		140	141,400
The Rouse Co. LP, 6.75%, 11/09/15		145	151,888
			1,023,266
Real Estate Management & Development 1.2%
CB Richard Ellis Services, Inc., 6.63%, 10/15/20		90	92,813
Realogy Corp. (b):
11.50%, 4/15/17		215	228,975
7.88%, 2/15/19		900	903,375
			1,225,163
Road & Rail 1.8%
Avis Budget Car Rental LLC:
9.63%, 3/15/18		190	212,325
8.25%, 1/15/19		280	297,150
Canadian National Railway Co., 6.90%, 7/15/28		500	599,603
The Hertz Corp. (b):
7.50%, 10/15/18		335	354,681
6.75%, 4/15/19		160	163,200
7.38%, 1/15/21		180	188,100
			1,815,059
Semiconductors
& Semiconductor Equipment 0.1%
Linear Technology Corp., Series A, 3.00%, 5/01/27 (c)		105	114,319
Software 0.2%
Oracle Corp., 5.38%, 7/15/40 (b)		210	204,690
Specialty Retail 1.1%
Asbury Automotive Group, Inc., 8.38%, 11/15/20 (b)		120	126,000
Claires Escrow Corp., 8.88%, 3/15/19 (b)(e)		115	115,431
Limited Brands, Inc., 8.50%, 6/15/19		320	366,400
PETCO Animal Supplies, Inc., 9.25%, 12/01/18 (b)		165	178,200
Sonic Automotive, Inc.:
9.00%, 3/15/18		115	123,050
Series B, 8.63%, 8/15/13		205	208,075
			1,117,156
Tobacco 0.1%
Altria Group, Inc., 9.25%, 8/06/19		105	136,381
Wireless Telecommunication Services 3.5%
America Movil SAB de CV, 5.00%, 3/30/20		400	412,526
American Tower Corp., 4.50%, 1/15/18		375	371,719
Clearwire Communications LLC, 12.00%, 12/01/15 (b)		70	76,300
Cricket Communications, Inc.:
10.00%, 7/15/15		125	137,813
7.75%, 5/15/16		530	560,475
Crown Castle Towers LLC, 6.11%, 1/15/40 (b)		375	407,263

| See Notes to Financial
Statements. — 94 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

Corporate Bonds	Par (000)		Value
Wireless Telecommunication Services (concluded)
Digicel Group Ltd. (b):
8.88%, 1/15/15	USD	170	$ 176,800
9.13%, 1/15/15		439	457,218
8.25%, 9/01/17		365	381,425
iPCS, Inc., 2.43%, 5/01/13 (f)		20	19,750
SBA Tower Trust, 4.25%, 4/15/40 (b)		325	339,686
Sprint Capital Corp., 6.88%, 11/15/28		170	153,213
Syniverse Holdings, Inc., 9.13%, 1/15/19 (b)		40	43,200
			3,537,388
Total Corporate Bonds 105.6%			105,515,185
Floating
Rate Loan Interests (f)
Building Products 0.3%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/13/17		300	309,187
Commercial Services & Supplies 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%, 6/10/16		165	169,434
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16		225	226,929
Volume Services America, Inc. (Centerplate), Term Loan B, 10.50% 10.75%, 8/24/16		359	362,540
			758,903
Construction & Engineering 0.7%
Safway Services, LLC, Last Out Term Loan, 15.63%, 12/14/17		750	750,000
Consumer Finance 1.5%
AGFS Funding Co., Term Loan, 7.25%, 4/21/15		1,500	1,513,350
Diversified Consumer Services 0.5%
Laureate Education, Series A New Term Loan, 7.00%, 8/15/14		495	497,875
Electric Utilities 0.0%
New Development Holdings LLC, Term Loan, 7.00%, 7/03/17		21	21,534
Food Products 0.3%
Pierre Foods, Term Loan, 11.25%, 9/29/17		300	307,500
Health Care Providers & Services 0.7%
Harden Healthcare, Inc.:
Add-on Term Loan, 7.75%, 3/02/15		190	186,200
Tranche A Term Loan, 8.50%, 2/22/15		180	176,444
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term Loan B, 4.75%, 7/31/16		299	299,806
			662,450
Hotels, Restaurants & Leisure 0.1%
Harrahs Operating Co., Inc., Term Loan B-3, 3.30%, 1/28/15		150	139,271
Household Durables 0.7%
Visant Corp. (FKA Jostens), Term Loan B, 7.00%, 12/20/16		399	402,571
Visant Holding Corp. 5.25% 12/22/16		350	350,000
			752,571

Floating Rate Loan Interests (f)	Par (000)
IT Services 0.6%
First Data Corp.:
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14	USD	62	$	58,960
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14		153		145,150
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14		378		357,533
				561,643
Independent
Power Producers & Energy Traders 1.2%
NRG Energy, Inc.:
Credit-Linked Deposit, 2.05%, 2/01/13			(j)	31
Letter of Credit, 3.55%, 8/31/15		82		82,774
Term Loan, 2.00% 2.05%, 2/01/13		21		20,505
Term Loan, 3.55%, 8/31/15		98		98,608
Texas Competitive Electric Holdings Co., LLC (TXU):
Initial Tranche B-1 Term Loan, 3.76% 3.80%, 10/10/14		982		827,777
Term Loan B2, 3.76% 3.80%, 10/10/14		236		199,077
				1,228,772
Media 3.6%
Cengage Learning Acquisitions, Inc. (Thomson Learning), Tranche 1 Incremental Term Loan, 7.50%, 7/03/14		488		489,694
Intelsat Jackson Holdings Ltd., Term Loan B, 5.25%, 3/07/18		2,500		2,516,797
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		550		584,719
				3,591,210
Metals & Mining 0.1%
Euramax International, Inc., Domestic Term Loan:
10.00%, 6/29/13		65		62,201
14.00%, 6/29/13		62		59,710
				121,911
Oil, Gas & Consumable Fuels 0.9%
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15		861		882,663
Real Estate Investment Trusts (REITs) 0.1%
iStar Financial, Inc., Term Loan (Second Lien), 1.76%, 6/28/11		100		98,625
Real Estate Management & Development 1.3%
Realogy Corp.:
Initial Term Loan B, 4.56%, 10/10/13		609		584,532
Synthetic Letter of Credit, 0.11% 4.40%, 10/10/13		72		69,271
Term Loan B, 4.56%, 10/16/16		609		584,397
Term Loan C, 4.51%, 10/16/16		72		69,255
				1,307,455
Specialty Retail 0.1%
Claires Stores, Inc., Term Loan B, 3.01% 5.00%, 5/29/14		64		61,978
Wireless Telecommunication Services 0.8%
Vodafone Americas Finance 2, Inc., Initial Loan, 6.88%, 7/30/15		776		803,675
Total Floating Rate Loan Interests 14.3%				14,370,573
Foreign
Agency Obligations
Qatar Government International Bond, 4.00%, 1/20/15 (b)		200		205,000
Republic of Indonesia, 5.88%, 3/13/20 (b)		200		214,250
Total Foreign Agency Obligations 0.4%				419,250

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 95 |
| --- | --- | --- |

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

Other Interests (k)	Beneficial Interest (000)			Value
Auto Components 1.9%
Delphi Debtor-in-Possession Holding Co. LLP, Class B Membership Interests (a)	USD		(j)	$ 1,912,225
Health Care Providers & Services 0.0%
Critical Care Systems International, Inc. (a)		1		95
Media 0.0%
Adelphia Communications Corp. (a)		400		6,040
Total Other Interests 1.9%				1,918,360
Preferred
Securities
Capital
Trusts		Par (000)
Commercial Banks 0.9%
Barclays Bank Plc, 8.55% (b)(f)(l)		650		645,125
USB Capital XIII Trust, 6.63%, 12/15/39		225		236,797
				881,922
Consumer Finance 0.5%
Capital One Capital V, 10.25%, 8/15/39		465		505,106
Total Capital Trusts 1.4%				1,387,028
Preferred
Stocks		Shares
Media 0.0%
CMP Susquehanna Radio Holdings Corp. (a)(b)		9,328
Professional Services 0.1%
Nielsen Holdings NV, 6.25% (a)(c)		158,300		87,362
Real Estate Investment Trusts (REITs) 0.1%
MPG Office Trust, Inc., Series A, 7.63% (a)(c)		3,277		60,788
Total Preferred Stocks 0.2%				148,150
Total Preferred Securities 1.6%				1,535,178
Taxable
Municipal Bonds		Par (000)
Metropolitan Transportation Authority, RB, Build America Bonds, Series TR, 6.81%, 11/15/40	USD	300		311,478
Total Taxable Municipal Bonds 0.3%				311,478
U.S.
Government Sponsored Agency Securities
Collateralized Mortgage Obligations 0.4%
Ginnie Mae Mortgage-Backed Securities, Series 2006-68, Class B, 1.00%, 6/16/31 (f)		310		338,029
Total U.S.
Government Sponsored Agency Securities 0.4%				338,029

U.S. Treasury Obligations — U.S. Treasury Bonds, 4.38%, 5/15/40	250	Value — $ 245,077
U.S. Treasury Notes:
3.75%, 11/15/18	475	501,311
2.63%, 8/15/20	1,000	940,000
2.63%, 11/15/20	565	528,628
Total U.S. Treasury Obligations 2.2%		2,215,016
Warrants
(m)	Shares
Media 0.0%
CMP Susquehanna Radio Holdings Corp. (Expires 3/26/19) (b)	10,660
Software 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)	56	1
Total Warrants 0.0%		1
Total
Long-Term Investments (Cost $119,586,240) 126.7%		126,645,767
Short-Term
Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (n)(o)	1,089,292	1,089,292
Total
Short-Term Securities (Cost $1,089,292) 1.1%		1,089,292
Options
Purchased	Contracts
Over-the-Counter Call Options 0.0%
Marsico Parent Superholdco LLC, Strike Price USD 942.86, Expires 12/21/19, Broker Goldman Sachs Bank USA	6
Total
Options Purchased (Cost $5,867) 0.0%
Total Investments (Cost $120,681,399*) 127.8%		127,735,059
Liabilities in Excess of Other Assets (27.8)%		(27,762,901	)
Net Assets 100.0%		$ 99,972,158

* — Aggregate cost	$ 120,723,005
Gross unrealized appreciation	$ 7,776,102
Gross unrealized depreciation	(764,048	)
Net unrealized appreciation	$ 7,012,054

| (a) | Non-income producing
security. |
| --- | --- |
| (b) | Security exempt from
registration under Rule 144A of the Securities Act of 1933. |
| | These securities may be
resold in transactions exempt from registration to qualified institutional
investors. |
| (c) | Convertible security. |
| (d) | Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date. |

| See Notes to Financial
Statements. — 96 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

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

Counterparty	Value	Unrealized Appreciation
Bank of America Securities	$ 66,138	$ 738
Credit Suisse International	$ 204,531	$ 2,731

| (f) | Variable rate security.
Rate shown is as of report date. |
| --- | --- |
| (g) | Issuer filed for bankruptcy
and/or is in default of interest payments. |
| (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 reflects the current yield
as of report date. |
| (i) | Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares. |
| (j) | Amount is less than $1,000. |
| (k) | Other interests represent
beneficial interest in liquidation trusts and other reorganization entities
and are non-income producing. |
| (l) | Security is perpetual in nature
and has no stated maturity date. |
| (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 Investment Company Act of 1940, as amended, were as
follows: |

| Affiliate — BlackRock Liquidity Funds,
TempFund, Institutional Class | Shares
Held at August 31, 2010 — 1,132,209 | (42,917 | ) | 1,089,292 | Income — $ 1,601 |
| --- | --- | --- | --- | --- | --- |

| (o) | Represents the current
yield as of report date. |
| --- | --- |
| | Financial futures
contracts purchased as of February 28, 2011 were as follows: |

Contracts	Issue	Exchange
18	2-Year
U.S. Treasury Note	Chicago
Mercantile	June
2011	$ 3,923,754	$ 5,589
28	5-Year
U.S. Treasury Note	Chicago
Mercantile	June
2011	$ 3,254,834	19,416
5	Ultra
Long U.S. Treasury Bond	Chicago
Mercantile	June
2011	$ 617,938	31
Total			$ 25,036

Financial futures contracts sold as of February 28, 2011 were as follows:

| Contracts — 6 | 30-Year
U.S. Treasury Bond | Chicago
Mercantile | June
2011 | Notional Value — $ 721,912 | Unrealized Depreciation — $ (150 | ) |
| --- | --- | --- | --- | --- | --- | --- |
| 36 | 10-Year
U.S. Treasury Note | Chicago
Mercantile | June
2011 | $ 4,274,691 | (10,997 | ) |
| Total | | | | | $ (11,147 | ) |

Foreign currency exchange contracts as of February 28, 2011 were as follows:

| Currency Purchased — USD | 86,175 | Currency Sold — GBP | 53,500 | Counterparty — Citibank
NA | Settlement Date — 4/14/11 | $ (766 | ) |
| --- | --- | --- | --- | --- | --- | --- | --- |
| USD | 85,733 | GBP | 53,000 | Deutsche
Bank AG | 4/14/11 | (395 | ) |
| USD | 245,815 | GBP | 153,500 | Deutsche
Bank Securities | 4/14/11 | (3,630 | ) |
| USD | 5,962,554 | EUR | 4,357,000 | Citibank
NA | 4/27/11 | (45,793 | ) |
| USD | 399,893 | EUR | 292,000 | Royal
Bank of Scotland | 4/27/11 | (2,778 | ) |
| Total | | | | | | $ (53,362 | ) |

Credit default swaps on single-name issues buy protection outstanding as of February 28, 2011 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)	Unrealized Depreciation
iStar Financial, Inc.	5.00 %	Morgan
Stanley Capital Services, Inc.	9/20/11	$ 500	$ (37,441	)
Harrahs Operating Co.,
Inc.	5.00 %	Deutsche
Bank AG	12/20/15	$ 350	(48,829	)
Republic of Hungary	1.00 %	Deutsche
Bank AG	12/20/15	$ 110	(1,994	)
K. Hovnanian Enterprises, Inc.	5.00 %	JPMorgan Chase
Bank NA	12/20/15	$ 250	(39,710	)
The New York Times Co.	1.00 %	Barclays
Bank Plc	12/20/16	$ 500	(9,654	)
Total					$ (137,628	)

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 97 |
| --- | --- | --- |

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

Credit default swaps on single-name issues sold protection outstanding as of February 28, 2011 were as follows:

Issuer	Receive Fixed Rate		Expiration	Issuer Credit Rating 1	Unrealized Appreciation
MetLife, Inc.	5.00 %	Deutsche
Bank AG	6/20/15	A	$ 150	$ 14,243
MetLife, Inc.	1.00 %	UBS
AG	9/20/15	A	$ 175	9,486
M.D.C. Holdings, Inc.	1.00 %	Deutsche
Bank AG	12/20/15	BBB	$ 125	1,199
D.R. Horton, Inc.	1.00 %	JPMorgan
Chase Bank NA	12/20/15	BB	$ 100	3,077
M.D.C. Holdings, Inc.	1.00 %	JPMorgan
Chase Bank NA	12/20/15	BBB	$ 125	677
Realogy Corp.	5.00 %	JPMorgan
Chase Bank NA	12/20/15	CC	$ 275	15,830
M.D.C. Holdings, Inc.	1.00 %	Morgan
Stanley Capital Services, Inc.	12/20/15	BBB	$ 200	913
Chesapeake Energy	5.00 %	Credit
Suisse International	3/20/16	BB	$ 100	1,875
Chesapeake Energy	5.00 %	Goldman
Sachs Bank USA	3/20/16	BB	$ 150	1,668
Realogy Corp.	5.00 %	JPMorgan
Chase Bank NA	3/20/16	CC	$ 50	210
Chesapeake Energy	5.00 %	JPMorgan
Chase Bank NA	3/20/16	BB	$ 100	1,875
Total					$ 51,053

	1	Using S&Ps rating.
	2	The maximum potential
amount the Trust may pay should a negative event take place as defined under
the terms of agreement.
	Credit default swaps on
traded indexes buy protection outstanding as of February 28, 2011 were as follows:

Index		Counterparty	Expiration	Notional Amount (000)	Unrealized Depreciation
MCDX North America Series
15	1.00 %	Citibank
NA	12/20/15	$ 500	$ (2,323	)
MCDX North America Series
15	1.00 %	Deutsche
Bank AG	12/20/15	$ 225	(1,207	)
Total					$ (3,530	)

| | 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. This definition 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 derivatives. These inputs
are summarized in three broad levels for financial statement purposes as
follows: | |
| | | Level 1 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 derivatives) |
| | The inputs or methodologies
used for valuing securities are not necessarily an indication of the risk associated
with investing in those securities. For information about the Trusts policy
regarding valuation of investments and derivatives 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 28, 2011 in determining the fair valuation of the Trusts investments and derivatives:

Valuation Inputs					Total
Assets:
Investments in Securities:
Common Stocks	$ 22,405	$ 292		$	22,697
Corporate Bonds		105,271,488	$ 243,697		105,515,185
Floating Rate Loan Interests		11,264,091	3,106,482		14,370,573
Foreign Agency Obligations		419,250			419,250
Other Interests		1,912,225	6,135		1,918,360
Preferred Securities	60,788	1,474,390			1,535,178
Taxable Municipal Bonds		311,478			311,478
U.S. Government Sponsored Agency Securities		338,029			338,029
U.S. Treasury Obligations		2,215,016			2,215,016
Warrants			1		1
Short-Term Securities	1,089,292				1,089,292
Liabilities:
Unfunded Loan Commitments			(4,843	)	(4,843	)
Total	$ 1,172,485	$ 123,206,259	$ 3,351,472	$	127,730,216

| See Notes to Financial
Statements. — 98 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

| Valuation Inputs | Derivative
Financial Instruments 1 — Level 1 | Level 2 | | | Level 3 | Total | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Assets: | | | | | | | |
| Credit contracts | | $ | 51,053 | | | $ 51,053 | |
| Interest rate contracts | $ 25,036 | | | | | 25,036 | |
| Liabilities: | | | | | | | |
| Credit contracts | | | (141,158 | ) | | (141,158 | ) |
| Foreign currency transactions | | | (53,362 | ) | | (53,362 | ) |
| Interest rate contracts | (11,147 | ) | | | | (11,147 | ) |
| Total | $ 13,889 | $ | (143,467 | ) | | $ (129,578 | ) |

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

	Common Stocks										Warrants	Unfunded Loan Commitments		Total
Assets/Liabilities:
Balance, as of August 31, 2010	$ 13,235	$	17,453	$	3,420,874	$	191	$	65,455			$ (8,879	)	$ 3,508,329
Accrued discounts/premiums			1,368		155,723									157,091
Net realized gain (loss)	(339,690	)			50,342				130,416					(158,932	)
Net change in unrealized appreciation/depreciation 2	363,363		28,068		(109,990	)	(96	)	(13,289	)	$ 1	4,036		272,093
Purchases			225,000		1,211,241									1,436,241
Sales	(36,908	)			(1,559,730	)			(182,582	)				(1,779,220	)
Transfers in 3			5				6,040							6,045
Transfers out 3			(28,197	)	(61,978	)								(90,175	)
Balance, as of February 28, 2011		$	243,697	$	3,106,482	$	6,135				$ 1	$ (4,843	)	$ 3,351,472

| 2 | Included in the related net
change in unrealized appreciation/depreciation in the Statements of
Operations. The net change in unrealized appreciation/depreciation on
securities still held at February 28, 2011 was $272,093. |
| --- | --- |
| 3 | The Trusts policy is to
recognize transfers in and transfers out as of the end of the period of the
event or the change in circumstances that caused the transfer. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 99 |
| --- | --- | --- |

S tatements of Assets and Liabilities

| February
28, 2011 (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) |
| --- | --- | --- | --- | --- | --- | --- |
| Assets | | | | | | |
| Investments at value unaffiliated 1 | | $ 736,461,488 | $ 539,227,737 | $ 551,671,756 | $ 149,480,312 | $ 53,751,262 |
| Investments at value affiliated 2 | | 2,222,695 | 1,708,712 | 1,225,083 | 1,388,372 | 1,590,898 |
| Unrealized appreciation on foreign currency exchange contracts | | 547,327 | 67 | 71 | | |
| Unrealized appreciation on swaps | | 294,515 | 389,277 | 456,881 | | 12,189 |
| Unrealized appreciation on unfunded loan commitments | | | 1,563 | 4,056 | | |
| Cash pledged as collateral for financial futures contracts | | 1,564,000 | 770,000 | 815,000 | 200,000 | |
| Cash | | | 14,612 | | | |
| Foreign currency at value 3 | | 158,783 | 1,006,975 | 201,954 | 6,352 | |
| Cash pledged as collateral for swaps | | | | | | |
| TBA sale commitments receivable | | 193,476,453 | | | | |
| Investments sold receivable | | 91,692,008 | 7,706,759 | 7,448,452 | 5,643,515 | 907,581 |
| Interest receivable | | 5,733,710 | 9,057,249 | 9,564,595 | 2,595,463 | 1,073,591 |
| Swap premiums paid | | 779,629 | 1,353,543 | 1,374,546 | | 146,368 |
| Principal paydowns receivable | | 27,287 | 467,557 | | | |
| Options written receivable | | 23,960 | | | | |
| Dividends receivable unaffiliated | | 21,782 | 89,947 | 81,983 | 20,211 | |
| Swaps receivable | | 13,836 | 103,335 | 111,667 | | 3,520 |
| Commitment fees receivable | | 3,731 | 27 | 149 | | |
| Dividends receivable affiliated | | 1,275 | 2,634 | 2,801 | 60 | 367 |
| Margin variation receivable | | | | | | |
| Prepaid expenses | | 31,911 | 118,864 | 124,771 | 50,948 | 17,494 |
| Other assets | | 46,199 | 72,210 | 75,854 | 10,154 | 11,640 |
| Total assets | | 1,033,100,589 | 562,091,068 | 573,159,619 | 159,395,387 | 57,514,910 |
| Liabilities | | | | | | |
| TBA sale commitments at value 4 | | 194,314,061 | | | | |
| Reverse repurchase agreements | | 150,125,157 | | | | |
| Loan payable | | | 134,000,000 | 127,000,000 | 28,000,000 | 10,000,000 |
| Options written at value 5 | | 9,110,839 | | | | |
| Unrealized depreciation on swaps | | 515,293 | 862,839 | 787,924 | | 59,528 |
| Interest rate floors at value 6 | | | | | | |
| TALF loans at value 7 | | | | | | |
| Unrealized depreciation on unfunded loan commitments | | | 38,321 | 19,704 | 1,105 | 2,182 |
| Unrealized depreciation on foreign currency exchange contracts | | 833,729 | 252,933 | 269,959 | 36,740 | |
| Bank overdraft | | 3,919,419 | | | | 9,941 |
| Investments purchased payable | | 308,176,887 | 8,182,867 | 6,856,072 | 3,620,224 | 570,315 |
| Swap premiums received | | 367,677 | 1,032,445 | 1,080,266 | | 50,723 |
| Investment advisory fees payable | | 217,577 | 251,829 | 300,733 | 90,070 | 45,533 |
| Swaps payable | | 185,740 | 91,625 | 91,774 | | 7,664 |
| Margin variation payable | | 67,720 | 57,670 | 61,320 | 10,950 | |
| Interest expense payable | | 59,669 | 350,687 | 235,638 | 78,811 | 12,827 |
| Officers and Trustees fees payable | | 48,296 | 63,301 | 67,073 | 11,016 | 10,750 |
| Income dividends payable | | 46,105 | 75,247 | 101,596 | 35,791 | 5,817 |
| Other affiliates payable | | 2,520 | 2,307 | 2,388 | 699 | |
| Administration fees payable | | | | | | 4,345 |
| Other accrued expenses payable | | 159,899 | 134,413 | 252,480 | 142,760 | 89,200 |
| Other liabilities | | 88,786 | | | | |
| Total liabilities | | 668,239,374 | 145,396,484 | 137,126,927 | 32,028,166 | 10,868,825 |
| Net Assets | | $ 364,861,215 | $ 416,694,584 | $ 436,032,692 | $ 127,367,221 | $ 46,646,085 |
| 1 | Investments at cost unaffiliated | $ 720,761,612 | $ 512,793,951 | $ 526,146,168 | $ 142,423,935 | $ 50,437,559 |
| 2 | Investments at cost affiliated | $ 2,222,695 | $ 1,708,712 | $ 1,225,083 | $ 1,388,372 | $ 1,590,898 |
| 3 | Foreign currency at cost | $ 151,439 | $ 993,155 | $ 200,256 | $ 6,211 | |
| 4 | Proceeds receivable from TBA sale commitments | $ 193,476,453 | | | | |
| 5 | Premiums received | $ 9,961,055 | | | | |
| 6 | Interest rate floors at cost | | | | | |
| 7 | Proceeds from TALF loans | | | | | |

| See Notes to Financial
Statements. — 100 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

		BlackRock Income Opportunity Trust, Inc. (BNA)	BlackRock Income Trust, Inc. (BKT)	BlackRock Strategic Bond Trust (BHD)
Assets
Investments at value unaffiliated 1		$ 728,880,707	$ 1,088,503,942	$ 126,645,767
Investments at value affiliated 2		6,527,500	36,489,702	1,089,292
Unrealized appreciation on foreign currency exchange contracts		546,426
Unrealized appreciation on swaps		152,151	23,071,816	51,053
Unrealized appreciation on unfunded loan commitments
Cash pledged as collateral for financial futures contracts		238,000	5,310,000	70,000
Cash		6,910,435
Foreign currency at value 3		775,717		62,445
Cash pledged as collateral for swaps			1,600,000
TBA sale commitments receivable		182,488,008	269,507,715
Investments sold receivable		149,367,113	430,811,913	1,315,099
Interest receivable		5,852,192	3,682,754	1,955,101
Swap premiums paid		779,629	137,894	329,020
Principal paydowns receivable		4,834	842,718
Options written receivable		23,613	32,294
Dividends receivable unaffiliated
Swaps receivable		31,463	2,110,612	9,565
Commitment fees receivable
Dividends receivable affiliated		260	318	36
Margin variation receivable				975
Prepaid expenses		32,557	31,403	29,272
Other assets		70,625	86,411	8,064
Total assets		1,082,681,230	1,862,219,492	131,565,689
Liabilities
TBA sale commitments at value 4		183,215,295	270,997,456
Reverse repurchase agreements		158,259,949	82,115,250
Loan payable				29,000,000
Options written at value 5		8,907,050	1,305,835
Unrealized depreciation on swaps		524,343	19,756,308	141,158
Interest rate floors at value 6			1,454,810
TALF loans at value 7			10,940,517
Unrealized depreciation on unfunded loan commitments				4,843
Unrealized depreciation on foreign currency exchange contracts		840,687		53,362
Bank overdraft				90,287
Investments purchased payable		367,169,131	974,287,159	2,004,342
Swap premiums received		300,964	1,119,246	85,300
Investment advisory fees payable		164,598	244,218	73,322
Swaps payable		170,432	3,218,769	20,293
Margin variation payable		98,403	194,443
Interest expense payable		41,160	23,452	73,901
Officers and Trustees fees payable		72,518	88,524	9,924
Income dividends payable		46,103	50,733	8,986
Other affiliates payable				870
Administration fees payable		27,467	56,604
Other accrued expenses payable		462,381	195,370	26,943
Other liabilities			48,984
Total liabilities		720,300,481	1,366,097,678	31,593,531
Net Assets		$ 362,380,749	$ 496,121,814	$ 99,972,158
1	Investments at cost unaffiliated	$ 715,104,100	$ 1,081,837,056	$ 119,592,107
2	Investments at cost affiliated	$ 6,527,500	$ 36,489,702	$ 1,089,292
3	Foreign currency at cost	$ 767,943		$ 61,419
4	Proceeds receivable from TBA sale commitments	$ 182,488,008	$ 269,507,715
5	Premiums received	$ 9,476,295	$ 1,634,665
6	Interest rate floors at cost		$ 1,013,333
7	Proceeds from TALF loans		$ 10,940,517

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 101

Statements of Assets and Liabilities (concluded)

| February
28, 2011 (Unaudited) | | BlackRock Core Bond Trust (BHK) | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Net Assets Consist of | | | | | | | | | | | |
| Paid-in capital 8,9,10 | | $ 378,671,939 | $ | 469,820,161 | $ | 505,109,247 | $ | 184,778,474 | $ | 63,364,045 | |
| Cost of shares held in treasury 11 | | | | | | | | | | | |
| Undistributed (distributions in excess of) net investment income | | 5,036,646 | | 4,442,265 | | 6,081,735 | | 1,854,358 | | (50,089 | ) |
| Undistributed (accumulated) net realized gain (loss) | | (33,562,929 | ) | (82,815,724 | ) | (99,618,393 | ) | (66,199,824 | ) | (19,933,027 | ) |
| Net unrealized appreciation/depreciation | | 14,715,559 | | 25,247,882 | | 24,460,103 | | 6,934,213 | | 3,265,156 | |
| Net Assets | | $ 364,861,215 | $ | 416,694,584 | $ | 436,032,692 | $ | 127,367,221 | $ | 46,646,085 | |
| Net asset value | | $ 13.51 | $ | 12.65 | $ | 12.35 | $ | 2.33 | $ | 7.26 | |
| 8 | Par value per share | $ 0.001 | $ | 0.100 | $ | 0.100 | | | $ | 0.001 | |
| 9 | Shares outstanding | 27,023,027 | | 32,944,087 | | 35,294,009 | | 54,620,872 | | 6,427,525 | |
| 10 | Shares authorized | unlimited | | 200
million | | 200
million | | unlimited | | unlimited | |
| 11 | Shares held in treasury | | | | | | | | | | |

| See Notes to Financial
Statements. — 102 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

		BlackRock Income Opportunity Trust, Inc. (BNA)			BlackRock Strategic Bond Trust (BHD)
Net Assets Consist of
Paid-in capital 8,9,10		$ 402,924,496	$	478,542,248	$ 98,450,652
Cost of shares held in treasury 11		(17,377,850	)
Undistributed (distributions in excess of) net investment income		5,155,609		779,700	902,480
Undistributed (accumulated) net realized gain (loss)		(40,532,415	)	10,430,696	(6,303,827	)
Net unrealized appreciation/depreciation		12,210,909		6,369,170	6,922,853
Net Assets		$ 362,380,749	$	496,121,814	$ 99,972,158
Net asset value		$ 10.52	$	7.76	$ 14.16
8	Par value per share	$ 0.010	$	0.010	$ 0.001
9	Shares outstanding	34,456,370		63,942,535	7,058,401
10	Shares authorized	200
million		200
million	unlimited
11	Shares held in treasury	1,757,400

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 103

S tatements of Operations

| Six Months
Ended February 28, 2011 (Unaudited) | BlackRock Core Bond Trust (BHK) | | BlackRock Corporate High Yield Fund V, Inc. (HYV) | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Investment Income | | | | | | | | | | |
| Interest | $ 12,528,136 | | $ 20,071,023 | $ | 21,011,353 | $ | 6,478,697 | $ | 2,194,879 | |
| Dividends unaffiliated | 23,840 | | 210,863 | | 74,218 | | 23,044 | | 7,252 | |
| Foreign taxes withheld | (49 | ) | | | | | | | | |
| Dividends affiliated | 3,268 | | 4,952 | | 4,930 | | 1,787 | | 1,994 | |
| Facility and other fees | 6,852 | | 16,704 | | 47,810 | | 61,581 | | 8,331 | |
| Total income | 12,562,047 | | 20,303,542 | | 21,138,311 | | 6,565,109 | | 2,212,456 | |
| Expenses | | | | | | | | | | |
| Investment advisory | 1,407,559 | | 1,512,573 | | 1,812,223 | | 555,962 | | 281,986 | |
| Printing | 48,668 | | 26,349 | | 27,693 | | 24,476 | | 9,571 | |
| Professional | 46,251 | | 84,838 | | 90,515 | | 46,076 | | 35,804 | |
| Custodian | 34,670 | | 31,851 | | 31,875 | | 13,140 | | 8,022 | |
| Accounting services | 30,470 | | 35,229 | | 37,665 | | 13,450 | | 5,372 | |
| Officer and Trustees | 21,650 | | 20,703 | | 24,053 | | 6,693 | | 2,674 | |
| Transfer agent | 5,911 | | 22,006 | | 23,002 | | 12,687 | | 6,207 | |
| Registration | 4,667 | | 5,550 | | 5,925 | | 9,096 | | 4,489 | |
| Borrowing costs 1 | | | 214,316 | | 212,978 | | 65,561 | | 25,107 | |
| Administration | | | | | | | | | 26,856 | |
| Miscellaneous | 65,056 | | 41,743 | | 43,517 | | 27,417 | | 23,752 | |
| Total expenses excluding interest expense | 1,664,902 | | 1,995,158 | | 2,309,446 | | 774,558 | | 429,840 | |
| Interest expense | 200,519 | | 661,044 | | 629,408 | | 155,216 | | 56,396 | |
| Total expenses | 1,865,421 | | 2,656,202 | | 2,938,854 | | 929,774 | | 486,236 | |
| Less fees waived by advisor | (381 | ) | (831 | ) | (821 | ) | (664 | ) | (589 | ) |
| Less fees paid indirectly | | | | | | | | | | |
| Total expenses after fees waived and paid indirectly | 1,865,040 | | 2,655,371 | | 2,938,033 | | 929,110 | | 485,647 | |
| Net investment income | 10,697,007 | | 17,648,171 | | 18,200,278 | | 5,635,999 | | 1,726,809 | |
| Realized and Unrealized Gain (Loss) | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | |
| Investments | (379,473 | ) | 7,247,673 | | 6,717,461 | | 1,498,824 | | (1,169,196 | ) |
| Financial futures contracts | (4,896,992 | ) | (1,524,239 | ) | (1,561,238 | ) | (260,221 | ) | | |
| Swaps | (1,443,336 | ) | 175,892 | | 216,109 | | | | (31,704 | ) |
| Foreign currency transactions | (131,257 | ) | (1,803,159 | ) | (1,908,591 | ) | (260,888 | ) | | |
| Options written | 766,894 | | 113,750 | | 119,750 | | | | 13,000 | |
| Borrowed bonds | (1,514,702 | ) | | | | | | | | |
| Interest rate floors | | | | | | | | | | |
| | (7,598,866 | ) | 4,209,917 | | 3,583,491 | | 977,715 | | (1,187,900 | ) |
| Net change in unrealized appreciation/depreciation on: | | | | | | | | | | |
| Investments | (12,751,165 | ) | 31,755,076 | | 31,620,073 | | 8,027,482 | | 4,858,958 | |
| Financial futures contracts | (1,041,525 | ) | (615,578 | ) | (651,669 | ) | (132,386 | ) | | |
| Swaps | 566,130 | | (429,508 | ) | (408,099 | ) | | | (43,808 | ) |
| Foreign currency transactions | 38,777 | | (194,805 | ) | (207,549 | ) | (30,495 | ) | | |
| Options written | 4,274,577 | | (107,893 | ) | (113,584 | ) | | | (12,341 | ) |
| Unfunded loan commitments | | | 33,265 | | 20,475 | | 921 | | 1,819 | |
| Borrowed bonds | (27 | ) | | | | | | | | |
| Interest rate floors | | | | | | | | | | |
| | (8,913,233 | ) | 30,440,557 | | 30,259,647 | | 7,865,522 | | 4,804,628 | |
| Total realized and unrealized gain (loss) | (16,512,099 | ) | 34,650,474 | | 33,843,138 | | 8,843,237 | | 3,616,728 | |
| Net Increase (Decrease) in Net Assets Resulting from
Operations | $ (5,815,092 | ) | $ 52,298,645 | $ | 52,043,416 | $ | 14,479,236 | $ | 5,343,537 | |

1 See Note 8 of the Notes to the Financial Statements for details of short-term borrowings.

| See Notes to Financial
Statements. — 104 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

	BlackRock Income Opportunity Trust, Inc. (BNA)		BlackRock Income Trust, Inc. (BKT)
Investment Income
Interest	$ 11,873,171		$ 13,187,160	$	4,342,116
Dividends unaffiliated					1,212
Foreign taxes withheld	249				(254	)
Dividends affiliated	4,288		10,651		1,982
Facility and other fees	911				2,619
Total income	11,878,619		13,197,811		4,347,675
Expenses
Investment advisory	1,093,036		1,595,296		439,400
Printing	48,562		63,197		10,130
Professional	50,560		54,266		35,048
Custodian	45,489		47,965		8,023
Accounting services	26,515		35,307		7,666
Officer and Trustees	21,902		28,551		3,994
Transfer agent	9,352		29,400		4,133
Registration	5,499		10,136		3,376
Borrowing costs 1					32,952
Administration	182,173		368,145
Miscellaneous	55,184		46,070		22,885
Total expenses excluding interest expense	1,538,272		2,278,333		567,607
Interest expense	175,046		371,133		124,300
Total expenses	1,713,318		2,649,466		691,907
Less fees waived by advisor	(379	)	(2,217	)	(573	)
Less fees paid indirectly			(143	)	(109	)
Total expenses after fees waived and paid indirectly	1,712,939		2,647,106		691,225
Net investment income	10,165,680		10,550,705		3,656,450
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments	(457,424	)	1,967,409		1,250,789
Financial futures contracts	(6,015,314	)	5,833,761		(100,303	)
Swaps	5,000,663		4,708,781		(73,197	)
Foreign currency transactions	(183,680	)			5,877
Options written	720,817		39,284		28,625
Borrowed bonds	(786,567	)	(1,373,383	)
Interest rate floors			(1,876,795	)
	(1,721,505	)	9,299,057		1,111,791
Net change in unrealized appreciation/depreciation on:
Investments	(14,144,504	)	(9,718,690	)	3,837,032
Financial futures contracts	(1,043,699	)	(588,259	)	19,507
Swaps	(4,592,949	)	(2,675,581	)	(107,911	)
Foreign currency transactions	(227,567	)			(48,900	)
Options written	4,309,505		856,810		(27,158	)
Unfunded loan commitments					4,036
Borrowed bonds	(27	)
Interest rate floors			1,825,213
	(15,699,241	)	(10,300,507	)	3,676,606
Total realized and unrealized gain (loss)	(17,420,746	)	(1,001,450	)	4,788,397
Net Increase (Decrease) in Net Assets Resulting from
Operations	$ (7,255,066	)	$ 9,549,255	$	8,444,847

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 105

S tatements of Changes in Net Assets

| Increase (Decrease) in Net Assets: | BlackRock Core Bond Trust (BHK) — Six
Months Ended February 28, 2011 (Unaudited) | Year
Ended August 31, 2010 | | Six
Months Ended February 28, 2011 (Unaudited) | | Year
Ended August 31, 2010 | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Operations | | | | | | | | |
| Net investment income | $ 10,697,007 | $ | 23,504,592 | $ | 17,648,171 | $ | 34,998,740 | |
| Net realized gain (loss) | (7,598,866 | ) | 22,830,017 | | 4,209,917 | | 7,089,947 | |
| Net change in unrealized appreciation/depreciation | (8,913,233 | ) | 24,703,783 | | 30,440,557 | | 54,072,650 | |
| Net increase (decrease) in net assets resulting from operations | (5,815,092 | ) | 71,038,392 | | 52,298,645 | | 96,161,337 | |
| Dividends to Shareholders From | | | | | | | | |
| Net investment income | (12,863,258 | ) | (27,023,027 | ) | (18,207,308 | ) | (33,602,969 | ) |
| Net Assets | | | | | | | | |
| Total increase (decrease) in net assets | (18,678,350 | ) | 44,015,365 | | 34,091,337 | | 62,558,368 | |
| Beginning of period | 383,539,565 | | 339,524,200 | | 382,603,247 | | 320,044,879 | |
| End of period | $ 364,861,215 | $ | 383,539,565 | $ | 416,694,584 | $ | 382,603,247 | |
| Undistributed net investment income | $ 5,036,646 | $ | 7,202,897 | $ | 4,442,265 | $ | 5,001,402 | |

| Increase (Decrease) in Net Assets: | BlackRock
Corporate High Yield Fund VI, Inc. (HYT) — Six
Months Ended February 28, 2011 (Unaudited) | Year
Ended August 31, 2010 | | Six
Months Ended February 28, 2011 (Unaudited) | | Year
Ended August 31, 2010 | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Operations | | | | | | | | |
| Net investment income | $ 18,200,278 | $ | 36,935,470 | $ | 5,635,999 | $ | 10,792,615 | |
| Net realized gain (loss) | 3,583,491 | | 1,901,818 | | 977,715 | | (276,674 | ) |
| Net change in unrealized appreciation/depreciation | 30,259,647 | | 57,412,973 | | 7,865,522 | | 17,435,391 | |
| Net increase in net assets resulting from operations | 52,043,416 | | 96,250,261 | | 14,479,236 | | 27,951,332 | |
| Dividends to Shareholders From | | | | | | | | |
| Net investment income | (17,770,534 | ) | (35,992,789 | ) | (6,753,706 | ) | (9,230,927 | ) |
| Capital Share Transactions | | | | | | | | |
| Reinvestment of dividends | | | 87,090 | | | | | |
| Net Assets | | | | | | | | |
| Total increase in net assets | 34,272,882 | | 60,344,562 | | 7,725,530 | | 18,720,405 | |
| Beginning of period | 401,759,810 | | 341,415,248 | | 119,641,691 | | 100,921,286 | |
| End of period | $ 436,032,692 | $ | 401,759,810 | $ | 127,367,221 | $ | 119,641,691 | |
| Undistributed net investment income | $ 6,081,735 | $ | 5,651,991 | $ | 1,854,358 | $ | 2,972,065 | |

| See Notes to Financial
Statements. — 106 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

Statements of Changes in Net Assets (concluded)

| Increase (Decrease) in Net Assets: | BlackRock High Yield Trust (BHY) — Six
Months Ended February 28, 2011 (Unaudited) | | Year
Ended August 31, 2010 | | BlackRock
Corporate Income Opportunity Trust (BNA) — Six
Months Ended February 28, 2011 (Unaudited) | Year
Ended August 31, 2010 | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Operations | | | | | | | | |
| Net investment income | $ 1,726,809 | | $ 3,296,839 | | $ 10,165,680 | $ | 20,499,390 | |
| Net realized gain (loss) | (1,187,900 | ) | (1,522,025 | ) | (1,721,505 | ) | 21,968,948 | |
| Net change in unrealized appreciation/depreciation | 4,804,628 | | 7,423,666 | | (15,699,241 | ) | 20,927,252 | |
| Net increase (decrease) in net assets resulting from operations | 5,343,537 | | 9,198,480 | | (7,255,066 | ) | 63,395,590 | |
| Dividends and Distributions to Shareholders From | | | | | | | | |
| Net investment income | (1,677,584 | ) | (3,246,508 | ) | (11,743,661 | ) | (27,117,163 | ) |
| Tax return of capital | | | (108,660 | ) | | | | |
| Decrease in net assets resulting from dividends and distributions to
shareholders | (1,677,584 | ) | (3,355,168 | ) | (11,743,661 | ) | (27,117,163 | ) |
| Net Assets | | | | | | | | |
| Total increase (decrease) in net assets | 3,665,953 | | 5,843,312 | | (18,998,727 | ) | 36,278,427 | |
| Beginning of period | 42,980,132 | | 37,136,820 | | 381,379,476 | | 345,101,049 | |
| End of period | $ 46,646,085 | | $ 42,980,132 | | $ 362,380,749 | $ | 381,379,476 | |
| Undistributed (distributions in excess of) net investment income | $ (50,089 | ) | $ (99,314 | ) | $ 5,155,609 | $ | 6,733,590 | |

| Increase (Decrease) in Net Assets: | BlackRock Income Trust, Inc. (BKT) — Six
Months Ended February 28, 2011 (Unaudited) | Year
Ended August 31, 2010 | | | BlackRock Strategic Bond Trust (BHD) — Six
Months Ended February 28, 2011 (Unaudited) | Year
Ended August 31, 2010 | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Operations | | | | | | | | |
| Net investment income | $ 10,550,705 | $ | 12,848,017 | | $ 3,656,450 | $ | 7,157,170 | |
| Net realized gain | 9,299,057 | | 28,601,188 | | 1,111,791 | | 2,597,390 | |
| Net change in unrealized appreciation/depreciation | (10,300,507 | ) | 17,697,571 | | 3,676,606 | | 6,849,508 | |
| Net increase in net assets resulting from operations | 9,549,255 | | 59,146,776 | | 8,444,847 | | 16,604,068 | |
| Dividends and Distributions to Shareholders From | | | | | | | | |
| Net investment income | (9,687,294 | ) | (16,372,760 | ) | (4,266,860 | ) | (6,391,382 | ) |
| Net realized gain | | | (2,042,690 | ) | | | | |
| Decrease in net assets resulting from dividends and distributions to
shareholders | (9,687,294 | ) | (18,415,450 | ) | (4,266,860 | ) | (6,391,382 | ) |
| Net Assets | | | | | | | | |
| Total increase (decrease) in net assets | (138,039 | ) | 40,731,326 | | 4,177,987 | | 10,212,686 | |
| Beginning of period | 496,259,853 | | 455,528,527 | | 95,794,171 | | 85,581,485 | |
| End of period | $ 496,121,814 | $ | 496,259,853 | | $ 99,972,158 | $ | 95,794,171 | |
| Undistributed (distributions in excess of) net investment income | $ 779,700 | $ | (83,711 | ) | $ 902,480 | $ | 1,512,890 | |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 107 |
| --- | --- | --- |

S tatements of Cash Flows

Six Months Ended February 28, 2011 (Unaudited)	BlackRock Core Bond Trust (BHK)		BlackRock Corporate High Yield Fund V, Inc. (HYV)
Cash
Provided by (Used for) Operating Activities
Net increase (decrease) in net assets resulting from
operations	$ (5,815,092	)	$ 52,298,645	$	52,043,416	$	14,479,236	$	5,343,537
Adjustments to
reconcile net increase (decrease) in net assets resulting from operations to
net cash provided by (used for) operating activities:
(Increase)
decrease in interest receivable	(322,902	)	(677,522	)	(639,396	)	21,024		(193,799	)
(Increase)
decrease in swap receivable	271,267		(29,985	)	(32,317	)			(2,970	)
(Increase)
decrease in other assets	(3,303	)	171,979		225,916		45,426		22,105
Increase in
commitment fees receivable	(3,731	)	(27	)	(149	)
(Increase)
decrease in dividends receivable	(21,782	)	(89,947	)	(81,983	)	(20,271	)
(Increase)
decrease in margin variation receivable	182,210
(Increase) decrease
in income receivable affiliated	(987	)	(2,445	)	(2,519	)	74		(5,348	)
(Increase)
decrease in cash pledged as collateral for financial futures contracts	2,093,000		360,000		345,000		40,000
Increase
(decrease) in investment advisory fees payable	(17,896	)	13,812		11,593		(244	)	149
Increase
(decrease) in interest expense and fees payable	(28,616	)	176,364		59,713		34,157		(1,708	)
Increase in other
affiliates payable	834		805		832		243
Increase in other
liabilities	88,786
Increase
(decrease) in administration fees payable									13
Increase
(decrease) in other accrued expenses payable	(20,864	)	(15,763	)	105,504		3,715		(764	)
Increase
(decrease) in commitment fees payable	(682	)	(2,524	)	(2,737	)	(829	)	(333	)
Increase
(decrease) in margin variation payable	67,719		24,070		26,920		3,750
Increase
(decrease) in swaps payable	48,690		56,325		59,474				6,964
Increase in
Officers and Trustees fees payable	3,004		2,468		4,218		710		769
Net periodic and termination payments of swaps	(1,779,994	)	(143,847	)	(179,904	)			(113,908	)
Net realized and unrealized gain (loss) on
investments	10,245,013		(38,541,407	)	(37,863,737	)	(9,778,723	)	(3,239,450	)
Amortization of premium and accretion of discount on
investments	(150,549	)	(925,336	)	(1,061,662	)	(632,902	)	(108,795	)
Paid-in-kind income			(523,847	)	(420,401	)	(163,073	)	(34,186	)
Premiums received from options written	6,892,415
Proceeds from sales of long-term investments	3,073,359,711		226,712,351		233,123,565		69,399,027		24,342,322
Purchases of long-term investments	(3,051,785,379	)	(262,710,990	)	(266,178,548	)	(70,330,371	)	(26,331,457	)
Net proceeds from sales (purchases) of short-term
securities	(1,716,421	)	1,017,212		583,675		644,446		(17,676	)
Premiums paid on closing options written	(3,867,609	)
Cash provided by (used for) operating activities	27,716,842		(22,829,609	)	(19,873,527	)	3,745,395		(334,535	)
Cash
Provided by (Used for) Financing Activities
Cash receipts from borrowings	630,548,305		148,000,000		149,000,000		43,000,000		11,000,000
Cash payments on borrowings	(649,360,851	)	(106,000,000	)	(111,000,000	)	(40,000,000	)	(9,000,000	)
Cash dividends paid	(12,862,014	)	(18,207,918	)	(17,762,431	)	(6,751,021	)	(1,677,358	)
Increase (decrease) in custodian bank payable	3,919,419				(212,807	)			9,941
Cash provided by (used for) financing activities	(27,755,141	)	23,792,082		20,024,762		(3,751,021	)	332,583
Cash
Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations	(30	)	14,049		1,798		285
Cash
Net increase (decrease) in cash	(38,329	)	976,522		153,033		(5,341	)	(1,952	)
Cash and foreign currency at beginning of period	197,112		45,065		48,921		11,693		1,952
Cash and foreign currency at end of period	$ 158,783		$ 1,021,587	$	201,954	$	6,352
Cash
Flow Information
Cash paid during the period for interest	$ 229,135		$ 484,680	$	569,695	$	121,059	$	58,104

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 28, 2011 |
| --- | --- | --- |

Six Months Ended February 28, 2011 (Unaudited)	BlackRock Income Opportunity Trust, Inc. (BNA)		BlackRock Strategic Bond Trust (BHD)
Cash
Provided by (Used for) Operating Activities
Net increase (decrease) in net assets resulting from
operations	$ (7,255,066	)	$ 8,444,847
Adjustments to
reconcile net increase (decrease) in net assets resulting from operations to
net cash provided by (used for) operating activities:
(Increase)
decrease in interest receivable	(592,620	)	(161,129	)
(Increase)
decrease in swap receivable	635,515		(6,215	)
(Increase)
decrease in other assets	(4,145	)	(537	)
Increase in
commitment fees receivable
(Increase)
decrease in dividends receivable
(Increase)
decrease in margin variation receivable	305,240		(975	)
(Increase)
decrease in income receivable affiliated	(260	)	(7	)
(Increase)
decrease in cash pledged as collateral for financial futures contracts	(238,000	)	(30,000	)
Increase
(decrease) in investment advisory fees payable	(26,004	)	5,639
Increase
(decrease) in interest expense and fees payable	(15,786	)	52,923
Increase in other
affiliates payable			536
Increase in other
liabilities
Increase (decrease)
in administration fees payable	(4,307	)
Increase
(decrease) in other accrued expenses payable	273,043		(72,535	)
Increase
(decrease) in commitment fees payable
Increase
(decrease) in margin variation payable	98,403		(949	)
Increase
(decrease) in swaps payable	(36,490	)	15,293
Increase in
Officers and Trustees fees payable	3,893		716
Net periodic and termination payments of swaps	(896,122	)	(342,233	)
Net realized and unrealized gain (loss) on
investments	10,245,223		(5,064,446	)
Amortization of premium and accretion of discount on
investments	152,859		(22,916	)
Paid-in-kind income			(28,158	)
Premiums received from options written	6,661,399
Proceeds from sales of long-term investments	2,757,021,559		42,950,256
Purchases of long-term investments	(2,737,286,544	)	(58,746,776	)
Net proceeds from sales (purchases) of short-term
securities	(6,527,500	)	42,917
Premiums paid on closing options written	(2,874,712	)
Cash provided by (used for) operating activities	19,639,578		(12,963,749	)
Cash
Provided by (Used for) Financing Activities
Cash receipts from borrowings	573,476,744		40,000,000
Cash payments on borrowings	(572,992,650	)	(23,000,000	)
Cash dividends paid	(11,744,934	)	(4,268,150	)
Increase (decrease) in custodian bank payable	(772,922	)	89,772
Cash provided by (used for) financing activities	(12,033,762	)	12,821,622
Cash
Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations	8,245		5,419
Cash
Net increase (decrease) in cash	7,614,061		(136,708	)
Cash and foreign currency at beginning of period	72,091		199,153
Cash and foreign currency at end of period	$ 7,686,152		$ 62,445
Cash
Flow Information
Cash paid during the period for interest	$ 190,832		$ 71,377

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 109

F inancial Highlights BlackRock Core Bond Trust (BHK)

| | Six
Months Ended February 28, 2011 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | Year
Ended October 31, | | | | | | |
| | | 2010 | | 2009 | | | | 2007 | | 2006 | | 2005 | | |
| Per
Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value,
beginning of period | $ 14.19 | $ | 12.56 | $ | 12.81 | $ | 13.63 | $ | 13.82 | $ | 14.27 | $ | 15.22 | |
| Net investment
income | 0.40 | 1 | 0.87 | 1 | 0.80 | 1 | 0.50 | 1 | 0.74 | | 0.66 | | 0.78 | |
| Net realized and
unrealized gain (loss) | (0.60 | ) | 1.76 | | (0.28 | ) | (0.69 | ) | (0.13 | ) | 0.11 | | (0.37 | ) |
| Net increase
(decrease) from investment operations | (0.20 | ) | 2.63 | | 0.52 | | (0.19 | ) | 0.61 | | 0.77 | | 0.41 | |
| Dividends and
distributions from: | | | | | | | | | | | | | | |
| Net investment
income | (0.48 | ) | (1.00 | ) | (0.77 | ) | (0.61 | ) | (0.61 | ) | (0.93 | ) | (1.01 | ) |
| Net realized gain | | | | | | | | | | | (0.29 | ) | (0.35 | ) |
| Tax return of
capital | | | | | | | (0.02 | ) | (0.19 | ) | | | | |
| Total dividends
and distributions | (0.48 | ) | (1.00 | ) | (0.77 | ) | (0.63 | ) | (0.80 | ) | (1.22 | ) | (1.36 | ) |
| Net asset value,
end of period | $ 13.51 | $ | 14.19 | $ | 12.56 | $ | 12.81 | $ | 13.63 | $ | 13.82 | $ | 14.27 | |
| Market price, end
of period | $ 12.28 | $ | 13.92 | $ | 11.98 | $ | 11.51 | $ | 12.23 | $ | 12.86 | $ | 13.69 | |
| Total
Investment Return 2 | | | | | | | | | | | | | | |
| Based on net
asset value | (1.21 | )% 3 | 22.44 | % | 5.28 | % | (1.00 | )% 3 | 5.04 | % | 6.20 | % | 3.18 | % |
| Based on market
price | (8.46 | )% 3 | 25.93 | % | 11.76 | % | (0.87 | )% 3 | 1.29 | % | 3.07 | % | 7.46 | % |
| Ratios
to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 1.02 | % 4 | 1.18 | % | 1.06 | % | 2.29 | % 4 | 1.60 | % | 1.08 | % | 1.50 | % |
| Total expenses
after fees waived and paid indirectly | 1.02 | % 4 | 1.18 | % | 1.06 | % | 2.29 | % 4 | 1.60 | % | 1.08 | % | 1.50 | % |
| Total expenses
after fees waived and paid indirectly and excluding interest expense | 0.91 | % 4 | 0.95 | % | 0.83 | % | 0.89 | % 4 | 0.78 | % | 0.77 | % | 0.85 | % |
| Net investment
income | 5.83 | % 4 | 6.62 | % | 7.09 | % | 4.55 | % 4 | 5.36 | % | 4.78 | % | 5.20 | % |
| Supplemental
Data | | | | | | | | | | | | | | |
| Net assets, end
of period (000) | $ 364,861 | $ | 383,540 | $ | 339,524 | $ | 346,177 | $ | 368,335 | $ | 373,518 | $ | 385,514 | |
| Borrowings
outstanding, end of period (000) | $ 150,125 | $ | 168,938 | $ | 74,572 | $ | 107,690 | $ | 103,354 | $ | 3,911 | $ | 86,876 | |
| Average
borrowings outstanding during the period (000) | $ 146,121 | $ | 162,760 | $ | 73,467 | $ | 134,784 | $ | 44,786 | $ | 25,340 | $ | 91,130 | |
| Portfolio
turnover | 617 | % 5 | 641 | % 6 | 315 | % 7 | 598 | % 8 | 122 | % | 88 | % | 220 | % |
| Asset coverage,
end of period per $1,000 | $ 3,430 | $ | 3,270 | $ | 5,553 | $ | 4,215 | $ | 4,564 | $ | 96,502 | $ | 5,438 | |

| 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 428%. |
| 6 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 534%. |
| 7 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover would
have been 184%. |
| 8 | Includes TBA transactions.
Excluding these transactions, the portfolio turnover would have been 337%. |

| See Notes to Financial
Statements. — 110 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

| | Six
Months Ended February 28, 2011 (Unaudited) | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | | | |
| | | 2010 | | 2009 | | 2008 | | 2007 | | 2006 | | |
| Per
Share Operating Performance | | | | | | | | | | | | |
| Net asset value,
beginning of period | $ 11.61 | $ | 9.71 | $ | 11.94 | $ | 13.83 | $ | 14.10 | $ | 15.19 | |
| Net investment
income 1 | 0.54 | | 1.06 | | 1.07 | | 1.18 | | 1.20 | | 1.22 | |
| Net realized and
unrealized gain (loss) | 1.05 | | 1.86 | | (2.10 | ) | (1.85 | ) | (0.33 | ) | (0.50 | ) |
| Net increase
(decrease) from investment operations | 1.59 | | 2.92 | | (1.03 | ) | (0.67 | ) | 0.87 | | 0.72 | |
| Dividends and
distributions from: | | | | | | | | | | | | |
| Net investment
income | (0.55 | ) | (1.02 | ) | (1.20 | ) | (1.17 | ) | (1.14 | ) | (1.25 | ) |
| Net realized gain | | | | | | | (0.05 | ) | | | (0.56 | ) |
| Total dividends
and distributions | (0.55 | ) | (1.02 | ) | (1.20 | ) | (1.22 | ) | (1.14 | ) | (1.81 | ) |
| Net asset value,
end of period | $ 12.65 | $ | 11.61 | $ | 9.71 | $ | 11.94 | $ | 13.83 | $ | 14.10 | |
| Market price, end
of period | $ 11.81 | $ | 11.40 | $ | 9.32 | $ | 10.15 | $ | 12.24 | $ | 12.81 | |
| Total
Investment Return 2 | | | | | | | | | | | | |
| Based on net
asset value | 14.21 | % 3 | 31.40 | % | (3.83 | )% | (3.99 | )% | 6.76 | % | 6.37 | % |
| Based on market
price | 8.59 | % 3 | 34.42 | % | 8.59 | % | (7.78 | )% | 4.00 | % | (2.40 | )% |
| Ratios
to Average Net Assets | | | | | | | | | | | | |
| Total expenses | 1.33 | % 4 | 1.26 | % | 1.84 | % | 2.11 | % | 3.20 | % | 2.87 | % |
| Total expenses
after fees waived and paid indirectly | 1.33 | % 4 | 1.26 | % | 1.84 | % | 2.11 | % | 3.20 | % | 2.87 | % |
| Total expenses
after fees waived and paid indirectly and excluding interest expense and fees | 1.00 | % 4 | 0.99 | % | 1.16 | % | 0.97 | % | 0.99 | % | 0.98 | % |
| Net investment
income | 8.85 | % 4 | 9.52 | % | 13.00 | % | 9.16 | % | 8.23 | % | 8.49 | % |
| Supplemental
Data | | | | | | | | | | | | |
| Net assets, end
of period (000) | $ 416,695 | $ | 382,603 | $ | 320,045 | $ | 393,389 | $ | 455,710 | $ | 464,453 | |
| Borrowings
outstanding, end of period (000) | $ 134,000 | $ | 92,000 | $ | 54,000 | $ | 94,700 | $ | 127,700 | $ | 200,100 | |
| Average
borrowings outstanding during the period (000) | $ 106,315 | $ | 79,427 | $ | 65,403 | $ | 106,140 | $ | 188,373 | $ | 183,484 | |
| Portfolio
turnover | 46 | % | 90 | % | 65 | % | 46 | % | 51 | % | 64 | % |
| Asset coverage,
end of period per $1,000 | $ 4,110 | $ | 5,159 | $ | 6,927 | $ | 5,154 | $ | 4,569 | $ | 3,321 | |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 111 |
| --- | --- | --- |

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

| | Six
Months Ended February 28, 2011 (Unaudited) | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | | | |
| | | 2010 | | 2009 | | 2008 | | 2007 | | 2006 | | |
| Per
Share Operating Performance | | | | | | | | | | | | |
| Net asset value,
beginning of period | $ 11.38 | $ | 9.68 | $ | 11.89 | $ | 13.81 | $ | 14.12 | $ | 15.08 | |
| Net investment
income 1 | 0.52 | | 1.05 | | 1.05 | | 1.16 | | 1.18 | | 1.16 | |
| Net realized and
unrealized gain (loss) | 0.95 | | 1.67 | | (2.07 | ) | (1.87 | ) | (0.39 | ) | (0.49 | ) |
| Net increase
(decrease) from investment operations | 1.47 | | 2.72 | | (1.02 | ) | (0.71 | ) | 0.79 | | 0.67 | |
| Dividends and distributions
from: | | | | | | | | | | | | |
| Net investment
income | (0.50 | ) | (1.02 | ) | (1.19 | ) | (1.21 | ) | (1.10 | ) | (1.17 | ) |
| Net realized gain | | | | | | | | | | | (0.46 | ) |
| Total dividends
and distributions | (0.50 | ) | (1.02 | ) | (1.19 | ) | (1.21 | ) | (1.10 | ) | (1.63 | ) |
| Net asset value,
end of period | $ 12.35 | $ | 11.38 | $ | 9.68 | $ | 11.89 | $ | 13.81 | $ | 14.12 | |
| Market price, end
of period | $ 11.79 | $ | 11.19 | $ | 9.47 | $ | 10.14 | $ | 12.15 | $ | 12.48 | |
| Total
Investment Return 2 | | | | | | | | | | | | |
| Based on net
asset value | 13.31 | % 3 | 29.26 | % | (4.03 | )% | (4.30 | )% | 6.29 | % | 6.29 | % |
| Based on market
price | 10.01 | % 3 | 29.92 | % | 10.09 | % | (7.24 | )% | 5.80 | % | (1.07 | )% |
| Ratios
to Average Net Assets | | | | | | | | | | | | |
| Total expenses | 1.41 | % 4 | 1.34 | % | 2.01 | % | 2.24 | % | 3.35 | % | 2.89 | % |
| Total expenses
after fees waived and paid indirectly | 1.41 | % 4 | 1.34 | % | 2.01 | % | 2.24 | % | 3.35 | % | 2.89 | % |
| Total expenses
after fees waived and paid indirectly and excluding interest expense and fees | 1.11 | % 4 | 1.09 | % | 1.28 | % | 1.10 | % | 1.12 | % | 1.11 | % |
| Net investment
income | 8.72 | % 4 | 9.52 | % | 12.82 | % | 9.02 | % | 8.03 | % | 8.11 | % |
| Supplemental
Data | | | | | | | | | | | | |
| Net assets, end
of period (000) | $ 436,033 | $ | 401,760 | $ | 341,415 | $ | 419,502 | $ | 487,251 | $ | 498,096 | |
| Borrowings
outstanding, end of period (000) | $ 127,000 | $ | 89,000 | $ | 58,000 | $ | 110,900 | $ | 135,900 | $ | 216,200 | |
| Average borrowings
outstanding during the period (000) | $ 101,188 | $ | 76,356 | $ | 73,784 | $ | 113,996 | $ | 202,705 | $ | 184,070 | |
| Portfolio
turnover | 46 | % | 85 | % | 60 | % | 45 | % | 51 | % | 62 | % |
| Asset coverage, end
of period per $1,000 | $ 4,433 | $ | 5,514 | $ | 6,886 | $ | 4,783 | $ | 4,585 | $ | 3,304 | |

| See Notes to Financial
Statements. — 112 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

Financial Highlights BlackRock High Income Shares (HIS)

| | Six
Months Ended February 28, 2011 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | | | | | |
| | | | | | | | | Year
Ended December 31, | | | | | | |
| | | 2010 | | 2009 | | | | 2007 | | 2006 | | 2005 | | |
| Per
Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value,
beginning of period | $ 2.19 | $ | 1.85 | $ | 2.23 | $ | 2.47 | $ | 2.68 | $ | 2.61 | $ | 2.87 | |
| Net investment
income | 0.10 | 1 | 0.20 | 1 | 0.19 | 1 | 0.15 | 1 | 0.24 | | 0.22 | | 0.24 | |
| Net realized and
unrealized gain (loss) | 0.15 | | 0.31 | | (0.36 | ) | (0.26 | ) | (0.21 | ) | 0.08 | | (0.23 | ) |
| Net increase
(decrease) from investment operations | 0.25 | | 0.51 | | (0.17 | ) | (0.11 | ) | 0.03 | | 0.30 | | 0.01 | |
| Dividends from
net investment income | (0.11 | ) | (0.17 | ) | (0.21 | ) | (0.13 | ) | (0.24 | ) | (0.23 | ) | (0.27 | ) |
| Net asset value,
end of period | $ 2.33 | $ | 2.19 | $ | 1.85 | $ | 2.23 | $ | 2.47 | $ | 2.68 | $ | 2.61 | |
| Market price, end
of period | $ 2.16 | $ | 2.09 | $ | 1.68 | $ | 1.88 | $ | 2.14 | $ | 2.55 | $ | 2.33 | |
| Total
Investment Return 2 | | | | | | | | | | | | | | |
| Based on net
asset value | 12.65 | % 3 | 28.95 | % | (3.01 | )% | (4.00 | )% 3 | 1.58 | % | 12.32 | % | 0.43 | % |
| Based on market
price | 9.43 | % 3 | 35.52 | % | 4.47 | % | (6.59 | )% 3 | (7.51 | )% | 19.70 | % | (11.28 | )% |
| Ratios
to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 1.51 | % 4 | 1.49 | % | 2.01 | % | 1.98 | % 4 | 3.56 | % | 3.78 | % | 3.04 | % |
| Total expenses
after fees waived and paid indirectly | 1.50 | % 4 | 1.49 | % | 2.01 | % | 1.98 | % 4 | 3.55 | % | 3.77 | % | 3.04 | % |
| Total expenses
after fees waived and paid indirectly and excluding interest expense | 1.25 | % 4 | 1.27 | % | 1.41 | % | 1.05 | % 4 | 1.27 | % | 1.34 | % | 1.37 | % |
| Net investment income | 9.13 | % 4 | 9.34 | % | 12.06 | % | 9.52 | % 4 | 8.89 | % | 8.42 | % | 8.82 | % |
| Supplemental
Data | | | | | | | | | | | | | | |
| Net assets, end
of period (000) | $ 127,367 | $ | 119,642 | $ | 100,921 | $ | 121,808 | $ | 135,098 | $ | 146,538 | $ | 142,457 | |
| Borrowings
outstanding, end of period (000) | $ 28,000 | $ | 25,000 | $ | 18,000 | $ | 27,000 | $ | 46,000 | $ | 62,000 | $ | 66,000 | |
| Average
borrowings outstanding during the period (000) | $ 24,956 | $ | 21,027 | $ | 21,220 | $ | 27,069 | $ | 55,868 | $ | 62,838 | $ | 65,992 | |
| Portfolio
turnover | 50 | % | 85 | % | 55 | % | 25 | % | 69 | % | 83 | % | 115 | % |
| Asset coverage,
end of period per $1,000 | $ 5,549 | $ | 5,786 | $ | 6,607 | $ | 5,512 | $ | 3,937 | $ | 3,364 | $ | 3,158 | |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 113 |
| --- | --- | --- |

Financial Highlights BlackRock High Yield Trust (BHY)

| | Six
Months Ended February 28, 2011 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | | | | | |
| | | | | | | | | Year
Ended October 31, | | | | | | |
| | | 2010 | | 2009 | | | | 2007 | | 2006 | | 2005 | | |
| Per
Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value,
beginning of period | $ 6.69 | $ | 5.78 | $ | 6.84 | $ | 7.91 | $ | 7.85 | $ | 7.48 | $ | 7.95 | |
| Net investment
income | 0.27 | 1 | 0.51 | 1 | 0.51 | 1 | 0.50 | 1 | 0.63 | | 0.66 | | 0.68 | |
| Net realized and
unrealized gain (loss) | 0.56 | | 0.92 | | (1.00 | ) | (1.06 | ) | 0.04 | | 0.36 | | (0.36 | ) |
| Net increase
(decrease) from investment operations | 0.83 | | 1.43 | | (0.49 | ) | (0.56 | ) | 0.67 | | 1.02 | | 0.32 | |
| Dividends and
distributions from: | | | | | | | | | | | | | | |
| Net investment
income | (0.26 | ) | (0.50 | ) | (0.55 | ) | (0.51 | ) | (0.61 | ) | (0.65 | ) | (0.79 | ) |
| Tax return of
capital | | | (0.02 | ) | (0.02 | ) | | | | | | | | |
| Total dividends
and distributions | (0.26 | ) | (0.52 | ) | (0.57 | ) | (0.51 | ) | (0.61 | ) | (0.65 | ) | (0.79 | ) |
| Net asset value,
end of period | $ 7.26 | $ | 6.69 | $ | 5.78 | $ | 6.84 | $ | 7.91 | $ | 7.85 | $ | 7.48 | |
| Market price, end
of period | $ 6.75 | $ | 6.44 | $ | 5.84 | $ | 5.96 | $ | 6.92 | $ | 7.77 | $ | 7.36 | |
| Total
Investment Return 2 | | | | | | | | | | | | | | |
| Based on net
asset value | 12.85 | % 3 | 25.70 | % | (5.30 | )% | (6.47 | )% 3 | 9.03 | % | 14.25 | % | 2.85 | % |
| Based on market
price | 9.00 | % 3 | 19.76 | % | 9.81 | % | (6.85 | )% 3 | (3.63 | )% | 14.93 | % | (13.49 | )% |
| Ratios
to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 2.17 | % 4 | 2.10 | % | 2.61 | % | 2.61 | % 4 | 4.16 | % | 4.50 | % | 3.52 | % |
| Total expenses
after fees waived and paid indirectly | 2.17 | % 4 | 2.10 | % | 2.61 | % | 2.61 | % 4 | 4.14 | % | 4.49 | % | 3.51 | % |
| Total expenses
after fees waived and excluding interest expense | 1.92 | % 4 | 1.91 | % | 2.16 | % | 1.77 | % 4 | 2.10 | % | 2.19 | % | 2.10 | % |
| Net investment
income | 7.72 | % 4 | 7.89 | % | 10.22 | % | 8.34 | % 4 | 7.84 | % | 8.74 | % | 8.71 | % |
| Supplemental
Data | | | | | | | | | | | | | | |
| Net assets, end
of period (000) | $ 46,646 | $ | 42,980 | $ | 37,137 | $ | 43,897 | $ | 50,782 | $ | 50,385 | $ | 47,924 | |
| Borrowings
outstanding, end of period (000) | $ 10,000 | $ | 8,000 | $ | 4,000 | $ | 6,250 | $ | 9,250 | $ | 20,250 | $ | 20,750 | |
| Average
borrowings outstanding during the period (000) | $ 9,066 | $ | 6,427 | $ | 5,223 | $ | 7,443 | $ | 17,710 | $ | 20,621 | $ | 20,425 | |
| Portfolio
turnover | 49 | % | 80 | % | 54 | % | 34 | % | 69 | % | 85 | % | 102 | % |
| Asset coverage,
end of period per $1,000 | $ 5,665 | $ | 6,373 | $ | 10,284 | $ | 8,023 | $ | 6,490 | $ | 3,488 | $ | 3,310 | |

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.

| See Notes to Financial
Statements. — 114 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

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

| | Six
Months Ended February 28, 2011 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | | | | | |
| | | | | | | | | Year
Ended October 31, | | | | | | |
| | | 2010 | | 2009 | | | | 2007 | | 2006 | | 2005 | | |
| Per
Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value,
beginning of period | $ 11.07 | $ | 10.02 | $ | 10.35 | $ | 11.02 | $ | 11.17 | $ | 11.56 | $ | 12.38 | |
| Net investment
income | 0.30 | 1 | 0.59 | 1 | 0.59 | 1 | 0.53 | 1 | 0.62 | | 0.57 | | 0.72 | |
| Net realized and
unrealized gain (loss) | (0.51 | ) | 1.25 | | (0.31 | ) | (0.69 | ) | (0.11 | ) | 0.01 | | (0.45 | ) |
| Net increase
(decrease) from investment operations | (0.21 | ) | 1.84 | | 0.28 | | (0.16 | ) | 0.51 | | 0.58 | | 0.27 | |
| Dividends and
distributions from: | | | | | | | | | | | | | | |
| Net investment
income | (0.34 | ) | (0.79 | ) | (0.61 | ) | (0.51 | ) | (0.61 | ) | (0.65 | ) | (0.81 | ) |
| Net realized gain | | | | | | | | | | | (0.26 | ) | (0.28 | ) |
| Tax return of
capital | | | | | | | | | (0.05 | ) | (0.06 | ) | | |
| Total dividends
and distributions | (0.34 | ) | (0.79 | ) | (0.61 | ) | (0.51 | ) | (0.66 | ) | (0.97 | ) | (1.09 | ) |
| Net asset value,
end of period | $ 10.52 | $ | 11.07 | $ | 10.02 | $ | 10.35 | $ | 11.02 | $ | 11.17 | $ | 11.56 | |
| Market price, end
of period | $ 9.52 | $ | 10.56 | $ | 9.65 | $ | 9.82 | $ | 10.19 | $ | 10.58 | $ | 10.90 | |
| Total
Investment Return 2 | | | | | | | | | | | | | | |
| Based on net
asset value | (1.64 | )% 3 | 19.83 | % | 3.90 | % | (1.07 | )% 3 | 5.11 | % | 5.76 | % | 2.95 | % |
| Based on market
price | (6.69 | )% 3 | 18.69 | % | 5.46 | % | 1.51 | % 3 | 2.62 | % | 6.27 | % | 5.53 | % |
| Ratios
to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 0.94 | % 4 | 1.09 | % | 0.95 | % | 2.25 | % 4 | 2.01 | % | 1.61 | % | 1.72 | % |
| Total expenses
after fees waived and paid indirectly | 0.94 | % 4 | 1.09 | % | 0.95 | % | 2.25 | % 4 | 2.00 | % | 1.61 | % | 1.72 | % |
| Total expenses
after fees waived and paid indirectly and excluding interest expense | 0.84 | % 4 | 0.86 | % | 0.85 | % | 0.83 | % 4 | 0.87 | % | 0.89 | % | 0.87 | % |
| Net investment
income | 5.58 | % 4 | 5.81 | % | 6.45 | % | 5.89 | % 4 | 5.68 | % | 5.11 | % | 5.97 | % |
| Supplemental
Data | | | | | | | | | | | | | | |
| Net assets, end
of period (000) | $ 362,381 | $ | 381,379 | $ | 345,101 | $ | 356,456 | $ | 379,605 | $ | 384,850 | $ | 398,078 | |
| Borrowings
outstanding, end of period (000) | $ 158,260 | $ | 157,776 | $ | 77,474 | $ | 100,740 | $ | 105,262 | $ | 34,326 | $ | 120,179 | |
| Average
borrowings outstanding during the period (000) | $ 140,370 | $ | 151,700 | $ | 49,573 | $ | 131,462 | $ | 68,241 | $ | 59,691 | $ | 122,457 | |
| Portfolio
turnover | 579 | % 5 | 720 | % 6 | 270 | % 7 | 441 | % 8 | 196 | % | 131 | % | 396 | % |
| Asset coverage,
end of period per $1,000 | $ 3,290 | $ | 3,417 | $ | 5,454 | $ | 4,538 | $ | 4,606 | $ | 12,212 | $ | 4,312 | |

| 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 rate
would have been 390%. |
| 6 | Includes mortgage dollar roll
transactions. Excluding these transactions, the portfolio turnover rate would
have been 608%. |
| 7 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover rate
would have been 165%. |
| 8 | Includes TBA transactions.
Excluding these transactions, the portfolio turnover rate would have been
168%. |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 115 |
| --- | --- | --- |

Financial Highlights BlackRock Income Trust, Inc. (BKT)

| | Six
Months Ended February 28, 2011 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | Year
Ended August 31, | | | | | | | | | | | | |
| | | | | | | | | Year
Ended October 31, | | | | | | |
| | | 2010 | | 2009 | | | | 2007 | | 2006 | | 2005 | | |
| Per
Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value,
beginning of period | $ 7.76 | $ | 7.12 | $ | 6.94 | $ | 6.53 | $ | 6.48 | $ | 6.54 | $ | 6.95 | |
| Net investment
income | 0.17 | 1 | 0.20 | 1 | 0.28 | 1 | 0.26 | 1 | 0.30 | | 0.32 | | 0.44 | |
| Net realized and
unrealized gain (loss) | (0.02 | ) | 0.73 | | 0.19 | | 0.40 | | 0.12 | | 0.05 | | (0.30 | ) |
| Net increase from
investment operations | 0.15 | | 0.93 | | 0.47 | | 0.66 | | 0.42 | | 0.37 | | 0.14 | |
| Dividends and
distributions from: | | | | | | | | | | | | | | |
| Net investment
income | (0.15 | ) | (0.26 | ) | (0.29 | ) | (0.25 | ) | (0.29 | ) | (0.34 | ) | (0.48 | ) |
| Net realized gain | | | (0.03 | ) | | | | | | | | | | |
| Tax return of
capital | | | | | | | | | (0.08 | ) | (0.09 | ) | (0.07 | ) |
| Total dividends
and distributions | (0.15 | ) | (0.29 | ) | (0.29 | ) | (0.25 | ) | (0.37 | ) | (0.43 | ) | (0.55 | ) |
| Net asset value,
end of period | $ 7.76 | $ | 7.76 | $ | 7.12 | $ | 6.94 | $ | 6.53 | $ | 6.48 | $ | 6.54 | |
| Market price, end
of period | $ 6.80 | $ | 6.95 | $ | 6.53 | $ | 6.07 | $ | 5.81 | $ | 6.07 | $ | 5.90 | |
| Total
Investment Return 2 | | | | | | | | | | | | | | |
| Based on net asset
value | 2.22 | % 3 | 13.86 | % | 7.64 | % | 10.82 | % 3 | 7.06 | % | 6.06 | % | 2.12 | % |
| Based on market
price | 0.01 | % 3 | 11.19 | % | 12.87 | % | 8.94 | % 3 | 1.69 | % | 10.18 | % | (14.63 | )% |
| Ratios
to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 1.08 | % 4 | 1.05 | % | 1.09 | % | 1.63 | % 4 | 2.77 | % | 2.85 | % | 2.80 | % |
| Total expenses
after fees waived and before fees paid indirectly | 1.08 | % 4 | 1.02 | % | 1.08 | % | 1.63 | % 4 | 2.77 | % | 2.85 | % | 2.80 | % |
| Total expenses
after fees waived and paid indirectly | 1.08 | % 4 | 1.02 | % | 1.08 | % | 1.63 | % 4 | 2.76 | % | 2.84 | % | 2.79 | % |
| Total expenses
after fees waived and paid indirectly and excluding interest expense | 0.93 | % 4 | 0.92 | % | 0.93 | % | 0.91 | % 4 | 0.98 | % | 1.00 | % | 0.99 | % |
| Net investment
income | 4.30 | % 4 | 2.72 | % | 4.09 | % | 4.67 | % 4 | 4.60 | % | 4.92 | % | 6.54 | % |
| Supplemental
Data | | | | | | | | | | | | | | |
| Net assets, end
of period (000) | $ 496,122 | $ | 496,260 | $ | 455,529 | $ | 444,054 | $ | 417,651 | $ | 414,460 | $ | 418,390 | |
| Borrowings
outstanding, end of period (000) | $ 93,056 | $ | 106,985 | $ | 11,815 | | | $ | 33,895 | $ | 70,691 | $ | 149,558 | |
| Average
borrowings outstanding during the period (000) | $ 85,216 | $ | 23,316 | $ | 537 | $ | 61,777 | $ | 93,325 | $ | 104,393 | $ | 180,553 | |
| Portfolio
turnover | 601 | % 5 | 883 | % 6 | 700 | % 7 | 263 | % 8 | 250 | % | 80 | % | 60 | % |
| Asset coverage,
end of period per $1,000 | $ 6,331 | $ | 5,639 | $ | 39,555 | | | $ | 13,322 | $ | 6,863 | $ | 3,798 | |

| 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 rate
would have been 287%. |
| 6 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover rate
would have been 207%. |
| 7 | Includes mortgage dollar
roll transactions. Excluding these transactions, the portfolio turnover rate
would have been 184%. |
| 8 | Includes TBA transactions.
Excluding these transactions, the portfolio turnover rate would have been 0%. |

| See Notes to Financial
Statements. — 116 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 |
| --- | --- | --- |

Financial Highlights BlackRock Strategic Bond Trust (BHD)

| | Six
Months Ended February 28, 2011 (Unaudited) | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | | | | Year
Ended October 31, | | | | | | |
| | | 2010 | | 2009 | | | | 2007 | | 2006 | | 2005 | | |
| Per
Share Operating Performance | | | | | | | | | | | | | | |
| Net asset value,
beginning of period | $ 13.57 | $ | 12.12 | $ | 12.76 | $ | 13.80 | $ | 13.83 | $ | 13.68 | $ | 15.10 | |
| Net investment
income | 0.52 | 1 | 1.01 | 1 | 0.93 | 1 | 0.76 | 1 | 0.95 | | 0.99 | | 1.10 | |
| Net realized and
unrealized gain (loss) | 0.67 | | 1.35 | | (0.69 | ) | (1.03 | ) | (0.06 | ) | 0.18 | | (1.13 | ) |
| Net increase
(decrease) from investment operations | 1.19 | | 2.36 | | 0.24 | | (0.27 | ) | 0.89 | | 1.17 | | (0.03 | ) |
| Dividends and
distributions from: | | | | | | | | | | | | | | |
| Net investment
income | (0.60 | ) | (0.91 | ) | (0.88 | ) | (0.77 | ) | (0.92 | ) | (0.98 | ) | (1.12 | ) |
| Tax return of
capital | | | | | | | | | | | (0.04 | ) | (0.27 | ) |
| Total dividends
and distributions | (0.60 | ) | (0.91 | ) | (0.88 | ) | (0.77 | ) | (0.92 | ) | (1.02 | ) | (1.39 | ) |
| Net asset value,
end of period | $ 14.16 | $ | 13.57 | $ | 12.12 | $ | 12.76 | $ | 13.80 | $ | 13.83 | $ | 13.68 | |
| Market price, end
of period | $ 13.02 | $ | 13.17 | $ | 11.43 | $ | 10.85 | $ | 11.88 | $ | 12.85 | $ | 12.45 | |
| Total
Investment Return 2 | | | | | | | | | | | | | | |
| Based on net
asset value | 9.30 | % 3 | 20.38 | % | 3.99 | % | (1.19 | )% 3 | 7.26 | % | 9.58 | % | (0.49 | )% |
| Based on market
price | 3.55 | % 3 | 23.88 | % | 15.34 | % | (2.40 | )% 3 | (0.62 | )% | 11.87 | % | (18.11 | )% |
| Ratios
to Average Net Assets | | | | | | | | | | | | | | |
| Total expenses | 1.42 | % 4 | 1.13 | % | 1.00 | % | 0.93 | % 4 | 1.45 | % | 2.25 | % | 2.14 | % |
| Total expenses
after fees waived and before fees paid indirectly | 1.42 | % 4 | 1.11 | % | 0.92 | % | 0.82 | % 4 | 1.27 | % | 2.25 | % | 2.14 | % |
| Total expenses
after fees waived and paid indirectly | 1.42 | % 4 | 1.11 | % | 0.92 | % | 0.82 | % 4 | 1.27 | % | 2.00 | % | 1.87 | % |
| Total expenses
after fees waived and paid indirectly and excluding interest expense and fees | 1.16 | % 4 | 1.04 | % | 0.92 | % | 0.81 | % 4 | 0.87 | % | 0.94 | % | 0.92 | % |
| Net investment
income | 7.51 | % 4 | 7.77 | % | 8.67 | % | 6.85 | % 4 | 6.86 | % | 7.26 | % | 7.58 | % |
| Supplemental
Data | | | | | | | | | | | | | | |
| Net assets, end
of period (000) | $ 99,972 | $ | 95,794 | $ | 85,581 | $ | 90,092 | $ | 97,410 | $ | 97,614 | $ | 96,546 | |
| Borrowings
outstanding, end of period (000) | $ 29,000 | $ | 12,000 | | | $ | 1,571 | $ | 413 | $ | 14,951 | $ | 31,883 | |
| Average
borrowings outstanding during the period (000) | $ 19,978 | $ | 5,701 | $ | 303 | $ | 391 | $ | 7,240 | $ | 21,104 | $ | 30,406 | |
| Portfolio
turnover | 38 | % | 83 | % | 61 | % | 27 | % | 34 | % | 56 | % | 51 | % |
| Asset coverage,
end of period per $1,000 | $ 4,447 | $ | 8,983 | | | $ | 58,347 | $ | 236,789 | $ | 7,529 | $ | 4,028 | |

| See Notes to Financial
Statements. — SEMI-ANNUAL REPORT | FEBRUARY 28, 2011 | 117 |
| --- | --- | --- |

No tes 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 or individually as a Trust) are registered under the Investment Company Act of 1940, as amended (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. Each Trusts Board of Directors/Trustees are collectively referred to throughout this report as the Board of Trustees or the Board. The Trusts determine and make available for publication the net asset values of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by 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. 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 and trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at net asset value 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 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 is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair 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 each 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.

118 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

Notes to Financial Statements (continued)

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 date the transactions are entered into. 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 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 and are supported by the right of the issuer to borrow from the Treasury.

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 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 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.

Zero-Coupon Bonds: The 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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 119

Notes to Financial Statements (continued)

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 Inter Bank 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 buys 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. The Trusts earns and/or pays facility and other fees on floating rate loan interests, which are shown as facility and other fees in the Statements of Operations. 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, each Trust borrows 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 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.

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 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 received cash from the sale of the Treasury security to use for other investment purposes. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. 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. The Trusts will benefit from the transaction if the income earned on the investment purchased with the cash

120 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

Notes to Financial Statements (continued)

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 sell 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 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, structured options and options written), or certain borrowings (e.g., reverse repurchase agreements, treasury roll transactions, TALF loan and loan payable), 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 other 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 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 Trust is 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. Income and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets. 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 BHY, BNA, BKT and BHDs US federal tax returns remains open for the year ended October 31, 2007, the period ended August 31, 2008 and for each of the two years ended August 31, 2010. The statute of limitations on BHK and HISs US federal tax returns remains open for the year ended December 31, 2007, the period ended August 31, 2008 and for each of the two years ended August 31, 2010. The statute of limitations on HYV and HYTs tax returns remains open for each of the four years ended August 31, 2010. The statutes of limitations on the Trusts state and local tax returns may remain open for an additional year depending upon the jurisdiction. There are no uncertain tax positions that require recognition of a tax liability.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trusts Board, non-interested 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 the BlackRock Closed-End Fund investments under the plan are included in dividend 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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 121

Notes to Financial Statements (continued)

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. (ISDA) Master Agreement implemented between a Trust and each of its respective counterparties. The 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 a Trusts net assets decline by a stated percentage or the Trusts fails to meet the terms of its 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 changes in the value of equity securities (equity 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 currency backing some of the investments held by the Trusts. The contract is marked-to-market daily and the change in market value is recorded by the Trusts 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 of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying instrument at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise 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 Fund enters into a closing transaction), the Trusts realize a gain or loss 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.

122 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

Notes to Financial Statements (continued)

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 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 make periodic net payments on a specified notional amount. These periodic 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 its 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
Certain Trusts enter into interest rate swaps to gain or reduce exposure to or 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 28, 2011 123

Notes to Financial Statements (continued)

Derivative Instruments Categorized by Risk Exposure:

| Fair
Values of Derivative Instruments as of February 28, 2011 | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Asset
Derivatives | | | | | | | | |
| | | BHK | HYV | HYT | BHY | BNA | BKT | BHD | |
| | Statements
of Assets and Liabilities Location | | | | Value | | | | |
| Interest rate contracts | Net unrealized appreciation/depreciation; Unrealized
appreciation on swaps; Investments at value unaffiliated | $ 8,174,792 | | | | $ 7,517,944 | $ 24,611,240 | $ 25,036 | |
| Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange
contracts; Investments at value unaffiliated | 679,309 | $ 67 | $ 71 | | 677,897 | | | |
| Credit contracts | Unrealized appreciation on swaps | 18,962 | 389,277 | 456,881 | $ 12,189 | 18,962 | | 51,053 | |
| Total | | $ 8,873,063 | $ 389,344 | $ 456,952 | $ 12,189 | $ 8,214,803 | $ 24,611,240 | $ 76,089 | |
| | Liability
Derivatives | | | | | | | | |
| | | BHK | HYV | HYT | HIS | BHY | BNA | BKT | BHD |
| | Statements
of Assets and Liabilities Location | | | | Value | | | | |
| Interest rate contracts | Net unrealized appreciation/depreciation; Unrealized depreciation on swaps; Options
written at value; Interest rate floors at value | $ 10,257,968 | | | | | $ 10,088,485 | $ 24,892,010 | $ 11,147 |
| Foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | 833,729 | $ 252,933 | $ 269,959 | $ 36,740 | | 840,687 | | 53,362 |
| Credit contracts | Unrealized depreciation on swaps; Options written at value | 267,424 | 862,839 | 787,924 | | $ 59,528 | 267,425 | | 141,158 |
| Equity contracts | Net unrealized appreciation/depreciation* | | 440,075 | 471,113 | 86,908 | | | | |
| Total | | $ 11,359,122 | $ 1,555,847 | $ 1,528,996 | $ 123,648 | $ 59,528 | $ 11,196,597 | $ 24,892,010 | $ 205,667 |

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

| The
Effect of Derivative Instruments in the Statement of Operations Six Months Ended February 28, 2011 | | | | | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Net
Realized Gain (Loss) from | | | | | | | | | | | | | | | |
| | BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | BHD | | |
| Interest rate
contracts: | | | | | | | | | | | | | | | | |
| Financial futures
contracts | $ (4,896,992 | ) | | | | | | | | | $ (6,015,314 | ) | $ 5,833,761 | $ | (100,303 | ) |
| Swaps | (1,122,308 | ) | | | | | | | | | 3,854,856 | | 4,708,781 | | | |
| Options | 804,170 | | | | | | | | | | 895,513 | | (40,185 | ) | 28,625 | |
| Floors | | | | | | | | | | | | | (1,876,795 | ) | | |
| Foreign currency
exchange contracts: | | | | | | | | | | | | | | | | |
| Foreign currency
exchange contracts | (288,618 | ) | $ (1,821,239 | ) | $ (2,066,544 | ) | $ (291,614 | ) | | | (58,453 | ) | | | (164,507 | ) |
| Options | 41,688 | | | | | | | | | | 36,063 | | | | | |
| Credit contracts: | | | | | | | | | | | | | | | | |
| Swaps | (321,028 | ) | 175,892 | | 216,109 | | | | $ (31,704 | ) | 1,145,807 | | | | | |
| Options | | | 113,750 | | 119,750 | | | | 13,000 | | | | | | (73,197 | ) |
| Equity contracts: | | | | | | | | | | | | | | | | |
| Financial futures
contracts | | | (1,524,239 | ) | (1,561,238 | ) | (260,221 | ) | | | | | | | | |
| Options | | | 50,715 | | 52,351 | | | | | | | | | | | |
| Total | $ (5,783,088 | ) | $ (3,005,121 | ) | $ (3,239,572 | ) | $ (551,835 | ) | $ (18,704 | ) | $ (141,528 | ) | $ 8,625,562 | $ | (309,382 | ) |

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

124 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

Notes to Financial Statements (continued)

	Net Change in Unrealized Appreciation/Depreciation on — BHK		HYV		HYT		HIS		BHY		BNA		BKT		BHD
Interest rate
contracts:
Financial futures
contracts	$ (1,041,525	)									$ (1,043,699	)	$ (588,259	)	$ 19,507
Swaps	1,153,379										(3,881,597	)	(2,675,581	)
Options***	1,167,371										1,339,969		270,875
Floors													1,825,213
Foreign currency
exchange contracts:
Foreign currency
exchange contracts	(226,335	)	$ (210,673	)	$ (227,991	)	$ (36,398	)			(236,822	)			(56,815	)
Options***	(66,037	)									(65,782	)
Credit contracts:
Swaps	(176,784	)	(429,508	)	(408,099	)			$ (43,808	)	(300,888	)			(107,911	)
Options***			(107,893	)	(113,584	)			(12,341	)					(27,158	)
Equity contracts:
Financial futures
contracts			(615,578	)	(651,669	)	(132,386	)
Other contracts:
Swaps	(410,465	)									(410,464	)
Total	$ 399,604	)	$ (1,363,652	)	$ (1,401,343	)	$ (168,784	)	$ (56,149	)	$ (4,599,283	)	$ (1,167,752	)	$ (172,377	)

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

For the six months ended February 28, 2011, 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	554					613	719	52
Average number of
contracts sold	953	191	203	39		980	2,665	28
Average notional
value of contracts purchased	$ 86,867,487					$ 95,818,635	$ 165,022,176	$ 7,984,721
Average notional
value of contracts sold	$ 126,561,648	$ 11,611,623	$ 12,341,602	$ 2,340,775		$ 129,193,058	$ 375,739,627	$ 3,346,988
Foreign currency
exchange contracts:
Average number of
contracts US dollars purchased	14	11	11	4		17		4
Average number of
contracts US dollars sold	11	1	1			11
Average US dollar
amounts purchased	$ 21,338,472	$ 26,889,071	$ 28,812,263	$ 4,411,227		$ 17,868,564		$ 4,781,846
Average US dollar
amounts sold	$ 15,351,150	$ 48,920	$ 129,673			$ 15,317,787
Options:
Average number of
option contracts purchased	11,895				3	1,683	267	6
Average number of
option contracts written	289					289	364
Average notional
value of option contracts purchased	$ 1,949,019				$ 2,829	$ 1,882,030	$ 494,250	$ 5,657
Average notional
value of option contracts written	$ 487,000					$ 487,250	$ 590,750
Average number of
swaption contracts purchased	40					39	2
Average number of
swaption contracts written	55					54	4
Average notional
value of swaption contracts purchased	$ 193,950,000					$ 179,750,000	$ 12,400,000
Average notional
value of swaption contracts written	$ 215,950,000					$ 218,300,000	$ 29,200,000
Credit default
swaps:
Average number of
contracts buy protection	8	7	7		5	9		7
Average number of
contracts sell protection	2	20	20		7	1		9
Average notional
value buy protection	$ 14,901,500	$ 6,430,000	$ 6,300,000		$ 675,000	$ 17,871,500		$ 2,072,500
Average notional
value sell protection	$ 5,045,000	$ 9,551,528	$ 10,365,250		$ 359,238	$ 7,450,000		$ 1,237,500
Interest rate
swaps:
Average number of
contracts pays fixed rate	13					11	14
Average number of
contracts receives fixed rate	12					11	11
Average notional
value pays fixed rate	$ 74,900,000					$ 61,950,000	$ 360,330,000
Average notional
value receives fixed rate	$ 31,900,000					$ 26,350,000	$ 243,911,600

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (PNC), Bank of America Corporation (BAC) and Barclays Bank PLC (Barclays) are the largest stockholders of BlackRock, Inc. (BlackRock). Due to the ownership structure, PNC is an affiliate of the Trusts for 1940 Act purposes, but BAC and Barclays are 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 and administration services for BHK, HYV, HYT, HIS and BHD.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 125

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 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	1.05%
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 %

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 28, 2011, the amounts waived were as follows:

BHK	$
HYV	$ 831
HYT	$ 821
HIS	$ 664
BHY	$ 589
BNA	$ 379
BKT	$ 2,217
BHD	$ 573

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.

For the period August 1, 2010 through December 31, 2010, each Trust reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:

BHK	$
HYV	$ 1,496
HYT	$ 1,558
HIS	$ 452
BHD	$ 761

Effective January 1, 2011, the Trusts no longer reimburse the Manager for accounting services.

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 28, 2011, were as follows:

BHK	$ 2,362,451,629	$ 2,307,568,903
HYV	$ 266,616,913	$ 232,857,997
HYT	$ 270,911,385	$ 238,425,888
HIS	$ 72,619,558	$ 74,480,756
BHY	$ 26,413,275	$ 25,061,015
BNA	$ 2,205,458,027	$ 2,150,871,699
BKT	$ 4,558,950,728	$ 4,372,161,304
BHD	$ 57,216,107	$ 43,117,112

For the six months ended February 28, 2011, purchases and sales of US government securities were as follows:

	Purchases	Sales
BHK	$ 894,549,157	$ 884,443,787
BNA	$ 789,952,029	$ 778,467,525
BKT	$ 641,530,144	$ 632,431,928
BHD	$ 3,318,085	$ 1,011,208

For the six months ended February 28, 2011, purchases and sales of mortgage dollar rolls were as follows:

	Purchases	Sales
BHK	$ 975,922,430	$ 976,005,641
BNA	$ 958,259,613	$ 958,259,652
BKT	$ 2,611,566,758	$ 2,614,370,172

126 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

Notes to Financial Statements (continued)

Transactions in options written for the six months ended February 28, 2011, were as follows:

Options Contracts		Swaptions Notional Amount (000)		Premium Received		Options Contracts		Swaptions Notional Amount (000)		Premium Received
BHK
Outstanding options, beginning of period		$	75,700	$	4,043,175			$	117,300	$	4,587,195
Options written	17,543		80,700		3,238,797		6,475		100,430		3,446,041
Options closed	(17,187	)	(32,500	)	(1,473,560	)	(98	)	(54,130	)	(1,081,088	)
Options exercised			(15,000	)	(798,750	)	(3	)			(930	)
Options expired	(160	)	(9,500	)	(183,464	)	(6,110	)	(38,600	)	(1,816,361	)
Outstanding options, end of period	196	$	99,400	$	4,826,198		264	$	125,000	$	5,134,857
HYV
Outstanding options, beginning of period		$	13,250	$	94,750			$	4,750	$	71,250
Options expired			(13,250	)	(94,750	)			(4,750	)	(71,250	)
Outstanding options, end of period
HYT
Outstanding options, beginning of period		$	13,950	$	99,750			$	5,000	$	75,000
Options expired			(13,950	)	(99,750	)			(5,000	)	75,000
Outstanding options, end of period
BHY
Outstanding options, beginning of period		$	1,500,000	$	10,800			$	550,000	$	8,250
Options expired			(1,500,000	)	(10,800	)			(550,000	)	(8,250	)
Outstanding options, end of period
BNA
Outstanding options, beginning of period		$	79,400	$	3,860,147			$	116,000	$	4,379,012
Options written	17,464		76,800		3,148,350		6,448		96,430		3,355,385
Options closed	(17,108	)	(30,100	)	(1,441,924	)	(6,082	)	(38,200	)	(1,795,761	)
Options exercised			(15,000	)	(798,750	)	(3	)			(930	)
Options expired	(160	)	(9,600	)	(183,989	)	(98	)	(47,230	)	(1,045,245	)
Outstanding options, end of period	196	$	101,500	$	4,583,834		265	$	127,000	$	4,892,461
BKT
Outstanding options, beginning of period		$	18,100	$	679,458			$	18,100	$	679,457
Options written	23,475				479,926		8,537				588,852
Options closed	(23,006	)			(235,599	)	(457	)			(290,058	)
Options exercised							(7,643	)			(90,756	)
Options expired	(201	)			(86,919	)	(134	)			(89,696	)
Outstanding options, end of period	268	$	18,100	$	836,866		303	$	18,100	$	797,799
BHD
Outstanding options, beginning of period		$	3,325	$	23,825			$	1,200	$	18,000
Options expired			(2,125	)	(10,625	)			(1,200	)	(18,000	)
Options exercised			(1,200	)	(13,200	)
Outstanding options, end of period

5. Capital Loss Carryforwards:

As of August 31, 2010, 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
2011				$ 28,467,396	$ 4,771,417
2012				2,339,279	316,410
2014	$ 231,359		$ 2,291,195	7,043,976	2,060,533	$ 2,451,626	$ 447,113
2015			564,489		2,467,772	2,342,921
2016	17,415,494	$ 950,802	1,125,717	10,829,322	2,039,760	14,734,497	2,036,040
2017	7,416,000	37,231,421	40,815,806	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
Total	$ 25,062,853	$ 83,968,877	$ 99,724,971	$ 66,989,586	$ 17,763,693	$ 37,862,770	$ 7,248,848

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 127

Notes to Financial Statements (continued)

Under the recently enacted 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, these losses must be utilized prior to the losses incurred in pre-enactment taxable years.

6. Borrowings:

On March 4, 2010, the 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 Amounts
HYV	$ 140,000,000
HYT	$ 145,000,000
HIS	$ 45,000,000
BHY	$ 18,000,000
BHD	$ 30,000,000

Advances were made by SSB to the Funds, at the Funds option of (a) the higher of (i) 1.0% above the Fed Funds rate and (ii) 1.0% above the Overnight LIBOR or (b) 1.0% above 7-day, 30-day, 60-day or 90-day LIBOR.

Effective March 3, 2011, the SSB Agreement was renewed for 364 days. The SSB Agreement allows for the following maximum commitment amounts:

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

Advances are 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. 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 28, 2011 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 borrowings is less than 300%.

During the six months ended February 28, 2011, BKT borrowed under the TALF. The TALF program was launched by the US Department of Treasury and the Federal Reserve Board as a credit facility designed to restore liquidity to the market for asset-backed securities. The Federal Reserve Bank of New York (FRBNY) provided up to $1 trillion in non-recourse loans to support the issuance of certain AAA-rated asset-backed securities and commercial mortgage-backed securities (Eligible Securities). The Trusts posted as collateral already-held Eligible Securities, which were all commercial mortgage-backed securities, in return for non-recourse, 5-year term loans (TALF loans) in an amount equal to approximately 85% of the value of such Eligible Securities.

BKT	1	$10,940,517	8/28/14	3.87%	$13,290,170

The non-recourse provision of the TALF loans allowed the Trusts to satisfy loan obligations with Eligible Securities, subject to certain conditions, even if the value of the Eligible Securities falls below the outstanding amount of the loan. The Trusts can repay TALF loans prior to the maturity dates with no penalty. Principal and interest due on the loans will typically be paid with principal paydowns and interest received from the Eligible Securities. Credit agreements underlying each loan contain provisions to address instances in which interest payments on Eligible Securities fall short of amounts due to the FRBNY. The Trusts paid to the FRBNY a one-time administration fee of 0.20% of the amount borrowed, which was expensed as incurred in the current period by the Trusts and is included in borrowing costs in the Statements of Operations. The Trusts also paid a financing fee equal to the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount payable monthly, which is included in interest expense in the Statements of Operations.

During the six months ended February 28, 2011, BHK and BNA repaid their outstanding TALF loans and the Eligible Securities posted as collateral were returned to the Trusts. The Trusts financed the repayment of the TALF loans by entering into reverse repurchase agreements.

Since the Trusts had the ability to potentially satisfy TALF loan obligations by surrendering Eligible Securities, potential losses by the Trusts associated with the TALF loans were limited to the difference between the amount of Eligible Securities posted at the time of loan initiation and the loan proceeds received by the Trusts.

The Trusts elected to account for the outstanding TALF loans at fair value. The Trusts elected to fair value its TALF loans to more closely align changes in the value of the TALF loans with changes in the value of the Eligible Securities and to reduce the potential volatility in the Statements of Operations which could result if only the Eligible Securities were fair valued. The TALF loans were valued utilizing quotations received from a board approved pricing service. TALF-eligible Asset-Backed Securities/Collateralized Mortgage-Backed Securities (ABS/CMBS) value may be affected by historic defaults and prepayments on the asset pool, expected future defaults and prepayments, current interest rate levels, current and forward modeled ABS/CMBS spread levels. Accordingly, TALF loan valuation methodologies may include, but are not limited to, the following inputs: (i) ABS/CMBS prepayment assumptions, (ii) discount rates and (iii) the non-recourse put option valuation. The resulting TALF loan valuation combines the present value of the future loan cash flows, plus the value of the non-recourse option. The change in unrealized gain or loss associated with fair valuing the TALF loans is reflected in the Statements of Operations.

128 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

Notes to Financial Statements (continued)

For the six months ended February 28, 2011, the Trusts daily average amount of outstanding transactions considered as borrowings from reverse repurchase agreements, treasury roll transactions and TALF loans were as follows:

| | Daily
Weighted Average Interest Rate |
| --- | --- |
| BHK | 0.27 % |
| BNA | 0.25 % |
| BKT | 0.88 % |

For the six months ended February 28, 2011, the Trusts daily average amount of outstanding transactions considered as loans under the revolving credit agreements were as follows:

| | Daily
Weighted Average Interest Rate |
| --- | --- |
| HYV | 1.25 % |
| HYT | 1.25 % |
| HIS | 1.24 % |
| BHY | 1.25 % |
| BHD | 1.25 % |

7. Commitments:

The Trusts may invest in floating rate loan interests. In connection with these investments, the Trusts may also enter into unfunded loan commitments (commitments). Commitments may obligate the Trusts to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Trusts earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is classified in the Statements of Operations as facility and other fees, is recognized ratably over the commitment period. As of February 28, 2011, the Trusts had the following unfunded loan commitments:

| Borrower | Unfunded Commitment | Value
of Underlying Loan |
| --- | --- | --- |
| HIS | | |
| Delphi International
Holdings | $ 36,829 | $ 35,724 |
| BHY | | |
| Delphi International
Holdings | $ 72,738 | $ 70,556 |
| HYV | | |
| Axcan Intermediate Holdings | $ 500,000 | $ 501,563 |
| Delphi International
Holdings | $ 1,277,361 | $ 1,239,040 |
| HYT | | |
| Axcan Intermediate Holdings | $ 500,000 | $ 504,056 |
| Echostar DBS Corp | $ 4,490,000 | $ 4,490,000 |
| Delphi International
Holdings | $ 656,788 | $ 637,084 |
| BHD | | |
| Delphi Automotive Systems
Holdings | $ 161,435 | $ 156,592 |
| HIS | | |
| Delphi International
Holdings | $ 72,738 | $ 70,556 |

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:

There are 200 million of $0.01 par value shares authorized for BNA and BKT. There are an unlimited number of $0.001 par value shares authorized for BHK, BHY and BHD. There are an unlimited number of no par value shares authorized for HIS. There are 200 million of $0.10 par value shares authorized for HYV and HYT. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders.

For the six months ended February 28, 2011 and the year ended August 31, 2010, shares issued and outstanding increased by the following amounts as a result of dividend reinvestments:

HYT		7,573

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 129

Notes to Financial Statements (concluded)

Shares issued and outstanding remained constant during the six months ended February 28, 2011 and the year ended August 31, 2010 for HYV, HIS, BHY, BKT and BHD.

At February 28, 2011, the shares owned by affiliates of the Manager of the Trusts were as follows:

HYV	20,002
HYT	16,603

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:

Each Trust paid a net investment income dividend on March 31, 2011 to shareholders of record on March 15, 2011 as follows:

	Common Dividend Per Share
BHK	$ 0.0670
HYV	$ 0.0850
HYT	$ 0.0825
HIS	$ 0.0142
BHY	$ 0.0435
BNA	$ 0.0510
BKT	$ 0.0265
BHD	$ 0.0845

130 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

O fficers and Trustees
Richard E. Cavanagh,
Chairman of the Board and Trustee
Karen P. Robards, Vice
Chair of the Board, Chair of the Audit Committee and Trustee
Richard S. Davis, Trustee
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
Brendan Kyne, Vice
President
Anne Ackerley, Vice
President
Neal Andrews, Chief
Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief
Compliance Officer
Ira Shapiro, Secretary

| Investment
Advisor |
| --- |
| BlackRock Advisors, LLC |
| Wilmington, DE 19809 |
| Sub-Advisor 1 |
| BlackRock Financial
Management, Inc. |
| New York, NY 10055 |
| Custodian |
| State Street Bank and Trust
Company |
| Boston, MA 02111 |
| Transfer
Agent |
| Computershare Trust
Company, N.A. |
| Providence, RI 02940 |
| Accounting
Agent |
| State Street Bank and Trust
Company |
| Princeton, NJ 08540 |
| Independent
Registered Public Accounting Firm |
| Deloitte & Touche LLP |
| Princeton, NJ 08540 |
| Legal
Counsel |
| Skadden, Arps, Slate,
Meagher & Flom LLP |
| New York, NY 10036 |
| Address of
the Trusts |
| 100 Bellevue Parkway |
| Wilmington, DE 19809 |

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

| Effective February 11, 2011,
John M. Perlowski became President and Chief Executive Officer of the Trusts. |
| --- |
| Effective November 10,
2010, Ira Shapiro became Secretary of the Trusts. |

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 131

A dditional Information
Proxy Results

The Annual Meeting of Shareholders was held on September 2, 2010 for shareholders of record on July 6, 2010, to elect trustee/director nominees for each Trust/Fund. There were no broker non-votes with regard to any of the Trusts/Funds.

Approved the Class III Trustees/Directors as follows:

| Votes
For | Votes Withheld | Abstain | Votes
For | Votes Withheld | Abstain | Votes
For | Votes Withheld | Abstain | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| BHK | 22,182,721 | 302,077 | 0 | 22,096,470 | 388,328 | 0 | 22,169,823 | 314,975 | 0 |
| HIS | 41,140,138 | 1,171,553 | 0 | 41,118,883 | 1,192,808 | 0 | 41,062,221 | 1,249,470 | 0 |
| BHY | 5,786,870 | 101,056 | 0 | 5,776,683 | 111,243 | 0 | 5,785,713 | 102,213 | 0 |
| BNA | 26,756,239 | 449,047 | 0 | 26,683,571 | 521,715 | 0 | 26,713,163 | 492,123 | 0 |
| BKT | 54,479,971 | 1,380,821 | 0 | 54,422,061 | 1,438,731 | 0 | 54,499,527 | 1,361,265 | 0 |
| BHD | 6,243,777 | 111,281 | 0 | 6,226,172 | 128,886 | 0 | 6,221,200 | 133,858 | 0 |
| Jerrold
B. Harris | | | | | | | | | |
| Votes For | Votes Withheld | Abstain | | | | | | | |
| BHK | 22,135,515 | 349,283 | 0 | | | | | | |
| HIS | 41,119,275 | 1,192,416 | 0 | | | | | | |
| BHY | 5,782,807 | 105,119 | 0 | | | | | | |
| BNA | 26,729,916 | 475,370 | 0 | | | | | | |
| BKT | 54,479,121 | 1,381,671 | 0 | | | | | | |
| BHD | 6,212,740 | 142,318 | 0 | | | | | | |

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard S. Davis, Frank J. Fabozzi, James T. Flynn, R. Glenn Hubbard, W. Carl Kester and Karen P. Robards.

Approved the Directors as follows:

| Votes
For | Votes Withheld | Abstain | Votes
For | Votes Withheld | Abstain | Votes
For | Votes Withheld | Abstain | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| HYV | 25,143,237 | 493,848 | 0 | 25,118,999 | 518,086 | 0 | 25,153,295 | 483,790 | 0 |
| HYT | 26,888,478 | 445,143 | 0 | 26,878,773 | 454,848 | 0 | 26,867,758 | 465,863 | 0 |
| Kathleen
F. Feldstein | | | James
T. Flynn | | | Henry
Gabbay | | | |
| Votes
For | Votes Withheld | Abstain | Votes
For | Votes Withheld | Abstain | Votes
For | Votes Withheld | Abstain | |
| HYV | 25,083,274 | 553,811 | 0 | 25,128,740 | 508,345 | 0 | 25,151,093 | 485,992 | 0 |
| HYT | 26,857,353 | 476,268 | 0 | 26,874,458 | 459,163 | 0 | 26,889,726 | 443,895 | 0 |
| Jerrold
B. Harris | | | R.
Glenn Hubbard | | | W. Carl
Kester | | | |
| Votes
For | Votes Withheld | Abstain | Votes
For | Votes Withheld | Abstain | Votes
For | Votes Withheld | Abstain | |
| HYV | 25,095,704 | 541,381 | 0 | 25,128,814 | 508,271 | 0 | 25,141,106 | 495,979 | 0 |
| HYT | 26,868,308 | 465,313 | 0 | 26,836,841 | 496,780 | 0 | 26,869,654 | 463,967 | 0 |
| Karen
P. Robards | | | | | | | | | |
| Votes
For | Votes Withheld | Abstain | | | | | | | |
| HYV | 25,111,603 | 525,482 | 0 | | | | | | |
| HYT | 26,892,679 | 440,942 | 0 | | | | | | |

132 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

Additional Information (continued)

Dividend Policy

The Trusts dividend policy is to distribute all or a portion of their net investment income to their 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 below, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts portfolio.

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 website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRocks website into this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts website 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 (800) 441-7762.

Availability of Quarterly Schedule of Investments

Each Trust files its 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, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. Each 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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 133

Additional Information (continued)

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 28, 2011
	Total
Cumulative Distributions for the Fiscal Year-to-Date				%
Breakdown of the Total Cumulative Distributions for the Fiscal Year-to-Date
	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	$ 0.2610			$ 0.2610	100 %	0 %	0 %	100 %
BKT	$ 0.1515			$ 0.1515	100 %	0 %	0 %	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.

134 SEMI-ANNUAL REPORT FEBRUARY 28, 2011

Additional Information (concluded)

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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 135

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-1-8-02/11

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 registrants 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 registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants 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 registrants 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 registrants 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 4, 2011
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 4, 2011
By:	/s/ Neal J. Andrews
	Neal J. Andrews
	Chief Financial Officer (principal financial officer) of
	BlackRock Income Trust, Inc.
Date: May 4, 2011

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BLACKROCK INCOME TRUST, INC.

CEF-1-8-02/11

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