BLACKROCK CORE BOND TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-10543

Name of Fund:  BlackRock Core Bond Trust (BHK)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust,

55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2017

Date of reporting period: 05/31/2017


Item 1 – Schedule of Investments


Schedule of Investments May 31, 2017 (Unaudited)

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities — 11.1%

      

AIMCO CLO, Series 2014-AA, Class DR,
4.33%, 7/20/26 (a)(b)(c)

     USD       795     $ 795,000  

ALM VI Ltd., Series 2012-6A, Class B2R,
3.96%, 7/15/26 (b)(c)

       1,000       1,000,714  

Anchorage Capital CLO Ltd. (a)(b)(c):

      

Series 2014-4A, Class CR, 4.57%, 7/28/26

       1,975       1,975,000  

Series 2016-9A, Class D, 4.95%, 1/15/29

       650       654,225  

Apidos CLO XIX, Series 2014-19A, Class DR, 4.56%, 10/17/26 (b)(c)

       1,000       1,001,080  

Ares XXVIII CLO Ltd., Series 2013-3A, Class DR, 4.41%, 10/17/24 (b)(c)

       1,000       1,003,017  

Ares XXXII CLO Ltd., Series 2014-32A, Class CR, 4.63%, 11/15/25 (b)(c)

       1,250       1,250,139  

Atlas Senior Loan Fund Ltd., 4.92%, 11/30/28 (a)(b)(c)

       1,250       1,256,250  

Babson CLO Ltd., Series 2013-IA, Class D, 4.66%, 4/20/25 (b)(c)

       1,500       1,503,120  

Ballyrock CLO LLC, Series 2014-1A, Class CR, 4.81%, 10/20/26 (a)(b)(c)

       1,970       1,969,961  

Battalion CLO VII Ltd., Series 2014-7A, Class C, 5.06%, 10/17/26 (b)(c)

       1,000       998,956  

BlueMountain CLO Ltd., Series 2014-3A, Class CR, 4.36%, 10/15/26 (b)(c)

       1,000       998,976  

Bowman Park CLO Ltd., Series 2014-1A, Class D2R, 4.54%, 11/23/25 (a)(b)(c)

       3,000       3,000,000  

CenterPoint Energy Transition Bond Co. IV LLC, Series 2012-1, Class A3, 3.03%, 10/15/25

       2,210       2,290,290  

CIFC Funding Ltd. (b)(c):

      

Series 2012-3A, Class B1R, 5.04%, 1/29/25

       2,500       2,511,337  

Series 2013-IA, Class B, 3.97%, 4/16/25

       1,000       1,000,348  

Series 2014-4A, Class D, 4.56%, 10/17/26

       2,000       2,010,606  

Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 1.17%, 1/25/37 (b)

       265       257,497  

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

       3,864       3,906,705  

Dryden Senior Loan Fund (b)(c):

      

Series 2014-31A, Class DR, 4.51%, 4/18/26

       1,250       1,256,914  
Asset-Backed Securities          

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

Dryden Senior Loan Fund (b)(c) (continued):

      

Series 2014-34A, Class CR, 3.31%, 10/15/26 (a)

     USD       1,000     $ 1,000,000  

Series 2015-41A, Class A, 2.66%, 1/15/28

       2,550       2,560,386  

Galaxy XIV CLO Ltd., Series 2012-14A, Class DR, 5.48%, 11/15/26 (b)(c)

       1,000       1,004,002  

Galaxy XV CLO Ltd., Series 2013-15A, Class C, 3.76%, 4/15/25 (b)(c)

       1,000       1,000,462  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, 4.67%, 10/29/26 (b)

       1,000       1,001,718  

Highbridge Loan Management Ltd., Series 5A-2015, Class C1, 4.37%, 1/29/26 (b)(c)

       4,000       4,000,675  

Limerock CLO III LLC, Series 2014-3A, Class C, 4.76%, 10/20/26 (b)(c)

       3,750       3,749,238  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, 3.37%, 1/27/26 (b)(c)

       1,800       1,803,005  

Nelnet Student Loan Trust, Series 2006-1, Class A5, 1.30%, 8/23/27 (b)

       735       732,309  

Neuberger Berman CLO XV, Series 2013-15A, Class D, 4.41%, 10/15/25 (b)(c)

       1,000       997,461  

Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR, 5.43%, 11/14/27 (b)(c)

       2,250       2,268,142  

Oaktree EIF II Ltd., Series 2015-B1A, Class C, 4.28%, 2/15/26 (b)(c)

       1,000       1,000,981  

OCP CLO Ltd., Series 2012-2A, Class DR, 5.64%, 11/22/25 (b)(c)

       1,000       1,006,266  

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.83%, 11/14/26 (b)(c)

       2,000       2,010,776  

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class C1, 4.40%, 11/25/25 (b)(c)

       2,000       1,999,992  

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 7/18/25 (c)

       5,000       5,006,724  

OZLM Funding III Ltd., Series 2013-3A, Class BR, 4.15%, 1/22/29 (b)(c)

       1,500       1,520,242  

OZLM VII Ltd., Series 2014-7A, Class CR,
4.66%, 7/17/26 (b)(c)

       950       954,780  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    1


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

OZLM VIII Ltd., Series 2014-8A, Class CR,
4.66%, 10/17/26 (a)(b)(c)

     USD       1,750     $ 1,750,000  

Regatta V Funding Ltd., Series 2014-1A, Class C, 4.61%, 10/25/26 (b)(c)

       2,000       1,999,483  

Rockford Tower CLO Ltd., Series 2017-1A, Class D, 4.62%, 4/15/29 (a)(b)(c)

       750       725,775  

SLM Private Education Loan Trust (c):

      

Series 2012-A, Class A2, 3.83%, 1/17/45

       622       634,364  

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

       500       509,310  

SMB Private Education Loan Trust, Series 2015-C,
Class C, 4.50%, 9/17/46 (c)

       5,900       6,021,275  

Sound Point CLO IV Ltd., Series 2013-3A, Class DR, 4.56%, 1/21/26 (a)(b)(c)

       700       700,000  

Sound Point CLO VII Ltd., Series 2014-3A, Class D, 4.75%, 1/23/27 (b)(c)

       1,250       1,251,470  

Sound Point CLO XIV Ltd., Series 2016-3A, Class D, 5.00%, 1/23/29 (b)(c)

       1,550       1,565,873  

Stewart Park CLO Ltd., Series 2015-1A, Class D, 4.61%, 4/15/26 (a)(b)(c)

       1,000       1,001,020  

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

       698       695,504  

THL Credit Wind River CLO Ltd., Series 2014-3A, Class DR, 4.47%, 1/22/27 (a)(b)(c)(d)

       1,000       1,000,000  

Voya CLO Ltd. (b)(c):

      

Series 2012-2A, Class CR, 4.11%, 10/15/22

       1,500       1,500,486  

Series 2016-3A, Class D, 8.01%, 10/18/27

       615       624,836  

World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22

       2,360       2,420,807  

York CLO-4 Ltd., Series 2016-2A, Class D, 5.26%, 1/20/30 (b)(c)

       1,500       1,513,879  
      

 

 

 
                       88,171,376  
Interest Only Asset-Backed Securities — 0.1%                   

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

       2,836       193,177  
Asset-Backed Securities           Par
(000)
    Value  

Interest Only Asset-Backed Securities (continued)

      

Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (a)(c)

     USD       7,264     $ 498,609  
      

 

 

 
                       691,786  
Total Asset-Backed Securities 11.2%                      88,863,162  
      
                          
Corporate Bonds                      

Aerospace & Defense — 1.0%

      

Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (c)

       670       678,375  

Bombardier, Inc. (c):

      

8.75%, 12/01/21

       596       663,050  

6.00%, 10/15/22

       188       188,118  

6.13%, 1/15/23

       107       107,334  

7.50%, 3/15/25

       314       324,827  

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

       500       507,085  

EnPro Industries, Inc., 5.88%, 9/15/22 (c)

       74       77,330  

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

       491       518,044  

Koppers, Inc., 6.00%, 2/15/25 (c)

       151       158,550  

Kratos Defense & Security Solutions, Inc., 7.00%, 5/15/19

       60       61,350  

Lockheed Martin Corp., 4.70%, 5/15/46

       1,250       1,394,713  

Moog, Inc., 5.25%, 12/01/22 (c)

       180       187,650  

TransDigm, Inc.:

      

5.50%, 10/15/20

       211       216,207  

6.00%, 7/15/22

       645       668,301  

6.50%, 7/15/24

       216       224,640  

6.50%, 5/15/25 (c)

       107       110,745  

6.38%, 6/15/26

       26       26,650  

United Technologies Corp., 6.13%, 7/15/38

       1,450       1,893,796  
      

 

 

 
                       8,006,765  

Air Freight & Logistics — 0.3%

      

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

       1,250       1,330,706  

XPO Logistics, Inc.:

      

5.75%, 6/15/21

     EUR       100       118,386  

6.50%, 6/15/22 (c)

     USD       535       568,010  
      

 

 

 
                       2,017,102  

Airlines — 2.2%

      

Air Canada Pass-Through Trust, Series 2015-1,
Class B, 3.88%, 9/15/24 (c)

       1,786       1,776,333  

American Airlines Pass-Through Trust:

      

Series 2013-2, Class A, 4.95%, 7/15/24 (e)

       3,586       3,832,434  
 

 

                
2    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Airlines (continued)

      

American Airlines Pass-Through Trust (continued):

      

Series 2015-2, Class A, 4.00%, 3/22/29

     USD       1,429     $ 1,463,726  

Series 2015-2, Class AA, 3.60%, 3/22/29

       1,429       1,460,461  

Series 2017-1, Class B, 4.95%, 8/15/26

       1,925       1,975,435  

Continental Airlines Pass-Through Trust:

      

Series 2010-1, Class B, 6.00%, 7/12/20

       401       411,082  

Series 2012-3, Class C, 6.13%, 4/29/18

       150       154,500  

United Airlines Pass-Through Trust:

      

Series 2013-1, Class A, 4.30%, 2/15/27

       3,509       3,715,111  

Series 2014-2, Class B, 4.63%, 3/03/24

       2,358       2,417,435  
      

 

 

 
                       17,206,517  

Auto Components — 0.3%

      

Allison Transmission, Inc., 5.00%, 10/01/24 (c)

       19       19,380  

Delphi Automotive PLC, 4.40%, 10/01/46

       465       456,708  

Faurecia, 3.63%, 6/15/23

     EUR       100       118,860  

Federal-Mogul Holdings LLC, 4.88%, 4/15/24 (b)

       100       112,683  

FTE Verwaltungs GmbH, 9.00%, 7/15/20

       100       117,473  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

4.88%, 3/15/19

     USD       367       371,404  

6.25%, 2/01/22

       80       83,300  

6.75%, 2/01/24

       252       263,340  

IHO Verwaltungs GmbH (f):

      

(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21

     EUR       100       116,267  

(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23

       100       118,103  

(4.13% Cash or 4.88% PIK), 4.13%, 9/15/21 (c)

     USD       200       204,250  

ZF North America Capital, Inc., 4.75%, 4/29/25 (c)

       150       157,875  
      

 

 

 
                       2,139,643  

Automobiles — 0.9%

      

Ford Motor Co., 4.75%, 1/15/43 (e)

       4,255       4,008,784  

General Motors Co., 6.25%, 10/02/43 (e)

       2,506       2,747,045  
      

 

 

 
                       6,755,829  
Corporate Bonds          

Par  

(000)

    Value  

Banks — 1.7%

      

Allied Irish Banks PLC, 4.13%, 11/26/25 (b)

     EUR       100     $ 120,063  

Banco Popolare, 2.75%, 7/27/20

       100       116,149  

Bankia SA, 4.00%, 5/22/24 (b)

       100       116,828  

Barclays PLC, 3.65%, 3/16/25

     USD       4,320       4,309,520  

BPE Financiaciones SA, 2.00%, 2/03/20

     EUR       100       105,485  

CaixaBank SA, 3.50%, 2/15/27 (b)

       100       117,647  

CIT Group, Inc.:

      

5.50%, 2/15/19 (c)

     USD       69       72,795  

5.38%, 5/15/20

       410       440,750  

5.00%, 8/01/23

       395       426,106  

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

       1,500       1,569,260  

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

       610       790,573  

Santander Holdings USA, Inc., 4.50%, 7/17/25

       2,000       2,065,676  

Santander UK Group Holdings PLC, 2.88%, 8/05/21

       1,250       1,254,308  

Wells Fargo & Co., 3.90%, 5/01/45

       2,250       2,228,566  
      

 

 

 
                       13,733,726  

Beverages — 0.7%

      

Anheuser-Busch InBev Finance, Inc.,
4.90%, 2/01/46 (e)

       4,600       5,072,912  

BWAY Holding Co., 5.50%, 4/15/24 (c)

       252       257,670  

Horizon Holdings I SASU, 7.25%, 8/01/23

     EUR       100       121,286  

Silgan Holdings, Inc., 3.25%, 3/15/25

       100       114,997  
      

 

 

 
                       5,566,865  

Biotechnology — 0.4%

      

Amgen, Inc., 4.40%, 5/01/45

     USD       2,250       2,275,558  

Gilead Sciences, Inc., 4.80%, 4/01/44

       1,000       1,065,160  

Senvion Holding GmbH, 3.88%, 10/25/22

     EUR       100       113,796  
      

 

 

 
                       3,454,514  

Building Materials — 0.0%

      

Titan Global Finance PLC, 3.50%, 6/17/21

             100       118,464  

Building Products — 0.2%

      

American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23 (c)

     USD       127       134,620  

Building Materials Corp. of America (c):

      

5.38%, 11/15/24

       29       30,486  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    3


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Building Products (continued)

      

Building Materials Corp. of America (c) (continued):

      

6.00%, 10/15/25

     USD       200     $ 216,000  

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

       350       365,750  

Masonite International Corp., 5.63%, 3/15/23 (c)

       200       210,000  

Ply Gem Industries, Inc., 6.50%, 2/01/22

       147       153,615  

Standard Industries, Inc. (c):

      

5.13%, 2/15/21

       29       30,233  

5.50%, 2/15/23

       100       105,375  

USG Corp. (c):

      

5.50%, 3/01/25

       71       75,260  

4.88%, 6/01/27

       131       132,310  
      

 

 

 
                       1,453,649  

Capital Markets — 2.7%

      

Blackstone CQP Holdco LP, 6.50%, 3/20/21 (c)

       1,380       1,392,587  

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

       5,890       7,589,395  

Goldman Sachs Group, Inc., 3.75%, 5/22/25 (e)

       8,965       9,178,098  

LPL Holdings, Inc., 5.75%, 9/15/25 (c)

       41       42,332  

Morgan Stanley:

      

4.00%, 7/23/25

       905       946,767  

3.13%, 7/27/26

       2,000       1,942,680  

Raymond James Financial, Inc., 4.95%, 7/15/46

       400       421,661  
      

 

 

 
                       21,513,520  

Casinos & Gambling — 0.0%

      

GLP Capital LP/GLP Financing II, Inc., 5.38%, 4/15/26

             64       69,280  

Chemicals — 1.0%

      

Air Liquide Finance SA, 3.50%, 9/27/46 (c)

       360       337,563  

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 2/01/25 (c)

       400       408,000  

Axalta Coating Systems LLC, 4.88%, 8/15/24 (c)

       161       164,824  

Blue Cube Spinco, Inc.:

      

9.75%, 10/15/23

       133       162,260  

10.00%, 10/15/25

       95       117,800  

CF Industries, Inc.:

      

7.13%, 5/01/20

       80       88,400  

5.15%, 3/15/34

       60       55,500  

4.95%, 6/01/43

       84       74,130  

Chemours Co.:

      

6.63%, 5/15/23

       182       194,265  

7.00%, 5/15/25

       44       48,730  
Corporate Bonds          

Par  

(000)

    Value  

Chemicals (continued)

      

The Chemours Co., 5.38%, 5/15/27

     USD       159     $ 165,360  

Hexion, Inc., 10.38%, 2/01/22 (c)

       122       123,525  

Huntsman International LLC, 4.88%, 11/15/20

       299       316,940  

Ineos Finance PLC, 4.00%, 5/01/23

     EUR       100       116,688  

Inovyn Finance PLC, 6.25%, 5/15/21

       80       117,952  

Methanex Corp., 3.25%, 12/15/19

     USD       1,650       1,663,146  

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

       735       744,187  

NOVA Chemicals Corp. (c)(d):

      

4.88%, 6/01/24

       183       183,457  

5.25%, 6/01/27

       459       459,574  

Platform Specialty Products Corp. (c):

      

10.38%, 5/01/21

       37       41,024  

6.50%, 2/01/22

       1,118       1,151,540  

PQ Corp., 6.75%, 11/15/22 (c)

       269       292,537  

PSPC Escrow Corp., 6.00%, 2/01/23

     EUR       100       117,985  

Tronox Finance LLC:

      

6.38%, 8/15/20

     USD       141       142,410  

7.50%, 3/15/22 (c)

       43       44,666  

Versum Materials, Inc., 5.50%, 9/30/24 (c)

       81       85,050  

WR Grace & Co-Conn (c):

      

5.13%, 10/01/21

       187       199,155  

5.63%, 10/01/24

       80       86,300  
      

 

 

 
                       7,702,968  

Commercial Services & Supplies — 0.8%

      

ADT Corp.:

      

3.50%, 7/15/22

       252       246,330  

4.13%, 6/15/23

       205       203,462  

4.88%, 7/15/32 (c)

       262       227,940  

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

       151       154,964  

Aviation Capital Group Corp. (c):

      

4.63%, 1/31/18

       1,300       1,321,445  

7.13%, 10/15/20

       1,800       2,058,518  

Booz Allen Hamilton, Inc., 5.13%, 5/01/25 (c)

       283       289,367  

Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c)

       439       468,084  

Covanta Holding Corp., 5.88%, 7/01/25

       145       141,375  

Harland Clarke Holdings Corp., 8.38%, 8/15/22 (c)

       190       200,450  

Iron Mountain, Inc., 6.00%, 8/15/23

       80       84,800  
 

 

                
4    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

      

KAR Auction Services, Inc., 5.13%, 6/01/25 (c)

     USD       268     $ 273,360  

Mobile Mini, Inc., 5.88%, 7/01/24

       299       310,960  

Park Aerospace Holdings Ltd., 5.25%, 8/15/22 (c)

       162       169,999  

Ritchie Bros Auctioneers, Inc., 5.38%, 1/15/25 (c)

       125       129,375  

United Rentals North America, Inc.:

      

7.63%, 4/15/22

       13       13,569  

5.75%, 11/15/24

       60       63,450  
      

 

 

 
                       6,357,448  

Communications Equipment — 0.2%

      

CommScope Technologies LLC, 5.00%, 3/15/27 (c)

       147       147,000  

CommScope, Inc., 5.00%, 6/15/21 (c)

       250       256,405  

Nokia OYJ, 6.63%, 5/15/39

       135       152,466  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.00%, 4/01/23

       834       881,955  

6.38%, 5/15/25

       150       161,250  

5.75%, 1/15/27 (c)

       273       287,985  
      

 

 

 
                       1,887,061  

Construction & Engineering — 0.6%

      

BlueLine Rental Finance Corp., 9.25%, 3/15/24 (c)

       701       732,545  

Engility Corp., 8.88%, 9/01/24

       176       189,200  

ITR Concession Co. LLC, 4.20%, 7/15/25 (c)

       4,000       3,975,748  

SPIE SA, 3.13%, 3/22/24

     EUR       100       116,828  
      

 

 

 
                       5,014,321  

Construction Materials — 0.2%

      

American Tire Distributors, Inc., 10.25%, 3/01/22 (c)

     USD       220       229,900  

HD Supply, Inc. (c):

      

5.25%, 12/15/21

       790       832,265  

5.75%, 4/15/24

       481       512,866  

PulteGroup, Inc.:

      

5.50%, 3/01/26

       76       80,323  

6.00%, 2/15/35

       27       27,000  

Rexel SA, 3.50%, 6/15/23

     EUR       100       118,468  
      

 

 

 
                       1,800,822  

Consumer Discretionary — 0.0%

      

Nielsen Co. Luxembourg SARL, 5.00%, 2/01/25 (c)

     USD       117       119,340  

Consumer Finance — 1.8%

      

Ally Financial, Inc.:

      

6.25%, 12/01/17

       320       326,880  

4.63%, 3/30/25

       190       190,513  

8.00%, 11/01/31

       1,046       1,263,045  
Corporate Bonds   

Par  

(000)

    Value  

Consumer Finance (continued)

      

Capital One Financial Corp., 4.75%, 7/15/21 (e)

     USD       1,935     $ 2,093,908  

Cardtronics, Inc./Cardtronics USA, Inc.,
5.50%, 5/01/25 (c)

       55       56,375  

CDK Global, Inc., 4.88%, 6/01/27 (c)

       187       188,988  

Corivas Campus Living USG LLC, 5.30%, 7/01/50 (a)

       5,700       5,742,033  

Ford Motor Credit Co. LLC:

      

8.13%, 1/15/20

       1,530       1,746,308  

4.25%, 9/20/22

       1,600       1,678,205  

Navient Corp.:

      

5.00%, 10/26/20

       180       184,050  

6.63%, 7/26/21

       165       175,362  

6.50%, 6/15/22

       34       35,381  

5.50%, 1/25/23

       75       74,039  

7.25%, 9/25/23

       173       181,823  

6.13%, 3/25/24

       59       58,870  

5.88%, 10/25/24

       56       54,460  

6.75%, 6/25/25

       74       74,337  

5.63%, 8/01/33

       101       82,568  

OneMain Financial Holdings LLC (c):

      

6.75%, 12/15/19

       101       105,797  

7.25%, 12/15/21

       100       105,310  

Springleaf Finance Corp., 6.13%, 5/15/22

       50       51,645  
      

 

 

 
                       14,469,897  

Containers & Packaging — 0.8%

      

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

      

6.00%, 6/30/21 (c)

       200       206,000  

4.25%, 1/15/22

     EUR       32       37,179  

4.25%, 9/15/22 (c)

     USD       200       203,750  

4.63%, 5/15/23 (c)

       271       277,098  

2.75%, 3/15/24

     EUR       100       114,260  

6.75%, 5/15/24

       100       125,113  

7.25%, 5/15/24 (c)

     USD       1,675       1,827,844  

6.00%, 2/15/25 (c)

       402       419,085  

Ball Corp., 5.00%, 3/15/22

       141       150,694  

Flex Acquisition Co., Inc., 6.88%, 1/15/25 (c)

       22       23,045  

JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22 (f)

     EUR       100       122,445  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:

      

5.75%, 10/15/20

     USD       194       199,190  

6.88%, 2/15/21

       305       312,239  

4.66%, 7/15/21 (b)(c)

       438       446,760  

5.13%, 7/15/23 (c)

       161       167,440  

7.00%, 7/15/24 (c)

       356       383,143  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    5


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Containers & Packaging (continued)

      

Sappi Papier Holding GmbH, 4.00%, 4/01/23

     EUR       100     $ 119,075  

Sealed Air Corp., 4.88%, 12/01/22 (c)

     USD       365       380,969  

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (c)

       333       347,152  

Verallia Packaging SASU, 5.13%, 8/01/22

     EUR       100       119,637  
      

 

 

 
                       5,982,118  

Diversified Consumer Services — 0.3%

      

APX Group, Inc.:

      

6.38%, 12/01/19

     USD       33       34,045  

8.75%, 12/01/20

       211       218,649  

7.88%, 12/01/22

       216       235,956  

GW Honos Security Corp., 8.75%, 5/15/25 (c)

       58       59,740  

Laureate Education, Inc., 8.25%, 5/01/25 (c)

       210       221,025  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (c)

       1,358       1,484,756  

Sotheby’s, 5.25%, 10/01/22 (c)

       128       130,560  

Tereos Finance Groupe I SA, 4.13%, 6/16/23

     EUR       100       113,739  
      

 

 

 
                       2,498,470  

Diversified Financial Services — 3.4%

      

Aircastle Ltd., 6.25%, 12/01/19

     USD       353       383,005  

ASP AMC Merger Sub, Inc., 8.00%, 5/15/25 (c)

       64       62,720  

Bank of America Corp.:

      

5.63%, 7/01/20

       2,200       2,411,565  

3.25%, 10/21/27

       5,500       5,334,307  

FBM Finance, Inc., 8.25%, 8/15/21 (c)

       185       198,875  

FMR LLC, 4.95%, 2/01/33 (c)(e)

       2,300       2,557,057  

Garfunkelux Holdco 3 SA, 8.50%, 11/01/22

     GBP       100       139,153  

General Electric Capital Corp., 6.15%, 8/07/37 (e)

     USD       2,150       2,846,103  

General Motors Financial Co., Inc., 4.25%, 5/15/23

       807       834,871  

IntercontinentalExchange Group, Inc., 4.00%, 10/15/23

       470       503,921  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (c)

       595       615,081  

Mercury Bondco PLC (f):

      

(7.13% Cash or 7.88% PIK), 7.13%, 5/30/21

     EUR       100       117,109  

(8.25% Cash or 9.00% PIK), 8.25%, 5/30/21

       100       118,176  

Moody’s Corp., 4.50%, 9/01/22 (e)

     USD       1,800       1,940,922  
Corporate Bonds    Par
(000)
    Value  

Diversified Financial Services (continued)

      

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

     USD       8,000     $ 8,567,328  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 6/01/25 (c)

       129       131,903  

UniCredit SpA:

      

6.95%, 10/31/22

     EUR       140       189,163  

5.75%, 10/28/25 (b)

       107       132,190  
      

 

 

 
                       27,083,449  

Diversified Telecommunication Services — 3.5%

      

AT&T, Inc. (e):

      

6.38%, 3/01/41

     USD       520       606,712  

5.15%, 3/15/42

       2,400       2,449,889  

4.75%, 5/15/46

       2,710       2,610,462  

CenturyLink, Inc.:

      

Series S, 6.45%, 6/15/21

       437       472,506  

Series T, 5.80%, 3/15/22

       172       179,955  

Series U, 7.65%, 3/15/42

       99       93,431  

Series W, 6.75%, 12/01/23

       185       197,719  

Series Y, 7.50%, 4/01/24

       127       139,065  

Cincinnati Bell, Inc., 7.00%, 7/15/24 (c)

       374       392,700  

Consolidated Communications, Inc., 6.50%, 10/01/22

       68       67,575  

Frontier Communications Corp.:

      

8.13%, 10/01/18

       195       206,212  

7.13%, 3/15/19

       220       232,650  

8.50%, 4/15/20

       271       287,260  

8.88%, 9/15/20

       57       60,634  

7.13%, 1/15/23

       50       43,313  

7.63%, 4/15/24

       115       96,600  

6.88%, 1/15/25

       915       736,008  

Level 3 Financing, Inc.:

      

5.38%, 8/15/22

       165       169,950  

5.63%, 2/01/23

       149       155,519  

5.13%, 5/01/23

       95       98,860  

5.38%, 1/15/24

       165       172,941  

5.38%, 5/01/25

       151       158,690  

5.25%, 3/15/26

       459       477,218  

OTE PLC, 3.50%, 7/09/20

     EUR       100       115,143  

SBA Communications Corp., 4.88%, 9/01/24 (c)

     USD       177       179,566  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

       95       102,035  

6.00%, 9/30/34

       380       401,728  

7.20%, 7/18/36

       202       232,300  

7.72%, 6/04/38

       48       57,600  

Telecom Italia SpA, 3.63%, 1/19/24

     EUR       200       247,842  

Verizon Communications, Inc. (e):

      

6.40%, 2/15/38

     USD       6,879       8,271,550  

6.55%, 9/15/43

       6,751       8,458,706  
 

 

                
6    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Diversified Telecommunication Services (continued)

 

   

Windstream Corp., 7.75%, 10/01/21

     USD       17     $ 16,448  
      

 

 

 
                       28,188,787  

Electric Utilities — 5.9%

      

AES Corp., 4.88%, 5/15/23

       210       213,413  

Berkshire Hathaway Energy Co., 6.50%, 9/15/37 (e)

       5,515       7,396,492  

Black Hills Corp., 3.15%, 1/15/27

       405       394,766  

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

       434       517,614  

CMS Energy Corp., 5.05%, 3/15/22 (e)

       1,832       2,022,330  

Duke Energy Carolinas LLC:

      

6.10%, 6/01/37

       640       830,047  

6.00%, 1/15/38 (e)

       1,675       2,161,633  

4.25%, 12/15/41 (e)

       750       799,007  

Duke Energy Florida LLC, 6.40%, 6/15/38 (e)

       770       1,050,300  

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

       3,100       3,874,665  

Electricite de France SA, 5.60%, 1/27/40 (c)(e)

       2,800       3,146,091  

Enel Finance International NV, 3.63%, 5/25/27 (c)

       1,250       1,236,565  

Florida Power Corp., 6.35%, 9/15/37 (e)

       2,775       3,760,713  

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

       490       532,017  

Ohio Power Co., Series D, 6.60%, 3/01/33 (e)

       3,000       3,815,010  

PacifiCorp, 6.25%, 10/15/37 (e)

       1,225       1,618,893  

Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (e)

       2,550       3,377,077  

Southern California Edison Co.:

      

5.63%, 2/01/36 (e)

       1,300       1,603,047  

Series A, 5.95%, 2/01/38

       2,175       2,810,881  

Southern Co., 4.40%, 7/01/46

       1,000       993,959  

Talen Energy Supply LLC, 6.50%, 6/01/25

       57       42,608  

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

       3,920       4,989,815  
      

 

 

 
                       47,186,943  

Electrical Equipment — 0.0%

      

Anixter, Inc., 5.63%, 5/01/19

       35       36,837  

Areva SA, 4.88%, 9/23/24

     EUR       50       60,425  

Trionista TopCo GmbH, 6.88%, 4/30/21

       110       128,666  
      

 

 

 
                       225,928  

Electronic Equipment, Instruments & Components — 0.0%

 

   

CDW LLC/CDW Finance Corp.:

      

5.00%, 9/01/23

     USD       134       138,355  
Corporate Bonds    Par
(000)
    Value  

Electronic Equipment, Instruments & Components (continued)

 

   

CDW LLC/CDW Finance Corp. (continued):

      

5.50%, 12/01/24

     USD       40     $ 43,200  

5.00%, 9/01/25

       72       74,160  
      

 

 

 
                       255,715  

Energy Equipment & Services — 0.7%

      

Ensco PLC:

      

4.50%, 10/01/24

       102       83,895  

5.20%, 3/15/25

       25       21,180  

Enterprise Products Operating LLC,
6.13%, 10/15/39 (e)

       1,400       1,687,336  

Gates Global LLC/Gates Global Co., 6.00%, 7/15/22 (c)

       516       525,701  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

5.75%, 2/15/21

       142       144,130  

6.75%, 8/01/22

       17       17,531  

GrafTech International Ltd., 6.38%, 11/15/20

       600       523,500  

Halliburton Co., 5.00%, 11/15/45

       500       542,371  

Noble Holding International Ltd., 4.63%, 3/01/21

       8       7,200  

Pattern Energy Group, Inc., 5.88%, 2/01/24 (c)

       93       97,185  

Pioneer Energy Services Corp., 6.13%, 3/15/22

       185       160,950  

Precision Drilling Corp.:

      

6.50%, 12/15/21

       70       70,875  

5.25%, 11/15/24

       90       83,250  

Transocean, Inc.:

      

6.00%, 3/15/18

       195       199,875  

7.38%, 4/15/18

       20       20,700  

5.80%, 10/15/22

       331       309,485  

9.00%, 7/15/23 (c)

       608       635,360  

6.80%, 3/15/38

       47       36,543  

Trinidad Drilling Ltd., 6.63%, 2/15/25 (c)

       243       241,785  

Weatherford International Ltd.:

      

7.75%, 6/15/21

       185       195,245  

8.25%, 6/15/23

       80       84,800  

9.88%, 2/15/24 (c)

       106       119,250  
      

 

 

 
                       5,808,147  

Environmental, Maintenance, & Security Service — 0.1%

 

   

Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18

     EUR       100       112,948  

Paprec Holding SA, 5.25%, 4/01/22

       100       118,792  

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

     USD       276       281,175  
      

 

 

 
                       512,915  

 

 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    7


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Food & Staples Retailing — 0.7%

      

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

      

6.63%, 6/15/24

     USD       151     $ 156,285  

5.75%, 3/15/25

       149       148,255  

Casino Guichard Perrachon SA:

      

4.73%, 5/26/21

     EUR       100       132,274  

4.56%, 1/25/23

       100       125,875  

CVS Health Corp., 5.13%, 7/20/45 (e)

     USD       2,000       2,265,112  

Dollar Tree, Inc., 5.75%, 3/01/23

       784       830,256  

Rite Aid Corp.:

      

6.75%, 6/15/21

       211       213,374  

7.70%, 2/15/27

       241       255,460  

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

       1,000       1,051,510  
      

 

 

 
                       5,178,401  

Food Products — 0.2%

      

Acosta, Inc., 7.75%, 10/01/22 (c)

       240       202,800  

Aramark Services, Inc., 4.75%, 6/01/26

       151       156,632  

B&G Foods, Inc., 5.25%, 4/01/25

       96       99,360  

Chobani LLC/Chobani Finance Corp., Inc.,
7.50%, 4/15/25 (c)

       212       222,960  

Clearwater Seafoods, Inc., 6.88%, 5/01/25 (c)

       51       53,295  

JBS USA LLC/JBS USA Finance, Inc. (c):

      

7.25%, 6/01/21

       30       29,925  

5.88%, 7/15/24

       92       89,700  

5.75%, 6/15/25

       326       316,424  

Post Holdings, Inc. (c):

      

5.50%, 3/01/25

       107       112,083  

5.00%, 8/15/26

       114       114,712  

WhiteWave Foods Co., 5.38%, 10/01/22

       119       134,080  
      

 

 

 
                       1,531,971  

Health Care Equipment & Supplies — 0.4%

      

Crimson Merger Sub, Inc., 6.63%, 5/15/22 (c)

       590       561,975  

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (c)

       596       554,280  

Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24 (c)

       80       84,401  

IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19

       160       162,000  

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

      

5.63%, 10/15/23

       142       136,320  

5.50%, 4/15/25

       308       282,590  
Corporate Bonds   

Par  

(000)

    Value  

Health Care Equipment & Supplies (continued)

      

Medtronic, Inc., 4.50%, 3/15/42

     USD       750     $ 807,339  

Teleflex, Inc.:

      

3.88%, 8/01/17 (g)

       50       163,094  

5.25%, 6/15/24

       170       175,950  
      

 

 

 
                       2,927,949  

Health Care Providers & Services — 1.6%

      

Acadia Healthcare Co., Inc.:

      

5.63%, 2/15/23

       244       253,455  

6.50%, 3/01/24

       258       275,415  

Aetna, Inc., 4.50%, 5/15/42

       575       615,738  

Alere, Inc., 6.38%, 7/01/23 (c)

       114       123,262  

Amsurg Corp., 5.63%, 7/15/22

       553       577,125  

Centene Corp.:

      

5.63%, 2/15/21

       401       418,796  

6.13%, 2/15/24

       51       55,415  

4.75%, 1/15/25

       350       361,375  

CHS/Community Health Systems, Inc.:

      

8.00%, 11/15/19

       98       98,490  

7.13%, 7/15/20

       250       246,250  

5.13%, 8/01/21

       151       152,887  

6.88%, 2/01/22

       245       217,744  

6.25%, 3/31/23

       474       491,419  

DaVita, Inc., 5.13%, 7/15/24

       366       372,405  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 5/15/22 (c)(f)

       177       182,581  

Envision Healthcare Corp., 5.13%, 7/01/22 (c)

       365       374,125  

HCA, Inc.:

      

6.50%, 2/15/20

       916       1,006,455  

4.75%, 5/01/23

       562       599,457  

5.00%, 3/15/24

       315       337,491  

5.38%, 2/01/25

       868       912,485  

5.25%, 4/15/25

       66       72,064  

5.88%, 2/15/26

       284       308,495  

5.25%, 6/15/26

       381       413,880  

4.50%, 2/15/27

       408       419,750  

HealthSouth Corp.:

      

5.75%, 11/01/24

       26       26,845  

5.75%, 9/15/25

       66       68,640  

Hologic, Inc., 5.25%, 7/15/22 (c)

       360       378,000  

MEDNAX, Inc., 5.25%, 12/01/23 (c)

       134       136,010  

Molina Healthcare, Inc., 4.88%, 6/15/25 (c)(d)

       71       71,533  

MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (c)

       478       510,839  

New Amethyst Corp., 6.25%, 12/01/24 (c)

       98       104,860  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (c)

       207       221,490  
 

 

                
8    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

      

Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (c)

     USD       95     $ 97,850  

Surgery Center Holdings, Inc., 8.88%, 4/15/21 (c)

       48       51,300  

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

       159       167,745  

6.00%, 10/01/20

       324       347,085  

4.50%, 4/01/21

       91       93,393  

4.38%, 10/01/21

       210       215,565  

8.13%, 4/01/22

       789       832,395  

6.75%, 6/15/23

       442       439,715  

Vizient, Inc., 10.38%, 3/01/24 (c)

       50       57,625  

WellCare Health Plans, Inc., 5.25%, 4/01/25

       58       61,118  
      

 

 

 
                       12,768,567  

Health Care Technology — 0.0%

      

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 3/01/25 (c)

       160       164,400  

Quintiles IMS, Inc., 3.25%, 3/15/25 (c)

     EUR       100       115,424  
      

 

 

 
                       279,824  

Hotels, Restaurants & Leisure — 2.5%

      

Burger King France SAS, 5.25%, 5/01/23 (b)

       100       116,053  

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20

     USD       1,346       1,394,792  

Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21

     EUR       100       116,590  

Eldorado Resorts, Inc., 6.00%, 4/01/25 (c)

     USD       58       60,973  

ESH Hospitality, Inc., 5.25%, 5/01/25 (c)

       88       89,922  

International Game Technology PLC, 4.75%, 2/15/23

     EUR       100       123,009  

Jacobs Entertainment, Inc., 7.88%, 2/01/24 (c)

     USD       96       101,280  

McDonald’s Corp., 3.70%, 1/30/26

       510       531,706  

Melco Resorts Finance Ltd., 4.88%, 6/06/25 (c)(d)

       250       251,084  

MGM Resorts International:

      

5.25%, 3/31/20

       97       103,241  

6.75%, 10/01/20

       162       180,023  

6.63%, 12/15/21

       743       834,017  

7.75%, 3/15/22

       20       23,450  

4.63%, 9/01/26

       86       86,108  

New Red Finance, Inc. (c):

      

6.00%, 4/01/22

       640       666,208  

4.25%, 5/15/24

       393       393,000  
Corporate Bonds   

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

      

PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20

     EUR       100     $ 116,373  

Sabre GLBL, Inc. (c):

      

5.38%, 4/15/23

     USD       62       65,023  

5.25%, 11/15/23

       185       192,400  

Scientific Games International, Inc.:

      

7.00%, 1/01/22 (c)

       557       594,597  

10.00%, 12/01/22

       575       626,031  

Six Flags Entertainment Corp. (c):

      

4.88%, 7/31/24

       289       290,806  

5.50%, 4/15/27

       137       141,110  

Station Casinos LLC, 7.50%, 3/01/21

       285       295,688  

Thomas Cook Group PLC, 6.25%, 6/15/22

     EUR       100       122,220  

Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 3/30/21

     GBP       2,251       3,146,004  

Series A4, 5.66%, 6/30/27

       1,073       1,547,391  

Series M, 7.40%, 3/28/24

       3,000       4,429,836  

Series N, 6.46%, 3/30/32

       2,390       3,020,192  

Vue International Bidco PLC, 7.88%, 7/15/20

       100       132,356  

Yum! Brands, Inc., 3.88%, 11/01/23

     USD       27       26,722  
      

 

 

 
                       19,818,205  

Household Durables — 0.4%

      

AV Homes, Inc., 6.63%, 5/15/22 (c)

       53       54,060  

CalAtlantic Group, Inc.:

      

8.38%, 1/15/21

       53       62,426  

5.38%, 10/01/22

       2       2,145  

5.25%, 6/01/26

       26       26,715  

Century Communities, Inc., 6.88%, 5/15/22

       460       482,425  

Lennar Corp.:

      

4.13%, 1/15/22

       77       78,925  

4.75%, 11/15/22

       32       33,405  

4.88%, 12/15/23

       85       88,825  

4.75%, 5/30/25

       180       185,112  

Mattamy Group Corp., 6.88%, 12/15/23 (c)

       70       70,875  

Meritage Homes Corp., 5.13%, 6/06/27 (c)(d)

       62       61,923  

Newell Brands, Inc., 4.20%, 4/01/26

       1,000       1,061,960  

PulteGroup, Inc., 6.38%, 5/15/33

       256       266,240  

Standard Pacific Corp., 5.88%, 11/15/24

       20       21,550  

Tempur Sealy International, Inc., 5.50%, 6/15/26

       275       276,155  

TRI Pointe Group, Inc.:

      

4.38%, 6/15/19

       10       10,250  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    9


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Household Durables (continued)

      

TRI Pointe Group, Inc. (continued):

      

4.88%, 7/01/21

     USD       125     $ 130,000  

5.88%, 6/15/24

       125       130,937  

William Lyon Homes, Inc., 5.88%, 1/31/25

       66       68,145  
      

 

 

 
                       3,112,073  

Household Products — 0.1%

      

ACCO Brands Corp., 5.25%, 12/15/24 (c)

       59       60,918  

Prestige Brands, Inc., 6.38%, 3/01/24 (c)

       154       162,855  

Spectrum Brands, Inc., 6.63%, 11/15/22

       170       178,925  
      

 

 

 
                       402,698  

Independent Power and Renewable Electricity Producers — 0.2%

 

 

Calpine Corp. (c):

      

6.00%, 1/15/22

       69       71,846  

5.88%, 1/15/24

       84       86,730  

Dynegy, Inc.:

      

6.75%, 11/01/19

       425       437,219  

7.38%, 11/01/22

       155       152,675  

7.63%, 11/01/24

       35       33,950  

NRG Energy, Inc.:

      

7.88%, 5/15/21

       32       33,120  

6.63%, 3/15/23

       25       25,753  

6.25%, 5/01/24

       82       82,451  

6.63%, 1/15/27

       440       432,300  

NRG Yield Operating LLC, 5.38%, 8/15/24

       75       77,437  

QEP Resources, Inc., 5.38%, 10/01/22

       200       195,500  

TerraForm Power Operating LLC, 6.38%, 2/01/23 (c)(h)

       126       130,410  
      

 

 

 
                       1,759,391  

Industrial Conglomerates — 0.5%

      

General Electric Co.:

      

6.75%, 3/15/32 (e)

       2,500       3,453,080  

6.88%, 1/10/39

       135       194,852  

Smiths Group PLC, 3.63%, 10/12/22 (c)

       360       366,587  

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

       283       305,640  
      

 

 

 
                       4,320,159  

Insurance — 2.5%

      

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

       1,495       1,531,305  

American International Group, Inc., 3.75%, 7/10/25 (e)

       3,380       3,471,726  

Aon PLC:

      

3.88%, 12/15/25

       1,445       1,500,102  
Corporate Bonds   

Par  

(000)

    Value  

Insurance (continued)

      

Aon PLC (continued):

      

4.60%, 6/14/44

     USD       500     $ 519,668  

Assicurazioni Generali SpA, 7.75%, 12/12/42 (b)

     EUR       100       137,330  

AXA SA, 5.25%, 4/16/40 (b)

       500       629,219  

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

     USD       2,050       2,213,092  

Groupama SA, 6.00%, 1/23/27

     EUR       100       132,286  

Hartford Financial Services Group, Inc., 5.13%, 4/15/22

     USD       1,860       2,075,624  

HUB International Ltd., 7.88%, 10/01/21 (c)

       607       634,315  

Liberty Mutual Group, Inc., 6.50%, 5/01/42 (c)(e)

       2,000       2,559,348  

Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)

     EUR       400       537,361  

Prudential Financial, Inc. (e):

      

5.90%, 3/17/36

     USD       500       616,030  

5.70%, 12/14/36

       1,625       1,989,553  

Radian Group, Inc., 5.25%, 6/15/20

       185       196,100  

Teachers Insurance & Annuity Association of America, 4.27%, 5/15/47 (c)

       700       717,878  

USIS Merger Sub, Inc., 6.88%, 5/01/25 (c)

       80       81,000  

Wayne Merger Sub LLC, 8.25%, 8/01/23 (c)

       286       302,445  
      

 

 

 
                       19,844,382  

Internet Software & Services — 0.1%

      

Equinix, Inc., 5.88%, 1/15/26

       245       266,362  

Netflix, Inc.:

      

4.38%, 11/15/26 (c)

       452       452,588  

3.63%, 5/15/27

     EUR       100       115,171  

Symantec Corp., 5.00%, 4/15/25 (c)

     USD       124       128,650  
      

 

 

 
                       962,771  

IT Services — 0.5%

      

Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)

       270       284,175  

Fidelity National Information Services, Inc., 4.50%, 8/15/46

       1,000       1,011,266  

First Data Corp. (c):

      

7.00%, 12/01/23

       643       694,440  

5.75%, 1/15/24

       1,426       1,506,212  

Gartner, Inc., 5.13%, 4/01/25 (c)

       207       216,315  
      

 

 

 
                       3,712,408  

Life Sciences Tools & Services — 0.1%

      

Thermo Fisher Scientific, Inc., 5.30%, 2/01/44

             1,000       1,150,480  

 

 

 

                
10    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Machinery — 0.1%

      

Navistar International Corp., 8.25%, 11/01/21

     USD       30     $ 30,356  

SPX FLOW, Inc. (c):

      

5.63%, 8/15/24

       115       117,875  

5.88%, 8/15/26

       105       108,477  

Terex Corp., 5.63%, 2/01/25 (c)

       365       374,125  

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22

     EUR       100       120,348  
      

 

 

 
                       751,181  

Marine — 0.3%

      

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

     USD       2,150       2,515,500  

Media — 6.1%

      

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

       385       509,004  

Adria Bidco BV, 7.88%, 11/15/20

     EUR       100       117,010  

Altice Financing SA (c):

      

6.63%, 2/15/23

     USD       200       212,800  

7.50%, 5/15/26

       607       668,459  

Altice Luxembourg SA:

      

7.75%, 5/15/22 (c)

       200       212,500  

6.25%, 2/15/25

     EUR       100       123,664  

Altice US Finance I Corp. (c):

      

5.38%, 7/15/23

     USD       570       594,937  

5.50%, 5/15/26

       293       306,918  

AMC Entertainment Holdings, Inc., 6.38%, 11/15/24

     GBP       100       138,624  

AMC Networks, Inc.:

      

4.75%, 12/15/22

     USD       192       197,040  

5.00%, 4/01/24

       191       193,863  

Cablevision Systems Corp.:

      

8.63%, 9/15/17

       34       34,595  

7.75%, 4/15/18

       311       324,118  

8.00%, 4/15/20

       325       364,813  

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

       65       68,575  

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22

       175       181,454  

5.13%, 5/01/23 (c)

       359       377,625  

5.13%, 5/01/27 (c)

       1,240       1,270,225  

5.88%, 5/01/27 (c)

       237       252,405  

Cequel Communications Holdings I LLC/Cequel Capital Corp. (c):

      

6.38%, 9/15/20

       70       71,750  

5.13%, 12/15/21

       562       573,508  

7.75%, 7/15/25

       960       1,068,000  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25

       4,700       5,101,262  
Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

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

     USD       284     $ 301,040  

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22

       1,853       1,897,636  

Series B, 7.63%, 3/15/20

       430       432,150  

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

       2,600       3,510,751  

Comcast Corp.:

      

6.45%, 3/15/37

       790       1,039,926  

4.60%, 8/15/45

       2,000       2,152,794  

Cox Communications, Inc. (c):

      

6.95%, 6/01/38

       1,000       1,122,855  

8.38%, 3/01/39 (e)

       3,475       4,537,811  

CSC Holdings LLC:

      

10.13%, 1/15/23 (c)

       990       1,152,726  

5.25%, 6/01/24

       430       439,138  

10.88%, 10/15/25 (c)

       910       1,107,925  

Discovery Communications LLC:

      

3.25%, 4/01/23

       1,850       1,826,194  

3.45%, 3/15/25

       210       203,087  

DISH DBS Corp.:

      

6.75%, 6/01/21

       350       387,625  

5.88%, 7/15/22

       254       271,145  

5.00%, 3/15/23

       65       66,808  

5.88%, 11/15/24

       34       36,210  

7.75%, 7/01/26

       655       769,625  

DISH Network Corp., 3.38%, 8/15/26 (c)(g)

       175       212,734  

eircom Finance DAC, 4.50%, 5/31/22

     EUR       100       118,085  

GTT Communications, Inc., 7.88%, 12/31/24 (c)(d)

     USD       78       83,460  

Hughes Satellite Systems Corp.:

      

7.63%, 6/15/21

       64       72,640  

5.25%, 8/01/26

       329       338,459  

6.63%, 8/01/26

       24       25,440  

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       185       146,496  

9.00%, 3/01/21

       9       6,615  

10.63%, 3/15/23

       961       708,737  

Impera Holdings SA, (5.38% PIK), 5.38%, 9/15/22 (f)

     EUR       100       116,503  

Intelsat Jackson Holdings SA:

      

7.25%, 4/01/19

     USD       377       360,978  

7.25%, 10/15/20

       185       166,500  

5.50%, 8/01/23

       256       210,560  

Interpublic Group of Cos., Inc., 3.75%, 2/15/23

       2,000       2,083,718  

LG Finance Co. Corp., 5.88%, 11/01/24 (c)

       57       59,423  

LGE HoldCo VI BV, 7.13%, 5/15/24

     EUR       100       127,219  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    11


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 5/15/24 (c)

     USD       61     $ 59,475  

MDC Partners, Inc., 6.50%, 5/01/24 (c)

       246       247,845  

Midcontinent Communications/Midcontinent Finance Corp. (c):

      

6.25%, 8/01/21

       340       351,900  

6.88%, 8/15/23

       66       71,198  

Nexstar Broadcasting, Inc., 5.63%, 8/01/24 (c)

       89       89,668  

Numericable Group SA, 5.38%, 5/15/22

     EUR       106       124,207  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22

     USD       55       57,200  

Qwest Corp., 6.75%, 12/01/21

       64       71,567  

SFR Group SA (c):

      

6.00%, 5/15/22

       345       360,956  

7.38%, 5/01/26

       1,301       1,407,513  

Sirius XM Radio, Inc., 4.25%, 5/15/20 (c)

       463       469,482  

TCI Communications, Inc., 7.88%, 2/15/26 (e)

       610       822,667  

TEGNA, Inc., 5.50%, 9/15/24 (c)

       36       37,260  

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

       284       318,080  

Time Warner, Inc., 6.10%, 7/15/40

       830       954,071  

Tribune Media Co., 5.88%, 7/15/22

       182       191,783  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25

     EUR       100       118,794  

Univision Communications, Inc. (c):

      

5.13%, 5/15/23

     USD       272       273,869  

5.13%, 2/15/25

       141       139,238  

UPCB Finance IV Ltd., 4.00%, 1/15/27

     EUR       100       117,830  

Videotron Ltd./Videotron Ltee, 5.13%, 4/15/27 (c)

     USD       162       167,670  

Virgin Media Finance PLC, 5.75%, 1/15/25 (c)

       515       526,587  

Virgin Media Secured Finance PLC:

      

5.50%, 8/15/26 (c)

       200       206,000  

4.88%, 1/15/27

     GBP       100       133,999  

6.25%, 3/28/29

       100       142,026  

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (c)

     USD       520       540,800  

Wind Acquisition Finance SA:

      

7.00%, 4/23/21

     EUR       120       140,464  
Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

Wind Acquisition Finance SA (continued):

      

7.38%, 4/23/21 (c)

     USD       800     $ 833,600  

Ziggo Bond Finance BV, 5.88%, 1/15/25 (c)

       260       265,850  
      

 

 

 
                       48,297,761  

Metal Fabricating — 0.0%

      

Grinding Media, Inc./MC Grinding Media Canada, Inc., 7.38%, 12/15/23 (c)

       296       319,310  

Park-Ohio Industries, Inc., 6.63%, 4/15/27 (c)

       29       30,269  
      

 

 

 
                       349,579  

Metals & Mining — 1.8%

      

Alcoa, Inc.:

      

5.40%, 4/15/21

       340       366,092  

5.13%, 10/01/24

       445       473,035  

5.90%, 2/01/27

       70       76,475  

5.95%, 2/01/37

       30       30,900  

Anglo American Capital PLC:

      

4.45%, 9/27/20 (c)

       100       104,000  

4.13%, 4/15/21 (c)

       200       205,780  

3.25%, 4/03/23

     EUR       100       121,328  

4.88%, 5/14/25 (c)

     USD       200       207,386  

ArcelorMittal:

      

7.50%, 10/15/39

       64       71,667  

7.25%, 3/01/41

       216       238,680  

Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (c)

       121       133,100  

Constellium NV (c):

      

8.00%, 1/15/23

       650       669,500  

6.63%, 3/01/25

       832       802,880  

First Quantum Minerals Ltd. (c):

      

7.00%, 2/15/21

       548       573,920  

7.50%, 4/01/25

       360       362,475  

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       189       188,528  

2.38%, 3/15/18

       1,564       1,562,436  

3.10%, 3/15/20

       620       610,136  

4.00%, 11/14/21

       121       118,120  

3.55%, 3/01/22

       219       204,765  

3.88%, 3/15/23

       774       719,356  

5.40%, 11/14/34

       278       246,030  

5.45%, 3/15/43

       737       623,222  

Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (c)

       115       130,525  

Kaiser Aluminum Corp., 5.88%, 5/15/24

       74       78,070  

Kinross Gold Corp.:

      

5.95%, 3/15/24

       25       27,313  

6.88%, 9/01/41

       45       47,250  
 

 

                
12    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Metals & Mining (continued)

      

Novelis Corp. (c):

      

6.25%, 8/15/24

     USD       623     $ 656,393  

5.88%, 9/30/26

       608       629,280  

Nyrstar Netherlands Holdings BV, 6.88%, 3/15/24

     EUR       100       115,975  

Peabody Energy Corp. (c):

      

6.00%, 3/31/22

     USD       43       43,215  

6.38%, 3/31/25

       69       69,000  

Petra Diamonds US Treasury PLC, 7.25%, 5/01/22 (c)

       200       207,400  

Rio Tinto Finance USA Ltd., 4.75%, 3/22/42

       400       442,749  

Steel Dynamics, Inc.:

      

5.13%, 10/01/21

       550       567,187  

5.25%, 4/15/23

       345       356,644  

5.50%, 10/01/24

       48       50,820  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 6/15/25 (c)

       150       147,282  

Teck Resources Ltd.:

      

4.50%, 1/15/21

       96       100,320  

3.75%, 2/01/23

       337       331,524  

8.50%, 6/01/24 (c)

       250       288,750  

6.13%, 10/01/35

       61       63,440  

6.00%, 8/15/40

       400       406,000  

5.20%, 3/01/42

       378       351,540  

5.40%, 2/01/43

       188       175,780  

ThyssenKrupp AG, 1.38%, 3/03/22

     EUR       75       83,887  

United States Steel Corp., 8.38%, 7/01/21 (c)

     USD       215       235,962  
      

 

 

 
                       14,316,117  

Multi-Utilities — 0.1%

      

NGL Energy Partners LP/NGL Energy Finance Corp.:

      

6.88%, 10/15/21

       140       141,750  

7.50%, 11/01/23 (c)

       244       247,050  
      

 

 

 
                       388,800  

Multiline Retail — 0.0%

      

Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)

             145       75,038  

Oil, Gas & Consumable Fuels — 6.7%

      

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.88%, 12/15/24 (c)

       79       82,753  

Anadarko Petroleum Corp., 5.55%, 3/15/26

       1,500       1,685,242  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 9/15/24 (c)

       35       35,831  
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Antero Resources Corp.:

      

5.13%, 12/01/22

     USD       52     $ 52,585  

5.63%, 6/01/23

       51       52,275  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 4/01/22 (c)

       196       200,900  

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

       97       72,629  

Callon Petroleum Co.:

      

6.13%, 10/01/24

       140       144,900  

6.13%, 10/01/24 (c)

       121       125,235  

Canadian Natural Resources Ltd., 3.90%, 2/01/25

       500       509,412  

Carrizo Oil & Gas, Inc., 6.25%, 4/15/23

       95       92,388  

Cenovus Energy, Inc., 4.25%, 4/15/27 (c)

       400       398,471  

Cheniere Corpus Christi Holdings LLC:

      

7.00%, 6/30/24

       178       199,360  

5.88%, 3/31/25

       506       543,317  

5.13%, 6/30/27 (c)

       350       354,812  

Chesapeake Energy Corp.:

      

6.88%, 11/15/20

       138       142,830  

8.00%, 1/15/25 (c)(e)

       126       125,370  

8.00%, 6/15/27 (c)(d)

       162       158,760  

Citgo Holding, Inc., 10.75%, 2/15/20 (c)

       95       102,600  

ConocoPhillips, 6.50%, 2/01/39

       600       777,979  

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

       685       843,783  

CONSOL Energy, Inc.:

      

5.88%, 4/15/22

       1,727       1,703,254  

8.00%, 4/01/23

       48       50,580  

Continental Resources, Inc.:

      

4.50%, 4/15/23

       17       16,618  

3.80%, 6/01/24

       277       258,829  

4.90%, 6/01/44

       190       162,568  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 5/15/25 (c)

       142       145,550  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/01/23

       20       20,737  

CrownRock LP/CrownRock Finance, Inc. (c):

      

7.13%, 4/15/21

       525       540,750  

7.75%, 2/15/23

       85       90,100  

DCP Midstream LLC (c):

      

4.75%, 9/30/21

       55       55,825  

6.45%, 11/03/36

       128       136,320  

6.75%, 9/15/37

       159       172,118  

Denbury Resources, Inc.:

      

9.00%, 5/15/21 (c)

       501       513,525  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    13


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Denbury Resources, Inc. (continued):

      

5.50%, 5/01/22

     USD       118     $ 85,550  

4.63%, 7/15/23

       20       13,350  

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

       1,000       1,162,707  

Diamondback Energy, Inc., 5.38%, 5/31/25 (c)

       137       141,110  

Eclipse Resources Corp., 8.88%, 7/15/23

       45       45,338  

Energy Transfer Equity LP:

      

5.88%, 1/15/24

       544       580,720  

5.50%, 6/01/27

       216       227,340  

Energy Transfer Partners LP:

      

4.05%, 3/15/25

       500       508,409  

4.75%, 1/15/26

       1,250       1,321,717  

5.30%, 4/15/47

       540       545,418  

Ensco Jersey Finance Ltd., 3.00%, 1/31/24 (c)(g)

       165       139,013  

Enterprise Products Operating LLC, 3.70%, 2/15/26

       500       513,591  

EOG Resources, Inc.:

      

4.15%, 1/15/26

       1,000       1,065,585  

5.10%, 1/15/36

       200       221,094  

EP Energy LLC/Everest Acquisition Finance, Inc.:

      

9.38%, 5/01/20

       221       202,215  

8.00%, 11/29/24 (c)

       173       178,623  

Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (c)

       208       217,360  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (c)

       210       215,775  

Gulfport Energy Corp.:

      

6.63%, 5/01/23

       51       51,383  

6.00%, 10/15/24 (c)

       108       105,840  

Halcon Resources Corp., 6.75%, 2/15/25 (c)

       579       539,917  

Hess Corp., 4.30%, 4/01/27

       1,100       1,104,543  

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

       1,010       1,263,676  

Kinder Morgan, Inc.:

      

4.30%, 6/01/25

       1,750       1,836,222  

5.05%, 2/15/46

       1,750       1,765,697  

Marathon Petroleum Corp., 6.50%, 3/01/41 (e)

       2,049       2,358,792  

Matador Resources Co., 6.88%, 4/15/23

       590       619,500  

MEG Energy Corp. (c):

      

6.38%, 1/30/23

       15       12,863  

7.00%, 3/31/24

       481       416,065  

6.50%, 1/15/25

       528       516,120  
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

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

     USD       1,500     $ 1,873,065  

MidAmerican Energy Holdings Co., 5.95%, 5/15/37

       1,750       2,199,183  

Murphy Oil Corp.:

      

6.88%, 8/15/24

       177       185,407  

6.13%, 12/01/42

       45       42,863  

Nabors Industries, Inc., 0.75%, 1/15/24 (c)(g)

       262       214,840  

New Enterprise Stone & Lime Co., Inc.,
10.13%, 4/01/22 (c)

       108       114,480  

Newfield Exploration Co., 5.63%, 7/01/24

       75       79,500  

NGPL PipeCo LLC (c):

      

7.12%, 12/15/17

       623       637,017  

7.77%, 12/15/37

       356       422,750  

Noble Holding International Ltd., 7.75%, 1/15/24

       250       220,547  

Oasis Petroleum, Inc.:

      

6.50%, 11/01/21

       112       113,680  

2.63%, 9/15/23 (g)

       145       157,959  

ONEOK, Inc.:

      

7.50%, 9/01/23

       213       253,869  

6.00%, 6/15/35

       25       26,500  

Paramount Resources Ltd., 6.88%, 6/30/23 (c)

       500       528,750  

Parker Drilling Co.:

      

7.50%, 8/01/20

       165       152,831  

6.75%, 7/15/22

       104       89,440  

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

      

6.25%, 6/01/24

       48       50,640  

5.38%, 1/15/25

       209       211,612  

5.25%, 8/15/25

       52       52,390  

PBF Holding Co. LLC/PBF Finance Corp.:

      

8.25%, 2/15/20

       94       96,256  

7.25%, 6/15/25 (c)

       143       141,213  

Petroleos Mexicanos, 5.38%, 3/13/22 (c)

       27       28,760  

Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 6/01/22

       1,000       1,025,019  

Precision Drilling Corp., 7.75%, 12/15/23 (c)

       50       51,625  

QEP Resources, Inc., 5.25%, 5/01/23

       33       32,010  

Range Resources Corp. (c):

      

5.88%, 7/01/22

       324       331,290  

5.00%, 8/15/22

       53       52,073  

5.00%, 3/15/23

       95       92,625  

Resolute Energy Corp.:

      

8.50%, 5/01/20

       159       161,783  

8.50%, 5/01/20 (c)

       120       122,100  
 

 

                
14    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Rockies Express Pipeline LLC (c):

      

5.63%, 4/15/20

     USD       565     $ 601,725  

6.88%, 4/15/40

       239       259,315  

Rowan Cos., Inc.:

      

4.88%, 6/01/22

       50       47,438  

7.38%, 6/15/25

       407       398,860  

RSP Permian, Inc.:

      

6.63%, 10/01/22

       179       188,621  

5.25%, 1/15/25 (c)

       102       103,275  

Sabine Pass Liquefaction LLC, 5.88%, 6/30/26

       1,750       1,974,460  

Sanchez Energy Corp.:

      

7.75%, 6/15/21

       322       303,485  

6.13%, 1/15/23

       633       557,040  

SESI LLC:

      

6.38%, 5/01/19

       60       59,100  

7.13%, 12/15/21

       60       59,850  

SM Energy Co.:

      

6.50%, 11/15/21

       50       50,500  

6.13%, 11/15/22

       109       107,842  

5.00%, 1/15/24

       5       4,625  

5.63%, 6/01/25

       285       267,812  

6.75%, 9/15/26

       93       91,140  

Southwestern Energy Co., 5.80%, 1/23/20

       690       700,350  

Suncor Energy, Inc., 6.50%, 6/15/38

       1,000       1,280,482  

Sunoco Logistics Partners Operations LP, 3.90%, 7/15/26

       310       310,508  

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

      

5.50%, 9/15/24

       276       280,140  

5.13%, 2/01/25

       77       79,695  

5.38%, 2/01/27

       52       54,210  

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

      

6.38%, 8/01/22

       60       61,950  

5.25%, 5/01/23

       10       10,313  

Tesoro Corp. (c):

      

4.75%, 12/15/23

       298       313,645  

5.13%, 12/15/26

       484       517,880  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

      

6.13%, 10/15/21

       26       27,121  

6.25%, 10/15/22

       45       48,150  

TransCanada PipeLines Ltd., 4.63%, 3/01/34

       500       542,654  

Tutor Perini Corp., 6.88%, 5/01/25 (c)

       94       98,348  

Ultra Resources, Inc., 6.88%, 4/15/22 (c)

       40       40,350  
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Weatherford International LLC, 6.80%, 6/15/37

     USD       60     $ 55,800  

Weatherford International Ltd.:

      

6.50%, 8/01/36

       165       152,562  

7.00%, 3/15/38

       169       158,015  

5.95%, 4/15/42

       129       110,618  

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

       1,425       1,543,960  

Whiting Petroleum Corp.:

      

5.00%, 3/15/19

       480       478,800  

5.75%, 3/15/21

       18       17,658  

WildHorse Resource Development Corp., 6.88%, 2/01/25 (c)

       157       152,290  

Williams Cos., Inc., 5.75%, 6/24/44

       647       674,899  

Williams Partners LP:

      

3.90%, 1/15/25

       1,150       1,178,329  

4.00%, 9/15/25

       750       770,326  

WPX Energy, Inc.:

      

7.50%, 8/01/20

       50       52,750  

6.00%, 1/15/22

       61       61,610  

8.25%, 8/01/23

       125       136,875  

5.25%, 9/15/24

       145       140,650  
      

 

 

 
                       53,431,842  

Paper & Forest Products — 0.2%

      

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

       870       1,050,858  

Mercer International, Inc., 6.50%, 2/01/24 (c)

       76       79,040  

Pfleiderer GmbH, 7.88%, 8/01/19

     EUR       100       115,979  
      

 

 

 
                       1,245,877  

Pharmaceuticals — 2.1%

      

AbbVie, Inc.:

      

3.60%, 5/14/25

     USD       870       890,492  

3.20%, 5/14/26

       500       492,878  

4.45%, 5/14/46

       2,095       2,094,960  

Actavis Funding SCS:

      

3.80%, 3/15/25

       3,250       3,364,644  

4.55%, 3/15/35 (e)

       2,140       2,218,716  

Baxalta, Inc., 5.25%, 6/23/45

       500       570,669  

Endo Finance LLC/Endo Finco, Inc. (c):

      

5.38%, 1/15/23

       62       56,265  

6.00%, 7/15/23

       315       290,194  

5.88%, 10/15/24

       205       211,919  

Forest Laboratories LLC, 5.00%, 12/15/21 (c)

       758       834,249  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.,
7.50%, 10/01/24 (c)

       269       292,874  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    15


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Pharmaceuticals (continued)

      

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (c)

     USD       795     $ 840,712  

Mylan NV, 3.95%, 6/15/26

       750       752,647  

NBTY, Inc., 7.63%, 5/15/21 (c)

       323       337,535  

Synlab Bondco PLC, 6.25%, 7/01/22

     EUR       100       122,024  

Tennessee Merger Sub, Inc., 6.38%, 2/01/25 (c)

     USD       489       474,941  

Teva Pharmaceutical Finance Netherlands III BV, 4.10%, 10/01/46

       500       440,743  

Valeant Pharmaceuticals International, Inc. (c):

      

6.75%, 8/15/18

       330       332,681  

7.00%, 10/01/20

       100       95,500  

6.38%, 10/15/20

       405       380,700  

5.63%, 12/01/21

       409       350,718  

6.50%, 3/15/22

       204       214,159  

5.88%, 5/15/23

       220       179,163  

7.00%, 3/15/24

       320       338,403  

6.13%, 4/15/25

       196       157,780  
      

 

 

 
                       16,335,566  

Real Estate Investment Trusts (REITs) — 1.3%

      

ERP Operating LP, 4.50%, 6/01/45

       1,155       1,214,525  

HCP, Inc., 4.00%, 6/01/25 (e)

       2,000       2,050,378  

Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24 (c)

       67       67,670  

iStar, Inc., 6.00%, 4/01/22

       67       68,173  

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

      

5.63%, 5/01/24

       806       869,472  

4.50%, 9/01/26

       187       187,000  

NH Hotel Group SA, 3.75%, 10/01/23

     EUR       128       150,978  

Simon Property Group LP, 4.75%, 3/15/42

     USD       1,670       1,766,880  

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

       157       163,673  

Ventas Realty LP, 4.13%, 1/15/26

       870       901,583  

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

       550       591,620  

Wyndham Worldwide Corp., 4.15%, 4/01/24

       2,000       2,063,520  
      

 

 

 
                       10,095,472  

Real Estate Management & Development — 0.7%

      

Aroundtown Property Holdings PLC, 1.50%, 1/18/21 (g)

     EUR       100       123,692  
Corporate Bonds   

Par  

(000)

    Value  

Real Estate Management & Development (continued)

 

   

The Howard Hughes Corp., 5.38%, 3/15/25 (c)

     USD       101     $ 104,156  

Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (c)(e)

       4,600       4,393,000  

Realogy Group LLC/Realogy Co-Issuer Corp. (c):

      

4.50%, 4/15/19

       120       124,500  

5.25%, 12/01/21

       133       139,650  

4.88%, 6/01/23

       409       412,068  
      

 

 

 
                       5,297,066  

Road & Rail — 1.2%

      

Avis Budget Car Rental LLC/Avis Budget
Finance, Inc. (c):

      

5.13%, 6/01/22 (e)

       435       422,494  

5.25%, 3/15/25

       160       147,900  

Avis Budget Finance PLC, 4.13%, 11/15/24

     EUR       100       108,403  

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

     USD       1,890       2,387,573  

CSX Corp., 4.75%, 5/30/42

       350       384,457  

Herc Rentals, Inc. (c):

      

7.50%, 6/01/22

       106       112,625  

7.75%, 6/01/24

       92       98,210  

Hertz Corp.:

      

7.38%, 1/15/21

       170       160,331  

7.63%, 6/01/22 (c)

       290       290,000  

5.50%, 10/15/24 (c)

       3       2,408  

Hertz Holdings Netherlands BV, 4.13%, 10/15/21

     EUR       100       106,128  

Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (c)

     USD       5,000       5,325,000  

United Rentals North America, Inc.:

      

6.13%, 6/15/23

       37       39,054  

5.50%, 7/15/25

       125       131,750  
      

 

 

 
                       9,716,333  

Semiconductors & Semiconductor Equipment — 0.8%

      

Advanced Micro Devices, Inc., 7.50%, 8/15/22

       51       56,291  

Analog Devices, Inc.:

      

3.90%, 12/15/25

       470       491,593  

3.50%, 12/05/26

       345       349,487  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27 (c)

       2,850       2,897,381  

Microchip Technology, Inc., 2.13%, 12/15/37

       40       140,925  

Micron Technology, Inc.:

      

5.25%, 8/01/23 (c)

       206       211,665  

5.50%, 2/01/25

       7       7,302  

Series G, 3.00%, 11/15/43 (g)

       485       555,628  

Microsemi Corp., 9.13%, 4/15/23 (c)

       14       16,135  
 

 

                
16    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Semiconductors & Semiconductor Equipment (continued)

 

NXP BV/NXP Funding LLC (c):

      

4.13%, 6/15/20

     USD       420     $ 442,050  

4.13%, 6/01/21

       278       293,290  

3.88%, 9/01/22

       200       208,750  

5.75%, 3/15/23

       260       275,033  

QUALCOMM, Inc., 4.65%, 5/20/35

       250       271,421  

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

       230       238,768  
      

 

 

 
                       6,455,719  

Software — 1.8%

      

ACI Worldwide, Inc., 6.38%, 8/15/20 (c)

       320       328,200  

BMC Software Finance, Inc., 8.13%, 7/15/21 (c)

       1,181       1,206,155  

CA, Inc., 3.60%, 8/15/22

       705       729,841  

Ensemble S Merger Sub, Inc., 9.00%, 9/30/23 (c)

       210       218,925  

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

       115       128,800  

Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.63%, 11/15/24 (c)

       319       340,035  

Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 8/01/22 (c)

       31       29,760  

Infor US, Inc., 6.50%, 5/15/22

       976       1,016,260  

Informatica LLC, 7.13%, 7/15/23 (c)

       187       188,403  

JDA Escrow LLC/JDA Bond Finance, Inc., 7.38%, 10/15/24 (c)

       152       157,700  

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

       4,000       3,848,936  

Nuance Communications, Inc. (c):

      

5.38%, 8/15/20

       39       39,731  

6.00%, 7/01/24

       170       180,625  

5.63%, 12/15/26

       69       72,623  

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

       3,025       3,632,971  

PTC, Inc., 6.00%, 5/15/24

       71       75,659  

Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (c)

       557       637,765  

SS&C Technologies Holdings, Inc., 5.88%, 7/15/23

       227       242,578  

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

       565       624,325  

Veritas US, Inc./Veritas Bermuda Ltd.:

      

7.50%, 2/01/23 (c)

       200       214,000  

7.50%, 2/01/23

     EUR       100       120,198  
Corporate Bonds   

Par  

(000)

    Value  

Software (continued)

 

Veritas US, Inc./Veritas Bermuda Ltd. (continued):

      

10.50%, 2/01/24 (c)

     USD       600     $ 649,500  
      

 

 

 
                       14,682,990  

Specialty Retail — 0.5%

      

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

       269       275,221  

Group 1 Automotive, Inc., 5.00%, 6/01/22

       110       111,650  

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

       1,660       2,158,901  

JC Penney Corp., Inc.:

      

8.13%, 10/01/19

       28       31,045  

6.38%, 10/15/36

       14       10,220  

7.40%, 4/01/37

       52       40,040  

L Brands, Inc., 6.88%, 11/01/35

       251       244,097  

Lowe’s Cos, Inc., 4.38%, 9/15/45

       1,000       1,069,324  

Penske Automotive Group, Inc., 5.50%, 5/15/26

       22       21,945  

PetSmart, Inc. (c):

      

5.88%, 6/01/25

       93       93,349  

8.88%, 6/01/25

       28       27,580  
      

 

 

 
                       4,083,372  

Technology Hardware, Storage & Peripherals — 0.7%

 

   

Apple, Inc., 4.65%, 2/23/46 (e)

       2,400       2,673,091  

Diamond 1 Finance Corp./Diamond 2 Finance Corp. (c):

      

4.42%, 6/15/21

       20       21,076  

7.13%, 6/15/24

       438       488,131  

6.02%, 6/15/26

       110       121,422  

8.35%, 7/15/46

       45       57,795  

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

       1,500       1,586,934  

Riverbed Technology, Inc., 8.88%, 3/01/23 (c)

       155       155,388  

Western Digital Corp.:

      

7.38%, 4/01/23 (c)

       384       420,288  

10.50%, 4/01/24

       117       137,124  
      

 

 

 
                       5,661,249  

Textiles, Apparel & Luxury Goods — 0.0%

      

BiSoho SAS, 5.88%, 5/01/23

     EUR       90       110,207  

Hanesbrands, Inc., 4.63%, 5/15/24 (c)

     USD       36       36,000  

Springs Industries, Inc., 6.25%, 6/01/21

       36       37,170  
      

 

 

 
                       183,377  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    17


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds    

Par  

(000)

    Value  

Thrifts & Mortgage Finance — 0.0%

 

 

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, 3/15/22 (c)

     USD       239     $ 245,274  

Tobacco — 1.5%

 

Altria Group, Inc.:

      

9.95%, 11/10/38

       516       872,428  

10.20%, 2/06/39

       894       1,536,556  

5.38%, 1/31/44 (e)

       4,030       4,796,462  

3.88%, 9/16/46

       1,250       1,194,657  

Reynolds American, Inc.:

      

4.45%, 6/12/25

       635       684,268  

7.00%, 8/04/41

       1,000       1,237,267  

5.85%, 8/15/45

       1,500       1,816,696  
      

 

 

 
                       12,138,334  

Transportation Infrastructure — 0.4%

      

CEVA Group PLC, 7.00%, 3/01/21 (c)

       310       280,550  

CMA CGM SA, 7.75%, 1/15/21

     EUR       100       117,334  

I 595 Express LLC, 3.31%, 12/31/31 (a)

     USD       1,340       1,323,624  

Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40%, 11/15/26 (c)

       490       481,125  

Transurban Finance Co. Property Ltd., 4.13%, 2/02/26 (c)

       580       605,444  
      

 

 

 
                       2,808,077  

Utilities — 0.0%

      

ContourGlobal Power Holdings SA, 5.13%, 6/15/21

     EUR       100       118,620  

Wireless Telecommunication Services — 2.0%

      

Communications Sales & Leasing, Inc./CSL Capital LLC:

      

6.00%, 4/15/23 (c)

     USD       101       105,798  

8.25%, 10/15/23

       454       477,835  

7.13%, 12/15/24 (c)

       133       133,333  

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

       3,155       3,415,787  

CyrusOne LP/CyrusOne Finance Corp. (c):

      

5.00%, 3/15/24

       210       214,725  

5.38%, 3/15/27

       15       15,450  

Digicel Ltd., 6.00%, 4/15/21 (c)

       1,550       1,499,206  

GEO Group, Inc.:

      

5.13%, 4/01/23

       278       279,390  

6.00%, 4/15/26

       117       121,095  

Matterhorn Telecom SA, 3.25%, 2/01/23 (b)

     EUR       100       112,756  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25 (c)

     USD       243       248,467  
Corporate Bonds    

Par  

(000)

    Value  

Wireless Telecommunication Services (continued)

 

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

     USD       2,325     $ 3,166,101  

Sprint Capital Corp.:

      

6.90%, 5/01/19

       140       151,025  

6.88%, 11/15/28

       844       935,785  

8.75%, 3/15/32

       110       138,669  

Sprint Communications, Inc. (c):

      

9.00%, 11/15/18

       536       588,260  

7.00%, 3/01/20

       380       421,800  

Sprint Corp.:

      

7.25%, 9/15/21

       240       272,474  

7.88%, 9/15/23

       681       786,555  

7.13%, 6/15/24

       1,006       1,131,624  

7.63%, 2/15/25

       120       138,000  

T-Mobile USA, Inc.:

      

4.00%, 4/15/22

       132       136,794  

6.00%, 3/01/23

       205       218,059  

6.84%, 4/28/23

       40       42,800  

6.50%, 1/15/24

       240       259,860  

6.38%, 3/01/25

       37       40,099  

5.13%, 4/15/25

       135       140,752  

5.38%, 4/15/27

       81       86,265  

Trilogy International Partners LLC/Trilogy International Finance, Inc., 8.88%, 5/01/22 (c)

       70       73,325  

Uniti Group, Inc./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.13%, 12/15/24 (c)

       105       105,788  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 6/01/22 (c)(f)

       59       61,360  
      

 

 

 
                       15,519,237  
Total Corporate Bonds 67.8%                      539,611,863  
      
   
Floating Rate Loan Interests (b)  

Air Freight & Logistics — 0.0%

      

CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21

       18       15,993  

CEVA Intercompany BV, Dutch Term Loan, 6.67%, 3/19/21

       19       16,809  

CEVA Logistics Canada ULC, Canadian Term Loan, 6.67%, 3/19/21

       3       2,508  

CEVA Logistics US Holdings, Inc., Term Loan, 6.67%, 3/19/21

       27       23,891  
      

 

 

 
                       59,201  
 

 

                
18    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Floating Rate Loan Interests (b)    

Par  

(000)

    Value  

Auto Components — 0.0%

 

USI, Inc., 2017 Term Loan B, 4.18%, 5/16/24

     USD       56     $ 55,902  

Chemicals — 0.0%

      

Alpha 3 BV, 2017 Term Loan B1, 4.15%, 1/31/24

       81       81,380  

MacDermid, Inc., Term Loan B5, 4.54%, 6/07/20

       60       60,946  
      

 

 

 
                       142,326  

Commercial Services & Supplies — 0.1%

 

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.90% - 4.93%, 11/26/20

       118       118,365  

Garda World Security Corp., 2017 Term Loan, 5.04%, 5/24/24

       125       125,304  
      

 

 

 
                       243,669  

Diversified Consumer Services — 0.0%

 

Laureate Education, Inc., 2017 Term Loan B, 5.54%, 4/26/24

             80       80,143  

Diversified Telecommunication Services — 0.2%

 

CenturyLink, Inc., 2017 Term Loan B, 3.93%, 1/31/25

       1,192       1,189,664  

Digicel International Finance Ltd., 2017 Term Loan B, 4.94%, 5/08/24

       279       281,268  

Zayo Group LLC, 2017 Term Loan B2, 3.51%, 1/19/24

       280       282,000  
      

 

 

 
                       1,752,932  

Electrical Equipment — 0.0%

 

Gates Global LLC, 2017 Term Loan B, 4.41%, 4/01/24

             198       198,891  

Energy Equipment & Services — 0.0%

      

Weatherford International Ltd., Term Loan, 3.35%, 7/13/20 (a)

             193       190,498  

Food & Staples Retailing — 0.0%

 

BJ’s Wholesale Club, Inc., 2017 1st Lien Term Loan, 4.75%, 2/03/24

             131       130,728  

Food Products — 0.0%

 

Chobani LLC, 1st Lien Term Loan, 5.29%, 10/07/23

             41       41,538  

Health Care Equipment & Supplies — 0.1%

      

DJO Finance LLC, 2015 Term Loan,
4.25% - 4.29%, 6/08/20

       220       217,019  

Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18

       385       383,204  
Floating Rate Loan Interests (b)    

Par  

(000)

    Value  

Health Care Equipment & Supplies (continued)

 

Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.78%, 6/30/21

     USD       20     $ 20,010  
      

 

 

 
                       620,233  

Health Care Providers & Services — 0.1%

 

Iasis Healthcare LLC, Term Loan B3, 5.25%, 2/16/21

       44       44,385  

inVentiv Health, Inc., 2016 Term Loan B, 4.80%, 11/09/23

       80       80,634  

Team Health Holdings, Inc., 1st Lien Term Loan, 3.79%, 2/06/24

       154       153,085  

Vizient, Inc., 2017 Term Loan B, 4.50%, 2/13/23

       68       68,893  
      

 

 

 
                       346,997  

Hotels, Restaurants & Leisure — 0.2%

 

Amaya Holdings BV, Repriced Term Loan B, 4.65%, 8/01/21

       208       207,904  

Burger King Newco Unlimited Liability Co., Term Loan B3, 3.25% - 3.40%, 2/16/24

       78       78,117  

Caesars Entertainment Resort Properties LLC, Term Loan B, 4.54%, 10/11/20

       1,365       1,371,748  
      

 

 

 
                       1,657,769  

Industrial Conglomerates — 0.1%

 

Cortes NP Acquisition Corp., 2017 Term Loan B, 5.00%, 11/30/23

       320       323,027  

Sequa Corp.:

      

1st Lien Term Loan, 6.67%, 11/28/21

       115       115,648  

2nd Lien Term Loan, 10.17%, 4/28/22 (a)

       40       40,800  
      

 

 

 
                       479,475  

Insurance — 0.0%

 

Alliant Holdings I, Inc., 2015 Term Loan B, 4.42%, 8/12/22

             81       81,259  

IT Services — 0.0%

 

NeuStar, Inc.:

      

Term Loan B1, 3.25%, 8/28/19

       31       31,414  

Term Loan B2, 4.90%, 2/28/24

       85       85,700  
      

 

 

 
                       117,114  

Machinery — 0.1%

 

Silver II US Holdings LLC, Term Loan, 4.15%, 12/13/19

             622       618,989  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    19


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Floating Rate Loan Interests (b)    

Par  

(000)

    Value  

Media — 0.2%

 

CSC Holdings LLC, 2017 1st Lien Term Loan, 3.25%, 7/17/25

     USD       38     $ 38,066  

iHeartCommunications, Inc., Term Loan D, 7.79%, 1/30/19

       211       173,646  

Intelsat Jackson Holdings SA, Term Loan B2, 3.89%, 6/30/19

       924       911,865  

Ziggo Secured Finance Partnership, Term Loan E, 3.49%, 4/15/25

       149       148,937  
      

 

 

 
                       1,272,514  

Multiline Retail — 0.0%

 

Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20

             188       146,170  

Oil, Gas & Consumable Fuels — 0.3%

 

California Resources Corp.:

      

Second Out Term Loan, 11.38%, 12/31/21

       354       391,612  

Term Loan A, 4.04%, 10/01/19

       331       319,565  

Chesapeake Energy Corp., Term Loan, 8.69%, 8/23/21

       1,239       1,334,766  
      

 

 

 
                       2,045,943  

Professional Services — 0.0%

 

Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.29%, 7/23/21

       178       176,136  

Information Resources, Inc., 1st Lien Term Loan, 5.26%, 1/18/24

       49       49,444  
      

 

 

 
                       225,580  

Software — 0.3%

 

BMC Software Finance, Inc., 2017 Term Loan, 5.00%, 9/13/22

       347       348,804  

CCC Information Services, Inc.:

      

2017 1st Lien Term Loan, 4.04%, 4/27/24

       75       75,269  

2017 2nd Lien Term Loan, 7.79%, 4/27/25

       23       23,496  

Infor US, Inc., Term Loan B6, 3.90%, 2/01/22

       148       147,965  

Kronos, Inc., 2nd Lien Term Loan, 9.42%, 11/01/24

       353       366,159  

MA FinanceCo. LLC, Term Loan B3, 3.00%, 4/29/24

       13       12,946  

Misys Europe SA:

      

1st Lien Term Loan, 4.67%, 4/27/24

       224       224,430  

2nd Lien Term Loan, 8.25%, 4/27/25

       49       49,943  
Floating Rate Loan Interests (b)    

Par  

(000)

    Value  

Software (continued)

 

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 4.67%, 4/26/24

     USD       110     $ 109,496  

Seattle Spinco, Inc., Term Loan B3, 2.75%, 4/19/24

       87       87,427  

Tempo Acquisition LLC, Term Loan, 4.00%, 5/01/24

       150       150,482  

Veritas US, Inc., Term Loan B1, 6.77%, 1/27/23

       941       941,378  
      

 

 

 
                       2,537,795  

Textiles, Apparel & Luxury Goods — 0.0%

 

Ascend Performance Materials Operations LLC, Term Loan B, 6.65%, 8/12/22

             186       187,742  
Total Floating Rate Loan Interests — 1.7%       13,233,408  
      
   
Foreign Agency Obligations                      

Argentine Republic Government International Bond:

      

7.50%, 4/22/26

       3,875       4,274,125  

7.63%, 4/22/46

       3,121       3,317,623  

Cyprus Government International Bond, 4.63%, 2/03/20 (c)

     EUR       1,210       1,492,188  

Iceland Government International Bond, 5.88%, 5/11/22

     USD       3,555       4,093,408  

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

       2,925       3,284,795  

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

       3,970       4,029,550  

Slovenia Government International Bond, 5.85%, 5/10/23 (c)

             864       1,010,232  
Total Foreign Agency Obligations 2.7%       21,501,921  
      
   
Municipal Bonds                      

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

      

Series EE, 5.50%, 6/15/43

       930       1,056,889  

Series GG, Build America Bonds, 5.72%, 6/15/42

       1,390       1,824,820  

Water & Sewer System, Series EE, 5.38%, 6/15/43

       770       870,331  

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

       1,900       2,446,326  
 

 

                
20    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Municipal Bonds    

Par  

(000)

    Value  

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

     USD       2,535     $ 3,242,544  

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

       1,295       1,942,694  

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

       2,000       2,214,300  

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

      

5.63%, 3/15/39

       1,100       1,354,067  

5.60%, 3/15/40

       1,900       2,377,926  

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

       780       996,536  

State of California, GO, Build America Bonds:

      

Various Purpose, 7.55%, 4/01/39

       280       422,198  

Various Purposes, 7.63%, 3/01/40

       1,720       2,583,715  

State of Illinois, GO, Pension, 5.10%, 6/01/33

       2,000       1,802,760  

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

             885       1,112,410  
Total Municipal Bonds 3.0%                      24,247,516  
      
   
Non-Agency Mortgage-Backed Securities  

Collateralized Mortgage Obligations — 0.6%

      

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

       623       623,146  

Countrywide Alternative Loan Trust:

      

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

       1,309       1,287,180  

Series 2006-OA21, Class A1,
1.20%, 3/20/47 (b)

       936       788,932  

Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 3.19%, 7/27/36 (b)(c)

       323       322,769  
Non-Agency Mortgage-Backed Securities    

Par  

(000)

    Value  

Collateralized Mortgage Obligations (continued)

      

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 3.84%, 6/19/35 (b)

     USD       484     $ 474,954  

GSR Mortgage Loan Trust:

      

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

       90       89,252  

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

       232       210,196  

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

       85       76,496  

Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 3.55%, 5/25/36 (b)

       646       538,258  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 1.46%, 5/25/47 (b)

       232       209,612  
      

 

 

 
                       4,620,795  

Commercial Mortgage-Backed Securities — 10.5%

      

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 4/14/33 (b)(c)

       4,170       4,263,660  

Citigroup Commercial Mortgage Trust:

      

Series 2013-GC15, Class B, 5.11%, 9/10/46 (b)

       7,183       7,996,073  

Series 2016-P5, Class A4, 2.94%, 10/10/49

       6,000       5,957,086  

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

       1,720       1,752,327  

Commercial Mortgage Trust:

      

Series 2008-LS1, Class A4B, 6.11%, 12/10/49 (b)

       757       760,181  

Series 2013-300P, Class A1, 4.35%, 8/10/30 (c)

       1,330       1,454,494  

Series 2013-CR11, Class B, 5.16%, 8/10/50 (b)

       7,000       7,719,708  

Series 2013-LC6, Class B, 3.74%, 1/10/46

       1,390       1,428,360  

Series 2014-CR21, Class A3, 3.53%, 12/10/47

       1,300       1,356,714  

Series 2015-3BP, Class A, 3.18%, 2/10/35 (c)

       7,570       7,694,810  

Series 2015-CR22, Class C, 4.26%, 3/10/48 (b)

       5,000       5,007,912  

Series 2015-LC19, Class C, 4.26%, 2/10/48 (b)

       3,500       3,573,151  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    21


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Non-Agency Mortgage-Backed Securities    

Par  

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

 

Core Industrial Trust, Series 2015-TEXW, Class D, 3.85%, 2/10/34 (b)(c)

     USD       4,585     $ 4,717,580  

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

      

Class B, 4.04%, 4/15/50

       1,110       1,158,722  

Class C, 4.30%, 4/15/50

       1,000       1,027,063  

DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.89%, 9/10/49

       2,485       2,462,048  

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.38%, 12/15/34 (b)(c)

       6,170       6,272,411  

GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c)

       2,505       2,582,333  

JPMorgan Chase Commercial Mortgage Securities Trust:

      

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

       13       13,239  

Series 2016-NINE, Class A, 2.85%, 10/06/38 (b)(c)

       4,800       4,740,662  

LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.87%, 9/15/45 (b)

       1,562       1,575,478  

Morgan Stanley Capital I Trust, Series 2014-CPT, Class G, 3.45%, 7/13/29 (b)(c)

       3,200       3,149,233  

Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A4, 3.54%, 5/15/48

       3,205       3,333,818  

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

      

Class B, 4.31%, 8/15/45

       1,395       1,484,877  

Class C, 4.90%, 8/15/45 (b)

       1,795       1,879,725  
      

 

 

 
                       83,361,665  

Interest Only Commercial Mortgage-Backed Securities — 0.1%

 

 

Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 0.86%, 7/10/48 (b)

             19,341       855,433  
Total Non-Agency Mortgage-Backed Securities 11.2%               88,837,893  
      
   
Preferred Securities  
Capital Trusts  

Banks — 3.0%

      

Allied Irish Banks PLC, 7.38% (b)(i)

       200       242,342  

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

       100       112,475  

BNP Paribas SA, 7.20% (b)(c)(i)

       2,000       2,272,500  

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

       3,500       3,626,875  
Capital Trusts    

Par  

(000)

    Value  

Banks (continued)

      

CIT Group, Inc., 5.80% (b)(i)

     USD       323     $ 329,056  

Citigroup, Inc. (b)(i):

      

5.95%, 0/ /0

       2,200       2,318,313  

6.13%

       605       648,106  

6.30%

       4,000       4,215,000  

Credit Agricole SA (b)(c)(i):

      

6.63%

       1,400       1,442,560  

7.88%

       1,000       1,099,424  

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

       200       233,657  

Nordea Bank AB, 6.13% (b)(c)(i)

       2,960       3,093,200  

U.S. Bancorp, Series J, 5.30% (b)(i)

       311       325,959  

Wells Fargo & Co. (b)(i):

      

Series S, 5.90%

       3,510       3,724,988  

Series U, 5.88%

       430       471,925  
      

 

 

 
                       24,156,380  

Capital Markets — 0.7%

      

Goldman Sachs Group, Inc., Series L, 5.70% (b)(i)

       612       631,890  

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

       2,627       2,695,959  

State Street Corp. (b):

      

2.13%, 6/01/77

       140       130,200  

Series F, 5.25% (i)

       2,000       2,100,000  
      

 

 

 
                       5,558,049  

Chemicals — 0.0%

      

Lanxess AG, 4.50%, 12/06/76 (b)

       50       60,882  

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

       100       124,417  
      

 

 

 
                       185,299  

Diversified Financial Services — 5.1%

      

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

      

Series V, 5.13%

       385       389,812  

Series X, 6.25%

       4,620       4,961,880  

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

      

Series D, 4.50% (e)

       8,400       8,379,000  

Series E, 4.95%

       2,000       2,075,000  

Barclays PLC, 7.25% (b)(i)

       200       275,357  

HSBC Holdings PLC, 6.00% (b)(i)

       235       239,847  

JPMorgan Chase & Co. (b)(i):

      

Series 1, 7.90%

       7,000       7,264,600  

Series Q, 5.15%

       3,000       3,049,800  

Series U, 6.13%

       500       538,750  

Series V, 5.00%

       6,710       6,827,425  

Macquarie Bank Ltd., 10.25%, 6/20/57 (b)

       1,800       1,805,476  

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

       200       219,000  

Societe Generale SA (b)(c)(i):

      

6.00%

       3,000       2,981,250  

7.88%

       1,000       1,097,500  
      

 

 

 
                       40,104,697  
 

 

                
22    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Capital Trusts    

Par  

(000)

    Value  

Diversified Telecommunication Services — 0.0%

 

Telefonica Europe BV, 4.20% (b)(i)

     USD       200     $ 237,357  

Electric Utilities — 0.6%

      

ComEd Financing III, 6.35%, 3/15/33

       300       320,699  

Electricite de France SA, 5.25% (b)(c)(i)

       4,200       4,231,500  

Enel SpA (b):

      

5.00%, 1/15/75

       100       121,603  

7.75%, 9/10/75

       100       145,923  

Gas Natural Fenosa Finance BV, 4.13% (b)(i)

       100       118,761  
      

 

 

 
                       4,938,486  

Industrial Conglomerates — 0.3%

 

General Electric Co., Series D, 5.00% (b)(i)

             2,131       2,248,844  

Insurance — 1.8%

 

Allstate Corp. (b):

      

5.75%, 8/15/53

       2,000       2,176,250  

6.50%, 5/15/67

       4,100       4,702,187  

MetLife, Inc., 6.40%, 12/15/66

       2,554       2,913,808  

Voya Financial, Inc., 5.65%, 5/15/53 (b)

       4,500       4,725,000  
      

 

 

 
                       14,517,245  
Total Capital Trusts 11.5%       91,946,357  
      
                          
Preferred Stocks           Shares         

Banks — 0.4%

      

Wells Fargo & Co. (i):

      

5.85% (b)

       75,000       2,047,500  

Series Y, 5.63%

       50,000       1,266,000  
      

 

 

 
                       3,313,500  

Capital Markets — 0.7%

      

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

       92,000       2,543,800  

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

       82,887       2,209,768  

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

       25,314       729,296  
      

 

 

 
                       5,482,864  

Thrifts & Mortgage Finance — 0.0%

      

Fannie Mae, Series S, 8.25% (b)(i)

             10,000       64,000  
Total Preferred Stocks 1.1%                      8,860,364  
Trust Preferred               
Shares
    Value  

Diversified Financial Services — 0.1%

      

Citigroup Capital XIII, 7.88%, 10/30/40

             29,583     $ 767,643  
Total Preferred Securities 12.7%                      101,574,364  
      
                          
U.S. Government Sponsored Agency Securities          

Par  

(000)

        

Agency Obligations — 1.5%

      

Fannie Mae, 5.63%, 7/15/37 (e)

     USD       1,600       2,195,528  

Federal Home Loan Bank (e):

      

5.25%, 12/09/22

       1,375       1,610,793  

5.37%, 9/09/24

       2,175       2,629,782  

Residual Funding Corp.,, 0.00%, 4/15/30 (j)

       6,055       4,159,537  

Resolution Funding Corp.,
0.00%, 7/15/18 - 10/15/18 (j)

       1,050       1,033,152  
      

 

 

 
                       11,628,792  

Collateralized Mortgage Obligations — 4.1%

      

Fannie Mae Mortgage-Backed Securities:

      

Series 2015-47, Class GL, 3.50%, 7/25/45

       1,636       1,696,841  

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

       139       143,439  

Series 1991-87, Class S, 23.97%, 8/25/21 (b)

       4       4,330  

Series G-49, Class S, 928.35%, 12/25/21 (b)

       (k)      17  

Series G-07, Class S, 1,029.12%, 3/25/21 (b)

       (k)      159  

Freddie Mac Mortgage-Backed Securities:

      

Series 4350, Class DY, 4.00%, 6/15/44

       2,830       3,089,955  

Series 4480, Class ZX, 4.00%, 11/15/44

       5,937       6,320,066  

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

       2,601       2,811,209  

Series 4398, Class ZX, 4.00%, 9/15/54

       8,537       9,310,754  

Series 0173, Class RS, 10.51%, 11/15/21 (a)(b)

       (k)      2  

Ginnie Mae Mortgage-Backed Securities, Series 2014-72, Class MQ, 4.00%, 2/20/44

       8,858       9,505,845  
      

 

 

 
                       32,882,617  

Commercial Mortgage-Backed Securities — 0.2%

 

 

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

             1,870       2,002,267  
 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    23


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

U.S. Government Sponsored Agency Securities   

Par  

(000)

    Value  

Interest Only Collateralized Mortgage Obligations — 0.8%

 

 

Fannie Mae Mortgage-Backed Securities:

      

Series 1997-50, Class SI,
1.20%, 4/25/23 (b)

     USD       40     $ 1,085  

Series 2012-M9, Class X1, 3.98%, 12/25/17 (b)

       7,666       85,041  

Series 2012-96, Class DI, 4.00%, 2/25/27

       5,580       471,378  

Series 2012-47, Class NI, 4.50%, 4/25/42

       5,678       1,230,645  

Series G92-05, Class H, 9.00%, 1/25/22

       (k)      16  

Series 094, Class 2, 9.50%, 8/25/21

       (k)      27  

Series 1990-136, Class S, 19.06%, 11/25/20 (b)

       1       1  

Freddie Mac Mortgage-Backed Securities:

      

Series K707, Class X1, 1.52%, 12/25/18 (b)

       4,699       84,985  

Series 2611, Class QI, 5.50%, 9/15/32

       429       17,857  

Series 1254, Class Z, 8.50%, 4/15/22

       19       3,060  

Series 1043, Class H, 40.55%, 2/15/21 (b)

       1       2  

Ginnie Mae Mortgage-Backed Securities (b):

      

Series 2009-78, Class SD, 5.19%, 9/20/32

       5,674       954,777  

Series 2009-116, Class KS, 5.48%, 12/16/39

       2,116       318,267  

Series 2011-52, Class NS, 5.68%, 4/16/41

       15,995       2,940,037  
      

 

 

 
                       6,107,178  

Mortgage-Backed Securities — 4.3%

      

Fannie Mae Mortgage-Backed Securities (e):

      

3.00%, 8/01/43

       10,547       10,660,512  

4.00%, 12/01/41 - 12/01/43

       5,589       5,945,286  

4.50%, 7/01/41 - 4/01/42

       12,120       13,114,522  

5.00%, 8/01/34

       2,085       2,301,893  

5.50%, 6/01/38

       990       1,108,417  

6.00%, 12/01/38

       863       976,427  

Freddie Mac Mortgage-Backed Securities, 6.00% 6/1/17 - 12/1/18

       20       19,108  

Ginnie Mae Mortgage-Backed Securities:

      

5.50%, 8/15/33

       57       63,977  

8.00%, 7/15/24

       (k)      209  
      

 

 

 
                       34,190,351  
U.S. Government Sponsored Agency
Securities
  

Par  

(000)

    Value  

Principal Only Collateralized Mortgage Obligations — 0.0%

 

 

Fannie Mae Mortgage-Backed Securities (j):

      

Series 203, Class 1, 0.00%, 2/25/23

     USD       2     $ 2,136  

Series 1993-51, Class E, 0.00%, 2/25/23

       7       7,091  

Series 1993-70, Class A, 0.00%, 5/25/23

       1       1,119  

Series 0228, Class 1, 0.00%, 6/25/23

       2       1,840  
      

 

 

 
                       12,186  

Total U.S. Government Sponsored

Agency Securities 10.9%

                     86,823,391  
      
                          
U.S. Treasury Obligations                      

U.S. Treasury Bonds (e):

      

3.00%, 11/15/44

       61,400       63,177,223  

2.50%, 2/15/46

             55,000       50,988,850  
Total U.S. Treasury Obligations 14.3%                      114,166,073  
Total Long-Term Investments
(Cost — $1,034,979,144) — 135.5%
                     1,078,859,591  
      
                          
Short-Term Securities — 2.6%          

Shares

        

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.67% (l)(m)

             20,430,978       20,430,978  
Total Short-Term Securities
(Cost — $20,430,978) — 2.6%
                     20,430,978  
Options Purchased
(Cost — $5,453,582) — 0.5%
                     3,685,714  
Total Investments Before Options Written
(Cost — $1,060,863,704*) — 138.6%
                     1,102,976,283  
Options Written
(Premiums Received — $4,605,908) — (0.4)%
              (3,437,254

Total Investments, Net of Options Written

(Cost — $1,056,257,796) — 138.2%

         1,099,539,029  

Liabilities in Excess of Other Assets (38.2)%

 

      (303,953,103
      

 

 

 

Net Assets 100.0%

       $ 795,585,926  
      

 

 

 

 

 

 

                
24    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

*   As of May 31, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income

tax purposes were as follows:

 

Tax cost

  $ 1,060,694,300  
 

 

 

 

Gross unrealized appreciation

  $ 58,785,514  

Gross unrealized depreciation

    (16,503,531
 

 

 

 

Net unrealized appreciation

  $ 42,281,983  
 

 

 

 

 

Notes to Schedule of Investments

 

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

 

(b)   Variable rate security. Rate as of period end.

 

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

 

(d)   When-issued security.

 

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

 

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

 

(g)   Convertible security.

 

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

 

(i)   Perpetual security with no stated maturity date.

 

(j)   Zero-coupon bond.

 

(k)   Amount is less than $500.

 

(l)   During the period ended May 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at August 31,
2016
    Net
Activity
   

Shares Held
at May 31,

2017

    Value at
May 31,
2017
    Income    

Net

Realized
Gain1

    Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

          20,430,978       20,430,978     $ 20,430,978     $ 65,182     $ 77        

BlackRock Liquidity Funds, TempFund, Institutional Class

    12,926,909       (12,926,909                 49              

Total

 

  $ 20,430,978     $ 65,231     $ 77        
       

 

 

 

 

  1   

    Includes net capital gain distributions.

 

  (m)   Current yield as of period end.

 

Portfolio Abbreviations

 

AUD   Australian Dollar
CAD   Canadian Dollar
CHF   Swiss Franc
CLO   Collateralized Loan Obligation
CR   Custodian Receipt
EUR   Euro
EURIBOR   Euro Interbank Offered Rate
GBP   British Pound
GO   General Obligation Bonds

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    25


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Portfolio Abbreviations (concluded)

 

JPY    Japanese Yen
LIBOR    London Interebank Offered Rate
LOC    Letter of Credit
NOK    Norwegian Krone
NZD    New Zealand Dollar
OTC    Over-the-Counter
PIK    Payment-In-Kind
RB    Revenue Bonds
SEK    Swedish Krona
USD    U.S. Dollar

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

Reverse Repurchase Agreements

 

Counterparty   Interest
Rate
     Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of  Non-Cash
Underlying
Collateral
     Remaining
Contractual
Maturity of
the Agreements
 

Nomura Securities International, Inc.

    0.97%        6/28/16        Open      $ 31,762,500      $ 31,935,703        U.S. Treasury Obligations        Open/Demand  

Credit Suisse Securities (USA) LLC

    1.30%        10/14/16        Open        2,442,000        2,457,798        Corporate Bonds        Open/Demand  

Credit Suisse Securities (USA) LLC

    1.30%        10/14/16        Open        606,450        610,266        Corporate Bonds        Open/Demand  

Credit Suisse Securities (USA) LLC

    1.30%        10/14/16        Open        2,659,187        2,675,918        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    1.34%        10/18/16        Open        4,735,250        4,763,049        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    1.34%        10/18/16        Open        4,749,375        4,777,256        Corporate Bonds        Open/Demand  

HSBC Securities (USA), Inc.

    1.25%        10/20/16        Open        3,705,000        3,726,371        Corporate Bonds        Open/Demand  

HSBC Securities (USA), Inc.

    1.25%        10/20/16        Open        4,318,000        4,342,906        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        2,610,000        2,620,347        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        3,380,000        3,393,400        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        3,529,500        3,543,493        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        2,386,250        2,395,710        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        3,635,250        3,649,662        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        3,346,875        3,360,144        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        7,141,925        7,170,239        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        3,073,000        3,085,183        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

    0.64%        10/20/16        Open        3,770,000        3,784,946        Corporate Bonds        Open/Demand  

 

                
26    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

 

Reverse Repurchase Agreements (continued)

 

 
Counterparty   Interest
Rate
   Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of  Non-Cash
Underlying
Collateral
     Remaining
Contractual
Maturity of
the Agreements
 

HSBC Securities (USA), Inc.

  1.25%      10/21/16        Open      $ 4,921,000      $ 4,949,098        Corporate Bonds        Open/Demand  

HSBC Securities (USA), Inc.

  1.25%      10/21/16        Open        7,991,000        8,036,626        Capital Trusts        Open/Demand  

HSBC Securities (USA), Inc.

  1.25%      10/26/16        Open        4,193,000        4,216,696        Corporate Bonds        Open/Demand  

HSBC Securities (USA), Inc.

  1.00%      12/15/16        Open        4,132,000        4,151,168        Corporate Bonds        Open/Demand  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  1.00%      12/15/16        Open        792,281        794,714       


U.S. Government
Sponsored
Agency
Securities
 
 
 
 
     Open/Demand  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  1.00%      12/15/16        Open        1,290,000        1,293,958       


U.S. Government
Sponsored
Agency
Securities
 
 
 
 
     Open/Demand  

BNP Paribas Securities Corp.

  0.61%      12/19/16        Open        1,011,169        1,013,962       


U.S. Government
Sponsored
Agency
Securities
 
 
 
 
     Open/Demand  

BNP Paribas Securities Corp.

  0.61%      12/19/16        Open        809,375        811,610       


U.S. Government
Sponsored
Agency
Securities
 
 
 
 
     Open/Demand  

BNP Paribas Securities Corp.

  0.61%      12/19/16        Open        1,318,625        1,322,267       


U.S. Government
Sponsored
Agency
Securities
 
 
 
 
     Open/Demand  

BNP Paribas Securities Corp.

  0.61%      12/19/16        Open        614,831        616,529       


U.S. Government
Sponsored
Agency
Securities
 
 
 
 
     Open/Demand  

Credit Suisse Securities (USA) LLC

  0.95%      12/19/16        Open        1,452,750        1,458,960        Corporate Bonds        Open/Demand  

Credit Suisse Securities (USA) LLC

  0.95%      12/19/16        Open        1,117,312        1,122,089        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        4,675,000        4,697,014        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        1,822,500        1,831,082        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        2,130,975        2,141,010        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        2,009,000        2,018,460        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        1,997,887        2,007,295        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        1,850,000        1,858,711        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        1,698,750        1,706,749        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        1,473,062        1,479,999        Corporate Bonds        Open/Demand  

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    27


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Reverse Repurchase Agreements (continued)

 

 
Counterparty   Interest
Rate
   Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of Non-Cash
Underlying
Collateral
     Remaining
Contractual
Maturity of
the Agreements
 

RBC Capital Markets, LLC

  1.04%      12/19/16        Open      $ 2,043,877      $ 2,053,502        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        1,900,700        1,909,650        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        3,137,500        3,152,274        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        1,463,000        1,469,889        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        2,200,000        2,210,360        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.04%      12/19/16        Open        1,704,938        1,712,966        Corporate Bonds        Open/Demand  

BNP Paribas Securities Corp.

  0.97%      12/29/16        Open        60,555,750        60,733,851        U.S. Treasury Obligations        Open/Demand  

Deutsche Bank AG

  0.95%      2/27/17        Open        22,562,500        22,606,679        U.S. Treasury Obligations        Open/Demand  

Deutsche Bank AG

  1.70%      3/16/17        Open        1,686,000        1,692,051        Corporate Bonds        Open/Demand  

Deutsche Bank AG

  1.70%      3/16/17        Open        1,862,000        1,868,683        Corporate Bonds        Open/Demand  

Deutsche Bank AG

  1.70%      3/16/17        Open        4,157,000        4,171,919        Corporate Bonds        Open/Demand  

Deutsche Bank AG

  1.70%      3/16/17        Open        2,265,000        2,273,129        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.45%      3/20/17        Open        735,938        738,072        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.45%      3/20/17        Open        971,163        973,979        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.50%      3/20/17        Open        747,563        749,805        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.50%      3/20/17        Open        979,688        982,627        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.50%      3/20/17        Open        3,007,500        3,016,523        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.50%      3/20/17        Open        1,052,125        1,055,281        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.50%      3/20/17        Open        4,887,500        4,902,163        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.50%      3/20/17        Open        1,009,375        1,012,403        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  1.50%      3/20/17        Open        553,125        554,784        Corporate Bonds        Open/Demand  

BNP Paribas Securities Corp.

  1.36%      3/22/17        Open        778,000        780,057        Corporate Bonds        Open/Demand  

Barclays Capital, Inc.

  (0.50)%      4/06/17        Open        311,025        310,787        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.34%      4/06/17        Open        7,780,528        7,796,456        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.34%      4/06/17        Open        7,038,550        7,052,959        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.34%      4/06/17        Open        7,670,085        7,685,787        Corporate Bonds        Open/Demand  

RBC Capital Markets, LLC

  1.34%      4/06/17        Open        2,655,250        2,660,686        Corporate Bonds        Open/Demand  

HSBC Securities (USA), Inc.

  0.97%      5/10/17        6/13/17        9,439,000        9,444,341       

U.S. Government
Sponsored Agency
Securities
 
 
 
     Open/Demand  

 

                
28    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Reverse Repurchase Agreements (concluded)

 

 
Counterparty   Interest
Rate
     Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of  Non-Cash
Underlying
Collateral
   Remaining
Contractual
Maturity of
the Agreements
 

HSBC Securities (USA), Inc.

    0.97%        5/10/17        6/13/17      $ 938,000      $ 938,531      U.S. Government Sponsored
Agency Securities
     Open/Demand  

HSBC Securities (USA), Inc.

    0.97%        5/10/17        6/13/17        2,225,000        2,226,259      U.S. Government Sponsored
Agency Securities
     Open/Demand  

HSBC Securities (USA), Inc.

    0.97%        5/10/17        6/13/17        2,520,000        2,521,426      U.S. Government Sponsored
Agency Securities
     Open/Demand  

HSBC Securities (USA), Inc.

    0.97%        5/10/17        6/13/17        3,210,000        3,211,816      U.S. Government Sponsored
Agency Securities
     Open/Demand  

HSBC Securities (USA), Inc.

    0.97%        5/10/17        6/13/17        1,071,000        1,071,606      U.S. Government Sponsored
Agency Securities
     Open/Demand  

HSBC Securities (USA), Inc.

    0.97%        5/10/17        6/13/17        3,240,000        3,241,833      U.S. Government Sponsored
Agency Securities
     Open/Demand  

HSBC Securities (USA), Inc.

    0.97%        5/10/17        6/13/17        10,229,000        10,234,788      U.S. Government Sponsored
Agency Securities
     Open/Demand  
Barclays Capital, Inc.     (3.50)%        5/23/17        Open        105,525        105,484      Corporate Bonds      Open/Demand  

Total

 

   $ 313,844,284      $ 314,943,794     

 

1   

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

 

Derivative Financial Instruments Outstanding as of Period End                                          
Futures Contracts                               
Contracts
Long (Short)
    Issue   Expiration  

Notional

Value

    Unrealized
Appreciation
(Depreciation)
  30     90-Day Euro-Dollar   June 2017   $ 7,406,438       $ 2,014    
  (1   Euro Bund Future   June 2017   $ 182,342         471    
  (395   2-Year U.S. Treasury Note   September 2017   $     85,511,329         (40,431  
  363     5-Year U.S. Treasury Note   September 2017   $ 42,947,438         81,539    
  (437   10-Year U.S. Treasury Note   September 2017   $ 55,191,734         (260,412  
  97     10-Year U.S. Ultra Long Treasury Note   September 2017   $ 13,166,234         112,859    
  135     90-Day Euro Future   September 2017   $ 33,302,813         25,095    
  (133   Long U.S. Treasury Bond   September 2017   $ 20,457,063         (184,880  
  18     Ultra Long U.S. Treasury Bond   September 2017   $ 2,972,250         42,679    
  (50   90-Day Euro Dollar   December 2017   $ 12,325,625         (16,955  
  (135   90-Day Euro Dollar   June 2018   $ 33,226,875         (37,826  
  265     90-Day Euro Future   December 2018   $ 65,107,187         181,387    
  (265   90-Day Euro Future   December 2019   $ 64,948,188               (224,790    
  Total             $ (319,250  
         

 

 

   

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    29


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
    Counterparty      Settlement
Date
       Unrealized
Appreciation
(Depreciation)
 
USD        1,143,625        GBP        883,000     JPMorgan Chase Bank N.A.        6/06/17        $ 5,807  
USD        11,937,471        GBP        9,217,000     JPMorgan Chase Bank N.A.        6/06/17          60,611  
CHF        10,273,992        EUR        9,365,000     Citibank N.A.        6/15/17          89,332  
EUR        3,610,000        CHF        3,861,100     BNP Paribas S.A.        6/15/17          68,170  
EUR        3,660,000        GBP        3,112,394     Bank of America N.A.        6/15/17          102,459  
EUR        3,600,000        USD        3,932,365     Citibank N.A.        6/15/17          114,355  
GBP        3,105,000        CAD        5,251,088     Goldman Sachs International        6/15/17          114,046  
GBP        35,000        CAD        59,266     Royal Bank of Canada        6/15/17          1,230  
GBP        1,553,216        EUR        1,780,000     Citibank N.A.        6/15/17          1,133  
GBP        3,100,000        USD        3,791,494     BNP Paribas S.A.        6/15/17          204,237  
GBP        1,550,000        USD        1,965,574     Barclays Bank PLC        6/15/17          32,292  
GBP        10,000        USD        12,693     Northern Trust Co.        6/15/17          196  
JPY        219,438,201        USD        1,970,000     BNP Paribas S.A.        6/15/17          12,424  
NOK        49,668,320        AUD        7,670,000     Morgan Stanley & Co. International PLC        6/15/17          181,634  
NOK        33,558,336        USD        3,920,000     BNP Paribas S.A.        6/15/17          52,507  
NZD        5,481,623        AUD        5,000,000     BNP Paribas S.A.        6/15/17          168,205  
NZD        2,832,398        AUD        2,640,000     Bank of America N.A.        6/15/17          44,969  
NZD        5,510,000        CAD        5,145,053     BNP Paribas S.A.        6/15/17          93,102  
NZD        2,823,761        EUR        1,770,000     Citibank N.A.        6/15/17          10,424  
NZD        2,850,000        USD        1,968,513     BNP Paribas S.A.        6/15/17          50,134  
SEK        34,608,776        GBP        3,040,000     BNP Paribas S.A.        6/15/17          66,409  
USD        3,930,000        JPY        431,424,592     BNP Paribas S.A.        6/15/17          32,472  
USD        1,960,000        NOK        16,446,178     Citibank N.A.        6/15/17          13,165  
CAD        3,656,273        AUD        3,645,000     Barclays Bank PLC        6/27/17          550  
NOK        135,065,000        SEK        138,466,612     Bank of America N.A.        7/03/17          32,944  
NOK        16,855,000        SEK        17,184,549     Barclays Bank PLC        7/03/17          15,055  
NOK        16,855,000        SEK        17,196,213     Barclays Bank PLC        7/03/17          13,710  
NOK        16,855,000        SEK        17,118,798     Credit Suisse International        7/03/17          22,634  
SEK        17,324,530        NOK        16,855,000     Barclays Bank PLC        7/03/17          1,080  
SEK        17,420,264        NOK        16,855,000     Goldman Sachs International        7/03/17          12,115  
CAD        1,312,298        AUD        1,308,581     Barclays Bank PLC        7/27/17          892  
CAD        2,636,864        AUD        2,605,000     Barclays Bank PLC        7/27/17          19,906  
CAD        2,638,349        AUD        2,605,000     Barclays Bank PLC        7/27/17          21,006  
CAD        2,681,241        AUD        2,605,000     Barclays Bank PLC        7/27/17          52,789  
CAD        2,130,026        NZD        2,225,000     Barclays Bank PLC        8/14/17          4,744  
NZD        2,225,000        CAD        2,122,443     Barclays Bank PLC        8/14/17          877  
NZD        2,830,000        CAD        2,674,163     Barclays Bank PLC        8/14/17          19,938  
NZD        2,830,000        CAD        2,646,475     Deutsche Bank AG        8/14/17          40,462  
NZD        2,830,000        CAD        2,662,289     Deutsche Bank AG        8/14/17          28,740  
NZD        2,830,000        CAD        2,643,787     Goldman Sachs International        8/14/17          42,454  
NZD        2,830,000        CAD        2,640,461     Morgan Stanley & Co. International PLC        8/14/17          44,920  
NZD        2,830,000        CAD        2,646,192     Morgan Stanley & Co. International PLC        8/14/17          40,672  
NZD        3,430,000        CAD        3,203,689     Morgan Stanley & Co. International PLC        8/14/17          51,914  
GBP        1,544,667        EUR        1,765,000     Barclays Bank PLC        9/26/17          2,412  
                             1,989,127  

 

 

                
30    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency
Purchased
       Currency
Sold
    Counterparty      Settlement
Date
       Unrealized
Appreciation
(Depreciation)
 
USD        9,885,582        EUR        9,043,000     Citibank N.A.        6/06/17        $ (274,727
USD        2,384,265        EUR        2,182,000     Deutsche Bank AG        6/06/17          (67,332
USD        107,048        EUR        98,000     Morgan Stanley & Co. International PLC        6/06/17          (3,060
AUD        7,670,000        NOK        49,408,169     Citibank N.A.        6/15/17          (150,838
AUD        2,350,000        NZD        2,517,139     Bank of America N.A.        6/15/17          (37,108
AUD        2,640,000        NZD        2,807,429     Citibank N.A.        6/15/17          (27,284
AUD        2,650,000        NZD        2,847,298     JPMorgan Chase Bank N.A.        6/15/17          (48,094
CAD        5,368,868        EUR        3,660,000     BNP Paribas S.A.        6/15/17          (138,828
CAD        5,197,550        GBP        3,140,000     Citibank N.A.        6/15/17          (198,802
CAD        5,178,419        NZD        5,510,000     Citibank N.A.        6/15/17          (68,396
CHF        3,961,163        EUR        3,670,000     Citibank N.A.        6/15/17          (32,218
CHF        3,874,555        EUR        3,610,000     Northern Trust Co.        6/15/17          (54,267
EUR        9,365,000        CHF        10,266,749     Barclays Bank PLC        6/15/17          (81,847
GBP        1,613,868        EUR        1,880,000     Citibank N.A.        6/15/17          (33,100
GBP        3,040,000        SEK        34,241,150     BNP Paribas S.A.        6/15/17          (24,082
JPY        216,752,676        USD        1,960,000     Bank of America N.A.        6/15/17          (1,837
NZD        2,782,510        GBP        1,530,000     Citibank N.A.        6/15/17          (1,242
USD        1,980,000        CHF        1,923,932     Citibank N.A.        6/15/17          (8,057
USD        3,937,158        EUR        3,600,000     Citibank N.A.        6/15/17          (109,562
USD        3,919,202        GBP        3,050,000     BNP Paribas S.A.        6/15/17          (12,082
USD        1,948,357        GBP        1,560,000     Barclays Bank PLC        6/15/17          (62,398
USD        3,799,196        GBP        3,100,000     Royal Bank of Scotland PLC        6/15/17          (196,535
USD        1,960,000        NOK        16,629,370     Barclays Bank PLC        6/15/17          (8,521
USD        1,992,853        NZD        2,850,000     BNP Paribas S.A.        6/15/17          (25,795
AUD        3,645,000        CAD        3,721,345     Citibank N.A.        6/27/17          (48,743
NOK        16,855,000        SEK        17,338,486     Barclays Bank PLC        7/03/17          (2,689
NOK        16,855,000        SEK        17,441,621     Credit Suisse International        7/03/17          (14,577
SEK        17,274,386        NOK        16,855,000     Barclays Bank PLC        7/03/17          (4,700
SEK        41,500,729        NOK        40,450,000     Citibank N.A.        7/03/17          (6,178
SEK        163,748,316        NOK        159,565,000     Morgan Stanley & Co. International PLC        7/03/17          (19,939
USD        9,492,005        EUR        8,437,000     BNP Paribas S.A.        7/06/17          (3,022
USD        2,154,681        EUR        1,915,000     Deutsche Bank AG        7/06/17          (466
USD        11,817,054        GBP        9,187,000     Deutsche Bank AG        7/06/17          (32,857
USD        1,125,565        GBP        875,000     Standard Chartered Bank        7/06/17          (3,060
AUD        2,605,000        CAD        2,611,640     Barclays Bank PLC        7/27/17          (1,214
AUD        2,605,000        CAD        2,617,353     Barclays Bank PLC        7/27/17          (5,447
AUD        2,605,000        CAD        2,622,855     Barclays Bank PLC        7/27/17          (9,524
AUD        2,605,000        CAD        2,637,526     Barclays Bank PLC        7/27/17          (20,396
AUD        3,645,000        CAD        3,652,753     Barclays Bank PLC        7/27/17          (559
AUD        2,605,000        CAD        2,659,249     Credit Suisse International        7/27/17          (36,493
CAD        7,558,493        AUD        7,546,419     Morgan Stanley & Co. International PLC        7/27/17          (1,789
CAD        2,672,284        NZD        2,830,000     Barclays Bank PLC        8/14/17          (21,331
CAD        2,683,579        NZD        2,830,000     Barclays Bank PLC        8/14/17          (12,959
CAD        2,685,144        NZD        2,830,000     Barclays Bank PLC        8/14/17          (11,799
CAD        2,696,404        NZD        2,830,000     Barclays Bank PLC        8/14/17          (3,452
CAD        2,650,592        NZD        2,830,000     Deutsche Bank AG        8/14/17          (37,410
CAD        2,654,002        NZD        2,830,000     Deutsche Bank AG        8/14/17          (34,882
CAD        2,655,358        NZD        2,830,000     Deutsche Bank AG        8/14/17          (33,878
CAD        2,670,247        NZD        2,830,000     Deutsche Bank AG        8/14/17          (22,841

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    31


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Forward Foreign Currency Exchange Contracts (concluded)

 

Currency
Purchased
       Currency
Sold
    Counterparty      Settlement
Date
       Unrealized
Appreciation
(Depreciation)
 
NOK        16,528,863        CAD        2,665,000     JPMorgan Chase Bank N.A.        8/28/17        $ (16,995
                          

 

 

 
                                                     (2,073,212

Net Unrealized Depreciation

                 $ (84,085
                          

 

 

 

Exchange-Traded Options Purchased

 

Description             Put/
Call
  Expiration
Date
  Strike
Price
    Contracts     Value  

Eurodollar 1-Year Mid-Curve Options

          Put   6/16/17   USD     98.13       200             $ 1,250  

OTC Interest Rate Swaptions Purchased

 

Description   Counterparty   Put/
Call
  Exercise
Rate
  Pay/Receive
Exercise Rate
  Floating Rate
Index
  Expiration
Date
    Notional
Amount
(000)
    Value  

2-Year Interest Rate Swap

  Citibank N.A.   Call   1.55%   Receive   3-Month LIBOR     1/25/18       USD       40,000     $ 85,620  

1-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.   Call   1.94%   Receive   3-Month LIBOR     3/05/18       USD       27,900       105,478  

1-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.   Call   1.94%   Receive   3-Month LIBOR     3/05/18       USD       9,700       36,672  

2-Year Interest Rate Swap

  Deutsche Bank AG   Call   1.25%   Receive   3-Month LIBOR     10/17/18       USD       10,000       16,280  

10-Year Interest Rate Swap

  Barclays Bank PLC   Call   2.75%   Receive   3-Month LIBOR     3/13/19       USD       2,290       127,044  

2-Year Interest Rate Swap

  Deutsche Bank AG   Call   2.25%   Receive   3-Month LIBOR     3/27/19       USD       20,000       210,847  

2-Year Interest Rate Swap

  Barclays Bank PLC   Call   2.00%   Receive   3-Month LIBOR     4/25/19       USD       40,000       309,658  

10-Year Interest Rate Swap1

  Deutsche Bank AG   Call   2.60%   Receive   3-Month LIBOR     1/25/27       USD       1,900       (12,413

10-Year Interest Rate Swap

  Deutsche Bank AG   Call   2.40%   Receive   3-Month LIBOR     2/08/27       USD       1,875       104,728  

5-Year Interest Rate Swap

  Goldman Sachs Bank USA   Put   2.94%   Pay   3-Month LIBOR     7/05/17       USD       12,000       1,383  

10-Year Interest Rate Swap

  Deutsche Bank AG   Put   2.40%   Pay   3-Month LIBOR     7/18/17       USD       2,130       3,448  

10-Year Interest Rate Swap

  Barclays Bank PLC   Put   2.50%   Pay   3-Month LIBOR     10/20/17       USD       5,800       31,239  

30-Year Interest Rate Swap

  Goldman Sachs Bank USA   Put   3.10%   Pay   3-Month LIBOR     1/03/18       USD       3,000       19,067  

30-Year Interest Rate Swap

  Barclays Bank PLC   Put   3.25%   Pay   3-Month LIBOR     3/13/18       USD       1,830       12,748  

30-Year Interest Rate Swap

  Barclays Bank PLC   Put   3.55%   Pay   3-Month LIBOR     3/13/18       USD       2,290       6,916  

30-Year Interest Rate Swap

  Barclays Bank PLC   Put   3.85%   Pay   3-Month LIBOR     3/13/18       USD       2,750       3,635  

1-Year Interest Rate Swap

  Goldman Sachs Bank USA   Put   0.15%   Pay   6-Month EURIBOR     3/04/19       EUR       34,880       61,172  

30-Year Interest Rate Swap

  Goldman Sachs Bank USA   Put   4.00%   Pay   3-Month LIBOR     3/04/19       USD       1,600       11,732  

 

                
32    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased (concluded)

 

Description   Counterparty     Put/
Call
    Exercise
Rate
    Pay/Receive
Index Rate
    Floating Rate
Index
    Expiration
Date
    Notional
Amount
(000)
    Value  

15-Year Interest Rate Swap

    Barclays Bank PLC       Put       1.10%       Pay       6-Month LIBOR       5/15/20       JPY       250,000     $ 28,209  

10-Year Interest Rate Swap

    Bank of America N.A.       Put       3.50%       Pay       3-Month LIBOR       2/01/21       USD       4,000       84,787  

10-Year Interest Rate Swap

    Citibank N.A.       Put       3.50%       Pay       3-Month LIBOR       2/01/21       USD       4,380       92,841  

5-Year Interest Rate Swap

    JPMorgan Chase Bank N.A.       Put       3.25%       Pay       3-Month LIBOR       10/25/21       USD       6,890       108,736  

5-Year Interest Rate Swap

    Barclays Bank PLC       Put       3.15%       Pay       3-Month LIBOR       10/27/21       USD       16,560       282,763  

5-Year Interest Rate Swap

    Goldman Sachs Bank USA       Put       3.25%       Pay       3-Month LIBOR       12/16/21       USD       6,050       99,057  

5-Year Interest Rate Swap

    JPMorgan Chase Bank N.A.       Put       3.25%       Pay       3-Month LIBOR       12/16/21       USD       6,200       101,513  

5-Year Interest Rate Swap

    Barclays Bank PLC       Put       3.35%       Pay       3-Month LIBOR       1/04/22       USD       19,050       292,522  

10-Year Interest Rate Swap

    Credit Suisse International       Put       1.25%       Pay       6-Month LIBOR       1/11/22       JPY       250,000       21,205  

10-Year Interest Rate Swap

    Credit Suisse International       Put       1.55%       Pay       6-Month LIBOR       2/22/22       JPY       250,000       16,853  

10-Year Interest Rate Swap

    JPMorgan Chase Bank N.A.       Put       1.60%       Pay       6-Month LIBOR       3/16/22       JPY       250,000       16,563  

10-Year Interest Rate Swap

    JPMorgan Chase Bank N.A.       Put       1.45%       Pay       6-Month LIBOR       4/04/22       JPY       250,000       19,159  

15-Year Interest Rate Swap

    Goldman Sachs Bank USA       Put       3.25%       Pay       3-Month LIBOR       5/03/22       USD       4,050       188,425  

15-Year Interest Rate Swap

    Goldman Sachs Bank USA       Put       3.25%       Pay       3-Month LIBOR       5/03/22       USD       3,950       183,773  

10-Year Interest Rate Swap

    JPMorgan Chase Bank N.A.       Put       3.00%       Pay       3-Month LIBOR       4/12/27       USD       2,590       143,738  

20-Year Interest Rate Swap

    Barclays Bank PLC       Put       4.00%       Pay       6-Month EURIBOR       8/09/33       EUR       2,410       90,406  

Total

                  $ 2,905,804  
                 

 

 

 

1    Forward settling swaption.

     

     
OTC Options Purchased        

 

Description   Put/
Call
    Counterparty   Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

EUR Currency

    Call     Deutsche Bank AG     6/22/17       JPY       128.00       EUR       10,535     $ 14,426  

AUD Currency

    Call     Morgan Stanley & Co.
International PLC
    6/23/17       CAD       1.05       AUD       23,440       453  

USD Currency

    Call     Citibank N.A.     6/28/17       CHF       0.99       USD       15,840       16,664  

AUD Currency

    Call     HSBC Bank PLC     6/29/17       NZD       1.11       AUD       10,510       102  

NOK Currency

    Call     Deutsche Bank AG     6/29/17       SEK       1.05       NOK       132,990       13,709  

NZD Currency

    Call     Morgan Stanley & Co.
International PLC
    8/10/17       CAD       0.95       NZD       22,545       252,200  

CAD Currency

    Call     JPMorgan Chase Bank N.A.     8/24/17       NOK       6.40       CAD       10,650       50,717  

EUR Currency

    Call     Barclays Bank PLC     9/22/17       GBP       0.90       EUR       14,325       119,773  

EUR Currency

    Put     Barclays Bank PLC     6/01/17       AUD       1.45       EUR       14,390        

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    33


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

OTC Options Purchased (concluded)

 

Description   Put/
Call
    Counterparty     Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

EUR Currency

    Put       Barclays Bank PLC       6/01/17       AUD       1.41       EUR       14,390        

EUR Currency

    Put       UBS AG       6/14/17       NZD       1.57       EUR       14,295     $ 52,896  

EUR Currency

    Put       UBS AG       6/14/17       NZD       1.53       EUR       14,295       3,196  

GBP Currency

    Put       Citibank N.A.       6/15/17       NOK       10.30       GBP       9,355       964  

AUD Currency

    Put       Citibank N.A.       7/25/17       CAD       1.00       AUD       15,625       100,230  

NZD Currency

    Put      
Morgan Stanley & Co.
International PLC
 
 
    8/10/17       CAD       0.95       NZD       22,545       152,607  

EUR Currency

    Put       UBS AG       8/14/17       EUR       1.03       EUR       7,315       723  

Total

                $ 778,660  
               

 

 

 

OTC Interest Rate Swaptions Written

 

Description   Counterparty   Put/
Call
    Exercise
Rate
  Pay/Receive
Exercise Rate
  Floating Rate
Index
  Expiration
Date
   

Notional

Amount

(000)

    Value  

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Call     0.15%   Pay   6-Month EURIBOR     12/04/17       EUR       5,700     $ (17,557

5-Year Interest Rate Swap

  Morgan Stanley & Co.
International PLC
    Call     1.70%   Pay   3-Month LIBOR     12/18/17       USD       7,600       (36,903

2-Year Interest Rate Swap

  Citibank N.A.     Call     1.05%   Pay   3-Month LIBOR     1/25/18       USD       60,000       (18,362

2-Year Interest Rate Swap

  Goldman Sachs Bank USA     Call     1.60%   Pay   3-Month LIBOR     3/01/18       USD       24,400       (64,489

5-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Call     2.41%   Pay   3-Month LIBOR     3/05/18       USD       5,580       (138,657

5-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Call     2.41%   Pay   3-Month LIBOR     3/05/18       USD       1,940       (48,207

5-Year Interest Rate Swap

  Barclays Bank PLC     Call     0.10%   Pay   6-Month EURIBOR     3/13/18       EUR       11,520       (31,901

2-Year Interest Rate Swap

  Citibank N.A.     Call     1.94%   Pay   3-Month LIBOR     4/05/18       USD       21,700       (136,532

2-Year Interest Rate Swap

  Deutsche Bank AG     Call     0.90%   Pay   3-Month LIBOR     10/17/18       USD       20,000       (13,660

2-Year Interest Rate Swap

  Citibank N.A.     Call     2.00%   Pay   3-Month LIBOR     3/11/19       USD       18,800       (143,189

10-Year Interest Rate Swap

  Barclays Bank PLC     Call     2.00%   Pay   3-Month LIBOR     3/13/19       USD       4,580       (98,221

2-Year Interest Rate Swap

  Goldman Sachs Bank USA     Call     1.60%   Pay   3-Month LIBOR     3/21/19       USD       15,400       (63,541

2-Year Interest Rate Swap

  Deutsche Bank AG     Call     1.75%   Pay   3-Month LIBOR     3/27/19       USD       30,000       (159,088

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Call     1.75%   Pay   3-Month LIBOR     3/28/19       USD       8,470       (44,868

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Call     1.60%   Pay   3-Month LIBOR     4/12/19       USD       6,700       (28,298

2-Year Interest Rate Swap

  Barclays Bank PLC     Call     1.50%   Pay   3-Month LIBOR     4/25/19       USD       80,000       (290,122

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Call     1.65%   Pay   3-Month LIBOR     5/06/19       USD       28,440       (133,680

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Call     1.70%   Pay   3-Month LIBOR     1/05/22       USD       5,000       (79,152

 

                
34    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

Description   Counterparty   Put/
Call
    Exercise
Rate
  Pay/Receive
Exercise Rate
  Floating Rate
Index
  Expiration
Date
   

Notional

Amount

(000)

    Value  

5-Year Interest Rate Swap

  Deutsche Bank AG     Call     1.75%   Pay   3-Month LIBOR     2/08/22       USD       5,000     $ (83,609

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     3.19%   Receive   3-Month LIBOR     7/05/17       USD       12,000       (119

10-Year Interest Rate Swap

  Deutsche Bank AG     Put     2.65%   Receive   3-Month LIBOR     7/18/17       USD       2,130       (426

10-Year Interest Rate Swap

  Deutsche Bank AG     Put     2.40%   Receive   3-Month LIBOR     10/20/17       USD       2,900       (22,430

2-Year Interest Rate Swap

  Wells Fargo Bank N.A.     Put     2.00%   Receive   3-Month LIBOR     11/21/17       USD       26,600       (16,682

2-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     2.10%   Receive   3-Month LIBOR     11/22/17       USD       12,090       (4,754

2-Year Interest Rate Swap

  Citibank N.A.     Put     2.15%   Receive   3-Month LIBOR     11/29/17       USD       21,810       (7,478

2-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     2.10%   Receive   3-Month LIBOR     12/04/17       USD       10,790       (5,028

5-Year Interest Rate Swap

  Barclays Bank PLC     Put     0.65%   Receive   6-Month EURIBOR     12/04/17       EUR       7,200       (10,474

5-Year Interest Rate Swap

  Morgan Stanley & Co.
International PLC
    Put     2.70%   Receive   3-Month LIBOR     12/18/17       USD       7,600       (6,682

10-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     3.00%   Receive   3-Month LIBOR     1/03/18       USD       7,430       (16,243

2-Year Interest Rate Swap

  Citibank N.A.     Put     2.30%   Receive   3-Month LIBOR     1/25/18       USD       20,000       (8,134

30-Year Interest Rate Swap

  Barclays Bank PLC     Put     2.95%   Receive   3-Month LIBOR     3/13/18       USD       1,830       (28,854

2-Year Interest Rate Swap

  Citibank N.A.     Put     1.94%   Receive   3-Month LIBOR     4/05/18       USD       21,700       (52,446

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put     2.15%   Receive   3-Month LIBOR     4/06/18       USD       8,320       (10,923

2-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     1.75%   Receive   3-Month LIBOR     4/12/18       USD       38,200       (154,022

2-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     1.45%   Receive   3-Month LIBOR     6/27/18       USD       10,000       (87,321

2-Year Interest Rate Swap

  Citibank N.A.     Put     1.40%   Receive   3-Month LIBOR     7/05/18       USD       10,000       (95,933

2-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     1.50%   Receive   3-Month LIBOR     9/06/18       USD       26,000       (237,598

2-Year Interest Rate Swap

  Barclays Bank PLC     Put     2.50%   Receive   3-Month LIBOR     10/17/18       USD       5,000       (8,594

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     0.64%   Receive   6-Month EURIBOR     3/04/19       EUR       6,980       (93,928

2-Year Interest Rate Swap

  Citibank N.A.     Put     3.00%   Receive   3-Month LIBOR     3/11/19       USD       18,800       (24,871

2-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put     2.60%   Receive   3-Month LIBOR     3/21/19       USD       15,400       (40,387

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put     2.75%   Receive   3-Month LIBOR     3/28/19       USD       8,470       (17,955

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put     2.35%   Receive   3-Month LIBOR     4/08/19       USD       7,530       (30,404

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put     2.60%   Receive   3-Month LIBOR     4/12/19       USD       13,400       (37,635

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    35


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (concluded)

 

Description   Counterparty     Put/
Call
    Exercise
Rate
    Pay/Receive
Exercise Rate
    Floating Rate
Index
    Expiration
Date
   

Notional

Amount

(000)

   
Value
 

2-Year Interest Rate Swap

    JPMorgan Chase Bank N.A.       Put       2.65%       Receive       3-Month LIBOR       5/06/19       USD       28,440     $ (79,916

15-Year Interest Rate Swap

    Barclays Bank PLC       Put       2.10%       Receive       6-Month LIBOR       5/15/20       JPY       250,000       (9,074

10-Year Interest Rate Swap

    Bank of America N.A.       Put       5.50%       Receive       3-Month LIBOR       2/01/21       USD       10,000       (34,471

10-Year Interest Rate Swap

    Citibank N.A.       Put       5.50%       Receive       3-Month LIBOR       2/01/21       USD       10,950       (37,745

5-Year Interest Rate Swap

    Goldman Sachs Bank USA       Put       3.25%       Receive       3-Month LIBOR       5/03/22       USD       10,130       (180,958

5-Year Interest Rate Swap

    Goldman Sachs Bank USA       Put       3.25%       Receive       3-Month LIBOR       5/03/22       USD       9,870       (176,313

Total

                  $ (3,167,834
                 

 

 

 

OTC Options Written

 

Description   Put/
Call
    Counterparty     Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

EUR Currency

    Call       Deutsche Bank AG       6/22/17       JPY       130.00       EUR       10,535     $ (3,396

AUD Currency

    Call       Citibank N.A.       6/23/17       CAD       1.05       AUD       23,440       (470

AUD Currency

    Call       HSBC Bank PLC       6/29/17       NZD       1.11       AUD       10,510       (102

GBP Currency

    Call      
Credit Suisse
International
 
 
    7/03/17       CAD       1.82       GBP       6,075       (6,575

EUR Currency

    Put       Barclays Bank PLC       6/01/17       AUD       1.43       EUR       28,770        

EUR Currency

    Put       UBS AG       6/14/17       NZD       1.55       EUR       28,590       (29,933

GBP Currency

    Put       Citibank N.A.       6/15/17       NOK       10.10       GBP       9,355       (72

NOK Currency

    Put       Deutsche Bank AG       6/29/17       SEK       1.02       NOK       265,975       (93,020

AUD Currency

    Put      
Morgan Stanley &
Co. International PLC
 
 
    7/25/17       CAD       1.00       AUD       15,625       (100,730

CAD Currency

    Put      
JPMorgan Chase
Bank N.A.
 
 
    8/24/17       NOK       6.00       CAD       15,980       (35,122

Total

                $ (269,420
               

 

 

 

Centrally Cleared Credit Default Swaps - Buy Protection

 

Issuer/Index   Pay
Fixed
Rate
    Expiration
Date
    Notional
Amount
(000)
    Unrealized
Depreciation
 

Markit iTraxx XO, Series 27, Version 1

    5.00     6/20/22       EUR       80     $ (2,421

Centrally Cleared Credit Default Swaps - Sell Protection

 

Issuer/Index   Receive
Fixed
Rate
   Expiration
Date
   Credit
Rating1
    Notional
Amount
(000)2
    Unrealized
Appreciation
 

Chesapeake Energy Corp.

  5.00%    12/20/21      CCC       USD       270     $ 3,159  
             

1   Using Standard & Poor’s (“S&P’s”) rating of the issuer or the underlying securities of the indes, as applicable.

    

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

    

 

                
36    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps

 

Fixed Rate   Floating
Rate
  Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
 

1.08%1

  3-Month LIBOR     6/14/17 3      7/26/17       USD       640,700     $ 27,221  

1.08%1

  3-Month LIBOR     6/14/17 3      7/26/17       USD       320,350       11,279  

0.77%1

  3-Month LIBOR     N/A       2/05/18       USD       107,000       398,841  

1.62%2

  3-Month LIBOR     7/06/17 3      3/31/19       USD       30,160       58,858  

1.67%2

  3-Month LIBOR     7/06/17 3      3/31/19       USD       9,110       25,233  

1.67%2

  3-Month LIBOR     7/06/17 3      3/31/19       USD       9,100       25,827  

1.68%2

  3-Month LIBOR     7/06/17 3      3/31/19       USD       16,950       50,915  

1.79%2

  3-Month LIBOR     7/06/17 3      3/31/19       USD       26,920       132,257  

1.65%1

  3-Month LIBOR     11/21/17 3      11/21/19       USD       19,500       (5,984

1.87%1

  3-Month LIBOR     1/19/18 3      1/19/20       USD       2,600       (9,778

2.17%1

  3-Month LIBOR     3/13/18 3      3/13/20       USD       5,000       (44,325

2.13%1

  3-Month LIBOR     3/17/18 3      3/17/20       USD       6,790       (53,583

1.75%1

  3-Month LIBOR     5/21/18 3      5/21/20       USD       10,950       3,610  

1.68%1

  3-Month LIBOR     7/06/17 3      8/31/21       USD       26,160       (123,302

1.95%2

  3-Month LIBOR     7/06/17 3      8/31/21       USD       7,690       55,387  

0.41%2

  6-Month EURIBOR     4/03/18 3      4/03/23       EUR       3,200       9,978  

2.28%1

  3-Month LIBOR     6/30/17 3      2/15/24       USD       9,380       (185,951

1.97%2

  3-Month LIBOR     10/27/21 3      10/27/26       USD       1,870       (38,135

2.07%2

  3-Month LIBOR     10/29/21 3      10/29/26       USD       6,160       (98,561

2.23%1

  3-Month LIBOR     6/30/17 3      11/15/26       USD       3,145       (28,684

2.32%1

  3-Month LIBOR     6/30/17 3      11/15/26       USD       3,145       (54,127

2.35%1

  3-Month LIBOR     6/30/17 3      11/15/26       USD       3,320       (65,432

2.37%1

  3-Month LIBOR     6/30/17 3      11/15/26       USD       3,330       (72,549

2.95%2

  3-Month LIBOR     12/21/21 3      12/21/26       USD       4,100       89,592  

2.75%2

  3-Month LIBOR     1/05/22 3      1/05/27       USD       6,930       90,647  

2.29%1

  3-Month LIBOR     9/29/17 3      2/15/27       USD       4,048       (46,604

3.02%2

  3-Month LIBOR     3/14/22 3      3/14/27       USD       5,220       126,191  

2.74%2

  3-Month LIBOR     4/06/22 3      4/06/27       USD       2,070       24,081  

2.32%2

  3-Month LIBOR     N/A       5/03/27       USD       1,380       22,937  

2.90%1

  3-Month LIBOR     1/27/27       1/27/37       USD       730       (12,008

3.07%1

  3-Month LIBOR     3/22/27 33      3/20/37       USD       1,000       (29,103

2.59%2

  3-Month LIBOR     6/30/17 3      8/15/43       USD       860       29,698  

2.71%1

  3-Month LIBOR     6/30/17 3      11/15/43       USD       1,400       (84,469

2.83%1

  3-Month LIBOR     6/30/173       11/15/43       USD       2,560       (215,603

Total

            $ 14,354  
           

 

 

 
           

1    Fund pays the fixed rate and receives the floating rate.

     

2    Fund pays the floating rate and receives the fixed rate.

     

3    Forward swap.

     

OTC Credit Default Swaps - Buy Protection

 

Issuer/Index   Pay
Fixed
Rate
    
Counterparty
   Expiration
Date
     Notional
Amount
(000)
    Value      Premiums
Paid
     Unrealized
Depreciation
 

Australia & New Zealand Banking Group Ltd.

    1.00    Deutsche Bank AG      9/20/17        USD       1     $ (1    $ 1      $ (2

Westpac Banking Corp.

    1.00    Deutsche Bank AG      9/20/17        USD       1       (2      1        (3

Total

               $ (3    $ 2      $ (5
              

 

 

 

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    37


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

OTC Credit Default Swaps - Sell Protection

 

Issuer/Index   Receive
Fixed
Rate
   
Counterparty
  Expiration
Date
  Credit
Rating1
    Notional
Amount
(000)2
   
Value
    Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Hellenic Telecommunications Organization SA

    5.00   Barclays Bank
PLC
  12/20/21     B+       EUR       20     $ 3,220     $ 1,229     $ 1,991  

GFKL Financial Services AG

    5.00   Credit Suisse
International
  6/20/22     B-       EUR       8       (467     (492     25  

International Game Technology

    5.00   Credit Suisse
International
  6/20/22     BB+       EUR       10       1,265       1,041       224  

International Game Technology

    5.00   JPMorgan Chase
Bank N.A.
  6/20/22     BB+       EUR       10       1,277       1,079       198  

Markit CMBX North America, Series 8

    3.00   Barclays Bank
PLC
  10/17/57     NR       USD       5,000       (735,961     (523,457     (212,504

Markit CMBX North America, Series 8

    3.00   Credit Suisse
International
  10/17/57     NR       USD       2,500       (367,981     (258,620     (109,361

Markit CMBX North America, Series 8

    3.00   Morgan Stanley &
Co. International
PLC
  10/17/57     NR       USD       5,550       (816,454     (765,337     (51,117

Markit CMBX North America, Series 9

    3.00   Credit Suisse
International
  9/17/58     NR       USD       5,000       (535,510     (558,759     23,249  

Markit CMBX North America, Series 9

    3.00   Credit Suisse
International
  9/17/58     NR       USD       5,000       (535,511     (558,759     23,248  

Markit CMBX North America, Series 9

    3.00   Credit Suisse
International
  9/17/58     NR       USD       5,000       (535,511     (552,656     17,145  

Markit CMBX North America, Series 9

    3.00   Credit Suisse
International
  9/17/58     NR       USD       5,000       (535,511     (558,706     23,195  

Markit CMBX North America, Series 9

    3.00%     Morgan Stanley &
Co. International
PLC
  9/17/58     NR       USD       9,450       (1,012,115     (1,203,985     191,870  

Total

 

  $ (5,069,259   $ (4,977,422   $ (91,837
                 

 

  1  

Using S&P’s rating of the issuer or the underlying securities of the indes, as applicable.

  2  

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

 

 

                
38    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

   

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

   

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

 

   

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

 

Investments:        
Long-Term Investments:        

Asset-Backed Securities

        $ 72,344,145     $ 16,519,017     $ 88,863,162  

Corporate Bonds

  $ 420,664       532,125,542       7,065,657       539,611,863  

Floating Rate Loan Interests

          13,002,110       231,298       13,233,408  

Foreign Agency Obligations

          21,501,921             21,501,921  

Municipal Bonds

          24,247,516             24,247,516  

Non-Agency Mortgage-Backed Securities

          88,837,893             88,837,893  

Preferred Securities

    9,628,007       91,946,357             101,574,364  

U.S. Government Sponsored Agency Securities

          86,823,389       2       86,823,391  

U.S. Treasury Obligations

          114,166,073             114,166,073  
Short-Term Securities:        

Money Market Funds

    20,430,978                   20,430,978  

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    39


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

 

     Level 1     Level 2     Level 3     Total  

Assets: (concluded)

       

Investments:

       

Options Purchased:

       

Interest rate contracts1

  $ 1,250     $ 2,905,804           $ 2,907,054  

Foreign currency exchange contracts

          778,660             778,660  
 

 

 

 

Total

  $ 30,480,899     $ 1,048,679,410     $ 23,815,974     $ 1,102,976,283  
 

 

 

 
                                 

Derivative Financial Instruments2

       

Assets:

       

Credit contracts

        $ 284,304           $ 284,304  

Foreign currency exhange contracts

          1,989,127             1,989,127  

Interest rate contracts

  $ 446,044       1,182,552             1,628,596  

Liabilities:

       

Credit contracts

          (375,408           (375,408

Foreign currency exhange contracts

          (2,342,632           (2,342,632

Interest rate contracts

    (765,294     (4,336,032           (5,101,326
 

 

 

 

Total

  $ (319,250   $ (3,598,089         $ (3,917,339
 

 

 

 

 

  1   

Includes forward settling swaption.

  2   

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

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, reverse repurchase agreemtents of $314,943,794 are categorized as level 2 within the disclosure hierarchy.

During the period ended May 31, 2017, there were no transfers between Level 1 and Level 2.

 

                
40    BLACKROCK CORE BOND TRUST    MAY 31, 2017   


Schedule of Investments (concluded)

  

BlackRock Core Bond Trust (BHK)

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
   

Corporate

Bonds

   

Floating

Rate Loan
Interests

   

Non-Agency

Mortgage-

Backed

Securities

      

U.S.
Government
Sponsored

Agency
Securities

       Total  

Assets:

     

Opening balance, as of August 31, 2016

  $ 6,235,302     $ 7,833,603     $ 425,295              $ 2        $ 14,494,202  

Transfers into Level 3

                                         

Transfers out of Level 3

    (1,500,780           (176,542                       (1,677,322

Accrued discounts/premiums

    (133,013           3,043                         (129,970

Net realized gain (loss)

    (83,949           4,508     $ 4                   (79,437

Net change in unrealized appreciation (depreciation)1

    310,867       (515,732     6,433                         (198,432

Purchases

    14,745,590             39,600                         14,785,190  

Sales

    (3,055,000     (252,214     (71,039     (4                 (3,378,257
 

 

 

 

Closing Balance, as of May 31, 2017

  $ 16,519,017     $ 7,065,657     $ 231,298              $ 2        $ 23,815,974  
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at May 31, 20171

  $ 372,981     $ (515,732   $ 6,433                       $ (136,318
 

 

 

 
  1   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at May 31, 2017 is generally due to derivative financial investments no longer held or categorized as Level 3 at period end.

The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

 

                
   BLACKROCK CORE BOND TRUST    MAY 31, 2017    41


Item 2 – Controls and Procedures

 

2(a) –    The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –    There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

              Certifications – Attached hereto


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

 

BlackRock Core Bond Trust
By:       /s/ John M. Perlowski                      
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Core Bond Trust

Date: July 24, 2017

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

 

By:       /s/ John M. Perlowski                      
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Core Bond Trust

Date: July 24, 2017

 

By:       /s/ Neal J. Andrews                          
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Core Bond Trust

Date: July 24, 2017