- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
July 27 2012 - 1:08PM
Edgar (US Regulatory)
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 811-08991
Name of Fund: BlackRock High Yield Trust (BHY)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock High Yield Trust, 55 East 52
nd
Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2012
Date of reporting period: 05/31/2012
Item 1 – Schedule of Investments
|
|
|
|
Schedule of Investments
May 31, 2012 (Unaudited)
|
BlackRock High Yield Trust (BHY)
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
Par
(000)
|
|
Value
|
|
American Airlines Pass-Through
Trust, Series 2011-2, Class A,
8.63%, 4/15/23
|
|
USD
|
191
|
|
$
|
200,743
|
|
Total Asset-Backed Securities 0.4%
|
|
|
|
|
|
200,743
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
Shares
|
|
|
|
|
Auto Components 2.4%
|
|
|
|
|
|
|
|
Delphi Automotive Plc (a)
|
|
|
35,107
|
|
|
1,019,159
|
|
Delphi Automotive Plc (a)
|
|
|
2,826
|
|
|
82,036
|
|
|
|
|
|
|
|
1,101,195
|
|
Biotechnology 0.0%
|
|
|
|
|
|
|
|
Ironwood Pharmaceuticals, Inc. (a)
|
|
|
1,210
|
|
|
14,423
|
|
Capital Markets 0.1%
|
|
|
|
|
|
|
|
E*Trade Financial Corp. (a)
|
|
|
4,900
|
|
|
41,601
|
|
Chemicals 0.2%
|
|
|
|
|
|
|
|
CF Industries Holdings, Inc.
|
|
|
320
|
|
|
54,707
|
|
Huntsman Corp.
|
|
|
2,250
|
|
|
28,800
|
|
|
|
|
|
|
|
83,507
|
|
Commercial Banks 0.3%
|
|
|
|
|
|
|
|
CIT Group, Inc. (a)
|
|
|
3,680
|
|
|
125,819
|
|
Diversified Telecommunication Services 0.1%
|
|
|
|
|
|
|
|
Level 3 Communications, Inc. (a)
|
|
|
3,000
|
|
|
63,690
|
|
Energy Equipment & Services 0.1%
|
|
|
|
|
|
|
|
Transocean Ltd.
|
|
|
1,400
|
|
|
57,162
|
|
Hotels, Restaurants & Leisure 0.0%
|
|
|
|
|
|
|
|
Travelport Worldwide Ltd. (a)
|
|
|
12,460
|
|
|
6,230
|
|
Media 0.9%
|
|
|
|
|
|
|
|
Charter Communications, Inc. (a)
|
|
|
5,800
|
|
|
363,660
|
|
DISH Network Corp., Class A
|
|
|
950
|
|
|
26,638
|
|
|
|
|
|
|
|
390,298
|
|
Oil, Gas & Consumable Fuels 0.1%
|
|
|
|
|
|
|
|
African Petroleum Corp. Ltd (a)
|
|
|
17,200
|
|
|
23,457
|
|
Paper & Forest Products 0.0%
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd. (a)(b)
|
|
|
2,507
|
|
|
2,961
|
|
Ainsworth Lumber Co. Ltd. (a)
|
|
|
2,234
|
|
|
2,639
|
|
|
|
|
|
|
|
5,600
|
|
Road & Rail 0.2%
|
|
|
|
|
|
|
|
Dollar Thrifty Automotive Group,
Inc. (a)
|
|
|
1,000
|
|
|
81,580
|
|
Software 0.0%
|
|
|
|
|
|
|
|
Bankruptcy Management
Solutions, Inc. (a)
|
|
|
91
|
|
|
3
|
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
Shares
|
|
Value
|
|
Software (concluded)
|
|
|
|
|
|
|
|
HMH Holdings/EduMedia (a)
|
|
|
13,576
|
|
$
|
136
|
|
|
|
|
|
|
|
139
|
|
Total Common Stocks 4.4%
|
|
|
|
|
|
1,994,701
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds
|
|
Par
(000
)
|
|
|
|
|
Aerospace & Defense 0.9%
|
|
|
|
|
|
|
|
Huntington Ingalls Industries, Inc.,
6.88%, 3/15/18
|
|
USD
|
160
|
|
|
165,600
|
|
Kratos Defense & Security
Solutions, Inc., 10.00%,
6/01/17
|
|
|
210
|
|
|
222,600
|
|
|
|
|
|
|
|
388,200
|
|
Air Freight & Logistics 0.5%
|
|
|
|
|
|
|
|
National Air Cargo Group, Inc.:
|
|
|
|
|
|
|
|
Series 1, 12.38%, 9/02/15
|
|
|
102
|
|
|
105,215
|
|
Series 2, 12.38%, 8/16/15
|
|
|
103
|
|
|
106,396
|
|
|
|
|
|
|
|
211,611
|
|
Airlines 1.4%
|
|
|
|
|
|
|
|
Continental Airlines, Inc., Series
2010-1, Class B, 6.00%,
1/12/19
|
|
|
96
|
|
|
96,191
|
|
Delta Air Lines, Inc., Series 2002-
1, Class G-1, 6.72%, 1/02/23
|
|
|
104
|
|
|
110,208
|
|
United Air Lines, Inc., 12.75%,
7/15/12
|
|
|
246
|
|
|
247,975
|
|
US Airways Pass-Through Trust:
|
|
|
|
|
|
|
|
Series 2012-1, Class C,
9.13%, 10/01/15
|
|
|
80
|
|
|
80,000
|
|
Series 2011-1, Class C,
10.88%, 10/22/14
|
|
|
108
|
|
|
111,477
|
|
|
|
|
|
|
|
645,851
|
|
Auto Components 2.6%
|
|
|
|
|
|
|
|
Dana Holding Corp., 6.75%,
2/15/21
|
|
|
180
|
|
|
192,600
|
|
Delphi Corp., 6.13%, 5/15/21
|
|
|
30
|
|
|
31,950
|
|
Icahn Enterprises LP, 8.00%,
1/15/18
|
|
|
650
|
|
|
688,187
|
|
IDQ Holdings, Inc., 11.50%,
4/01/17 (b)
|
|
|
85
|
|
|
88,825
|
|
Jaguar Land Rover Plc, 8.25%,
3/15/20
|
|
GBP
|
100
|
|
|
151,192
|
|
|
|
|
|
|
|
1,152,754
|
|
Beverages 0.3%
|
|
|
|
|
|
|
|
Crown European Holdings SA,
7.13%, 8/15/18
|
|
EUR
|
92
|
|
|
121,437
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
1
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Biotechnology 0.1%
|
|
|
|
|
|
|
|
QHP Royalty Sub LLC, 10.25%,
3/15/15 (b)
|
|
USD
|
30
|
|
$
|
30,231
|
|
Building Products 0.6%
|
|
|
|
|
|
|
|
Building Materials Corp. of America (b):
|
|
|
|
|
|
|
|
7.00%, 2/15/20
|
|
|
20
|
|
|
21,000
|
|
6.75%, 5/01/21
|
|
|
190
|
|
|
194,275
|
|
Momentive Performance
Materials, Inc., 11.50%,
12/01/16
|
|
|
80
|
|
|
60,000
|
|
|
|
|
|
|
|
275,275
|
|
Capital Markets 1.1%
|
|
|
|
|
|
|
|
American Capital Ltd., 7.96%,
12/31/13
|
|
|
130
|
|
|
130,366
|
|
E*Trade Financial Corp.:
|
|
|
|
|
|
|
|
12.50%, 11/30/17
|
|
|
180
|
|
|
206,550
|
|
Series A, 2.36%, 8/31/19
(c)(d)
|
|
|
71
|
|
|
59,906
|
|
KKR Group Finance Co., 6.38%,
9/29/20 (b)
|
|
|
110
|
|
|
118,396
|
|
|
|
|
|
|
|
515,218
|
|
Chemicals 4.2%
|
|
|
|
|
|
|
|
American Pacific Corp., 9.00%,
2/01/15
|
|
|
140
|
|
|
139,300
|
|
Ashland, Inc., 9.13%, 6/01/17
|
|
|
5
|
|
|
5,488
|
|
Basell Finance Co. BV, 8.10%,
3/15/27 (b)
|
|
|
85
|
|
|
100,300
|
|
Celanese US Holdings LLC, 5.88%,
6/15/21
|
|
|
300
|
|
|
312,750
|
|
Chemtura Corp., 7.88%, 9/01/18
|
|
|
55
|
|
|
57,062
|
|
Hexion US Finance Corp.:
|
|
|
|
|
|
|
|
6.63%, 4/15/20 (b)
|
|
|
90
|
|
|
91,125
|
|
9.00%, 11/15/20
|
|
|
50
|
|
|
43,625
|
|
Huntsman International LLC,
8.63%, 3/15/21
|
|
|
25
|
|
|
28,000
|
|
Ineos Finance Plc (b):
|
|
|
|
|
|
|
|
8.38%, 2/15/19
|
|
|
100
|
|
|
102,750
|
|
7.50%, 5/01/20
|
|
|
75
|
|
|
74,250
|
|
Kinove German Bondco GmbH,
9.63%, 6/15/18 (b)
|
|
|
200
|
|
|
204,500
|
|
Kraton Polymers LLC, 6.75%,
3/01/19
|
|
|
20
|
|
|
20,500
|
|
LyondellBasell Industries NV,
5.75%, 4/15/24 (b)
|
|
|
460
|
|
|
471,500
|
|
Nexeo Solutions LLC, 8.38%,
3/01/18 (b)
|
|
|
30
|
|
|
28,800
|
|
PolyOne Corp., 7.38%, 9/15/20
|
|
|
35
|
|
|
36,925
|
|
Solutia, Inc., 7.88%, 3/15/20
|
|
|
105
|
|
|
122,850
|
|
TPC Group LLC, 8.25%, 10/01/17
|
|
|
55
|
|
|
57,750
|
|
|
|
|
|
|
|
1,897,475
|
|
Commercial Banks 1.4%
|
|
|
|
|
|
|
|
CIT Group, Inc.:
|
|
|
|
|
|
|
|
7.00%, 5/02/16 (b)
|
|
|
365
|
|
|
364,544
|
|
5.25%, 3/15/18
|
|
|
130
|
|
|
128,050
|
|
5.50%, 2/15/19 (b)
|
|
|
80
|
|
|
77,800
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds
|
|
Par
(000)
|
|
Value
|
|
Commercial Banks (concluded)
|
|
|
|
|
|
|
|
CIT Group, Inc. (concluded):
|
|
|
|
|
|
|
|
6.00%, 4/01/36
|
|
USD
|
90
|
|
$
|
80,901
|
|
|
|
|
|
|
|
651,295
|
|
Commercial Services & Supplies 2.4%
|
|
|
|
|
|
|
|
ARAMARK Corp., 8.50%, 2/01/15
|
|
|
64
|
|
|
65,520
|
|
ARAMARK Holdings Corp., 8.63%,
5/01/16 (b)(e)
|
|
|
70
|
|
|
71,576
|
|
Aviation Capital Group Corp.,
6.75%, 4/06/21 (b)
|
|
|
92
|
|
|
92,657
|
|
AWAS Aviation Capital Ltd., 7.00%,
10/17/16 (b)
|
|
|
171
|
|
|
176,764
|
|
Baker Corp. International, Inc.,
8.25%, 6/01/19 (b)
|
|
|
35
|
|
|
35,000
|
|
Brickman Group Holdings, Inc.,
9.13%, 11/01/18 (b)
|
|
|
7
|
|
|
6,720
|
|
Covanta Holding Corp., 6.38%,
10/01/22
|
|
|
135
|
|
|
139,979
|
|
Iron Mountain, Inc., 7.75%,
10/01/19
|
|
|
50
|
|
|
53,250
|
|
Mead Products LLC / ACCO
Brands Corp., 6.75%, 4/30/20
(b)
|
|
|
80
|
|
|
82,200
|
|
Mobile Mini, Inc., 7.88%,
12/01/20
|
|
|
60
|
|
|
63,000
|
|
RSC Equipment Rental, Inc.,
8.25%, 2/01/21
|
|
|
148
|
|
|
156,510
|
|
Verisure Holding AB, 8.75%,
9/01/18
|
|
EUR
|
100
|
|
|
115,922
|
|
West Corp., 8.63%, 10/01/18
|
|
USD
|
25
|
|
|
26,062
|
|
|
|
|
|
|
|
1,085,160
|
|
Communications Equipment 0.7%
|
|
|
|
|
|
|
|
Avaya, Inc., 9.75%, 11/01/15
|
|
|
40
|
|
|
33,000
|
|
Consolidated Communications
Finance Co., 10.88%,
6/01/20 (b)
|
|
|
110
|
|
|
110,000
|
|
Frontier Communications Corp.,
6.25%, 1/15/13
|
|
|
150
|
|
|
153,375
|
|
|
|
|
|
|
|
296,375
|
|
Computers & Peripherals 0.1%
|
|
|
|
|
|
|
|
SanDisk Corp., 1.50%,
8/15/17 (d)
|
|
|
40
|
|
|
39,800
|
|
Construction & Engineering 0.2%
|
|
|
|
|
|
|
|
Boart Longyear Management
Property Ltd., 7.00%,
4/01/21 (b)
|
|
|
35
|
|
|
36,137
|
|
URS Corp., 5.00%, 4/01/22 (b)
|
|
|
60
|
|
|
59,398
|
|
|
|
|
|
|
|
95,535
|
|
Construction Materials 1.3%
|
|
|
|
|
|
|
|
HD Supply, Inc. (b):
|
|
|
|
|
|
|
|
8.13%, 4/15/19
|
|
|
220
|
|
|
229,350
|
|
11.00%, 4/15/20
|
|
|
230
|
|
|
237,475
|
|
Xefin Lux SCA, 8.00%, 6/01/18
|
|
EUR
|
100
|
|
|
113,140
|
|
|
|
|
|
|
|
579,965
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
2
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Consumer
Finance 1.4%
|
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%,
2/01/17
|
|
USD
|
80
|
|
$
|
86,000
|
|
Ford Motor Credit Co. LLC:
|
|
|
|
|
|
|
|
7.00%, 4/15/15
|
|
|
120
|
|
|
134,700
|
|
12.00%, 5/15/15
|
|
|
120
|
|
|
151,500
|
|
6.63%, 8/15/17
|
|
|
230
|
|
|
267,062
|
|
|
|
|
|
|
|
639,262
|
|
Containers & Packaging 1.3%
|
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc,
9.13%, 10/15/20 (b)
|
|
|
200
|
|
|
206,000
|
|
Berry Plastics Corp.:
|
|
|
|
|
|
|
|
4.34%, 9/15/14 (f)
|
|
|
50
|
|
|
48,937
|
|
8.25%, 11/15/15
|
|
|
20
|
|
|
21,150
|
|
9.50%, 5/15/18
|
|
|
35
|
|
|
35,875
|
|
9.75%, 1/15/21
|
|
|
50
|
|
|
52,000
|
|
Graphic Packaging International,
Inc., 7.88%, 10/01/18
|
|
|
60
|
|
|
66,150
|
|
Sealed Air Corp., 8.38%,
9/15/21 (b)
|
|
|
40
|
|
|
44,000
|
|
Smurfit Kappa Acquisitions,
7.75%, 11/15/19
|
|
EUR
|
64
|
|
|
83,093
|
|
Tekni-Plex, Inc., 9.75%,
6/01/19 (b)
|
|
USD
|
30
|
|
|
29,775
|
|
|
|
|
|
|
|
586,980
|
|
Diversified Consumer Services 0.4%
|
|
|
|
|
|
|
|
ServiceMaster Co., 8.00%,
2/15/20
|
|
|
165
|
|
|
173,044
|
|
Diversified Financial Services 5.3%
|
|
|
|
|
|
|
|
Ally Financial, Inc.:
|
|
|
|
|
|
|
|
8.00%, 3/15/20
|
|
|
300
|
|
|
338,250
|
|
8.00%, 11/01/31
|
|
|
800
|
|
|
900,000
|
|
CNG Holdings, Inc., 9.38%,
5/15/20 (b)
|
|
|
50
|
|
|
50,250
|
|
DPL, Inc., 7.25%, 10/15/21 (b)
|
|
|
195
|
|
|
212,063
|
|
Leucadia National Corp., 8.13%,
9/15/15
|
|
|
140
|
|
|
156,450
|
|
Reynolds Group Issuer, Inc. (b):
|
|
|
|
|
|
|
|
9.88%, 8/15/19
|
|
|
375
|
|
|
374,062
|
|
6.88%, 2/15/21
|
|
|
215
|
|
|
218,225
|
|
WMG Acquisition Corp.:
|
|
|
|
|
|
|
|
9.50%, 6/15/16 (b)
|
|
|
20
|
|
|
21,350
|
|
11.50%, 10/01/18
|
|
|
95
|
|
|
101,175
|
|
|
|
|
|
|
|
2,371,825
|
|
Diversified Telecommunication Services 1.9%
|
|
|
|
|
|
|
|
Broadview Networks Holdings,
Inc., 11.38%, 9/01/12
|
|
|
195
|
|
|
150,150
|
|
Level 3 Financing, Inc.:
|
|
|
|
|
|
|
|
8.13%, 7/01/19
|
|
|
440
|
|
|
440,000
|
|
8.63%, 7/15/20 (b)
|
|
|
160
|
|
|
163,200
|
|
Windstream Corp.:
|
|
|
|
|
|
|
|
8.13%, 8/01/13
|
|
|
25
|
|
|
26,313
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds
|
|
Par
(000)
|
|
Value
|
|
Diversified Telecommunication Services (concluded)
|
|
|
|
|
|
|
|
Windstream Corp. (concluded):
|
|
|
|
|
|
|
|
7.88%, 11/01/17
|
|
USD
|
70
|
|
$
|
74,550
|
|
|
|
|
|
|
|
854,213
|
|
Electronic Equipment, Instruments & Components
0.2%
|
|
|
|
|
|
|
|
CDW LLC/CDW Finance Corp.,
8.50%, 4/01/19
|
|
|
35
|
|
|
35,963
|
|
Jabil Circuit, Inc., 8.25%, 3/15/18
|
|
|
40
|
|
|
46,400
|
|
|
|
|
|
|
|
82,363
|
|
Energy Equipment & Services 3.3%
|
|
|
|
|
|
|
|
Antero Resources Finance Corp.,
7.25%, 8/01/19 (b)
|
|
|
25
|
|
|
25,313
|
|
Atwood Oceanics, Inc., 6.50%,
2/01/20
|
|
|
25
|
|
|
25,875
|
|
Calfrac Holdings LP, 7.50%,
12/01/20 (b)
|
|
|
65
|
|
|
61,100
|
|
Cie Generale de Geophysique - Veritas:
|
|
|
|
|
|
|
|
7.75%, 5/15/17
|
|
|
65
|
|
|
66,950
|
|
6.50%, 6/01/21
|
|
|
200
|
|
|
196,000
|
|
Forbes Energy Services Ltd.,
9.00%, 6/15/19
|
|
|
60
|
|
|
55,650
|
|
Frac Tech Services LLC, 8.13%,
11/15/18 (b)
|
|
|
295
|
|
|
292,050
|
|
Gulfmark Offshore, Inc., 6.38%,
3/15/22 (b)
|
|
|
25
|
|
|
25,125
|
|
Hornbeck Offshore Services, Inc.,
5.88%, 4/01/20 (b)
|
|
|
50
|
|
|
49,000
|
|
Key Energy Services, Inc., 6.75%,
3/01/21
|
|
|
75
|
|
|
75,281
|
|
MEG Energy Corp., 6.50%,
3/15/21 (b)
|
|
|
205
|
|
|
209,100
|
|
Oil States International, Inc.,
6.50%, 6/01/19
|
|
|
50
|
|
|
51,625
|
|
Peabody Energy Corp.:
|
|
|
|
|
|
|
|
6.25%, 11/15/21 (b)
|
|
|
230
|
|
|
229,425
|
|
7.88%, 11/01/26
|
|
|
65
|
|
|
67,275
|
|
Precision Drilling Corp.:
|
|
|
|
|
|
|
|
6.63%, 11/15/20
|
|
|
25
|
|
|
25,375
|
|
6.50%, 12/15/21
|
|
|
45
|
|
|
45,337
|
|
|
|
|
|
|
|
1,500,481
|
|
Food & Staples Retailing 0.1%
|
|
|
|
|
|
|
|
Rite Aid Corp., 9.25%, 3/15/20 (b)
|
|
|
60
|
|
|
57,450
|
|
Food Products 0.3%
|
|
|
|
|
|
|
|
Darling International, Inc., 8.50%,
12/15/18
|
|
|
20
|
|
|
22,325
|
|
Del Monte Corp., 7.63%, 2/15/19
|
|
|
55
|
|
|
53,350
|
|
Post Holdings, Inc., 7.38%,
2/15/22 (b)
|
|
|
40
|
|
|
40,700
|
|
Smithfield Foods, Inc., 10.00%,
7/15/14
|
|
|
6
|
|
|
6,900
|
|
|
|
|
|
|
|
123,275
|
|
Health Care Equipment & Supplies 2.2%
|
|
|
|
|
|
|
|
Biomet, Inc.:
|
|
|
|
|
|
|
|
10.00%, 10/15/17
|
|
|
35
|
|
|
37,231
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
3
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Health Care Equipment & Supplies (concluded)
|
|
|
|
|
|
|
|
Biomet, Inc. (concluded):
|
|
|
|
|
|
|
|
10.38%, 10/15/17 (e)
|
|
USD
|
440
|
|
$
|
468,325
|
|
DJO Finance LLC:
|
|
|
|
|
|
|
|
10.88%, 11/15/14
|
|
|
86
|
|
|
87,505
|
|
8.75%, 3/15/18 (b)
|
|
|
75
|
|
|
75,375
|
|
7.75%, 4/15/18
|
|
|
20
|
|
|
16,150
|
|
Fresenius Medical Care US
Finance II, Inc., 5.88%,
1/31/22 (b)
|
|
|
110
|
|
|
109,450
|
|
Fresenius Medical Care US
Finance, Inc., 6.50%,
9/15/18 (b)
|
|
|
54
|
|
|
56,295
|
|
Fresenius US Finance II, Inc.,
9.00%, 7/15/15 (b)
|
|
|
80
|
|
|
91,400
|
|
Teleflex, Inc., 6.88%, 6/01/19
|
|
|
50
|
|
|
53,000
|
|
|
|
|
|
|
|
994,731
|
|
Health Care Providers & Services 5.8%
|
|
|
|
|
|
|
|
Aviv Healthcare Properties LP:
|
|
|
|
|
|
|
|
7.75%, 2/15/19
|
|
|
65
|
|
|
67,600
|
|
7.75%, 2/15/19 (b)
|
|
|
30
|
|
|
30,900
|
|
Crown Newco 3 Plc, 7.00%,
2/15/18
|
|
GBP
|
100
|
|
|
146,799
|
|
HCA, Inc.:
|
|
|
|
|
|
|
|
8.50%, 4/15/19
|
|
USD
|
25
|
|
|
27,594
|
|
6.50%, 2/15/20
|
|
|
335
|
|
|
353,844
|
|
7.88%, 2/15/20
|
|
|
115
|
|
|
126,212
|
|
7.25%, 9/15/20
|
|
|
410
|
|
|
446,900
|
|
5.88%, 3/15/22
|
|
|
45
|
|
|
44,663
|
|
IASIS Healthcare LLC, 8.38%,
5/15/19
|
|
|
265
|
|
|
249,100
|
|
INC Research LLC, 11.50%,
7/15/19 (b)
|
|
|
70
|
|
|
66,237
|
|
inVentiv Health, Inc. (b):
|
|
|
|
|
|
|
|
10.00%, 8/15/18
|
|
|
5
|
|
|
4,200
|
|
10.00%, 8/15/18
|
|
|
20
|
|
|
16,900
|
|
Omnicare, Inc., 7.75%, 6/01/20
|
|
|
160
|
|
|
175,600
|
|
PSS World Medical, Inc., 6.38%,
3/01/22 (b)
|
|
|
50
|
|
|
50,500
|
|
Symbion, Inc., 8.00%, 6/15/16
|
|
|
55
|
|
|
53,625
|
|
Tenet Healthcare Corp.:
|
|
|
|
|
|
|
|
10.00%, 5/01/18
|
|
|
164
|
|
|
186,960
|
|
6.25%, 11/01/18 (b)
|
|
|
55
|
|
|
55,550
|
|
8.88%, 7/01/19
|
|
|
340
|
|
|
378,250
|
|
United Surgical Partners
International, Inc., 9.00%,
4/01/20 (b)
|
|
|
50
|
|
|
51,875
|
|
Vanguard Health Holding Co. II
LLC, 7.75%, 2/01/19 (b)
|
|
|
75
|
|
|
73,500
|
|
|
|
|
|
|
|
2,606,809
|
|
Health Care Technology 1.1%
|
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%,
3/01/18 (b)
|
|
|
410
|
|
|
479,700
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Hotels, Restaurants &
Leisure 4.0%
|
|
|
|
|
|
|
|
Caesars Entertainment Operating Co.,
Inc.:
|
|
|
|
|
|
|
|
11.25%, 6/01/17
|
|
USD
|
165
|
|
$
|
175,312
|
|
10.00%, 12/15/18
|
|
|
640
|
|
|
432,000
|
|
Caesars Operating Escrow LLC.,
8.50%, 2/15/20 (b)
|
|
|
75
|
|
|
74,719
|
|
Diamond Resorts Corp., 12.00%,
8/15/18
|
|
|
200
|
|
|
215,500
|
|
El Dorado Resorts LLC, 8.63%,
6/15/19 (b)
|
|
|
25
|
|
|
23,437
|
|
MGM Resorts International:
|
|
|
|
|
|
|
|
10.38%, 5/15/14
|
|
|
345
|
|
|
388,125
|
|
4.25%, 4/15/15 (d)
|
|
|
140
|
|
|
138,425
|
|
11.13%, 11/15/17
|
|
|
185
|
|
|
207,200
|
|
Travelport LLC:
|
|
|
|
|
|
|
|
5.09%, 9/01/14 (f)
|
|
|
20
|
|
|
12,650
|
|
9.88%, 9/01/14
|
|
|
5
|
|
|
3,488
|
|
6.47%, 12/01/16 (b)(e)
|
|
|
67
|
|
|
48,250
|
|
Tropicana Entertainment LLC,
9.63%, 12/15/14 (a)(g)
|
|
|
25
|
|
|
|
|
Wynn Las Vegas LLC, 5.38%,
3/15/22 (b)
|
|
|
100
|
|
|
96,875
|
|
|
|
|
|
|
|
1,815,981
|
|
Household Durables 2.0%
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc., 12.00%,
10/15/17
|
|
|
190
|
|
|
204,725
|
|
Jarden Corp., 8.00%, 5/01/16
|
|
|
40
|
|
|
43,300
|
|
Libbey Glass, Inc., 6.88%,
5/15/20 (b)
|
|
|
40
|
|
|
40,100
|
|
Ryland Group, Inc., 6.63%,
5/01/20
|
|
|
60
|
|
|
60,300
|
|
Spie BondCo 3 SCA, 11.00%,
8/15/19
|
|
EUR
|
100
|
|
|
117,158
|
|
Standard Pacific Corp.:
|
|
|
|
|
|
|
|
10.75%, 9/15/16
|
|
USD
|
300
|
|
|
350,250
|
|
8.38%, 1/15/21
|
|
|
95
|
|
|
101,650
|
|
|
|
|
|
|
|
917,483
|
|
Household Products 0.7%
|
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 (b)
|
|
EUR
|
100
|
|
|
118,086
|
|
Spectrum Brands Holdings, Inc.:
|
|
|
|
|
|
|
|
9.50%, 6/15/18
|
|
USD
|
60
|
|
|
66,300
|
|
9.50%, 6/15/18 (b)
|
|
|
100
|
|
|
110,500
|
|
|
|
|
|
|
|
294,886
|
|
Independent Power Producers & Energy Traders
3.2%
|
|
|
|
|
|
|
|
The AES Corp., 7.38%,
7/01/21 (b)
|
|
|
45
|
|
|
48,600
|
|
Calpine Corp. (b):
|
|
|
|
|
|
|
|
7.25%, 10/15/17
|
|
|
30
|
|
|
31,650
|
|
7.50%, 2/15/21
|
|
|
15
|
|
|
15,675
|
|
7.88%, 1/15/23
|
|
|
30
|
|
|
31,725
|
|
Energy Future Holdings Corp.,
10.00%, 1/15/20
|
|
|
330
|
|
|
350,625
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
4
|
|
|
|
|
Schedule
of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Independent
Power Producers & Energy Traders (concluded)
|
|
|
|
|
|
|
|
Energy Future Intermediate Holding Co.
LLC:
|
|
|
|
|
|
|
|
10.00%, 12/01/20
|
|
USD
|
453
|
|
$
|
488,107
|
|
11.75%, 3/01/22 (b)
|
|
|
240
|
|
|
244,800
|
|
Laredo Petroleum, Inc.:
|
|
|
|
|
|
|
|
9.50%, 2/15/19
|
|
|
90
|
|
|
99,900
|
|
7.38%, 5/01/22 (b)
|
|
|
70
|
|
|
71,575
|
|
QEP Resources, Inc., 5.38%,
10/01/22
|
|
|
56
|
|
|
54,740
|
|
|
|
|
|
|
|
1,437,397
|
|
Industrial Conglomerates 2.2%
|
|
|
|
|
|
|
|
Sequa Corp. (b):
|
|
|
|
|
|
|
|
11.75%, 12/01/15
|
|
|
350
|
|
|
371,437
|
|
13.50%, 12/01/15
|
|
|
586
|
|
|
621,656
|
|
|
|
|
|
|
|
993,093
|
|
Insurance 0.4%
|
|
|
|
|
|
|
|
CNO Financial Group, Inc., 9.00%,
1/15/18 (b)
|
|
|
61
|
|
|
64,660
|
|
Genworth Financial, Inc., 7.63%,
9/24/21
|
|
|
70
|
|
|
67,932
|
|
MPL 2 Acquisition Canco, Inc.,
9.88%, 8/15/18 (b)
|
|
|
40
|
|
|
34,400
|
|
|
|
|
|
|
|
166,992
|
|
IT Services 2.5%
|
|
|
|
|
|
|
|
Alliance Data Systems Corp.,
6.38%, 4/01/20 (b)
|
|
|
60
|
|
|
59,700
|
|
Epicor Software Corp., 8.63%,
5/01/19
|
|
|
87
|
|
|
87,218
|
|
First Data Corp.:
|
|
|
|
|
|
|
|
7.38%, 6/15/19 (b)
|
|
|
255
|
|
|
255,000
|
|
8.88%, 8/15/20 (b)
|
|
|
90
|
|
|
96,075
|
|
8.25%, 1/15/21 (b)
|
|
|
100
|
|
|
97,000
|
|
12.63%, 1/15/21
|
|
|
266
|
|
|
250,705
|
|
SunGard Data Systems, Inc.:
|
|
|
|
|
|
|
|
7.38%, 11/15/18
|
|
|
150
|
|
|
152,625
|
|
7.63%, 11/15/20
|
|
|
100
|
|
|
102,500
|
|
|
|
|
|
|
|
1,100,823
|
|
Machinery 1.3%
|
|
|
|
|
|
|
|
SPX Corp., 6.88%, 9/01/17
|
|
|
30
|
|
|
32,700
|
|
UR Financing Escrow Corp. (b):
|
|
|
|
|
|
|
|
5.75%, 7/15/18
|
|
|
43
|
|
|
43,753
|
|
7.38%, 5/15/20
|
|
|
75
|
|
|
76,875
|
|
7.63%, 4/15/22
|
|
|
421
|
|
|
430,472
|
|
|
|
|
|
|
|
583,800
|
|
Media 14.8%
|
|
|
|
|
|
|
|
Affinion Group, Inc., 7.88%,
12/15/18
|
|
|
130
|
|
|
109,850
|
|
AMC Networks, Inc., 7.75%,
7/15/21 (b)
|
|
|
40
|
|
|
44,400
|
|
CCO Holdings LLC:
|
|
|
|
|
|
|
|
7.38%, 6/01/20
|
|
|
40
|
|
|
42,800
|
|
6.50%, 4/30/21
|
|
|
378
|
|
|
386,505
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Media
(continued)
|
|
|
|
|
|
|
|
Cengage Learning Acquisitions,
Inc., 11.50%, 4/15/20 (b)
|
|
USD
|
175
|
|
$
|
174,562
|
|
Checkout Holding Corp., 10.67%,
11/15/15 (b)(c)
|
|
|
110
|
|
|
42,900
|
|
Cinemark USA, Inc., 8.63%,
6/15/19
|
|
|
35
|
|
|
38,063
|
|
Clear Channel Communications,
Inc., 9.00%, 3/01/21
|
|
|
95
|
|
|
81,700
|
|
Clear Channel Worldwide Holdings, Inc.:
|
|
|
|
|
|
|
|
9.25%, 12/15/17
|
|
|
246
|
|
|
263,220
|
|
7.63%, 3/15/20 (b)
|
|
|
332
|
|
|
317,060
|
|
Series B, 9.25%, 12/15/17
|
|
|
882
|
|
|
948,150
|
|
Cox Enterprises, Inc.:
|
|
|
|
|
|
|
|
Loan Close 2, 12.00%,
8/15/18
|
|
|
128
|
|
|
129,379
|
|
Loan Close 3, 12.00%,
8/15/18
|
|
|
147
|
|
|
147,918
|
|
Shares Loan, 12.00%,
8/15/18
|
|
|
151
|
|
|
152,556
|
|
CSC Holdings LLC, 8.50%,
4/15/14
|
|
|
80
|
|
|
88,100
|
|
DISH DBS Corp., 5.88%,
7/15/22 (b)
|
|
|
160
|
|
|
156,000
|
|
Gray Television, Inc., 10.50%,
6/29/15
|
|
|
95
|
|
|
97,850
|
|
Harron Communications LP,
9.13%, 4/01/20 (b)
|
|
|
60
|
|
|
62,850
|
|
Intelsat Jackson Holdings SA:
|
|
|
|
|
|
|
|
11.25%, 6/15/16
|
|
|
139
|
|
|
145,081
|
|
7.25%, 10/15/20 (b)
|
|
|
150
|
|
|
148,875
|
|
Intelsat Luxemburg SA:
|
|
|
|
|
|
|
|
11.25%, 2/04/17
|
|
|
210
|
|
|
206,325
|
|
11.50%, 2/04/17 (e)
|
|
|
173
|
|
|
169,972
|
|
Interactive Data Corp., 10.25%,
8/01/18
|
|
|
220
|
|
|
243,650
|
|
The Interpublic Group of Cos., Inc.,
10.00%, 7/15/17
|
|
|
55
|
|
|
62,013
|
|
Kabel Deutschland Vertrieb und
Service GmbH, 6.50%, 6/29/18
|
|
EUR
|
100
|
|
|
129,214
|
|
Lamar Media Corp., 5.88%,
2/01/22 (b)
|
|
USD
|
25
|
|
|
25,156
|
|
Live Nation Entertainment, Inc.,
8.13%, 5/15/18 (b)
|
|
|
125
|
|
|
130,469
|
|
NAI Entertainment Holdings LLC,
8.25%, 12/15/17 (b)
|
|
|
105
|
|
|
114,450
|
|
The New York Times Co., 6.63%,
12/15/16
|
|
|
225
|
|
|
234,562
|
|
Nielsen Finance LLC, 7.75%,
10/15/18
|
|
|
600
|
|
|
645,000
|
|
ProQuest LLC, 9.00%,
10/15/18 (b)
|
|
|
85
|
|
|
73,100
|
|
ProtoStar I Ltd., 18.00%,
10/15/12 (a)(b)(d)(g)
|
|
|
414
|
|
|
207
|
|
Truven Health Analytics, Inc.,
10.63%, 6/01/20 (b)(h)
|
|
|
90
|
|
|
88,650
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
5
|
|
|
|
|
Schedule
of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Media
(concluded)
|
|
|
|
|
|
|
|
Unitymedia GmbH, 9.50%,
3/15/21
|
|
EUR
|
100
|
|
$
|
129,214
|
|
Unitymedia Hessen GmbH & Co.
KG:
|
|
|
|
|
|
|
|
8.13%, 12/01/17 (b)
|
|
USD
|
400
|
|
|
422,000
|
|
7.50%, 3/15/19
|
|
EUR
|
112
|
|
|
140,912
|
|
Ziggo Bond Co. BV, 8.00%,
5/15/18
|
|
|
65
|
|
|
85,999
|
|
Ziggo Finance BV, 6.13%,
11/15/17
|
|
|
120
|
|
|
155,799
|
|
|
|
|
|
|
|
6,634,511
|
|
Metals & Mining 3.0%
|
|
|
|
|
|
|
|
FMG Resources August 2006 Property
Ltd. (b):
|
|
|
|
|
|
|
|
6.88%, 2/01/18
|
|
USD
|
60
|
|
|
58,950
|
|
6.88%, 4/01/22
|
|
|
85
|
|
|
81,813
|
|
Global Brass and Copper, Inc.,
9.50%, 6/01/19 (b)(h)
|
|
|
50
|
|
|
50,500
|
|
Goldcorp, Inc., 2.00%,
8/01/14 (d)
|
|
|
85
|
|
|
95,306
|
|
Kaiser Aluminum Corp., 8.25%,
6/01/20 (b)
|
|
|
35
|
|
|
35,175
|
|
New Gold, Inc., 7.00%,
4/15/20 (b)
|
|
|
25
|
|
|
25,500
|
|
New World Resources NV, 7.88%,
5/01/18
|
|
EUR
|
110
|
|
|
125,474
|
|
Newmont Mining Corp., Series A,
1.25%, 7/15/14 (d)
|
|
USD
|
90
|
|
|
112,050
|
|
Novelis, Inc., 8.75%, 12/15/20
|
|
|
545
|
|
|
576,337
|
|
Schmolz + Bickenbach
Luxembourg SA, 9.88%,
5/15/19
|
|
EUR
|
100
|
|
|
118,704
|
|
Taseko Mines Ltd., 7.75%,
4/15/19
|
|
USD
|
70
|
|
|
66,500
|
|
|
|
|
|
|
|
1,346,309
|
|
Multiline Retail 2.2%
|
|
|
|
|
|
|
|
Dollar General Corp., 11.88%,
7/15/17 (f)
|
|
|
929
|
|
|
994,039
|
|
Oil, Gas & Consumable Fuels 11.9%
|
|
|
|
|
|
|
|
Alpha Appalachia Holdings, Inc.,
3.25%, 8/01/15 (d)
|
|
|
50
|
|
|
42,125
|
|
Alpha Natural Resources, Inc.:
|
|
|
|
|
|
|
|
6.00%, 6/01/19
|
|
|
20
|
|
|
17,900
|
|
6.25%, 6/01/21
|
|
|
80
|
|
|
71,200
|
|
Aurora USA Oil & Gas, Inc., 9.88%,
2/15/17 (b)
|
|
|
80
|
|
|
83,600
|
|
Berry Petroleum Co., 6.38%,
9/15/22
|
|
|
70
|
|
|
71,400
|
|
BreitBurn Energy Partners LP,
7.88%, 4/15/22 (b)
|
|
|
40
|
|
|
39,200
|
|
CCS, Inc., 11.00%, 11/15/15 (b)
|
|
|
95
|
|
|
98,325
|
|
Chaparral Energy, Inc., 7.63%,
11/15/22 (b)
|
|
|
35
|
|
|
35,788
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Oil, Gas
& Consumable Fuels (continued)
|
|
|
|
|
|
|
|
Chesapeake Energy Corp.:
|
|
|
|
|
|
|
|
6.63%, 8/15/20
|
|
USD
|
35
|
|
$
|
32,900
|
|
6.88%, 11/15/20
|
|
|
30
|
|
|
28,425
|
|
6.13%, 2/15/21
|
|
|
95
|
|
|
89,300
|
|
Chesapeake Midstream Partners
LP, 6.13%, 7/15/22
|
|
|
45
|
|
|
42,750
|
|
Coffeyville Resources LLC, 9.00%,
4/01/15 (b)
|
|
|
20
|
|
|
21,300
|
|
Concho Resources, Inc.:
|
|
|
|
|
|
|
|
7.00%, 1/15/21
|
|
|
25
|
|
|
26,813
|
|
6.50%, 1/15/22
|
|
|
20
|
|
|
20,900
|
|
5.50%, 10/01/22
|
|
|
80
|
|
|
78,600
|
|
Consol Energy, Inc., 8.25%,
4/01/20
|
|
|
330
|
|
|
330,000
|
|
Continental Resources, Inc.,
7.13%, 4/01/21
|
|
|
60
|
|
|
66,000
|
|
Copano Energy LLC, 7.13%,
4/01/21
|
|
|
55
|
|
|
56,650
|
|
Crosstex Energy LP:
|
|
|
|
|
|
|
|
8.88%, 2/15/18
|
|
|
30
|
|
|
31,500
|
|
7.13%, 6/01/22 (b)
|
|
|
25
|
|
|
24,813
|
|
Denbury Resources, Inc., 8.25%,
2/15/20
|
|
|
9
|
|
|
9,720
|
|
Energy XXI Gulf Coast, Inc.:
|
|
|
|
|
|
|
|
9.25%, 12/15/17
|
|
|
90
|
|
|
96,750
|
|
7.75%, 6/15/19
|
|
|
150
|
|
|
151,500
|
|
EV Energy Partners LP, 8.00%,
4/15/19
|
|
|
25
|
|
|
25,250
|
|
Everest Acquisition LLC / Everest
Acquisition Finance, Inc. (b):
|
|
|
|
|
|
|
|
6.88%, 5/01/19
|
|
|
65
|
|
|
66,625
|
|
9.38%, 5/01/20
|
|
|
45
|
|
|
46,125
|
|
Hilcorp Energy I LP, 7.63%,
4/15/21 (b)
|
|
|
125
|
|
|
130,625
|
|
Holly Energy Partners LP, 6.50%,
3/01/20 (b)
|
|
|
25
|
|
|
24,875
|
|
Kodiak Oil & Gas Corp., 8.13%,
12/01/19 (b)
|
|
|
70
|
|
|
72,100
|
|
Linn Energy LLC:
|
|
|
|
|
|
|
|
6.50%, 5/15/19 (b)
|
|
|
15
|
|
|
14,550
|
|
6.25%, 11/01/19 (b)
|
|
|
385
|
|
|
366,712
|
|
8.63%, 4/15/20
|
|
|
40
|
|
|
42,400
|
|
7.75%, 2/01/21
|
|
|
75
|
|
|
76,687
|
|
MarkWest Energy Partners LP:
|
|
|
|
|
|
|
|
6.75%, 11/01/20
|
|
|
10
|
|
|
10,625
|
|
6.25%, 6/15/22
|
|
|
15
|
|
|
15,375
|
|
Newfield Exploration Co., 6.88%,
2/01/20
|
|
|
135
|
|
|
143,100
|
|
Northern Oil and Gas, Inc., 8.00%,
6/01/20 (b)
|
|
|
55
|
|
|
54,725
|
|
Oasis Petroleum, Inc.:
|
|
|
|
|
|
|
|
7.25%, 2/01/19
|
|
|
55
|
|
|
56,650
|
|
6.50%, 11/01/21
|
|
|
50
|
|
|
50,000
|
|
Offshore Group Investments Ltd.,
11.50%, 8/01/15 (b)
|
|
|
180
|
|
|
191,700
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
6
|
|
|
|
|
Schedule
of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Oil, Gas
& Consumable Fuels (concluded)
|
|
|
|
|
|
|
|
OGX Petroleo e Gas
Participacoes SA (b):
|
|
|
|
|
|
|
|
8.50%, 6/01/18
|
|
USD
|
900
|
|
$
|
866,250
|
|
8.38%, 4/01/22
|
|
|
200
|
|
|
189,500
|
|
PBF Holding Co. LLC, 8.25%,
2/15/20 (b)
|
|
|
50
|
|
|
48,000
|
|
PetroBakken Energy Ltd., 8.63%,
2/01/20 (b)
|
|
|
220
|
|
|
223,300
|
|
Petrohawk Energy Corp., 7.25%,
8/15/18
|
|
|
55
|
|
|
62,685
|
|
Petroleum Geo-Services ASA,
7.38%, 12/15/18 (b)
|
|
|
95
|
|
|
98,325
|
|
Pioneer Natural Resources Co.:
|
|
|
|
|
|
|
|
6.88%, 5/01/18
|
|
|
75
|
|
|
88,265
|
|
7.50%, 1/15/20
|
|
|
25
|
|
|
30,913
|
|
Plains Exploration & Production Co.:
|
|
|
|
|
|
|
|
6.63%, 5/01/21
|
|
|
95
|
|
|
93,575
|
|
6.75%, 2/01/22
|
|
|
10
|
|
|
9,900
|
|
Range Resources Corp.:
|
|
|
|
|
|
|
|
8.00%, 5/15/19
|
|
|
20
|
|
|
21,800
|
|
5.75%, 6/01/21
|
|
|
160
|
|
|
164,800
|
|
5.00%, 8/15/22
|
|
|
74
|
|
|
71,040
|
|
Samson Investment Co., 9.75%,
2/15/20 (b)
|
|
|
115
|
|
|
114,425
|
|
SandRidge Energy, Inc.:
|
|
|
|
|
|
|
|
7.50%, 3/15/21
|
|
|
45
|
|
|
43,650
|
|
8.13%, 10/15/22 (b)
|
|
|
45
|
|
|
44,325
|
|
SESI LLC:
|
|
|
|
|
|
|
|
6.38%, 5/01/19
|
|
|
55
|
|
|
57,750
|
|
7.13%, 12/15/21 (b)
|
|
|
40
|
|
|
43,600
|
|
SM Energy Co.:
|
|
|
|
|
|
|
|
6.63%, 2/15/19
|
|
|
20
|
|
|
20,600
|
|
6.50%, 11/15/21
|
|
|
45
|
|
|
46,012
|
|
Vanguard Natural Resources,
7.88%, 4/01/20
|
|
|
40
|
|
|
39,500
|
|
|
|
|
|
|
|
5,333,798
|
|
Paper & Forest Products 1.2%
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (b)(e)
|
|
|
22
|
|
|
17,661
|
|
Boise Paper Holdings LLC:
|
|
|
|
|
|
|
|
9.00%, 11/01/17
|
|
|
15
|
|
|
16,538
|
|
8.00%, 4/01/20
|
|
|
5
|
|
|
5,475
|
|
Clearwater Paper Corp.:
|
|
|
|
|
|
|
|
10.63%, 6/15/16
|
|
|
70
|
|
|
78,050
|
|
7.13%, 11/01/18
|
|
|
95
|
|
|
99,987
|
|
Longview Fibre Paper &
Packaging, Inc., 8.00%,
6/01/16 (b)
|
|
|
55
|
|
|
54,588
|
|
NewPage Corp., 11.38%,
12/31/14 (a)(g)
|
|
|
365
|
|
|
226,300
|
|
Sappi Papier Holding GmbH,
6.63%, 4/15/21 (b)
|
|
|
25
|
|
|
23,500
|
|
|
|
|
|
|
|
522,099
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Pharmaceuticals
0.7%
|
|
|
|
|
|
|
|
Pharmaceutical Product
Development Inc., 9.50%,
12/01/19 (b)
|
|
USD
|
35
|
|
$
|
37,275
|
|
Spectrum Brands, Inc., 6.75%,
3/15/20 (b)
|
|
|
45
|
|
|
45,563
|
|
Valeant Pharmaceuticals
International, 6.50%,
7/15/16 (b)
|
|
|
225
|
|
|
229,500
|
|
|
|
|
|
|
|
312,338
|
|
Professional Services 0.6%
|
|
|
|
|
|
|
|
FTI Consulting, Inc.:
|
|
|
|
|
|
|
|
7.75%, 10/01/16
|
|
|
100
|
|
|
103,750
|
|
6.75%, 10/01/20
|
|
|
150
|
|
|
157,875
|
|
|
|
|
|
|
|
261,625
|
|
Real Estate Investment Trusts (REITs) 0.8%
|
|
|
|
|
|
|
|
Felcor Lodging LP, 6.75%,
6/01/19
|
|
|
250
|
|
|
250,625
|
|
The Rouse Co. LP, 6.75%,
11/09/15
|
|
|
85
|
|
|
88,825
|
|
|
|
|
|
|
|
339,450
|
|
Real Estate Management & Development 2.0%
|
|
|
|
|
|
|
|
CBRE Services, Inc., 6.63%,
10/15/20
|
|
|
55
|
|
|
58,575
|
|
Realogy Corp.:
|
|
|
|
|
|
|
|
11.50%, 4/15/17
|
|
|
60
|
|
|
53,100
|
|
12.00%, 4/15/17
|
|
|
15
|
|
|
13,275
|
|
7.88%, 2/15/19 (b)
|
|
|
400
|
|
|
380,000
|
|
7.63%, 1/15/20 (b)
|
|
|
120
|
|
|
123,300
|
|
9.00%, 1/15/20 (b)
|
|
|
60
|
|
|
60,000
|
|
Shea Homes LP, 8.63%, 5/15/19
|
|
|
205
|
|
|
213,713
|
|
|
|
|
|
|
|
901,963
|
|
Road & Rail 1.0%
|
|
|
|
|
|
|
|
Avis Budget Car Rental LLC,
8.25%, 1/15/19
|
|
|
25
|
|
|
25,875
|
|
Florida East Coast Railway Corp.,
8.13%, 2/01/17
|
|
|
80
|
|
|
82,000
|
|
Hertz Corp.:
|
|
|
|
|
|
|
|
7.50%, 10/15/18
|
|
|
130
|
|
|
135,362
|
|
6.75%, 4/15/19 (b)
|
|
|
50
|
|
|
51,125
|
|
7.38%, 1/15/21
|
|
|
165
|
|
|
173,044
|
|
|
|
|
|
|
|
467,406
|
|
Semiconductors & Semiconductor Equipment 0.1%
|
|
|
|
|
|
|
|
Spansion LLC, 7.88%, 11/15/17
|
|
|
50
|
|
|
48,000
|
|
Software 1.1%
|
|
|
|
|
|
|
|
Audatex North America, Inc.,
6.75%, 6/15/18 (b)
|
|
|
90
|
|
|
92,700
|
|
Lawson Software, Inc., 9.38%,
4/01/19 (b)
|
|
|
300
|
|
|
309,000
|
|
Sophia LP, 9.75%, 1/15/19 (b)
|
|
|
78
|
|
|
80,925
|
|
|
|
|
|
|
|
482,625
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
7
|
|
|
|
|
Schedule
of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Specialty
Retail 3.0%
|
|
|
|
|
|
|
|
Asbury Automotive Group,
Inc.:
|
|
|
|
|
|
|
|
7.63%, 3/15/17
|
|
USD
|
60
|
|
$
|
61,650
|
|
8.38%, 11/15/20
|
|
|
60
|
|
|
64,500
|
|
Claires Stores, Inc., 9.00%,
3/15/19 (b)
|
|
|
110
|
|
|
110,000
|
|
House of Fraser Funding Plc,
8.88%, 8/15/18
|
|
GBP
|
100
|
|
|
134,084
|
|
Limited Brands, Inc.:
|
|
|
|
|
|
|
|
8.50%, 6/15/19
|
|
USD
|
140
|
|
|
164,675
|
|
5.63%, 2/15/22
|
|
|
25
|
|
|
25,188
|
|
Penske Automotive Group, Inc.,
7.75%, 12/15/16
|
|
|
165
|
|
|
170,775
|
|
Phones4u Finance Plc, 9.50%,
4/01/18
|
|
GBP
|
100
|
|
|
134,084
|
|
QVC, Inc. (b):
|
|
|
|
|
|
|
|
7.13%, 4/15/17
|
|
USD
|
40
|
|
|
42,400
|
|
7.50%, 10/01/19
|
|
|
100
|
|
|
108,750
|
|
7.38%, 10/15/20
|
|
|
55
|
|
|
59,950
|
|
Sally Holdings LLC:
|
|
|
|
|
|
|
|
6.88%, 11/15/19 (b)
|
|
|
90
|
|
|
95,850
|
|
5.75%, 6/01/22
|
|
|
70
|
|
|
70,787
|
|
Sonic Automotive, Inc., 9.00%,
3/15/18
|
|
|
65
|
|
|
70,200
|
|
Toys R US-Delaware, Inc., 7.38%,
9/01/16 (b)
|
|
|
25
|
|
|
25,188
|
|
|
|
|
|
|
|
1,338,081
|
|
Textiles, Apparel & Luxury Goods 0.2%
|
|
|
|
|
|
|
|
Levi Strauss & Co., 6.88%,
5/01/22 (b)
|
|
|
75
|
|
|
74,438
|
|
Trading Companies & Distributors 0.2%
|
|
|
|
|
|
|
|
Aircastle, Ltd., 6.75%, 4/15/17 (b)
|
|
|
70
|
|
|
69,300
|
|
Transportation Infrastructure 0.3%
|
|
|
|
|
|
|
|
Aguila 3 SA, 7.88%, 1/31/18
|
|
|
150
|
|
|
153,000
|
|
Wireless Telecommunication Services 4.8%
|
|
|
|
|
|
|
|
Cricket Communications, Inc.:
|
|
|
|
|
|
|
|
7.75%, 5/15/16
|
|
|
250
|
|
|
263,750
|
|
7.75%, 10/15/20
|
|
|
10
|
|
|
9,150
|
|
Digicel Group Ltd. (b):
|
|
|
|
|
|
|
|
9.13%, 1/15/15
|
|
|
294
|
|
|
289,590
|
|
8.25%, 9/01/17
|
|
|
330
|
|
|
331,650
|
|
iPCS, Inc., 2.59%, 5/01/13 (f)
|
|
|
80
|
|
|
78,400
|
|
Matterhorn Mobile Holdings SA,
8.25%, 2/15/20
|
|
EUR
|
100
|
|
|
125,196
|
|
MetroPCS Wireless, Inc., 6.63%,
11/15/20
|
|
USD
|
110
|
|
|
106,425
|
|
NII Capital Corp., 7.63%, 4/01/21
|
|
|
60
|
|
|
50,550
|
|
Sprint Capital Corp., 6.88%,
11/15/28
|
|
|
310
|
|
|
230,175
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000)
|
|
Value
|
|
Wireless
Telecommunication Services (concluded)
|
|
|
|
|
|
|
|
Sprint Nextel Corp. (b):
|
|
|
|
|
|
|
|
9.00%, 11/15/18
|
|
USD
|
380
|
|
$
|
411,350
|
|
7.00%, 3/01/20
|
|
|
280
|
|
|
282,100
|
|
|
|
|
|
|
|
2,178,336
|
|
Total
Corporate Bonds 105.2%
|
|
|
|
|
|
47,224,088
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f)
|
|
|
|
|
|
|
|
Airlines
0.2%
|
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit New
Term Loan B, 5.50%, 4/20/17
|
|
|
97
|
|
|
96,027
|
|
Auto Components 0.2%
|
|
|
|
|
|
|
|
Schaeffler AG, Term Loan C2,
6.00%, 1/27/17
|
|
|
90
|
|
|
89,550
|
|
Building Products 0.0%
|
|
|
|
|
|
|
|
Goodman Global, Inc., Term Loan
(Second Lien), 9.00%,
10/30/17
|
|
|
16
|
|
|
16,044
|
|
Capital Markets 0.4%
|
|
|
|
|
|
|
|
Nuveen Investments, Inc.:
|
|
|
|
|
|
|
|
Incremental Term Loan,
7.25%, 5/13/17
|
|
|
110
|
|
|
109,725
|
|
New Second Lien Term Loan,
8.25%, 2/28/19
|
|
|
70
|
|
|
70,416
|
|
|
|
|
|
|
|
180,141
|
|
Chemicals 0.4%
|
|
|
|
|
|
|
|
Ineos US Finance LLC, 6 year Term
Loan, 6.50%, 5/04/18
|
|
|
195
|
|
|
190,995
|
|
Commercial Services & Supplies 0.8%
|
|
|
|
|
|
|
|
AWAS Finance Luxembourg Sarl,
Term Loan B, 5.25%, 6/10/16
|
|
|
108
|
|
|
107,216
|
|
Delos Aircraft, Inc., Term Loan 2,
4.75%, 4/12/16
|
|
|
100
|
|
|
99,875
|
|
Volume Services America, Inc.,
Term Loan B, 10.50% - 11.75%,
9/16/16
|
|
|
163
|
|
|
161,578
|
|
|
|
|
|
|
|
368,669
|
|
Communications Equipment 0.1%
|
|
|
|
|
|
|
|
Avaya, Inc., Term Loan B1, 3.22%,
10/24/14
|
|
|
40
|
|
|
37,563
|
|
Construction & Engineering 0.6%
|
|
|
|
|
|
|
|
Safway Services LLC, Mezzanine
Loan, 15.63%, 12/16/17
|
|
|
250
|
|
|
250,000
|
|
Construction Materials 0.4%
|
|
|
|
|
|
|
|
HD Supply, Inc., Senior Debt B,
7.25%, 10/12/17
|
|
|
185
|
|
|
185,740
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
8
|
|
|
|
|
Schedule
of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f)
|
|
Par
(000)
|
|
Value
|
|
Consumer
Finance 1.7%
|
|
|
|
|
|
|
|
Springleaf Finance
Corp.(FKA
AGFS Funding Co.), Term Loan,
5.50%, 5/10/17
|
|
USD
|
840
|
|
$
|
774,547
|
|
Diversified
Consumer Services 0.1%
|
|
|
|
|
|
|
|
Laureate Education, Inc., Extended
Term Loan, 5.25%, 8/15/18
|
|
|
25
|
|
|
23,893
|
|
ServiceMaster Co.:
|
|
|
|
|
|
|
|
Delayed Draw Term Loan,
2.74%, 7/24/14
|
|
|
1
|
|
|
1,307
|
|
Term Loan, 2.74% - 2.99%,
7/24/14
|
|
|
13
|
|
|
13,120
|
|
|
|
|
|
|
|
38,320
|
|
Diversified Telecommunication Services 0.5%
|
|
|
|
|
|
|
|
Level 3 Financing, Inc.:
|
|
|
|
|
|
|
|
Term Loan B3, 5.75%,
8/31/18
|
|
|
150
|
|
|
148,581
|
|
Tranche A Term Loan,
2.49% - 2.72%, 3/13/14
|
|
|
75
|
|
|
72,969
|
|
|
|
|
|
|
|
221,550
|
|
Electronic Equipment, Instruments & Components
0.1%
|
|
|
|
|
|
|
|
CDW LLC (FKA CDW Corp.),
Extended Term Loan, 4.00%,
7/14/17
|
|
|
49
|
|
|
47,074
|
|
Energy Equipment & Services 2.3%
|
|
|
|
|
|
|
|
Dynegy Midwest Generation LLC,
Coal Co. Term Loan, 9.25%,
8/04/16
|
|
|
334
|
|
|
340,461
|
|
Dynegy Power LLC, Gas Co. Term
Loan, 9.25%, 8/04/16
|
|
|
611
|
|
|
629,856
|
|
Tervita Corp., Incremental Term
Loan, 6.50%, 10/17/14
|
|
|
45
|
|
|
44,663
|
|
|
|
|
|
|
|
1,014,980
|
|
Food & Staples Retailing 0.1%
|
|
|
|
|
|
|
|
US Foods, Inc. (FKA US
Foodservice, Inc.), Term Loan B,
2.74%, 7/03/14
|
|
|
30
|
|
|
28,868
|
|
Food Products 0.3%
|
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan
(Second Lien), 11.25%,
9/29/17
|
|
|
135
|
|
|
135,717
|
|
Health Care Equipment & Supplies 0.4%
|
|
|
|
|
|
|
|
Bausch & Lomb, Inc., Term Loan
B, 5.25%, 5/17/19
|
|
|
65
|
|
|
63,827
|
|
Hupah Finance Inc., Term Loan B,
6.25%, 1/21/19
|
|
|
130
|
|
|
130,407
|
|
|
|
|
|
|
|
194,234
|
|
Health Care Providers & Services 0.8%
|
|
|
|
|
|
|
|
Harden Healthcare LLC:
|
|
|
|
|
|
|
|
Term Loan A, 8.50%, 3/02/15
|
|
|
65
|
|
|
63,371
|
|
Tranche A Additional Term
Loan, 7.75%, 3/02/15
|
|
|
76
|
|
|
74,894
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f)
|
|
Par
(000)
|
|
Value
|
|
Health
Care Providers & Services (concluded)
|
|
|
|
|
|
|
|
inVentiv Health, Inc., Combined
Term Loan B, 6.50%, 8/04/16
|
|
USD
|
157
|
|
$
|
146,727
|
|
Wolverine Healthcare, Term Loan
B, 6.75%, 5/12/17
|
|
|
60
|
|
|
59,025
|
|
|
|
|
|
|
|
344,017
|
|
Hotels, Restaurants & Leisure 1.3%
|
|
|
|
|
|
|
|
Caesars Entertainment Operating Co.,
Inc.:
|
|
|
|
|
|
|
|
Extended Term Loan B6,
5.49%, 1/26/18
|
|
|
35
|
|
|
30,806
|
|
Incremental Term Loan B4,
9.50%, 10/31/16
|
|
|
85
|
|
|
85,328
|
|
Term Loan B1, 3.24%,
1/28/15
|
|
|
82
|
|
|
74,824
|
|
Term Loan B2, 3.24%,
1/28/15
|
|
|
54
|
|
|
49,127
|
|
Term Loan B3, 3.24% - 3.47%,
1/28/15
|
|
|
166
|
|
|
151,244
|
|
OSI Restaurant Partners LLC:
|
|
|
|
|
|
|
|
Revolver, 2.54% - 2.72%,
6/14/13
|
|
|
2
|
|
|
1,754
|
|
Term Loan B, 2.56%, 6/14/14
|
|
|
18
|
|
|
17,732
|
|
Sabre, Inc., Non Extended Initial
Term Loan, 2.24%, 9/30/14
|
|
|
20
|
|
|
19,004
|
|
Station Casinos, Inc., Term Loan
B1, 3.24%, 6/17/16
|
|
|
145
|
|
|
136,417
|
|
Travelport LLC (FKA Travelport, Inc.):
|
|
|
|
|
|
|
|
Extended Tranche A Term
Loan, 6.47%, 9/28/12
|
|
|
31
|
|
|
11,985
|
|
Extended Tranche B Term
Loan, 13.97%, 12/01/16
|
|
|
97
|
|
|
9,724
|
|
|
|
|
|
|
|
587,945
|
|
Industrial Conglomerates 0.2%
|
|
|
|
|
|
|
|
Sequa Corp.:
|
|
|
|
|
|
|
|
Incremental Term Loan,
6.25%, 12/03/14
|
|
|
75
|
|
|
74,625
|
|
Term Loan, 3.72%, 12/03/14
|
|
|
25
|
|
|
24,512
|
|
|
|
|
|
|
|
99,137
|
|
IT Services 0.3%
|
|
|
|
|
|
|
|
Ceridian Corp., Term Loan, 3.24%,
11/10/14
|
|
|
20
|
|
|
18,802
|
|
First Data Corp., Extended Term
Loan B, 4.24%, 3/23/18
|
|
|
130
|
|
|
117,441
|
|
|
|
|
|
|
|
136,243
|
|
Leisure Equipment & Products 0.2%
|
|
|
|
|
|
|
|
Eastman Kodak Co., DIP Term
Loan B, 8.50%, 7/19/13
|
|
|
110
|
|
|
110,309
|
|
Machinery 0.2%
|
|
|
|
|
|
|
|
Rexnord Corp., Term Loan B,
5.00%, 4/02/18
|
|
|
100
|
|
|
99,152
|
|
Media 5.7%
|
|
|
|
|
|
|
|
Affinion Group, Inc., Tranche B
Term Loan, 5.00%, 7/16/15
|
|
|
5
|
|
|
4,575
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
9
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f)
|
|
Par
(000)
|
|
Value
|
|
Media
(concluded)
|
|
|
|
|
|
|
|
Cengage Learning Acquisitions, Inc.:
|
|
|
|
|
|
|
|
Term Loan, 2.49%, 7/03/14
|
|
USD
|
60
|
|
$
|
54,042
|
|
Tranche 1 Incremental Term
Loan, 7.50%, 7/03/14
|
|
|
241
|
|
|
230,249
|
|
Cequel Communications LLC,
Term Loan B, 4.00%, 2/14/19
|
|
|
75
|
|
|
73,050
|
|
Clear Channel Communications:
|
|
|
|
|
|
|
|
Term Loan B, 3.89%, 1/28/16
|
|
|
359
|
|
|
279,444
|
|
Term Loan C, 3.89%, 1/28/16
|
|
|
62
|
|
|
47,609
|
|
EMI Music Publishing Ltd., Term
Loan B, 5.50%, 11/14/17
|
|
|
55
|
|
|
54,656
|
|
HMH Publishing Co. Ltd., Term
Loan, 6.03%, 6/12/14
|
|
|
144
|
|
|
79,818
|
|
Intelsat Jackson Holdings SA(FKA
Intelsat Jackson Holdings Ltd.),
Tranche B Term Loan, 5.25%,
4/02/18
|
|
|
1,238
|
|
|
1,226,412
|
|
Interactive Data Corp., Term
Loan B, 4.50%, 2/12/18
|
|
|
70
|
|
|
68,602
|
|
Newsday LLC, Fixed Rate Term
Loan, 10.50%, 8/01/13
|
|
|
375
|
|
|
382,268
|
|
Univision Communications, Inc.,
Extended First Lien Term Loan,
4.49%, 3/31/17
|
|
|
55
|
|
|
50,401
|
|
|
|
|
|
|
|
2,551,126
|
|
Metals
& Mining 0.2%
|
|
|
|
|
|
|
|
Constellium Holding Co. BV, Term
Loan B, 9.25%, 5/22/18
|
|
|
70
|
|
|
68,250
|
|
Oil, Gas
& Consumable Fuels 1.3%
|
|
|
|
|
|
|
|
Chesapeake Energy Corp.,
Unsecured Term Loan, 8.50%,
12/01/17
|
|
|
390
|
|
|
382,785
|
|
Obsidian Natural Gas Trust, Term
Loan, 7.00%, 11/02/15
|
|
|
181
|
|
|
180,710
|
|
|
|
|
|
|
|
563,495
|
|
Paper
& Forest Products 0.5%
|
|
|
|
|
|
|
|
NewPage Corp., DIP Term Loan,
8.00%, 3/07/13
|
|
|
100
|
|
|
100,792
|
|
Verso Paper Finance Holdings LLC,
Term Loan, 6.72% - 7.47%,
2/01/13
|
|
|
231
|
|
|
115,599
|
|
|
|
|
|
|
|
216,391
|
|
Pharmaceuticals
0.1%
|
|
|
|
|
|
|
|
Pharmaceutical Product
Development, Inc., Term Loan
Tranche 2, 6.25%, 12/05/18
|
|
|
65
|
|
|
64,849
|
|
Real Estate Investment Trusts (REITs) 0.5%
|
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan A1,
5.00%, 6/28/13
|
|
|
214
|
|
|
213,285
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f)
|
|
Par
(000)
|
|
Value
|
|
Real
Estate Management & Development 0.4%
|
|
|
|
|
|
|
|
Realogy Corp.:
|
|
|
|
|
|
|
|
Extended Synthetic Letter of
Credit Loan, 4.49%,
10/10/16
|
|
USD
|
17
|
|
$
|
15,822
|
|
Extended Term Loan, 4.49%,
10/10/16
|
|
|
123
|
|
|
111,807
|
|
Stockbridge SBE Holdings LLC,
Term Loan B, 13.00%, 5/02/17
|
|
|
30
|
|
|
29,550
|
|
|
|
|
|
|
|
157,179
|
|
Semiconductors
& Semiconductor Equipment 0.0%
|
|
|
|
|
|
|
|
NXP B.V., Term Loan A-2,
5.50%,
3/03/17
|
|
|
10
|
|
|
9,819
|
|
Software
0.5%
|
|
|
|
|
|
|
|
Lawson Software, Inc., Term Loan
B, 6.25%, 4/05/18
|
|
|
205
|
|
|
204,598
|
|
Magic Newco LLC, Second Lien
Term Loan, 12.00%, 12/06/19
|
|
|
40
|
|
|
38,633
|
|
|
|
|
|
|
|
243,231
|
|
Specialty
Retail 0.1%
|
|
|
|
|
|
|
|
Claires Stores, Inc., Term
Loan B,
2.99% - 3.22%, 5/29/14
|
|
|
63
|
|
|
58,475
|
|
Textiles,
Apparel & Luxury Goods 0.4%
|
|
|
|
|
|
|
|
Ascend Performance Materials
LLC, Term Loan B, 6.75%,
4/10/18
|
|
|
185
|
|
|
179,759
|
|
Wireless
Telecommunication Services 1.3%
|
|
|
|
|
|
|
|
Crown Castle International Corp.,
Term Loan B, 4.00%, 1/31/19
|
|
|
40
|
|
|
39,301
|
|
Vodafone Americas Finance
2, Inc.:
|
|
|
|
|
|
|
|
Term Loan, 6.88%,
8/11/15 (e)
|
|
|
277
|
|
|
281,035
|
|
Term Loan B, 6.25%, 7/11/16
|
|
|
258
|
|
|
261,680
|
|
|
|
|
|
|
|
582,016
|
|
Total
Floating Rate Loan Interests 22.6%
|
|
|
|
|
|
10,154,697
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities
|
|
|
|
|
|
|
|
Capital
Trusts
|
|
|
|
|
|
|
|
Insurance
0.2%
|
|
|
|
|
|
|
|
Genworth Financial, Inc., 6.15%,
11/15/66 (f)
|
|
|
145
|
|
|
82,689
|
|
Total
Capital Trusts 0.2%
|
|
|
|
|
|
82,689
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
10
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Preferred Stocks
|
|
Shares
|
|
Value
|
|
Auto
Components 0.5%
|
|
|
|
|
|
|
|
Dana Holding Corp., 4.00%
(b)(d)
|
|
|
1,800
|
|
$
|
206,100
|
|
Diversified
Financial Services 1.1%
|
|
|
|
|
|
|
|
Ally Financial, Inc., 7.00%
(b)
|
|
|
600
|
|
|
514,463
|
|
Total
Preferred Stocks 1.6%
|
|
|
|
|
|
720,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust Preferreds
|
|
|
|
|
|
|
|
Diversified
Financial Services 1.0%
|
|
|
|
|
|
|
|
GMAC Capital Trust I, Series 2,
8.13%, 2/15/40 (f)
|
|
|
12,920
|
|
|
294,960
|
|
RBS Capital Funding Trust VII,
6.08%, 12/31/49 (a)
|
|
|
10,600
|
|
|
144,690
|
|
Total
Trust Preferreds 1.0%
|
|
|
|
|
|
439,650
|
|
Total
Preferred Securities 2.8%
|
|
|
|
|
|
1,242,902
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (i)
|
|
|
|
|
|
|
|
Diversified
Telecommunication Services 0.0%
|
|
|
|
|
|
|
|
NEON Communications, Inc.
(Expires 12/02/12)
|
|
|
53,622
|
|
|
1
|
|
Media
0.1%
|
|
|
|
|
|
|
|
Cumulus Media, Inc.
(Issued/Exercisable 9/16/11,
0.01 Share for 1 Warrant,
Expires 6/03/30, Strike Price
$2.88)
|
|
|
6,182
|
|
|
36,341
|
|
Software
0.0%
|
|
|
|
|
|
|
|
Bankruptcy Management
Solutions, Inc. (Expires
9/29/17)
|
|
|
61
|
|
|
|
|
HMH Holdings/EduMedia
(Issued/Exercisable 3/09/10,
19 Shares for 1 Warrant,
Expires 3/09/17, Strike Price
$12.26)
|
|
|
1,184
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Warrants 0.1%
|
|
|
|
|
|
36,342
|
|
Total
Long-Term Investments
(Cost $60,207,625) 135.5%
|
|
|
|
|
|
60,853,473
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities
|
|
Shares
|
|
Value
|
|
BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.15% (j)(k)
|
|
|
1,304,361
|
|
$
|
1,304,361
|
|
Total
Short-Term Securities
(Cost $1,304,361) 2.9%
|
|
|
|
|
|
1,304,361
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased
|
|
Contracts
|
|
|
|
|
Over-the-Counter
Call Options 0.0%
|
|
|
|
|
|
|
|
Marsico Parent Superholdco LLC,
Strike Price USD 942.86, Expires
12/14/19, Broker Goldman
Sachs Bank USA
|
|
|
3
|
|
|
|
|
Total
Options Purchased
(Cost $2,933) 0.0%
|
|
|
|
|
|
|
|
Total
Investments Before Options Written
(Cost $61,514,919*) 138.4%
|
|
|
|
|
|
62,157,834
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
Notional
Amount
(000
)
|
|
|
|
|
Over-the-Counter
Credit Default Put Swaptions (0.0)%
|
|
|
|
|
|
|
|
Sold credit default protection on
Dow Jones CDX North America
High Yield Index Series 18, Strike
Price USD 92, Expires 6/20/12,
Broker Credit Suisse International (l)
|
|
USD
|
190
(m
|
)
|
|
(1,734
|
)
|
Total
Options Written
(Premiums Received $2,850) 0.0%
|
|
|
|
|
|
(1,734
|
)
|
Total
Investments, Net of Options Written 138.4%
|
|
|
|
|
|
62,156,100
|
|
Liabilities
in Excess of Other Assets (38.4)%
|
|
|
|
|
|
(17,251,174
|
)
|
Net Assets
100.0%
|
|
|
|
|
$
|
44,904,926
|
|
|
|
|
|
|
|
|
|
|
|
*
|
As of May 31, 2012, gross
unrealized appreciation and gross unrealized depreciation based on cost for
federal income tax purposes were as follows:
|
|
|
|
|
|
Tax cost
|
|
$
|
61,560,125
|
|
Gross unrealized
appreciation
|
|
$
|
2,273,431
|
|
Gross unrealized
depreciation
|
|
|
(1,675,722
|
)
|
Net unrealized appreciation
|
|
$
|
597,709
|
|
|
|
(a)
|
Non-income producing
security.
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
11
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
|
|
(b)
|
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.
|
|
|
(c)
|
Represents a zero-coupon
bond. Rate shown reflects the current yield as of report date.
|
|
|
(d)
|
Convertible security.
|
|
|
(e)
|
Represents a
payment-in-kind security which may pay interest/dividends in additional
par/shares.
|
|
|
(f)
|
Variable rate security.
Rate shown is as of report date.
|
|
|
(g)
|
Issuer filed for bankruptcy
and/or is in default of principal and/or interest payments.
|
|
|
(h)
|
When-issued security.
Unsettled when-issued transactions were as follows:
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Value
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Goldman Sachs & Co.
|
|
$
|
50,500
|
|
$
|
500
|
|
JPMorgan Securities
|
|
$
|
88,650
|
|
$
|
(761
|
)
|
|
|
(i)
|
Warrants entitle the Trust
to purchase a predetermined number of shares of common stock and are
non-income producing. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date, if any.
|
|
|
(j)
|
Investments in companies
considered to be an affiliate of the Trust during the period, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate
|
|
Shares
Held at
August 31,
2011
|
|
Net
Activity
|
|
Shares
Held at
May 31,
2012
|
|
Income
|
|
BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class
|
|
|
421,345
|
|
|
883,016
|
|
|
1,304,361
|
|
$
|
352
|
|
|
|
(k)
|
Represents the current
yield as of report date.
|
|
|
(l)
|
Not rated using Standard
& Poors (S&Ps) rating of the underlying securities.
|
|
|
(m)
|
The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of the agreement.
|
|
Portfolio
Abbreviations
|
|
To simplify the listings of
portfolio holdings in the Schedule of Investments, the names and descriptions
of many of the securities have been abbreviated according to the following
list:
|
|
|
AUD
|
Australian Dollar
|
DIP
|
Debtor-In-Possession
|
EUR
|
Euro
|
FKA
|
Formerly Known As
|
GBP
|
British Pound
|
USD
|
US Dollar
|
|
|
|
Financial futures contracts
sold as of May 31, 2012 were as follows:
|
|
|
|
|
|
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
Notional
Value
|
Unrealized
Appreciation
|
8
|
S&P
500
EMini Index
Futures
|
Chicago
Mercantile
|
June
2012
|
523,680
|
$ 5,149
|
|
|
|
Foreign currency exchange
contracts as of May 31, 2012 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased
|
|
Currency
Sold
|
|
Counterparty
|
|
Settlement
Date
|
|
Unrealized
Appreciation
|
|
USD
|
6,093
|
|
AUD
|
6,000
|
|
|
Deutsche
Bank AG
|
|
|
7/18/12
|
|
$
|
271
|
|
USD
|
596,026
|
|
GBP
|
373,500
|
|
|
Goldman
Sachs
& Co.
|
|
|
7/18/12
|
|
|
20,503
|
|
USD
|
1,740,420
|
|
EUR
|
1,318,500
|
|
|
Citibank
NA
|
|
|
7/25/12
|
|
|
109,573
|
|
USD
|
113,746
|
|
EUR
|
88,000
|
|
|
UBS
AG
|
|
|
7/25/12
|
|
|
4,899
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
$
|
135,246
|
|
|
|
|
Credit default swaps on single-name
issues - buy protection outstanding as of May 31, 2012 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Pay
Fixed
Rate
|
|
Counterparty
|
|
Expiration
Date
|
Notional
Amount
(000)
|
|
Unrealized
Appreciation
(Depreciation)
|
|
MGM Resorts
|
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
|
|
|
|
International
|
|
|
5.00
|
%
|
|
Bank
AG
|
|
|
6/20/15
|
|
$
|
20
|
|
$
|
(1,039
|
)
|
MGM Resorts
|
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
|
|
|
|
International
|
|
|
5.00
|
%
|
|
Bank
AG
|
|
|
6/20/15
|
|
$
|
15
|
|
|
(910
|
)
|
MGM Resorts
|
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
|
|
|
|
International
|
|
|
5.00
|
%
|
|
Bank
AG
|
|
|
6/20/15
|
|
$
|
30
|
|
|
(1,464
|
)
|
MGM Resorts
|
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
|
|
|
|
International
|
|
|
5.00
|
%
|
|
Bank
AG
|
|
|
6/20/15
|
|
$
|
15
|
|
|
(401
|
)
|
MGM Resorts
|
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
|
|
|
|
International
|
|
|
5.00
|
%
|
|
Bank
AG
|
|
|
6/20/15
|
|
$
|
15
|
|
|
(504
|
)
|
Republic of
|
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
|
|
|
|
Hungary
|
|
|
1.00
|
%
|
|
Bank
AG
|
|
|
12/20/15
|
|
$
|
50
|
|
|
3,862
|
|
The New York
|
|
|
|
|
|
Barclays
|
|
|
|
|
|
|
|
|
|
|
Times Co.
|
|
|
1.00
|
%
|
|
Capital,
Inc.
|
|
|
12/20/16
|
|
$
|
225
|
|
|
6,231
|
|
Israel
|
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
|
|
|
|
(State of)
|
|
|
1.00
|
%
|
|
Bank
AG
|
|
|
3/20/17
|
|
$
|
35
|
|
|
(275
|
)
|
Israel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government
|
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
|
|
|
|
Bond
|
|
|
1.00
|
%
|
|
Bank
AG
|
|
|
3/20/17
|
|
$
|
100
|
|
|
(853
|
)
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,647
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
12
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
|
|
|
Credit default swaps on
single-name issues - sold protection outstanding as of May 31, 2012 were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Receive
Fixed
Rate
|
|
Counterparty
|
|
Expiration
Date
|
|
Issuer
Credit
Rating
1
|
|
Notional
Amount
(000)
2
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Air Lease
Corp.
|
|
|
5.00%
|
|
|
Goldman
Sachs & Co.
|
|
|
2/14/13
|
|
|
Not
Rated
|
|
$
|
100
|
|
$
|
2,372
|
|
CIT Group,
Inc.
|
|
|
5.00%
|
|
|
Deutsche
Bank AG
|
|
|
9/20/15
|
|
|
BB-
|
|
$
|
500
|
|
|
54,457
|
|
ARAMARK
Corp.
|
|
|
5.00%
|
|
|
Credit
Suisse Securities (USA) LLC
|
|
|
9/20/16
|
|
|
B
|
|
$
|
50
|
|
|
3,659
|
|
ARAMARK
Corp.
|
|
|
5.00%
|
|
|
Goldman
Sachs & Co.
|
|
|
9/20/16
|
|
|
B
|
|
$
|
50
|
|
|
3,484
|
|
Bausch &
Lomb, Inc.
|
|
|
5.00%
|
|
|
Credit
Suisse Securities (USA) LLC
|
|
|
3/20/17
|
|
|
B
|
|
$
|
20
|
|
|
1,288
|
|
ARAMARK
Corp.
|
|
|
5.00%
|
|
|
Deutsche
Bank AG
|
|
|
3/20/17
|
|
|
B
|
|
$
|
35
|
|
|
563
|
|
Crown Castle
International
Corp.
|
|
|
7.25%
|
|
|
Deutsche
Bank AG
|
|
|
3/20/17
|
|
|
B-
|
|
$
|
80
|
|
|
369
|
|
Bausch &
Lomb, Inc.
|
|
|
5.00%
|
|
|
Goldman
Sachs & Co.
|
|
|
3/20/17
|
|
|
B
|
|
$
|
35
|
|
|
715
|
|
Bausch &
Lomb, Inc.
|
|
|
5.00%
|
|
|
Goldman
Sachs & Co.
|
|
|
3/20/17
|
|
|
B
|
|
$
|
15
|
|
|
902
|
|
Goodyear
Tire &
Rubber Co.
|
|
|
5.00%
|
|
|
Deutsche
Bank AG
|
|
|
6/20/17
|
|
|
B+
|
|
$
|
50
|
|
|
(40
|
)
|
Goodyear
Tire &
Rubber Co.
|
|
|
5.00%
|
|
|
Goldman
Sachs & Co.
|
|
|
6/20/17
|
|
|
B+
|
|
$
|
50
|
|
|
(639
|
)
|
CCO
Holdings LLC
|
|
|
8.00%
|
|
|
Deutsche
Bank AG
|
|
|
9/20/17
|
|
|
BB-
|
|
$
|
280
|
|
|
11,088
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
78,218
|
|
|
|
1
|
Using S&Ps rating.
|
2
|
The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement.
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
13
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
|
|
|
Credit default swaps on
traded indexes - sold protection outstanding as of May 31, 2012 were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index
|
|
Receive
Fixed
Rate
|
|
Counterparty
|
|
Expiration
Date
|
|
Issuer
Credit
Rating
3
|
|
Notional
Amount
(000)
4
|
|
Unrealized
Depreciation
|
|
Dow Jones
CDX North
America High
Yield Series
18
|
|
|
5.00%
|
|
|
Credit
Suisse Securities (USA) LLC
|
|
|
6/20/17
|
|
|
Not
Rated
|
|
$
|
1,000
|
|
$
|
(45,865
|
)
|
Dow Jones
CDX North
America High
Yield Series
18
|
|
|
5.00%
|
|
|
Credit
Suisse Securities (USA) LLC
|
|
|
6/20/17
|
|
|
Not
Rated
|
|
$
|
225
|
|
|
(2,649
|
)
|
Dow Jones
CDX North
America High
Yield Series
18
|
|
|
5.00%
|
|
|
Credit
Suisse Securities (USA) LLC
|
|
|
6/20/17
|
|
|
Not
Rated
|
|
$
|
115
|
|
|
(633
|
)
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(49,147
|
)
|
|
|
|
3
|
Using S&Ps rating of
the underlying securities.
|
|
|
4
|
The maximum potential
amount the Trust may pay should a negative credit event take place as defined
under the terms of agreement.
|
|
|
*
|
For Trust compliance
purposes, the Trusts industry classifications refer to any one or more of
the industry sub-classifications used by one or more widely recognized market
indexes or rating group indexes, and/or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine such
industry sub-classifications for reporting ease.
|
|
|
|
Fair Value Measurements -
Various inputs are used in determining the fair value of investments and
derivative financial instruments. These inputs are categorized into a
disclosure hierarchy consisting of three broad levels for financial reporting
purposes as follows:
|
|
|
|
|
|
Level 1 unadjusted price
quotations in active markets/exchanges for identical assets and liabilities
|
|
|
|
|
|
Level 2 other observable
inputs (including, but not limited to: quoted prices for similar assets or
liabilities in markets that are active, quoted prices for identical or
similar assets or liabilities in markets that are not active, inputs other
than quoted prices that are observable for the assets or liabilities (such as
interest rates, yield curves, volatilities, prepayment speeds, loss
severities, credit risks and default rates) or other market-corroborated
inputs)
|
|
|
|
|
|
Level 3 unobservable
inputs based on the best information available in the circumstances, to the
extent observable inputs are not available (including the Trusts own
assumptions used in determining the fair value of investments and derivative
financial instruments)
|
|
|
|
Changes in valuation
techniques may result in transfers into or out of an assigned level within
the disclosure hierarchy. In accordance with the Trusts policy, transfers
between different levels of the fair value disclosure 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 investment and derivative financial
instruments and is not necessarily an indication of the risks associated with
investing in those securities. For information about the Trusts policy
regarding valuation of investments and derivative financial instruments and
other significant accounting policies, please refer to the Trusts most
recent financial statements as contained in its semi-annual report.
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
14
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
The following tables summarize
the inputs used as of May 31, 2012 in determining the fair valuation of the
Trusts investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
|
|
|
|
$
|
200,743
|
|
|
|
|
$
|
200,743
|
|
Common Stocks
|
|
$
|
969,173
|
|
|
1,019,162
|
|
$
|
6,366
|
|
|
1,994,701
|
|
Corporate Bonds
|
|
|
|
|
|
46,582,417
|
|
|
641,671
|
|
|
47,224,088
|
|
Floating Rate
Loan Interests
|
|
|
|
|
|
8,811,549
|
|
|
1,343,148
|
|
|
10,154,697
|
|
Preferred
Securities
|
|
|
439,650
|
|
|
803,252
|
|
|
|
|
|
1,242,902
|
|
Warrants
|
|
|
|
|
|
36,341
|
|
|
1
|
|
|
36,342
|
|
Short-Term
Securities
|
|
|
1,304,361
|
|
|
|
|
|
|
|
|
1,304,361
|
|
Total
|
|
$
|
2,713,184
|
|
$
|
57,453,464
|
|
$
|
1,991,186
|
|
$
|
62,157,834
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Derivative Financial
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Instruments
1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
contracts
|
|
$
|
5,149
|
|
|
|
|
|
|
|
$
|
5,149
|
|
Foreign currency
exchange contracts
|
|
|
|
|
$
|
135,246
|
|
|
|
|
|
135,246
|
|
Credit contracts
|
|
|
|
|
|
20,704
|
|
$
|
68,286
|
|
|
88,990
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts
|
|
|
|
|
|
(57,006
|
)
|
|
|
|
|
(57,006
|
)
|
Total
|
|
$
|
5,149
|
|
$
|
98,944
|
|
$
|
68,286
|
|
$
|
172,379
|
|
|
|
1
|
Derivative financial
instruments are financial futures contracts, swaps, foreign currency exchange
contracts and options. Financial futures contracts, swaps and foreign
currency exchange contracts are valued at the unrealized
appreciation/depreciation on the instrument and options are shown at value.
|
Certain of the Trusts assets
and liabilities are held at carrying amount, which approximates fair value for
financial reporting purposes. As of May 31, 2012, such assets and liabilities
are categorized within the disclosure hierarchy as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash
|
|
$
|
144,289
|
|
|
|
|
|
|
|
$
|
144,289
|
|
Cash pledged
as collateral
for financial
futures
contracts
|
|
|
34,000
|
|
|
|
|
|
|
|
|
34,000
|
|
Foreign
currency
|
|
|
6,913
|
|
|
|
|
|
|
|
|
6,913
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loan
payable
|
|
|
|
|
$
|
(18,000,000
|
)
|
|
|
|
|
(18,000,000
|
)
|
Total
|
|
$
|
184,202
|
|
$
|
(18,000,000
|
)
|
|
|
|
$
|
(17,814,798
|
)
|
There were no transfers
between Level 1 and Level 2 during the period ended May 31, 2012.
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
15
|
|
|
|
|
Schedule of Investments
(continued)
|
BlackRock High Yield Trust (BHY)
|
The following table
summarizes the valuation techniques used and unobservable inputs developed by
the BlackRock Global Valuation Methodologies Committee to determine the fair
value of certain of the Trusts Level 3 investments as of May 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
Valuation
Techniques
|
|
Unobservable
Inputs
1
|
|
Range
of
Unobservable Inputs
|
|
Weighted
Average of
Unobservable Inputs
2
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
$
|
641,464
|
|
|
Market Comparable Companies
|
|
|
Yield
|
|
|
7.00% - 9.67%
|
|
|
8.79%
|
|
Floating Rate Loan
Interests
|
|
|
115,599
|
|
|
Estimated Final
Distribution
|
|
|
Probable Outcome
|
|
|
50%
|
|
|
50%
|
|
Total
3
|
|
$
|
757,063
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
A change to the
unobservable input may result in a significant change to the value of the
investment as follows:
|
Unobservable
Input
|
|
Impact
to Value if Input Increases
|
|
Impact
to Value if Input Decreases
|
Yield
|
|
Decrease
|
|
Increase
|
Probable Outcome
|
|
Increase
|
|
Decrease
|
|
|
2
|
Unobservable inputs are
weighted based on the value of the investments included in the range.
|
|
3
|
Does not include Level 3
investments with values derived utilizing prices from prior transactions or
third party pricing information without adjustment for which such inputs are
unobservable. See above valuation input table for values of such Level 3
investments. A significant change in the unobservable inputs could result in
a significantly lower or higher value in such Level 3 investments.
|
The following is a
reconciliation of Level 3 investments for which significant unobservable inputs
were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
Corporate
Bonds
|
|
Floating
Rate
Loan Interests
|
|
Other
Interests
|
|
Preferred
Securities
|
|
Warrants
|
|
Total
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening balance as of
August 31, 2011
|
|
$
|
27,152
|
|
$
|
688,980
|
|
$
|
1,642,711
|
|
$
|
477
|
|
$
|
45,985
|
|
$
|
34,922
|
|
$
|
2,440,227
|
|
Transfers into Level 3
1
|
|
|
|
|
|
|
|
|
188,877
|
|
|
|
|
|
|
|
|
|
|
|
188,877
|
|
Transfers out of Level 3
1
|
|
|
|
|
|
|
|
|
(387,187
|
)
|
|
|
|
|
|
|
|
(34,921
|
)
|
|
(422,108
|
)
|
Accrued discounts/ premiums
|
|
|
|
|
|
|
|
|
6,536
|
|
|
|
|
|
|
|
|
|
|
|
6,536
|
|
Net realized gain (loss)
|
|
|
|
|
|
9,120
|
|
|
2,128
|
|
|
|
|
|
|
|
|
|
|
|
11,248
|
|
Net change in unrealized
appreciation/depreciation
2
|
|
|
(27,016
|
)
|
|
(20,926
|
)
|
|
(80,726
|
)
|
|
(477
|
)
|
|
(45,985
|
)
|
|
|
|
|
(175,130
|
)
|
Purchases
|
|
|
6,230
|
|
|
8,369
|
|
|
142,368
|
|
|
|
|
|
|
|
|
|
|
|
156,967
|
|
Sales
|
|
|
|
|
|
(43,872
|
)
|
|
(171,559
|
)
|
|
|
|
|
|
|
|
|
|
|
(215,431
|
)
|
Closing Balance as of
May 31, 2012
|
|
$
|
6,366
|
|
$
|
641,671
|
|
$
|
1,343,148
|
|
|
|
|
|
|
|
$
|
1
|
|
$
|
1,991,186
|
|
|
|
1
|
Transfers into and
transfers out of Level 3 represent the beginning of the reporting period
value.
|
|
|
2
|
The change in unrealized
appreciation/depreciation on investments still held as of May 31, 2012 was
$(231,357).
|
|
|
|
|
|
|
|
|
|
BLACKROCK HIGH YIELD TRUST
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MAY 31, 2012
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16
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Schedule of Investments
(continued)
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BlackRock High Yield Trust (BHY)
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The following is a
reconciliation of Level 3 derivative financial instruments for which significant
unobservable inputs were used to determine fair value:
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Credit
Contracts
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Assets:
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Opening balance as of
August 31, 2011
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Transfers into Level 3
1
|
|
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Transfers out of Level 3
1
|
|
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Accrued discounts/premiums
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$
|
(8,350
|
)
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Net realized gain (loss)
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Net change in unrealized
appreciation/depreciation
3
|
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68,285
|
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Purchases
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Issues
4
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44,181
|
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Sales
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Settlements
5
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(35,830
|
)
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Closing balance, as of May
31, 2012
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|
$
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68,286
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3
|
The change in unrealized
appreciation/depreciation on derivative financial instruments still held as
of May 31, 2012 was $68,286.
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|
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4
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Issues represents upfront
cash received on certain derivative financial instruments.
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5
|
Settlements represent
periodic contractual cash flows and/or cash flows to terminate certain
derivative financial instruments.
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A reconciliation of Level 3
investments and derivative financial instruments is presented when the Trust
had a significant amount of Level 3 investments and derivative financial
instruments at the beginning and/or end of the period in relation to net
assets.
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BLACKROCK HIGH YIELD TRUST
|
MAY 31, 2012
|
17
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Item 2 –
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Controls and Procedures
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2(a) –
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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.
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2(b) –
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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.
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Item 3 –
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Exhibits
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Certifications – Attached hereto
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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.
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BlackRock High Yield Trust
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By:
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/s/ John M. Perlowski
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John M. Perlowski
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Chief Executive Officer (principal executive officer) of
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BlackRock High Yield Trust
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Date: July 25, 2012
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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.
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By:
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/s/ John M. Perlowski
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John M. Perlowski
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Chief Executive Officer (principal executive officer) of
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BlackRock High Yield Trust
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Date: July 25, 2012
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By:
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/s/ Neal J. Andrews
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Neal J. Andrews
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Chief Financial Officer (principal financial officer) of
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BlackRock High Yield Trust
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Date: July 25, 2012
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