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: 08/31/2013

 

Date of reporting period: 05/31/2013

 

Item 1 – Schedule of Investments

 
 
Schedule of Investments   May 31, 2013 (Unaudited)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Shares   Value  
Common Stocks  
 
Auto Components — 0.3%  
Delphi Automotive Plc   1,500 $ 73,215  
The Goodyear Tire & Rubber Co. (a)   4,088   61,892  
   
  135,107  
 
Automobiles — 1.4%  
General Motors Co. (a)   19,974   676,919  
 
Biotechnology — 0.0%  
Ironwood Pharmaceuticals, Inc. (a)   1,210   16,153  
 
Capital Markets — 1.7%  
American Capital Ltd. (a)   58,948   785,777  
E*Trade Financial Corp. (a)   4,900   56,987  
   
  842,764  
 
Chemicals — 0.4%  
ADA-ES, Inc. (a)   300   11,205  
CF Industries Holdings, Inc.   300   57,288  
Huntsman Corp.   7,100   138,095  
   
  206,588  
 
Commercial Banks — 0.4%  
CIT Group, Inc. (a)   4,436   204,411  
 
Diversified Financial Services — 0.4%  
Bank of America Corp.   9,070   123,896  
Citigroup, Inc.   1,416   73,618  
   
  197,514  
 
Diversified Telecommunication Services — 0.3%  
Broadview Networks Holdings, Inc. (a) 6,337   39,923  
Level 3 Communications, Inc. (a)   4,300   92,149  
   
  132,072  
 
Hotels, Restaurants & Leisure — 0.5%  
Caesars Entertainment Corp. (a)   7,749   112,283  
Travelport LLC (a)   182,789   149,887  
   
  262,170  
 
Household Durables — 0.1%  
MDC Holdings, Inc.   500   18,555  
Meritage Homes Corp. (a)   500   23,680  
PulteGroup, Inc. (a)   1,000   21,590  
   
  63,825  
 
Insurance — 0.8%  
American International Group, Inc. (a) 9,510   422,815  
 
Media — 0.2%  
Cablevision Systems Corp., Class A   7,255   109,696  
 
Oil, Gas & Consumable Fuels — 0.0%  
African Petroleum Corp. Ltd. (a)   17,200   3,128  
 
Paper & Forest Products — 0.4%  
Ainsworth Lumber Co. Ltd. (a)   8,875   32,444  
Ainsworth Lumber Co. Ltd. (a)(b)   2,507   9,140  
NewPage Holdings Corp. (a)(h)   1,460   138,700  
   
  180,284  
 
 
                 

 

    Shares   Value  
Common Stocks  
 
Semiconductors & Semiconductor Equipment — 0.1%  
Freescale Semiconductor Ltd. (a)   747 $ 11,892  
NXP Semiconductors NV (a)   1,568   48,373  
   
  60,265  
 
Software — 0.2%  
Bankruptcy Management Solutions, Inc. (a)   91   —  
HMH Holdings/EduMedia (a)   3,231   85,464  
   
  85,464  
 
Wireless Telecommunication Services — 0.6%  
Crown Castle International Corp. (a) 1,927   137,299  
SBA Communications Corp., Class A (a) 1,927   145,045  
   
  282,344  
 
Total Common Stocks – 7.8%   3,881,519  




 

    Par
(000) 		  Value  
Corporate Bonds  
 
Aerospace & Defense — 0.9%  

Bombardier, Inc., 4.25%,

1/15/16 (b)

USD 100   103,500  
Huntington Ingalls Industries, Inc., 6.88%, 3/15/18   110   119,900  
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17   210   228,900  
   
  452,300  
 
Air Freight & Logistics — 0.2%  
National Air Cargo Group, Inc.:  
  Series 1, 12.38%, 9/02/15   59   59,015  
  Series 2, 12.38%, 8/16/15   60   59,781  
   
  118,796  
 
Airlines — 2.4%  
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)   48   49,190  
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23   179   189,127  
Continental Airlines Pass-Through Trust:  
  Series 2010-1, Class B, 6.00%, 7/12/20   82   84,851  
  Series 2012-3, Class C, 6.13%, 4/29/18   155   162,750  
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 1
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Airlines (concluded)  
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 7/02/24 USD 100 $ 110,461  
US Airways Group, Inc., 6.13%, 6/01/18   55   53,556  
US Airways Pass-Through Trust:  
  Series 2011-1, Class C 10.88%, 10/22/14   74   79,069  
  Series 2012-1, Class C 9.13%, 10/01/15   74   80,044  
  Series 2012-2, Class B 6.75%, 12/03/22   60   65,550  
  Series 2012-2, Class C 5.45%, 6/03/18 (c)   160   157,600  
  Series 2013-1, Class B 5.38%, 5/15/23   155   159,263  
   
  1,191,461  
 
Auto Components — 2.8%  
Affinia Group, Inc., 7.75%, 5/01/21 (b)   110   114,400  
Dana Holding Corp., 6.75%, 2/15/21   180   193,500  
Delphi Corp., 6.13%, 5/15/21   15   16,556  
Icahn Enterprises LP, 8.00%, 1/15/18   650   689,000  
IDQ Holdings, Inc., 11.50%, 4/01/17 (b)   85   94,882  
Jaguar Land Rover Automotive Plc (FKA Jaguar Land Rover Plc), 8.25%, 3/15/20 GBP 100   171,692  
Titan International, Inc., 7.88%, 10/01/17 (b) USD 80   85,600  
   
  1,365,630  
 
Beverages — 0.3%  
Crown European Holdings SA, 7.13%, 8/15/18 EUR 92   129,442  
 
Building Products — 1.3%  
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b) USD 75   75,938  
Builders FirstSource, Inc., 7.63%, 6/01/21 (b)   68   68,340  
Building Materials Corp. of America (b):  
  7.00%, 2/15/20   20   21,400  
  6.75%, 5/01/21   160   173,200  
Momentive Performance Materials, Inc., 8.88%, 10/15/20   129   138,997  
Texas Industries, Inc., 9.25%, 8/15/20   39   43,193  
USG Corp., 9.75%, 1/15/18   115   135,412  
   
  656,480  
 
    Par
(000) 		  Value  
Corporate Bonds  
 
Capital Markets — 0.2%  
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (d)(e) USD 71 $ 80,585  
 
Chemicals — 2.2%  
Axiall Corp., 4.88%, 5/15/23 (b)   18   18,090  
Basell Finance Co. BV, 8.10%, 3/15/27 (b)   60   81,323  
Celanese US Holdings LLC, 5.88%, 6/15/21   150   165,375  
Eagle Spinco, Inc., 4.63%, 2/15/21 (b)   64   64,480  
Huntsman International LLC, 8.63%, 3/15/21   25   27,938  
INEOS Finance Plc (b):  
  8.38%, 2/15/19   100   111,500  
  7.50%, 5/01/20   75   82,312  
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19   20   20,950  
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18   15   15,075  
Nufarm Australia Ltd., 6.38%, 10/15/19 (b)   35   35,875  
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (b)   200   222,500  

PetroLogistics LP/PetroLogistics Finance Corp., 6.25%,

4/01/20 (b)

  28   28,210  
PolyOne Corp., 7.38%, 9/15/20   35   38,587  
Rockwood Specialties Group, Inc., 4.63%, 10/15/20   136   138,720  
Tronox Finance LLC, 6.38%, 8/15/20 (b)   29   28,493  
   
  1,079,428  
 
Commercial Banks — 0.9%  
CIT Group, Inc.:  
  5.25%, 3/15/18   130   139,750  
  6.63%, 4/01/18 (b)   40   45,000  
  5.50%, 2/15/19 (b)   115   124,487  
  5.00%, 8/15/22   33   35,145  
  6.00%, 4/01/36   90   89,402  
   
  433,784  
 
Commercial Services & Supplies — 3.7%  
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b)   46   49,335  
ARAMARK Holdings Corp., 5.75%, 3/15/20 (b)   108   111,780  
Aviation Capital Group Corp., 6.75%, 4/06/21 (b)   92   102,061  
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)   152   159,220  
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)   7   7,578  
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 2
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Commercial Services & Supplies (concluded)  
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 (b) USD 101 $ 102,515  
Covanta Holding Corp., 6.38%, 10/01/22   135   145,627  
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (b)   14   14,700  
Mobile Mini, Inc., 7.88%, 12/01/20   60   66,450  
The Hertz Corp., 6.25%, 10/15/22   45   48,881  
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18   11   12,430  
UR Merger Sub Corp.:  
  5.75%, 7/15/18   43   45,903  
  7.38%, 5/15/20   75   82,312  
  8.25%, 2/01/21   77   85,277  
  7.63%, 4/15/22   521   577,007  
  6.13%, 6/15/23   30   31,425  
Verisure Holding AB, 8.75%, 9/01/18 EUR 100   143,622  
West Corp., 8.63%, 10/01/18 USD 25   27,438  
   
  1,813,561  
 
Communications Equipment — 1.3%  
Alcatel-Lucent USA, Inc.:  
  6.50%, 1/15/28   10   7,950  
  6.45%, 3/15/29   32   25,680  
Avaya, Inc. (b):  
  7.00%, 4/01/19   45   41,962  
  10.50%, 3/01/21   94   78,960  
CommScope Holding Co., Inc., 6.63%, 6/01/20 (b)(f)   80   79,000  
Zayo Group LLC/Zayo Capital, Inc.:  
  8.13%, 1/01/20   155   172,050  
  10.13%, 7/01/20   220   255,750  
   
  661,352  
 
Computers & Peripherals — 0.2%  
EMC Corp., Series B, 1.75%, 12/01/13 (e)   31   47,934  

SanDisk Corp., 1.50%,

8/15/17 (e)

  50   66,344  
   
  114,278  
 
Construction & Engineering — 0.3%  

Boart Longyear Management Property Ltd., 7.00%,

4/01/21 (b)

  35   34,650  
H&E Equipment Services, Inc., 7.00%, 9/01/22   79   85,320  

Weekley Homes LLC/Weekley Finance Corp., 6.00%,

2/01/23 (b)

  26   27,040  
   
  147,010  
 
    Par
(000) 		  Value  
Corporate Bonds  
 
Construction Materials — 3.1%  
HD Supply, Inc.:  
  8.13%, 4/15/19 USD 593 $ 658,230  
  11.00%, 4/15/20   265   318,331  
  7.50%, 7/15/20 (b)   416   440,960  
  11.50%, 7/15/20   85   99,875  
   
  1,517,396  
 
Consumer Finance — 1.6%  
Credit Acceptance Corp., 9.13%, 2/01/17   80   86,400  
Ford Motor Credit Co. LLC:  
  12.00%, 5/15/15   120   143,539  
  6.63%, 8/15/17   230   267,486  
  5.88%, 8/02/21   200   227,813  
iStar Financial, Inc., 4.88%, 7/01/18   67   66,498  
   
  791,736  
 
Containers & Packaging — 2.1%  
Ardagh Packaging Finance Plc/Ardagh MP Holdings USA, Inc. (b):  
  9.13%, 10/15/20   200   219,000  
  7.00%, 11/15/20   200   205,000  
  4.88%, 11/15/22   200   199,500  
Berry Plastics Corp., 9.75%, 1/15/21   30   34,650  
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21   4   4,370  
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (b)   5   4,887  
Graphic Packaging International, Inc., 7.88%, 10/01/18   60   65,850  
Leucadia National Corp., 8.13%, 9/15/15   140   158,900  
Pactiv LLC, 7.95%, 12/15/25   73   69,350  

Tekni-Plex, Inc., 9.75%,

6/01/19 (b)

  67   75,040  
   
  1,036,547  
 
Distributors — 0.5%  
VWR Funding, Inc., 7.25%, 9/15/17   229   243,885  
 
Diversified Consumer Services — 1.1%  
313 Group, Inc. (b):  
  6.38%, 12/01/19   165   164,588  
  8.75%, 12/01/20   98   99,470  
Laureate Education, Inc., 9.25%, 9/01/19 (b)   205   229,600  
ServiceMaster Co., 8.00%, 2/15/20   35   36,006  
   
  529,664  
 
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 3
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Diversified Financial Services — 6.1%  
Aircastle Ltd.:  
  6.75%, 4/15/17 USD 55 $ 60,500  
  6.25%, 12/01/19   53   57,372  
Ally Financial, Inc., 8.00%, 11/01/31   872   1,124,880  
CNG Holdings, Inc., 9.38%, 5/15/20 (b)   60   59,700  
DPL, Inc.:  
  6.50%, 10/15/16   52   56,030  
  7.25%, 10/15/21   143   154,440  
General Motors Financial Co., Inc. (b):  
  2.75%, 5/15/16   88   87,868  
  3.25%, 5/15/18   51   50,554  
  4.25%, 5/15/23   15   14,625  
GETCO Financing Escrow LLC, 8.25%, 6/15/18 (b)(c)   37   36,168  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%,

4/01/20 (b)

  200   201,000  
Nuveen Investments, Inc., 9.13%, 10/15/17 (b)   47   49,350  
Reynolds Group Issuer, Inc.:  
  9.00%, 4/15/19   100   105,000  
  9.88%, 8/15/19   175   190,750  
  5.75%, 10/15/20   480   487,200  
  6.88%, 2/15/21   115   122,762  
WMG Acquisition Corp.:  
  11.50%, 10/01/18   72   84,960  
  6.00%, 1/15/21 (b)   49   51,695  
   
  2,994,854  
 
Diversified Telecommunication Services — 2.4%  
Broadview Networks Holdings, Inc., 10.50%, 11/15/17   98   99,572  
CenturyLink, Inc., Series V, 5.63%, 4/01/20   121   125,084  
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (b)   70   68,688  
Consolidated Communications Finance Co., 10.88%, 6/01/20   55   63,525  
Level 3 Communications, Inc., 8.88%, 6/01/19   55   59,675  
Level 3 Financing, Inc.:  
  8.13%, 7/01/19   355   384,287  
  7.00%, 6/01/20   75   78,937  
  8.63%, 7/15/20   140   154,000  
tw telecom Holdings, Inc., 5.38%, 10/01/22   50   51,750  
Windstream Corp.:  
  8.13%, 8/01/13   25   25,188  
  7.88%, 11/01/17   70   80,500  
  6.38%, 8/01/23   12   11,850  
   
  1,203,056  
 
    Par
(000) 		  Value  
Corporate Bonds  
 
Electric Utilities — 0.5%  
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.25%, 12/01/18 (b)(f) USD 110 $ 99,275  
Homer City Generation LP, 8.73%, 10/01/26 (f)   35   37,187  
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17   84   94,762  
   
  231,224  
 
Electrical Equipment — 0.3%  
Belden, Inc., 5.50%, 9/01/22 (b)   60   61,650  
General Cable Corp., 5.75%, 10/01/22 (b)   100   103,000  
   
  164,650  
 
Electronic Equipment, Instruments & Components — 0.1%  
Jabil Circuit, Inc., 8.25%, 3/15/18   40   48,400  
 
Energy Equipment & Services — 3.9%  
Atwood Oceanics, Inc., 6.50%, 2/01/20   25   26,781  
Calfrac Holdings LP, 7.50%, 12/01/20 (b)   55   56,650  
Compagnie Générale de Géophysique, Veritas:  
  7.75%, 5/15/17   65   66,787  
  6.50%, 6/01/21   200   209,000  
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b)   196   208,740  

Genesis Energy LP/Genesis Energy Finance Corp., 5.75%,

2/15/21 (b)

  9   9,180  
Gulfmark Offshore, Inc., 6.38%, 3/15/22   25   26,000  
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20   50   52,125  
MEG Energy Corp. (b):  
  6.50%, 3/15/21   253   261,855  
  6.38%, 1/30/23   36   36,900  
Oil States International, Inc., 6.50%, 6/01/19   75   80,812  
Peabody Energy Corp.:  
  6.00%, 11/15/18   109   116,630  
  6.25%, 11/15/21   121   126,445  
  7.88%, 11/01/26   65   69,550  
  4.75%, 12/15/41 (e)   70   60,244  
Precision Drilling Corp.:  
  6.63%, 11/15/20   10   10,700  
  6.50%, 12/15/21   45   48,263  
Seadrill Ltd., 5.63%, 9/15/17 (b)   410   420,250  
Tervita Corp., 8.00%, 11/15/18 (b)   61   63,135  
   
  1,950,047  
 
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 4
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Food & Staples Retailing — 0.1%  
Rite Aid Corp., 9.25%, 3/15/20 USD 60 $ 67,725  
 
Food Products — 0.6%  
Darling International, Inc., 8.50%, 12/15/18   20   22,400  
Del Monte Corp., 7.63%, 2/15/19   9   9,326  
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (b)   64   64,240  
Post Holdings, Inc., 7.38%, 2/15/22   110   122,513  
Smithfield Foods, Inc., 6.63%, 8/15/22   82   93,275  
   
  311,754  
 
Health Care Equipment & Supplies — 2.5%  
Biomet, Inc. (b):  
  6.50%, 8/01/20   366   385,215  
  6.50%, 10/01/20   383   387,787  
DJO Finance LLC/DJO Finance Corp.:  
  8.75%, 3/15/18   63   69,615  
  7.75%, 4/15/18   20   20,700  
  9.88%, 4/15/18   80   87,800  

Fresenius Medical Care US Finance, Inc., 5.75%,

2/15/21 (b)

  50   55,625  
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)   80   92,000  
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19   95   97,850  
Teleflex, Inc., 6.88%, 6/01/19   50   54,000  
   
  1,250,592  
 
Health Care Providers & Services — 7.3%  
Aviv Healthcare Properties LP, 7.75%, 2/15/19   95   103,788  
CHS/Community Health Systems, Inc.:  
  5.13%, 8/15/18   140   145,950  
  7.13%, 7/15/20   75   82,313  
Crown Newco 3 Plc, 7.00%, 2/15/18 GBP 100   158,777  
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 USD 148   157,620  
HCA Holdings, Inc., 6.25%, 2/15/21   123   131,610  
HCA, Inc.:  
  8.50%, 4/15/19   25   27,250  
  6.50%, 2/15/20   531   598,702  
  7.88%, 2/15/20   145   158,050  
  7.25%, 9/15/20   510   561,000  
  5.88%, 3/15/22   95   104,262  
  4.75%, 5/01/23   64   63,840  
Hologic, Inc., 6.25%, 8/01/20   117   125,044  
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19   95   99,275  
           
    Par
(000) 		  Value  
Corporate Bonds  
 
Health Care Providers & Services (concluded)  
INC Research LLC, 11.50%, 7/15/19 (b) USD 59 $ 63,425  
inVentiv Health, Inc., 9.00%, 1/15/18 (b)   100   106,500  
Omnicare, Inc.:  
  7.75%, 6/01/20   160   177,200  
  3.75%, 4/01/42 (e)   47   57,193  
Symbion, Inc., 8.00%, 6/15/16   55   58,163  
Tenet Healthcare Corp.:  
  6.25%, 11/01/18   195   215,962  
  6.75%, 2/01/20   90   94,500  
  4.50%, 4/01/21 (b)   78   76,635  
  4.38%, 10/01/21 (b)   106   102,820  
Vanguard Health Holding Co II LLC/Vanguard Holding Co II, Inc.:  
  8.00%, 2/01/18   40   42,450  
  7.75%, 2/01/19   75   80,250  
   
  3,592,579  
 
Health Care Technology — 1.0%  
IMS Health, Inc. (b):  
  12.50%, 3/01/18   410   481,237  
  6.00%, 11/01/20   24   25,380  
   
  506,617  
 
Hotels, Restaurants & Leisure — 1.8%  
Diamond Resorts Corp., 12.00%, 8/15/18   200   223,250  
Isle of Capri Casinos, Inc.:  
  7.75%, 3/15/19   10   10,800  
  5.88%, 3/15/21   36   35,820  
MCE Finance Ltd., 5.00%, 2/15/21 (b)   200   200,000  
MTR Gaming Group, Inc., 11.50%, 8/01/19 (f)   25   26,978  
Regal Entertainment Group, 5.75%, 2/01/25   44   43,890  
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)   100   100,500  
Station Casinos LLC, 7.50%, 3/01/21 (b)   233   244,067  
Travelport LLC/Travelport Holdings, Inc. (b):  
  6.40%, 3/01/16 (g)   10   9,262  
  11.88%, 9/01/16   5   5,206  
Tropicana Entertainment LLC/ Tropicana Finance Corp., 9.63%, 12/15/14 (a)(h)   25   —  
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22   13   13,683  
   
  913,456  
 
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 5
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Household Durables — 2.7%  
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (b) USD 38 $ 39,378  
Beazer Homes USA, Inc., 6.63%, 4/15/18   10   10,838  
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b)   70   74,900  
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)   160   177,200  
Libbey Glass, Inc., 6.88%, 5/15/20   90   97,425  
PH Holding LLC, 9.75%, 12/31/17   55   56,650  
Pulte Group, Inc., 6.38%, 5/15/33   30   30,300  
The Ryland Group, Inc., 6.63%, 5/01/20   60   66,900  
Spie BondCo 3 SCA, 11.00%, 8/15/19 EUR 100   140,535  
Standard Pacific Corp.:  
  10.75%, 9/15/16 USD 300   370,500  
  8.38%, 1/15/21   170   204,000  
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)   45   45,562  
   
  1,314,188  
 
Household Products — 0.9%  
Ontex IV SA, 7.50%, 4/15/18 (b) EUR 100   136,474  
Spectrum Brands Escrow Corp. (b):  
  6.38%, 11/15/20 USD 63   67,646  
  6.63%, 11/15/22   40   43,200  
Spectrum Brands, Inc.:  
  9.50%, 6/15/18   160   177,000  
  6.75%, 3/15/20   17   18,275  
   
  442,595  
 
Independent Power Producers & Energy Traders — 4.2%  
The AES Corp., 4.88%, 5/15/23   5   4,913  
Calpine Corp., 7.50%, 2/15/21 (b)   7   7,595  
Dynegy, Inc., 5.88%, 6/01/23 (b)   50   49,250  
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:  
  6.88%, 8/15/17 (b)   125   132,500  
  10.00%, 12/01/20 (b)   370   419,487  
  10.00%, 12/01/20   583   663,891  
  11.75%, 3/01/22 (b)(i)   127   144,621  
GenOn REMA LLC, Series B, 9.24%, 7/02/17   35   38,508  
Laredo Petroleum, Inc.:  
  9.50%, 2/15/19   90   101,925  
  7.38%, 5/01/22   60   66,000  
NRG Energy, Inc.:  
  7.63%, 1/15/18   313   352,907  
  6.63%, 3/15/23 (b)   9   9,518  
QEP Resources, Inc.:  
  5.38%, 10/01/22   56   57,400  
    Par
(000) 		  Value  
Corporate Bonds  
 
Independent Power Producers & Energy Traders (concluded)  
QEP Resources, Inc. (concluded):  
  5.25%, 5/01/23 USD 40 $ 40,400  
   
  2,088,915  
 
Industrial Conglomerates — 0.2%  
Sequa Corp., 7.00%, 12/15/17 (b)   100   100,000  
 
Insurance — 0.7%  
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)   186   194,835  
CNO Financial Group, Inc., 6.38%, 10/01/20 (b)   37   40,099  
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)   106   109,180  
   
  344,114  
 
Internet Software & Services — 0.1%  
VeriSign, Inc., 4.63%, 5/01/23 (b)   45   45,225  
 
IT Services — 4.2%  
Ceridian Corp.:  
  11.25%, 11/15/15   20   20,600  
  8.88%, 7/15/19 (b)   210   239,400  
  11.00%, 3/15/21 (b)   249   284,482  
Epicor Software Corp., 8.63%, 5/01/19   87   94,612  
First Data Corp.:  
  7.38%, 6/15/19 (b)   400   422,000  
  8.88%, 8/15/20 (b)   90   99,450  
  6.75%, 11/01/20 (b)   271   283,195  
  8.25%, 1/15/21 (b)   18   19,080  
  12.63%, 1/15/21   61   66,643  
  10.63%, 6/15/21 (b)   124   124,620  
  11.75%, 8/15/21 (b)   65   62,888  
SunGard Data Systems, Inc.:  
  7.38%, 11/15/18   150   159,750  
  6.63%, 11/01/19 (b)   130   136,825  
WEX, Inc., 4.75%, 2/01/23 (b)   81   80,797  
   
  2,094,342  
 
Machinery — 0.7%  
Dematic SA, 7.75%, 12/15/20 (b)   15   16,163  
The Manitowoc Co., Inc., 5.88%, 10/15/22   80   85,100  
Navistar International Corp., 8.25%, 11/01/21   58   59,087  
SPX Corp., 6.88%, 9/01/17   30   33,375  
Terex Corp., 6.00%, 5/15/21   75   79,312  
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (b)   67   66,749  
   
  339,786  
 
Media — 10.0%  
Affinion Group, Inc., 7.88%, 12/15/18   63   48,510  
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 6
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Media (continued)  
AMC Networks, Inc.:  
  7.75%, 7/15/21 USD 40 $ 45,300  
  4.75%, 12/15/22   59   58,852  
Cablevision Systems Corp., 5.88%, 9/15/22   95   94,050  
CCO Holdings LLC/CCO Holdings Capital Corp.:  
  5.25%, 9/30/22   105   105,000  
  5.13%, 2/15/23   125   122,500  
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b)   99   79,695  
Checkout Holding Corp., 9.83%, 11/15/15 (b)(d)   80   63,200  
Cinemark USA, Inc., 5.13%, 12/15/22   42   42,630  
Clear Channel Communications, Inc.:  
  9.00%, 12/15/19 (b)(c)   95   95,475  
  9.00%, 3/01/21   278   275,915  
Clear Channel Worldwide Holdings, Inc.:  
  6.50%, 11/15/22 (b)   102   107,100  
  6.50%, 11/15/22 (b)   347   366,085  
  Series B 7.63%, 3/15/20   187   198,687  
DISH DBS Corp.:  
  4.25%, 4/01/18 (b)   85   82,875  
  5.13%, 5/01/20 (b)   150   146,250  
  5.88%, 7/15/22   250   250,625  
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (b)   60   66,750  
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (b)(c)   250   245,000  
Intelsat Luxembourg SA (b):  
  6.75%, 6/01/18   210   218,925  
  7.75%, 6/01/21   75   78,844  
Interactive Data Corp., 10.25%, 8/01/18   220   246,950  
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17   55   58,025  
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)   125   134,062  
The McClatchy Co., 9.00%, 12/15/22 (b)   90   97,200  
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)   94   101,520  
The New York Times Co., 6.63%, 12/15/16   225   249,469  
Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18   319   350,900  
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (b)   29   29,363  
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(b)(e)(h)   414   207  
Sirius XM Radio, Inc. (b):  
  4.25%, 5/15/20   85   83,300  
  4.63%, 5/15/23   42   40,320  
    Par
(000) 		  Value  
Corporate Bonds  
 
Media (concluded)  
Sterling Entertainment Corp., 10.00%, 12/15/19 USD 150 $ 150,000  
Unitymedia GmbH, 9.50%, 3/15/21 EUR 100   149,738  
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 7.50%, 3/15/19   112   158,382  
Univision Communications, Inc. (b):  
  8.50%, 5/15/21 USD 48   51,960  
  6.75%, 9/15/22   63   67,725  
  5.13%, 5/15/23   116   113,680  
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)   55   58,300  
   
  4,933,369  
 
Metals & Mining — 3.1%  
ArcelorMittal:  
  9.50%, 2/15/15   40   44,400  
  4.25%, 8/05/15   65   67,113  
  4.25%, 3/01/16   25   25,938  
  5.00%, 2/25/17   68   70,720  
  6.13%, 6/01/18   68   72,080  
FMG Resources August 2006 Property Ltd. (b):  
  6.38%, 2/01/16   27   27,132  
  6.00%, 4/01/17   75   75,937  
Global Brass and Copper, Inc., 9.50%, 6/01/19 (b)   50   56,000  
GoldCorp, Inc., 2.00%, 8/01/14 (e)   85   86,647  
Kaiser Aluminum Corp., 8.25%, 6/01/20   35   39,463  

New Gold, Inc., 7.00%, 4/15/20 (b)

  25   26,500  
New World Resources NV, 7.88%, 5/01/18 EUR 60   62,388  
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (e) USD 90   93,881  
Novelis, Inc., 8.75%, 12/15/20   545   609,037  
Steel Dynamics, Inc., 6.38%, 8/15/22 (b)   40   43,600  
Taseko Mines Ltd., 7.75%, 4/15/19   70   71,400  
Walter Energy, Inc. (b):  
  9.88%, 12/15/20   22   23,485  
  8.50%, 4/15/21   20   20,100  
   
  1,515,821  
 
Multiline Retail — 0.7%  
Dollar General Corp., 4.13%, 7/15/17   134   145,425  
Dufry Finance SCA, 5.50%, 10/15/20 (b)   200   210,500  
   
  355,925  
 
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 7
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Oil, Gas & Consumable Fuels — 9.3%  
Access Midstream Partners LP/ACMP Finance Corp.:  
  5.88%, 4/15/21 USD 11 $ 11,660  
  6.13%, 7/15/22   45   48,150  
  4.88%, 5/15/23   72   71,100  
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (e)   142   140,580  
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b)   31   32,240  
Aurora USA Oil & Gas, Inc. (b):  
  9.88%, 2/15/17   115   126,212  
  7.50%, 4/01/20   55   56,100  
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 (b)   14   14,630  
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22   40   43,400  
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20   38   41,040  
Chaparral Energy, Inc., 7.63%, 11/15/22   35   37,800  
Chesapeake Energy Corp.:  
  7.25%, 12/15/18   20   23,050  
  6.63%, 8/15/20   14   15,575  
  6.88%, 11/15/20   46   51,750  
  6.13%, 2/15/21   11   11,990  
Concho Resources, Inc.:  
  7.00%, 1/15/21   25   27,188  
  6.50%, 1/15/22   52   56,160  
  5.50%, 10/01/22   63   65,047  
  5.50%, 4/01/23   12   12,270  
CONSOL Energy, Inc., 8.25%, 4/01/20   50   55,250  
Continental Resources, Inc., 7.13%, 4/01/21   60   67,350  
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18   25   26,875  

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)

  57   58,710  

CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/01/22 (b)

  65   67,275  
Denbury Resources, Inc., 4.63%, 7/15/23   128   123,840  
Energy XXI Gulf Coast, Inc.:  
  9.25%, 12/15/17   75   83,250  
  7.75%, 6/15/19   90   96,300  
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20   35   39,681  
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19   55   59,400  
    Par
(000) 		  Value  
Corporate Bonds  
 
Oil, Gas & Consumable Fuels (continued)  
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19 USD 25 $ 25,688  
Halcon Resources Corp., 8.88%, 5/15/21   72   73,260  
Hilcorp Energy I LP/Hilcorp Finance Co., 7.63%, 4/15/21 (b)   45   49,500  
Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20   25   26,563  
Kodiak Oil & Gas Corp., 8.13%, 12/01/19   60   67,500  
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (b)   25   24,438  
Linn Energy LLC, 6.25%, 11/01/19 (b)   238   239,785  
Linn Energy LLC/Linn Energy Finance Corp.:  
  6.50%, 5/15/19   7   7,123  
  8.63%, 4/15/20   20   21,900  
  7.75%, 2/01/21   60   63,600  
MarkWest Energy Partners LP:  
  6.25%, 6/15/22   20   21,600  
  5.50%, 2/15/23   40   41,800  
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.50%, 7/15/23   50   48,625  
Memorial Production Partners LP, 7.63%, 5/01/21 (b)   32   32,160  
Newfield Exploration Co., 6.88%, 2/01/20   135   144,450  
Northern Oil and Gas, Inc., 8.00%, 6/01/20   55   57,200  
Oasis Petroleum, Inc.:  
  7.25%, 2/01/19   35   37,713  
  6.50%, 11/01/21   50   54,000  
Offshore Group Investment Ltd., 7.13%, 4/01/23 (b)   69   71,242  
Pacific Drilling SA, 5.38%, 6/01/20 (b)(c)   67   66,330  
PBF Holding Co. LLC, 8.25%, 2/15/20   35   38,675  
PDC Energy, Inc., 7.75%, 10/15/22 (b)   35   38,150  
Penn Virginia Corp., 8.50%, 5/01/20 (b)   21   21,000  
PetroBakken Energy Ltd., 8.63%, 2/01/20 (b)   77   78,925  
Petrobras Global Finance BV, 3.00%, 1/15/19   58   56,571  
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)   95   105,450  
Plains Exploration & Production Co., 6.88%, 2/15/23   91   102,944  
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 8
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Oil, Gas & Consumable Fuels (concluded)  
Range Resources Corp.:  
  8.00%, 5/15/19 USD 20 $ 21,800  
  6.75%, 8/01/20   20   21,650  
  5.75%, 6/01/21   160   169,200  
  5.00%, 8/15/22   54   54,810  
  5.00%, 3/15/23 (b)   29   29,290  
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18   70   75,075  
Rosetta Resources, Inc., 5.63%, 5/01/21   45   45,113  
Sabine Pass Liquefaction LLC (b):  
  5.63%, 2/01/21   170   170,637  
  5.63%, 4/15/23   100   100,000  
Sabine Pass Liquified Natural Gas LP:  
  7.50%, 11/30/16   305   340,075  
  6.50%, 11/01/20 (b)   55   57,612  
SandRidge Energy, Inc.:  
  8.75%, 1/15/20   5   5,375  
  7.50%, 2/15/23   62   63,860  
SESI LLC, 6.38%, 5/01/19   55   59,400  
Seven Generations Energy Ltd., 8.25%, 5/15/20 (b)   15   15,600  
SM Energy Co.:  
  6.63%, 2/15/19   20   21,450  
  6.50%, 11/15/21   45   49,162  
  6.50%, 1/01/23   65   71,500  
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b)   26   27,105  
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20   40   42,800  
   
  4,621,579  
 
Paper & Forest Products — 0.6%  
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b)   92   99,360  
Boise Paper Holdings LLC:  
  9.00%, 11/01/17   15   15,975  
  8.00%, 4/01/20   5   5,550  
Clearwater Paper Corp.:  
  7.13%, 11/01/18   95   102,837  
  4.50%, 2/01/23 (b)   5   4,938  
NewPage Corp., 11.38%, 12/31/14 (a)(h)   337   —  
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b)   25   25,500  
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (b)   45   46,800  
   
  300,960  
 
Pharmaceuticals — 1.6%  
Elan Finance Plc/Elan Finance Corp., 6.25%, 6/15/21 (b)   255   256,275  
    Par
(000) 		  Value  
Corporate Bonds  
 
Pharmaceuticals (concluded)  
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b) USD 68 $ 77,605  
Valeant Pharmaceuticals International (b):  
  6.50%, 7/15/16   130   134,550  
  6.88%, 12/01/18   156   166,530  
  6.38%, 10/15/20   47   49,350  
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18   102   112,519  
   
  796,829  
 
Professional Services — 0.2%  
Truven Health Analytics, Inc., 10.63%, 6/01/20 (b)   90   101,700  
 
Real Estate Investment Trusts (REITs) — 0.6%  
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (b)   46   47,610  
Felcor Lodging LP:  
  6.75%, 6/01/19   181   193,217  
  5.63%, 3/01/23   41   41,718  
Host Hotels & Resorts LP, 2.50%, 10/15/29 (b)(e)   20   28,188  
   
  310,733  
 
Real Estate Management & Development — 2.4%  
CBRE Services, Inc., 6.63%, 10/15/20   55   59,400  

Crescent Resources LLC/Crescent Ventures, Inc., 10.25%,

8/15/17 (b)

  145   161,675  
Realogy Corp. (b):  
  7.88%, 2/15/19   425   466,437  
  7.63%, 1/15/20   120   135,900  
  9.00%, 1/15/20   55   63,938  
The Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)   56   55,580  
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19   230   261,050  
   
  1,203,980  
 
Road & Rail — 0.9%  
The Hertz Corp.:  
  7.50%, 10/15/18   130   141,375  
  6.75%, 4/15/19   50   54,313  
  5.88%, 10/15/20   10   10,550  
  7.38%, 1/15/21   170   187,850  
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)   24   25,260  
   
  419,348  
 
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 9
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Corporate Bonds  
 
Semiconductors & Semiconductor Equipment — 0.8%  
NXP BV/NXP Funding LLC (b):  
  3.75%, 6/01/18 USD 115 $ 113,275  
  5.75%, 2/15/21   200   210,000  
Spansion LLC, 7.88%, 11/15/17   50   52,000  
   
  375,275  
 
Software — 1.6%  
IAC/InterActiveCorp, 4.75%, 12/15/22 (b)   71   69,757  
Igloo Holdings Corp., 8.25%, 12/15/17 (b)(f)   47   48,293  
Infor US, Inc., 9.38%, 4/01/19   350   394,625  

Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (b)

  27   28,215  
Nuance Communications, Inc., 5.38%, 8/15/20 (b)   155   156,937  
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (b)   78   86,970  
   
  784,797  
 
Specialty Retail — 2.8%  
Asbury Automotive Group, Inc.:  
  7.63%, 3/15/17   60   61,726  
  8.38%, 11/15/20   60   67,200  
Claire's Stores, Inc. (b):  
  9.00%, 3/15/19   149   167,625  
  7.75%, 6/01/20   55   55,688  

CST Brands, Inc., 5.00%, 5/01/23 (b)

  31   31,310  
House of Fraser Funding Plc, 8.88%, 8/15/18 GBP 100   160,980  
Limited Brands, Inc., 8.50%, 6/15/19 USD 140   172,025  
Michaels Stores, Inc., 7.75%, 11/01/18   39   42,315  
New Academy Finance Co. LLC, 8.00%, 6/15/18 (b)(f)   37   38,110  
Party City Holdings, Inc., 8.88%, 8/01/20 (b)   173   194,192  
Penske Automotive Group, Inc., 5.75%, 10/01/22 (b)   51   53,741  
QVC, Inc. (b):  
  7.50%, 10/01/19   100   110,106  
  7.38%, 10/15/20   55   60,774  
Sally Holdings LLC/Sally Capital, Inc.:  
  6.88%, 11/15/19   90   99,788  
  5.75%, 6/01/22   83   87,358  
   
  1,402,938  
 
Textiles, Apparel & Luxury Goods — 0.4%  
Levi Strauss & Co., 6.88%, 5/01/22   75   83,156  
PVH Corp., 4.50%, 12/15/22   41   40,898  
    Par
(000) 		  Value  
Corporate Bonds  
 
Textiles, Apparel & Luxury Goods (concluded)  

SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (b)(c)

USD 82 $ 81,590  
   
  205,644  
 
Trading Companies & Distributors — 1.2%  
Air Lease Corp., 4.50%, 1/15/16   100   102,500  
Ashtead Capital, Inc., 6.50%, 7/15/22 (b)   90   97,200  
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (b):  
  Series 2012-1, Class A 5.13%, 11/30/24   194   206,541  
  Series 2012-1, Class B 6.50%, 5/30/21   200   207,905  
   
  614,146  
 
Transportation Infrastructure — 0.3%  
Aguila 3 SA, 7.88%, 1/31/18   150   161,438  
 
Wireless Telecommunication Services — 4.8%  
Cricket Communications, Inc., 7.75%, 10/15/20   96   95,760  
Crown Castle International Corp., 5.25%, 1/15/23   187   189,338  
Digicel Group Ltd., 8.25%, 9/30/20 (b)   200   213,000  
Digicel Ltd., 6.00%, 4/15/21 (b)   200   199,000  
MetroPCS Wireless, Inc., 6.63%, 11/15/20   75   80,250  
NII Capital Corp., 7.63%, 4/01/21   35   29,138  
Phones4u Finance Plc, 9.50%, 4/01/18 GBP 100   157,835  

Softbank Corp., 4.50%, 4/15/20 (b)

USD 200   202,942  
Sprint Capital Corp., 6.88%, 11/15/28   213   213,000  
Sprint Nextel Corp. (b):  
  9.00%, 11/15/18   566   686,275  
  7.00%, 3/01/20   295   331,875  
   
  2,398,413  
 
Total Corporate Bonds – 106.7%   52,870,349  




 

Floating Rate Loan Interests (g)  
 
Airlines — 1.1%  
Delta Air Lines, Inc., Term Loan B, 5.00%, 4/20/17   96   96,635  
Northwest Airlines, Inc.:  
  Term Loan, 2.30%, 3/10/17   106   97,903  
  Term Loan, 2.30%, 3/10/17   107   98,725  
  Term Loan, 2.30%, 3/10/17   88   77,709  
  Term Loan, 1.68%, 9/10/18   90   79,507  
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 10
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Floating Rate Loan Interests (g)  
 
Airlines (concluded)  
Northwest Airlines, Inc. (concluded):  
  Term Loan, 1.68%, 9/10/18 USD 89 $ 78,696  
   
  529,175  
 
Auto Components — 0.1%  
Schaeffler AG, Term Loan C, 4.25%, 1/27/17   25   25,302  
 
Building Products — 0.1%  
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19   70   69,843  
 
Capital Markets — 0.7%  
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16   156   157,950  
Knight Capital Group, Inc., Term Loan B, 1.00%, 11/10/17   60   59,400  
Nuveen Investments, Inc.:  
  Second Lien Term Loan, 6.50%, 2/28/19   70   70,175  
  Term Loan, 4.19%, 5/13/17   80   80,217  
   
  367,742  
 
Chemicals — 0.4%  
INEOS US Finance LLC, 6 year Term Loan, 4.00%, 5/04/18   68   68,020  
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20   115   115,820  
   
  183,840  
 
Commercial Services & Supplies — 0.4%  
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16   95   95,654  
Catalent Pharma Solutions Inc., Term Loan, 6.50%, 12/29/17   45   45,506  
Spin Holdco Inc., Term Loan B, 4.25%, 11/15/19   40   40,200  
   
  181,360  
 
Communications Equipment — 1.4%  
Alcatel-Lucent USA, Inc.:  
  Term Loan C, 7.25%, 1/30/19   234   236,707  
  Term Loan D, 7.50%, 1/30/19 EUR 90   117,998  
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 USD 20   18,840  
Zayo Group, LLC, Term Loan B, 4.50%, 7/02/19   297   296,656  
   
  670,201  
 
Construction Materials — 0.4%  
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17   179   179,920  
 
Consumer Finance — 0.7%  
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17   359   359,761  
 
    Par
(000) 		  Value  
Floating Rate Loan Interests (g)  
 
Containers & Packaging — 0.1%  
Tekni-Plex, Inc., Term Loan B, 5.50%, 8/25/19 USD 45 $ 44,775  
 
Diversified Consumer Services — 0.2%  
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18   25   24,757  
ServiceMaster Co., Term Loan, 4.25%, 1/31/17   80   79,785  
   
  104,542  
 
Diversified Telecommunication Services — 0.7%  
Level 3 Financing, Inc.:  
  Term Loan, 4.75%, 8/01/19   250   251,798  
  Term Loan B, 4.75%, 2/01/16   50   50,185  
  Term Loan B, 5.25%, 8/01/19   40   40,525  
   
  342,508  
 
Energy Equipment & Services — 0.2%  
Dynegy Holdings Inc., Term Loan B2, 4.00%, 4/23/20   95   95,218  
 
Food & Staples Retailing — 0.3%  
JC Penney Corp., Inc., First Lien Term Loan, 6.00%, 4/30/18   120   121,575  
Rite Aid Corp., Second Lien Term Loan, 5.75%, 8/21/20   20   20,621  
   
  142,196  
 
Food Products — 0.1%  
Advance Pierre Foods, Inc., Term Loan, 5.75%, 7/10/17   35   35,120  
 
Health Care Equipment & Supplies — 0.5%  
Bausch & Lomb, Inc., Term Loan, 4.00%, 5/17/19   50   49,669  
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19   129   128,944  
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18   45   45,556  
   
  224,169  
 
Health Care Providers & Services — 0.2%  
Genesis HealthCare Corp., Term Loan B, 10.00% - 10.75%, 9/25/17   42   43,660  
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16   79   77,841  
   
  121,501  
 
Hotels, Restaurants & Leisure — 3.1%  
Harrah's Property Co., Mezzanine Term Loan, 3.69%, 2/13/14   1,196   1,091,350  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19   195   194,917  
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 11
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Floating Rate Loan Interests (g)  
 
Hotels, Restaurants & Leisure (concluded)  
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20 USD 170 $ 171,572  
Travelport LLC:  
  Second Lien PIK Term Loan 2, 8.38%, 12/01/16   71   70,863  
  Second Lien Term Loan 1, 9.50%, 1/29/16   12   12,100  
   
  1,540,802  
 
Industrial Conglomerates — 0.2%  
Sequa Corp., Term Loan B, 5.25%, 6/19/17   94   95,116  
 
Insurance — 0.1%  
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19   55   55,137  
 
IT Services — 0.3%  
Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17   12   11,927  
First Data Corp., Extended Term Loan B, 4.20%, 3/23/18   130   129,405  
   
  141,332  
 
Life Sciences Tools & Services — 0.1%  
Patheon, Inc., Term Loan, 7.25%, 12/06/18   35   35,260  
 
Machinery — 0.6%  
Rexnord LLC, Term Loan B, 3.75%, 4/02/18   83   83,877  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19   209   209,481  
   
  293,358  
 
Media — 3.6%  
Cengage Learning Acquisitions, Inc.:  
  Non Extended Term Loan, 2.70%, 7/03/14   59   46,502  
  Tranche 1 Incremental, 7.50%, 7/03/14   238   187,078  
Clear Channel Communications, Inc.:  
  Term Loan B, 3.84%, 1/29/16   58   53,658  
  Term Loan C, 3.84%, 1/29/16   16   14,369  
  Term Loan D, 3.84%, 1/29/16   217   202,049  
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18   45   45,041  
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19   68   68,306  
Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, 4/02/18   1,039   1,045,427  
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18   70   69,998  
    Par
(000) 		  Value  
Floating Rate Loan Interests (g)  
 
Media (concluded)  
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20 USD 39 $ 38,866  
Virgin Media Investment Holdings, Term Loan B, 1.00%, 2/17/20   20   19,961  
   
  1,791,255  
 
Metals & Mining — 1.1%  
Constellium Holdco BV, Term Loan B, 6.25%, 3/25/20   150   152,438  
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17   393   394,813  
   
  547,251  
 
Oil, Gas & Consumable Fuels — 1.4%  
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17   325   332,940  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15   126   126,805  
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18   40   40,210  
Vantage Drilling Co.:  
  Term Loan, 6.25%, 10/26/17   146   147,307  
  Term Loan B, 5.75%, 3/22/19   60   60,700  
   
  707,962  
 
Pharmaceuticals — 0.3%  
Par Pharmaceutical Co., Inc., Term Loan B, 4.25%, 9/30/19   119   119,519  
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18   49   49,661  
   
  169,180  
 
Professional Services — 0.1%  
Truven Health Analytics, Inc.(FKA Thomson Reuters (Healthcare), Inc.), Term Loan B, 4.50%, 6/01/19   60   59,649  
 
Real Estate Investment Trusts (REITs) — 0.2%  
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17   118   119,067  
 
Real Estate Management & Development — 0.2%  
Realogy Corp.:  
  Extended Letter of Credit, 4.45%, 10/10/16   14   14,553  
  Extended Term Loan, 4.50%, 3/05/20   105   105,941  
   
  120,494  
                   
 
                   

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 12
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

    Par
(000) 		  Value  
Floating Rate Loan Interests (g)  
 
Road & Rail — 0.1%  
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17 USD 47 $ 46,784  
 
Software — 0.6%  
GCA Services Group, Inc., Second Lien Term Loan, 9.25%, 10/22/20   10   10,150  
Infor US, Inc., Term Loan B2, 5.25% - 6.25%, 4/05/18   203   205,398  
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20   85   88,825  
   
  304,373  
 
Specialty Retail — 0.2%  
David's Bridal, Inc., Term Loan B, 5.00%, 10/11/19   90   90,298  
 
Textiles, Apparel & Luxury Goods — 0.5%  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18   183   184,066  
PVH Corp., Term Loan B, 3.25%, 2/13/20   75   75,319  
   
  259,385  
 
Thrifts & Mortgage Finance — 0.2%  
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18   100   101,167  
 
Wireless Telecommunication Services — 1.1%  
Vodafone Americas Finance 2, Inc.(f):  
  PIK Term Loan, 6.88%, 8/11/15   277   280,343  
  PIK Term Loan B, 6.25%, 7/11/16   258   264,258  
   
  544,601  
 
Total Floating Rate Loan Interests – 21.6%   10,699,644  




 

   
Shares 		     
Investment Companies  
 
Exchange-Traded Fund — 0.9%  
iShares iBoxx $ High Yield Corporate Bond Fund (j)   4,699   436,631  
 
Total Investment Companies – 0.9%   436,631  
 
                   

 

   
Shares 		  Value  
Preferred Securities  
 
Preferred Stocks  
 
Auto Components — 1.1%  
Dana Holding Corp., 4.00% (b)(e)   3,560 $ 567,153  

 

 
Trust Preferreds  
 
Diversified Financial Services — 1.2%  
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g)   21,620   573,329  
 
Total Preferred Securities – 2.3%   1,140,482  

 

 
Warrants (k)  
 
Bankruptcy Management Solutions, Inc., (Expires 9/28/17)   61   —  
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)   176   —  
 
Total Warrants – 0.0%   —  
 
Total Long-Term Investments
(Cost – $65,948,912) – 139.3% 		  69,028,625  

 

 
Short-Term Securities  
 
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.06% (j)(l)   2,980,851   2,980,851  
 
Total Short-Term Securities
(Cost – $2,980,851) – 6.0% 		  2,980,851  

 

 
Options Purchased  
 
(Cost – $2,933) – 0.0%   —  
Total Investments Before Options Written
(Cost – $68,932,696*) – 145.3% 		  72,009,476  
                         

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 13
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)

   

  Value  
 
Options Written  
 

 

(Premiums Received – $18,225) – (0.0)% $ (20,036)  
 
Total Investments, Net of Options Written – 145.3%   71,989,440  
Liabilities in Excess of Other Assets – (45.3)%   (22,458,674)  
  __________________________________________________
Net Assets – 100.0% $ 49,530,766  
   
 

 

* As of May 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:  
  Tax cost $ 69,063,102  
   
  Gross unrealized appreciation $ 3,761,021  
  Gross unrealized depreciation   (814,647)  
   
  Net unrealized appreciation $ 2,946,374  
   
           

        Notes to Schedule of Investments

 
(a) Non-income producing security.  
(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) When-issued security. Unsettled when-issued transactions were as follows:  
   
  Counterparty   Value  

Unrealized

Appreciation
(Depreciation)

 
  Bank of America Corp.   $ 21,685 $ (171)  
  Cantor Fitzgerald & Co., Inc.   $ 9,800 $ (173)  
  Citigroup, Inc.   $ 7,035 $ 591  
  Credit Suisse Group AG   $ 220,500 $ (3,898)  
  Goldman Sachs Group, Inc.   $ 223,930 $ (3,070)  
  Jefferies & Co.   $ 36,168 $ (833)  
  JPMorgan Chase & Co.   $ 71,640 $ (1,149)  
  Pershing LLC   $ 4,975 $ (80)  
     
(d) Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.  
(e) Convertible security.  
(f) Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.  
(g) Variable rate security. Rate shown is as of report date.  
(h) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.  
(i) Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.  
(j) Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2013, 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, 2012 		  Net
Activity 		  Shares
Held at
May 31, 2013 		Income Realized
Gain 		 
 
  BlackRock Liquidity Funds, TempFund, Institutional Class   1,204,968   1,775,883   2,980,851 $ 479 $ 12  
  iShares iBoxx $ High Yield Corporate Bond Fund   –   4,699   4,699 – –  
   
(k) Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.  
(l) Represents the current yield as of report date.  
                                                                                                                         

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 14
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

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:   
EUR Euro  
FKA Formerly Known As  
GBP British Pound  
USD US Dollar  
     
• For Trust compliance purposes, the Trust's 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.  
   
• Foreign currency exchange contracts as of May 31, 2013 were as follows:  
 
  Currency
Purchased 		Currency
Sold 		Counterparty Settlement
Date 		Unrealized
 Appreciation 		 
 
  USD   589,405   GBP   385,000   Barclays Plc   7/17/13 $ 4,605  
  USD   999,893   EUR   766,000   Barclays Plc   7/23/13   4,013  
 
  Total $ 8,618  
• Over-the-counter options purchased as of May 31, 2013 were as follows:  
   
  Description   Counterparty Put/
Call

 

Strike
Price

Expiration
Date 		Contracts Market
Value 		 
   
  Marsico Parent Superholdco LLC   Goldman Sachs Group, Inc. Call USD 942.86 12/14/19 3   —  
   
     
• Over-the-counter credit default swaptions written as of May 31, 2013 were as follows:  
                                                                                                                         
  Description Counterparty Put/
Call 		Strike
Price 		Pay/Receive
Floating
Rate Index 		Floating Rate
Index

Credit
Rating 1

Expiration
Date 		Notional
Amount
(000) 2 		Market
Value 		 
  Sold Protection
on 5-Year
Credit Default
Swap 		Credit Suisse
Group AG 		Call USD 103.50 Receive Dow Jones
CDX North
America High
Yield, Series 19,
Version 1 		B+ 6/19/13 USD 750 $ (19,982)  
  Sold Protection
on 5-Year
Credit Default
Swap 		Credit Suisse
Group AG 		Put USD 97.50 Pay Dow Jones
CDX North
America
High Yield,
Series 19, Version 1 		B+ 6/19/13 USD 750   (54)  
  Total                   $ (20,036)  
1 Using S&P’s rating of the underlying securities of the index.
2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.
   
• Credit default swaps - buy protection outstanding as of May 31, 2013 were as follows:  
   Issuer   Pay
Fixed
Rate 		  Counterparty   Expiration
Date 		  Notional
Amount
(000) 		  Unrealized
Depreciation 		 
 
    The New York Times Co.   1.00%   Barclays Plc   12/20/16   USD   225 $(7,392)  
 
                                                                                             

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 15
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

• Credit default swaps - sold protection outstanding as of May 31, 2013 were as follows:  
 
  Issuer   Receive
Fixed
Rate 		  Counterparty   Expiration
Date 		 

Credit

Rating 1

  Notional
Amount
(000) 2 		  Unrealized Appreciation (Depreciation)  
 
  Caesars Entertainment Operating Co., Inc.   5.00%   JPMorgan Chase & Co.   12/20/15   CCC-   USD   13 $ 664  
  Caesars Entertainment Operating Co., Inc.   5.00%   JPMorgan Chase & Co.   12/20/15   CCC-   USD   46   4,341  
  Goodyear Tire & Rubber Co.   5.00%   Barclays Plc   12/20/15   BB-   USD   95   1,958  
  Caesars Entertainment Operating Co., Inc.   5.00%   Barclays Plc   3/20/16   CCC-   USD   12   (284)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Barclays Plc   3/20/16   CCC-   USD   11   (575)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   3/20/16   CCC-   USD   17   84  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   3/20/16   CCC-   USD   17   84  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   3/20/16   CCC-   USD   53   (393)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   3/20/16   CCC-   USD   26   (512)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   3/20/16   CCC-   USD   74   (4,858)  
  Caesars Entertainment Operating Co., Inc.   5.00%   JPMorgan Chase & Co.   3/20/16   CCC-   USD   13   (426)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Barclays Plc   6/20/16   CCC-   USD   30   (2,482)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   6/20/16   CCC-   USD   35   (675)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   6/20/16   CCC-   USD   70   (1,947)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   6/20/16   CCC-   USD   74   (1,797)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   6/20/16   CCC-   USD   21   (1,426)  
  ARAMARK Corp.   5.00%   Credit Suisse Group AG   9/20/16   B-   USD   50   5,700  
  ARAMARK Corp.   5.00%   Deutsche Bank AG   3/20/17   B-   USD   35   2,795  
  Caesars Entertainment Operating Co., Inc.   5.00%   Barclays Plc   3/20/17   CCC-   USD   11   (574)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   3/20/17   CCC-   USD   33   (2,146)  
                                                                                             

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 16
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

 
  Issuer   Receive
Fixed
Rate 		  Counterparty   Expiration
Date 		 

Credit

Rating 1

  Notional
Amount
(000) 2 		  Unrealized Appreciation (Depreciation)  
 
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   3/20/17   CCC-   USD   40 $ (1,116)  
  Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Group, Inc.   3/20/17   CCC-   USD   23   (1,062)  
  Crown Castle International Corp.   7.25%   Deutsche Bank AG   3/20/17   B-   USD   80   16,135  
  CCO Holdings LLC   8.00%   Deutsche Bank AG   9/20/17   BB-   USD   280   64,913  
   
  Total $ 76,401  
   
1 Using S&P’s rating of the issuer.      
2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  
   
• Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques 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 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.  
   
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust's 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 instrument 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, please 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 as of May 31, 2013:  
                                                                                             

 

  Level 1   Level 2   Level 3   Total
Assets:
Investments:
 Long-Term Investments:
  Common Stocks $ 3,458,405 $ 244,491 $ 178,623 $ 3,881,519  
  Corporate Bonds   —   52,544,696   325,653   52,870,349  
  Floating Rate Loan Interests   —   9,072,251   1,627,393   10,699,644  
  Investment Companies   436,631   —   —   436,631  
  Preferred Securities   573,329   567,153   —   1,140,482  
 Short-Term Securities   2,980,851   —   —   2,980,851  
Total $ 7,449,216 $ 62,428,591 $ 2,131,669 $ 72,009,476  
                                                                 

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 17
 
Schedule of Investments   (continued)

BlackRock High Yield Trust (BHY)

  Level 1   Level 2   Level 3   Total  
Derivative Financial Instruments 1  
Assets:  
  Credit contracts   — $ 96,674   — $ 96,674  
  Foreign currency exchange contracts   —   8,618   —   8,618  
Liabilities:  
  Credit contracts   —   (47,701)   —   (47,701)  
Total   — $ 57,591   — $ 57,591  
                                                                 

 

1 Derivative financial instruments are swaps, foreign currency exchange contracts, and options written. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.  
 
  Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of May  31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:  
     
  Level 1   Level 2   Level 3   Total
Assets:
  Cash $ 85,261   —   — $ 85,261
  Foreign currency at value   11,454   —   —   11,454
  Cash pledged as collateral for options written   10,000   —   —   10,000
Liabilities:  
  Loans payable   —  $ (21,000,000)   —   (21,000,000)
  Cash received for financial futures contracts   —   (12,264)   —   (12,264)
Total $ 106,715  $ (21,012,264)   —  $ (20,905,549)
                   

 

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2013.

 

Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 18
 
Schedule of Investments   (concluded)

BlackRock High Yield Trust (BHY)

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

 

Common

Stocks

 

Corporate

Bonds

 

Floating Rate

Loan Interests

 

 

Warrants

 

 

Total

Assets:          

Opening Balance, as of August 31, 2012

 

$

 

1

 

$

 

638,018

 

$

 

1,898,540

 

$

 

1

 

$

 

2,536,560

Transfers into Level 3 1   —   247,288   319,021   —   566,309
Transfers out of Level 3 1   —   —   (136,510)   —   (136,510)
Accrued discounts/premiums   —   114   5,862   —   5,976
Net realized gain (loss)   —   1,255   12,702   —   13,957
Net change in unrealized appreciation/depreciation 2   119,582   (221,329)   117,207    (1)   15,459
Purchases   59,040   203,900   651,712   —   914,652
Sales   —   (543,593)   (1,241,141)   —   (1,784,734)

Closing Balance, as of May 31, 2013

 

$

 

178,623

 

$

 

325,653

 

$

 

1,627,393

 

 

—

 

$

 

2,131,669

   
1 Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of May 31, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $566,309 transferred from Level 2 to Level 3 in the disclosure hierarchy.  
2 The change in unrealized appreciation/ depreciation on investments still held as of May 31, 2013 was $(87,791).  
   
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:  
   
 

Credit

Contracts

 
Liabilities:      
Opening Balance, as of August 31, 2012 $ 90,639  
Transfers into Level 3 1   —  
Transfers out of Level 3 1   (23,950)  
Accrued discounts/premiums   —  
Net realized gain (loss)   —  
Net change in unrealized appreciation/depreciation 2   (66,689)  
Purchases   —  
Issues 3   —  
Sales   —  
Settlements 4   —  
Closing Balance, as of May 31, 2013 $ —  
   
1 Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.  
2 The change in unrealized appreciation/ depreciation on investments still held as of May 31, 2013 was $0.  
3 Issues represent upfront cash received on certain derivative financial instruments.  
4 Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.  
                             

 

BLACKROCK HIGH YIELD TRUST MAY 31, 2013 19
 

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 High Yield Trust

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock High Yield Trust

 

Date: July 25, 2013

 

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 High Yield Trust

 

Date: July 25, 2013

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock High Yield Trust

 

Date: July 25, 2013

 
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