UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-10543
 
 
BlackRock Core Bond Trust
(Exact name of registrant as specified in charter)
 
100 Bellevue Parkway, Wilmington, DE 19809
(Address of principal executive offices)  (Zip code)
 
Robert S. Kapito, President
BlackRock Core Bond Trust
40 East 52nd Street, New York, NY 10022
(Name and address of agent for service)


Registrant's telephone number, including area code: 888-825-2257
 
   
Date of fiscal year end:  October 31, 2004 
 
   
Date of reporting period: July 31, 2004 
 


Item 1. Schedule of Investments

The Trust's schedule of investments pursuant to Rule 30b1-5 under the Investment Company Act of 1940 is as follows:

 

PORTFOLIO OF INVESTMENTS (unaudited)
JULY 31, 2004

BlackRock Core Bond Trust (BHK)

      Principal          
      Amount
 
    Rating1   (000)
Description
Value
  
          LONG-TERM INVESTMENTS—145.5%        
            Mortgage Pass-Throughs—26.7%        
            Federal Home Loan Mortgage Corp.,        
        $ 1,875       3.50%, 4/01/08       $ 1,851,563  
        465       3.875%, 11/10/08       463,944  
        1,400       4.125%, 2/24/11       1,343,118  
        1,125       4.50%, 12/16/10       1,107,011  
        2,795       4.75%, 12/08/10       2,789,801  
        99       5.00%, 5/01/34       96,895  
        10,291       5.50%, 11/01/18 - 9/01/33       10,420,045  
        6,144       6.00%, 9/01/10 - 12/01/18       6,427,640  
        735       6.875%, 9/15/10       831,586  
        4,166 2     7.00%, 3/15/10 - 9/01/31       4,711,787  
            Federal National Mortgage Assoc.,        
        870       1.75%, 6/16/06       851,582  
        3,675       2.35%, 4/05/07       3,569,050  
        22,425 2     3.125%, 5/04/07       22,329,806  
        2,600       4.50%, 5/01/19 - 6/01/19       2,560,653  
        1,280       4.75%, 2/21/13       1,245,850  
        1,531       5.00%, 1/01/34 - 2/01/34       1,496,056  
        15,000       5.00%, TBA       15,107,820  
        11,601       5.50%, 1/01/18 - 7/01/34       11,662,006  
        1,540       5.75%, 2/15/08       1,647,615  
        4,089       6.00%, 5/15/08 - 4/01/34       4,249,162  
        1,450       6.625%, 9/15/09       1,612,429  
        880       7.00%, 1/01/31 - 7/01/32       931,758  
        4,675 2     7.125%, 6/15/10       5,340,112  
        553   Government National Mortgage Assoc., 5.50%, 5/15/33 - 9/15/33       557,423  
        2,510   Small Business Admin., Ser. P10B, Class 1, 5.136%, 8/10/13       2,527,929  
                 
 
            Total Mortgage Pass-Throughs       105,732,641  
                 
 
            Interest Only Asset-Backed Securities—1.0%        
        44,658   Sterling Coofs Trust, 4/15/29       3,977,357  
                 
 
            Interest Only Mortgage-Backed Securities—2.7%        
            Federal Home Loan Mortgage Corp.,        
        4,370       Ser. 2579, Class HI, 8/15/17       513,028  
        9,313       Ser. 2611, Class QI, 9/15/32       1,889,209  
            Federal National Mortgage Assoc.,        
        8,543       Ser. 16, Class IW, 11/25/12       654,769  
        14,009       Ser. 64, Class QI, 1/25/33       2,900,496  
        24,146       Ser. 92, Class IC, 4/25/13       2,752,911  
        20,122   Residential Accredit Loans, Inc., Ser. QS10, Class A16, 5/25/33       2,007,525  
                 
 
            Total Interest Only Mortgage-Backed Securities       10,717,938  
                 
 
            Commercial Mortgage-Backed Securities—2.9%        
    AAA   1,677   Heller Financial Commercial Mortgage Asset Co., Ser. PH1, Class A2, 6.847%, 5/15/31       1,830,345  
    AAA   1,790   JP Morgan Commercial Mortgage Finance Corp., 7.371%, 8/15/32       2,009,848  
    AAA   1,470   Morgan Stanley Capital I, Inc., Ser. HF2, Class A2, 6.48%, 11/15/30       1,591,043  
    AAA   3,500   Salomon Brothers Mortgage Securities VII, Ser. C1, Class A2, 7.52%, 12/18/09       3,970,903  
    AAA   1,910   Wachovia Bank Commercial Mortgage Trust, 5.411%, 7/15/41       1,933,302  
    AAA   192   Washington Mutual Mortgage Securitization Corp., Ser. 12, Class A, 6.50%, 5/25/32       193,155  
                 
 
            Total Commercial Mortgage-Backed Securities       11,528,596  
                 
 
 

1

BlackRock Core Bond Trust (BHK) (continued)

      Principal          
      Amount
 
    Rating1   (000)
Description
Value
  
          U.S. Government and Agency Securities—40.8%        
        $ 1,670   Aid to Israel, 5.50%, 4/26/24 - 9/18/33       $ 1,672,567  
        1,050   Resolution Funding Corp., zero coupon, 7/15/18 - 10/15/18       487,961  
            U.S. Treasury Bonds,        
        25,215 2     5.375%, 2/15/31       25,821,673  
        1,630 2     6.00%, 2/15/26       1,779,566  
        1,810 2     6.125%, 11/15/27       2,010,222  
        8,960 2     6.75%, 8/15/26       10,668,000  
        1,075       8.00%, 11/15/21       1,425,425  
        21,505 2     8.125%, 8/15/19       28,489,093  
        2,655 2     10.375%, 11/15/12       3,238,582  
            U.S. Treasury Notes,        
        7,375       2.25%, 4/30/06       7,336,945  
        36,255 2     2.50%, 5/31/06       36,186,841  
        16,345       2.75%, 6/30/06 - 7/31/06       16,366,840  
        4,980       3.125%, 5/15/07       4,995,537  
        445       3.625%, 7/15/09       443,678  
        20,095       4.75%, 5/15/14       20,522,019  
                 
 
            Total U.S. Government and Agency Securities       161,444,949  
                 
 
            Corporate Bonds—63.2%        
            Aero & Defense—2.0%        
    B-   3,000   BE Aerospace, Inc., Ser. B, 8.00%, 3/01/08       2,910,000  
            Lockheed Martin Corp.,        
    BBB   380       7.20%, 5/01/36       434,956  
    BBB   1,175       8.50%, 12/01/29       1,491,580  
            Northrop Grumman Corp.,        
    BBB   380       7.125%, 2/15/11       427,739  
    BBB   960       7.875%, 3/01/26       1,131,895  
    BBB-   800   Raytheon Co., 4.85%, 1/15/11       800,568  
    BB+   690   RC Trust I, 7.00%, 5/15/06       728,336  
                 
 
                    7,925,074  
                 
 
            Automotive—3.0%        
            DaimlerChrysler NA Holding Corp.,        
    A3   250       4.05%, 6/04/08       247,707  
    A3   940       4.75%, 1/15/08       955,482  
    A3   660       7.45%, 3/01/27       690,322  
    B3   1,500   Delco Remy Intl., Inc., 11.00%, 5/01/09       1,608,750  
            General Motors Acceptance Corp.,        
    A3   1,160   zero coupon, 12/01/12       672,555  
    A3   4,510       5.625%, 5/15/09       4,519,832  
    A3   2,029       6.875%, 9/15/11       2,077,554  
    BB-   892   TRW Automotive, Inc., 9.375%, 2/15/13       1,016,880  
                 
 
                    11,789,082  
                 
 
            Basic Material—0.1%        
    A-   400   Alcan Inc., 6.125%, 12/15/33 (Canada)       398,260  
                 
 
            Building & Development—1.0%        
    BB+   3,000   Hovnanian Enterprises, Inc., 10.50%, 10/01/07       3,465,000  
    BBB+   600   Pulte Homes Inc., 4.875%, 7/15/09       599,562  
                 
 
                    4,064,562  
                 
 
            Chemical—1.5%        
    CCC   2,000   Avecia Group PLC, 11.00%, 7/01/09 (United Kingdom)       1,530,000  
    B+   4,000   Lyondell Chemical Co., Ser. B, 9.875%, 5/01/07       4,180,000  
                 
 
                    5,710,000  
                 
 

2

BlackRock Core Bond Trust (BHK) (continued)

      Principal          
      Amount
 
    Rating1   (000)
Description
Value
  
          Conglomerates—1.9%        
    A   $ 1,025   Avery Dennison Corp., 4.875%, 1/15/13       $ 1,012,167  
            General Electric Cap. Corp.,        
    AAA   2,280       Ser. A, 5.875%, 2/15/12       2,414,337  
    AAA   1,170       Ser. A, 6.00%, 6/15/12       1,247,688  
    AAA   2,745   General Electric Co., 5.00%, 2/01/13       2,739,620  
                 
 
                    7,413,812  
                 
 
            Consumer Products—2.8%        
    A   1,680   Diageo Capital PLC, 3.375%, 3/20/08 (United Kingdom)       1,651,440  
    BBB+   1,010   General Mills, Inc., 5.125%, 2/15/07       1,049,249  
    BBB+   990   Kellogg Co., Ser. B, 6.60%, 4/01/11       1,091,128  
            Kraft Foods, Inc.,        
    A3   400       5.25%, 6/01/07       416,396  
    A3   1,880       5.625%, 11/01/11       1,934,558  
    BBB   650   Kroger Co., 6.80%, 4/01/11       713,823  
    B-   1,000   Pantry Inc., The 7.75%, 2/15/14       992,500  
    B+   2,100   Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13       2,157,750  
    B+   1,000   Stoneridge, Inc., 11.50%, 5/01/12       1,180,000  
                 
 
                    11,186,844  
                 
 
            Containers & Glass—0.7%        
    B   1,000   Crown European Holdings SA, 10.875%, 3/01/13       1,155,000  
    BB-   1,500   Owens-Brockway Glass Container, 8.75%, 11/15/12       1,646,250  
                 
 
                    2,801,250  
                 
 
            Ecological Services & Equipment—1.0%        
    B+   3,913   Allied Waste NA, Inc., Ser. B, 10.00%, 8/01/09       4,118,433  
                 
 
            Electronics—0.1%        
    CCC   500   Knowles Electronics Holdings, Inc., 13.125%, 10/15/09       522,500  
                 
 
            Energy—8.6%        
    BBB-   1,650   Amerada Hess Corp., 7.125%, 3/15/33       1,673,826  
    BBB+   1,815 2 Anadarko Finance Co., Ser. B, 7.50%, 5/01/31 (Canada)       2,100,772  
    BBB+   765 2 Anadarko Petroleum Corp., 5.375%, 3/01/07       800,274  
    B+   1,000   Calpine Canada Energy Finance ULC, 8.50%, 5/01/08 (Canada)       625,000  
    BB   1,250   Chesapeake Energy Corp., 9.00%, 8/15/12       1,428,125  
    BB   1,000   Compagnie Generale de Geophysique SA, 10.625%, 11/15/07 (France)       1,063,750  
    A-   1,800   Conoco Funding Co., 6.35%, 10/15/11       1,968,102  
    A-   350   ConocoPhillips Holding Co., 6.95%, 4/15/29       390,243  
    BBB   1,915   Devon Energy Corp., 7.95%, 4/15/32       2,245,261  
    BBB   230   Devon Financing Corp. ULC, 7.875%, 9/30/31       266,570  
    Baa2   895   Dominion Resources Capital Trust III, 8.40%, 1/15/31       1,040,518  
    BBB+   150   Dominion Resources, Inc., 5.70%, 9/17/12       154,121  
    B   3,000   Dresser, Inc., 9.375%, 4/15/11       3,240,000  
    B   1,875 3 Dynegy Holdings, Inc., 10.125%, 7/15/13       2,062,500  
            El Paso Natural Gas Co.,        
    B1   850       7.625%, 8/01/10       879,750  
    B1   265       8.625%, 1/15/22       265,662  
    B-   2,250   El Paso Production Holding Co., 7.75%, 6/01/13       2,148,750  
            EnCana Corp. (Canada),        
    A-   1,810       4.75%, 10/15/13       1,728,170  
    A-   350       6.50%, 8/15/34       351,725  
    A-   605   Encana Holdings Finance Corp., 5.80%, 5/01/14 (Canada)       624,094  
    BBB+   305   Exelon Corp., 6.75%, 5/01/11       333,765  
    BBB-   1,420   FirstEnergy Corp., Ser. C, 7.375%, 11/15/31       1,534,449  
    BBB+   360   Occidental Petroleum Corp., 7.20%, 4/01/28       405,782  
    AA   835   Ontario Electricity Financial Corp., 6.10%, 1/30/08       900,147  
    BBB+   790   Peco Energy Cap. Trust IV, 5.75%, 6/15/33       704,262  
    Baa1   1,650   Petroleos Mexicanos, 9.375%, 12/02/08 (Mexico)       1,897,500  
    Aa1   440 3 SP PowerAssets Ltd., 5.00%, 10/22/13 (Singapore)       436,172  
    A-   445   Suncor Energy Inc., 5.95%, 12/01/34 (Canada)       436,686  
    AA   1,050   Texaco Capital Inc., 8.875%, 9/01/21       1,416,859  
    A3   725   Virginia Electric & Power Co., Ser. A, 5.75%, 3/31/06       756,160  
                 
 
                    33,878,995  

3

BlackRock Core Bond Trust (BHK) (continued)

      Principal          
      Amount
 
    Rating1   (000)
Description
Value
  
          Finance & Banking—20.8%        
    AA+   $ 1,000 2,3 American General Institute Capital A, 7.57%, 12/01/45       $ 1,159,840  
    AA+   455 2 Associates Corporation of North America, 6.95%, 11/01/18       513,313  
            Bank of America Corp.,        
    Aa2   765       3.25%, 8/15/08       743,251  
    Aa2   1,640       3.375%, 2/17/09       1,588,521  
    Aa2   1,000       3.875%, 1/15/08       1,005,570  
    Aa2   105       4.375%, 12/01/10       103,931  
    Aa2   370       5.25%, 2/01/07       386,794  
    Aa2   880       5.375%, 6/15/14       884,365  
    Aa3   1,225       7.40%, 1/15/11       1,398,423  
    Aa2   325   Bank One NA, 3.70%, 1/15/08       325,718  
    Aa3   565 3 Barclays Bank PLC, 8.55%, 9/29/49 (United Kingdom)       675,759  
    AAA   1,200 3 Berkshire Hathaway Finance Corp., 3.40%, 7/02/07       1,195,848  
            Citigroup, Inc.,        
    AA+   5,000       4.25%, 7/29/09       4,990,900  
    AA   1,505       6.00%, 10/31/33       1,453,303  
    AA+   185       6.875%, 6/01/25       202,798  
    AA   1,445       7.25%, 10/01/10       1,635,928  
    BB   1,000   Crum & Forster Holdings Corp., 10.375%, 6/15/13       1,085,000  
            Household Finance Corp.,        
    A+   1,760       6.375%, 8/01/10 - 11/27/12       1,892,312  
    A+   2,325       6.75%, 5/15/11       2,555,129  
    Aa3   280   HSBC Bank USA Inc., 4.625%, 4/01/14       264,949  
            JP Morgan Chase & Co.,        
    Aa3   540       3.625%, 5/01/08       534,654  
    Aa3   1,600       5.25%, 5/30/07       1,672,512  
    Aa3   600       5.35%, 3/01/07       627,600  
    A1   325       6.625%, 3/15/12       354,458  
    A1   1,155       6.75%, 2/01/11       1,268,652  
    AA   1,415 3 MetLife Global Funding I, 4.25%, 7/30/09       1,406,142  
    AA+   450 3 Monumental Global Funding II, 4.375%, 7/30/09       450,072  
            Morgan Stanley,        
    AA-   595       5.30%, 3/01/13       592,197  
    AA-   160       6.75%, 4/15/11       175,482  
    A3   20,300 3 Morgan Stanley Tracers, 5.838%, 3/01/07       21,280,896  
    Aa3   2,125 3 Nationwide Building Society, 3.50%, 7/31/07 (United Kingdom)       2,118,412  
    AA   1,500   Protective Life Secured Trust, 3.70%, 11/24/08       1,482,248  
    A+   1,000 3 Prudential Funding LLC, 6.60%, 5/15/08       1,086,620  
    AA   400 3 Rabobank Capital Fund II, zero coupon, 12/31/49       392,348  
            SLM Corp.,        
    A   4,220       3.625%, 3/17/08       4,177,378  
    A   1,350       5.00%, 10/01/13       1,320,003  
    A   450       5.375%, 1/15/13       453,825  
    A   90       5.625%, 4/10/07       94,862  
    AAA   3,885   Structured Asset Receivable Trust, 2.13%, 1/21/10       3,871,560  
    AAA   1,265   SunTrust Bank, 4.415%, 6/15/09       1,272,843  
    Aa3   375   U.S. Bancorp, Ser. N, 3.95%, 8/23/07       379,230  
            US Bank National Assoc.,        
    Aa2   2,025       2.87%, 2/01/07       2,001,186  
    Aa3   2,790       6.50%, 2/01/08       3,047,684  
            Wachovia Corp.,        
    Aa3   4,200       3.50%, 8/15/08       4,120,830  
    Aa3   975       3.625%, 2/17/09       950,440  
            Wells Fargo & Co.,        
    Aa1   1,031       3.12%, 8/15/08       1,008,761  
    Aa1   1,975       4.00%, 8/15/08       1,969,687  
    Aa1   200       7.80%, 12/15/03       208,744  
    AA   85 3 Western & Southern Financial Group Inc., 5.75%, 7/15/33       79,272  
                 
 
                    82,460,250  
                 
 

4

BlackRock Core Bond Trust (BHK) (continued)

      Principal          
      Amount
 
    Rating1   (000)
Description
Value
  
          Forest Products—0.9%        
    B   $ 3,425   Caraustar Industries, Inc., 9.875%, 4/01/11       $ 3,562,000  
                 
 
            Health Care—2.4%        
    A+   2,295   Bristol Myers Squibb Co., 5.75%, 10/01/11       2,403,163  
    B-   235 3 Curative Health Services, Inc., 10.75%, 5/01/11       212,675  
    AA   835   GlaxoSmithKline Cap. Inc., 4.375%, 4/15/14       790,996  
        2,000   HealthSouth Corp., 7.625%, 6/01/12       1,875,000  
            Tenet Healthcare Corp.,        
    B-   380       6.375%, 12/01/11       341,050  
    B-   5       6.50%, 6/01/12       4,450  
    B-   525 3     9.875%, 7/01/14       543,375  
    B   2,000   United Surgical Partners Int’l., Inc., 10.00%, 12/15/11       2,270,000  
            Wyeth,        
    A   270       5.50%, 2/01/14       260,742  
    A   875       6.50%, 2/01/34       835,721  
                 
 
                    9,537,172  
                 
 
            Hotels & Casino—0.5%        
    B+   1,000   Circus & Eldorado Joint Venture, 10.125%, 3/01/12       1,008,750  
    B   1,000   Resorts Intl. Hotel & Casino, Inc., 11.50%, 3/15/09       1,125,000  
                 
 
                    2,133,750  
                 
 
            Industrial Equipment—0.6%        
    B   2,000   Terex Corp., 9.25%, 7/15/11       2,205,000  
                 
 
            Media—6.5%        
    B1   4,000   Alliance Atlantis Communications, Inc., 13.00%, 12/15/09 (Canada)       4,370,000  
            AOL Time Warner, Inc.,        
    BBB+   80       6.125%, 4/15/06       83,784  
    BBB+   75       7.625%, 4/15/31       82,894  
    BBB   800   AT&T Broadband Corp., 8.375%, 3/15/13       947,680  
    Caa1   750   Charter Communications Holdings II LLC, 10.25%, 9/15/10       755,625  
    CCC-   3,250   Charter Communications Holdings LLC, 10.75%, 10/01/09       2,640,625  
    BBB   1,050   Comcast Cable Communications, 6.875%, 6/15/09       1,151,965  
    BBB   3,550   Comcast Corp., 5.50%, 3/15/11       3,620,964  
    Baa1   355 3 COX Enterprises, Inc., 4.375%, 5/01/08       354,801  
    BB-   4,000   EchoStar DBS Corp., 10.375%, 10/01/07       4,250,000  
    BBB   825   News America Holdings, 7.70%, 10/30/25       941,342  
    BBB   985   News America Inc., 7.625%, 11/30/28       1,119,827  
    BBB   865   TCI Communications Inc., 7.875%, 8/01/13 - 2/15/26       988,141  
            Time Warner, Inc.,        
    BBB+   90       6.625%, 5/15/29       88,149  
    BBB+   4,155       7.57%, 2/01/24       4,466,459  
                 
 
                    25,862,256  
                 
 
            Real Estate—2.3%        
    BB   3,165 3 American Real Estate Partners LP, 8.125%, 6/01/12       3,244,125  
            AvalonBay Communities, Inc.,        
    BBB+   350       6.625%, 9/15/11       379,131  
    BBB+   775       8.25%, 7/15/08       886,375  
            EOP Operating LP,        
    BBB+   1,180       4.75%, 3/15/14       1,100,444  
    BBB+   450       7.00%, 7/15/11       494,244  
            ERP Operating LP,        
    A-   1,950       5.20%, 4/01/13       1,936,642  
    A-   825       6.95%, 3/02/11       917,681  
                 
 
                    8,958,642  
                 
 

5

BlackRock Core Bond Trust (BHK) (continued)

      Principal          
      Amount
 
    Rating1   (000)
Description
Value
  
          Telecommunication—5.4%        
    Baa1   $ 400 3 America Movil SA de CV, 5.50%, 3/01/14 (Mexico)       $ 371,696  
    A   1,015   British Telecommunications PLC, 8.875%, 12/15/30 (United Kingdom)       1,276,413  
            Deutsche Telekom Intl. Finance BV (Netherlands)        
    A-   1,060       8.50%, 6/15/10       1,249,337  
    A-   1,505       8.75%, 12/15/03       1,864,876  
    Aa3   1,750   New England Telephone & Telegraph Co., 7.875%, 11/15/29       2,032,747  
            Nextel Communications, Inc.,        
    BB+   2,000       9.375%, 11/15/09       2,135,000  
    BB+   3,000       9.50%, 2/01/11       3,367,500  
    B+   1,750 3 Qwest Communications Intl., 7.50%, 2/15/14       1,631,875  
    BBB   875   Sprint Capital Corp., 8.75%, 3/15/32       1,055,163  
    A   725   Telefonica Europe BV, 7.75%, 9/15/10 (Netherlands)       839,978  
            Verizon New Jersey, Inc.,        
    Aa3   230   7.85%, 11/15/29       268,044  
    Aa3   750   Ser. A, 5.875%, 1/17/12       778,178  
            Vodafone Group PLC (United Kingdom)        
    A   625       5.00%, 12/16/13       613,581  
    A   3,439       7.75%, 2/15/10       3,966,233  
                 
 
                    21,450,621  
                 
 
            Transportation—1.1%        
    BBB+   1,145   Canadian National Railway Co., 6.25%, 8/01/34 (Canada)       1,143,855  
    BBB   1,450   Canadian Pacific Railway Ltd., 6.25%, 10/15/11 (Canada)       1,562,970  
    B   1,635   Sea Containers Ltd., 10.50%, 5/15/12 (Bermuda)       1,635,000  
                 
 
                    4,341,825  
                 
 
            Total Corporate Bonds       250,320,328  
                 
 
            Taxable Municipal Bonds—0.3%        
    A2   650   California Dept. of Wtr. Res. Pwr. Sply., 3.975%, 5/01/05       655,974  
    AA   350   Ohana Military Cmntys. LLC, 6.193%, 4/01/49       352,275  
                 
 
            Total Taxable Municipal Bonds       1,008,249  
                 
 
            Foreign Government Bonds—7.9%        
    AAA   4,600   French Treasury Note, 3.50%, 1/12/09       5,554,343  
    AAA   3,825   Germany Federal Republic, 3.25%, 4/17/09       4,562,974  
    Aaa   7,125   Kingdom of Spain, 3.60%, 1/31/09       8,639,137  
            Kingdom of Sweden,        
    AAA   21,325       5.00%, 1/28/09       2,907,429  
    AAA   17,515       8.00%, 8/15/07       2,579,957  
    A+   250   Quebec Province Canada, 7.00%, 1/30/07       272,265  
            United Mexican States,        
    Baa2   350       4.625%, 10/08/08       348,600  
    Baa2   4,000       6.625%, 3/03/15       4,058,000  
    Baa2   2,255       8.00%, 9/24/22       2,424,125  
                 
 
            Total Foreign Government Bonds       31,346,830  
                 
 
            Total Long-Term Investments (cost $569,213,024)       576,076,888  
                 
 
            SHORT-TERM INVESTMENTS—3.1%        
            U.S. Government and Agency Securities—3.1%        
        2,900   Federal National Mortgage Assoc., 1.28%, 8/02/04       2,899,897  
        2,836   U.S. Treasury Notes, zero coupon, 8/06/04       2,836,112  
        6,410   U.S. Treasury Notes, 1.325%, 8/26/04       6,404,102  
                 
 
            Total Short-Term Investments (cost $12,140,111)       12,140,111  
                 
 
            Total Investments before outstanding options (cost $581,353,135)       588,216,999  
                 
 

6

BlackRock Core Bond Trust (BHK) (continued)

        Notional              
        Amount              
        (000)  
Description
      
Value
  
          OUTSTANDING OPTIONS PURCHASED—0.0%        
            Interest Rate Swap,        
        $ 12,000       3-month LIBOR over 4.90%, expires 11/19/04       $ 35,418  
        12,000       6.25% over 3-month LIBOR, expires 11/19/04       36,288  
                 
 
            Total Outstanding Options Purchased (cost $75,600)       71,706  
                 
 
            OUTSTANDING OPTIONS WRITTEN—(0.2%)        
        (39,000)   Interest Rate Swap, 3 month LIBOR over 5.75%, expires 9/23/05       (360,360)  
        (12,000)       3-month LIBOR over 6.05%, expires 2/23/05       (163,940)  
        (26,000)       3.00% over 3-month LIBOR, expires 1/19/05       (42,150)  
        (12,000)       5.05% over 3 month LIBOR, expires 2/23/05       (101,375)  
                 
 
            Total Outstanding Options Written—(0.2)% (premium received $1,155,142)       (667,825)  
                 
 
            Total investments, net of outstanding options—148.4%       587,620,880  
            Liabilities in excess of other assets—(48.4)%       (191,551,038)  
                 
 
            Net Assets—100%       $ 396,069,842  
                 
 
1   Using the higher of Standard & Poor’s, Moody’s Investor Service or Fitch Ratings ratings.  
2   Entire or partial principal amount pledged as collateral for reverse repurchase agreements or financial futures contracts.  
3   Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of July 31, 2004, the Trust held 9.8% of its net assets, with a current market value of $38,702,428, in securities restricted as to resale.  

7

Item 2. Controls and Procedures

(a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures are effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

(b) The registrant's principal executive officer and principal financial officer are aware of no changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3. Exhibits.

(a) Separate certifications of Principal Executive and Financial Officers pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

SIGNATURES

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.

(Registrant) BlackRock Core Bond Trust
 
 

 

By: /s/ Henry Gabbay  
 
 
Name: Henry Gabbay  
Title: Treasurer  
Date: September 28, 2004  

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/ Robert S. Kapito  
 
 
Name: Robert S. Kapito  
Title: Principal Executive Officer  
Date: September 28, 2004  

 

By: /s/ Henry Gabbay  
 
 
Name: Henry Gabbay  
Title: Principal Financial Officer  
Date: September 28, 2004