- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)

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: [phone], Option 4

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 05/31/2012

 

Item 1 – Schedule of Investments

 

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Schedule of Investments May 31, 2012 (Unaudited)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Asset-Backed Securities		Par (000)			Value
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23		USD	191		$	200,743
Total Asset-Backed Securities – 0.4%						200,743
Common Stocks		Shares
Auto Components — 2.4%
Delphi Automotive Plc (a)			35,107			1,019,159
Delphi Automotive Plc (a)			2,826			82,036
						1,101,195
Biotechnology — 0.0%
Ironwood Pharmaceuticals, Inc. (a)			1,210			14,423
Capital Markets — 0.1%
E*Trade Financial Corp. (a)			4,900			41,601
Chemicals — 0.2%
CF Industries Holdings, Inc.			320			54,707
Huntsman Corp.			2,250			28,800
						83,507
Commercial Banks — 0.3%
CIT Group, Inc. (a)			3,680			125,819
Diversified Telecommunication Services — 0.1%
Level 3 Communications, Inc. (a)			3,000			63,690
Energy Equipment & Services — 0.1%
Transocean Ltd.			1,400			57,162
Hotels, Restaurants & Leisure — 0.0%
Travelport Worldwide Ltd. (a)			12,460			6,230
Media — 0.9%
Charter Communications, Inc. (a)			5,800			363,660
DISH Network Corp., Class A			950			26,638
						390,298
Oil, Gas & Consumable Fuels — 0.1%
African Petroleum Corp. Ltd (a)			17,200			23,457
Paper & Forest Products — 0.0%
Ainsworth Lumber Co. Ltd. (a)(b)			2,507			2,961
Ainsworth Lumber Co. Ltd. (a)			2,234			2,639
						5,600
Road & Rail — 0.2%
Dollar Thrifty Automotive Group, Inc. (a)			1,000			81,580
Software — 0.0%
Bankruptcy Management Solutions, Inc. (a)			91			3
Common Stocks		Shares			Value
Software (concluded)
HMH Holdings/EduMedia (a)			13,576		$	136
						139
Total Common Stocks – 4.4%						1,994,701

Corporate Bonds		Par (000 )
Aerospace & Defense — 0.9%
Huntington Ingalls Industries, Inc., 6.88%, 3/15/18		USD	160			165,600
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17			210			222,600
						388,200
Air Freight & Logistics — 0.5%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15			102			105,215
Series 2, 12.38%, 8/16/15			103			106,396
						211,611
Airlines — 1.4%
Continental Airlines, Inc., Series 2010-1, Class B, 6.00%, 1/12/19			96			96,191
Delta Air Lines, Inc., Series 2002- 1, Class G-1, 6.72%, 1/02/23			104			110,208
United Air Lines, Inc., 12.75%, 7/15/12			246			247,975
US Airways Pass-Through Trust:
Series 2012-1, Class C, 9.13%, 10/01/15			80			80,000
Series 2011-1, Class C, 10.88%, 10/22/14			108			111,477
						645,851
Auto Components — 2.6%
Dana Holding Corp., 6.75%, 2/15/21			180			192,600
Delphi Corp., 6.13%, 5/15/21			30			31,950
Icahn Enterprises LP, 8.00%, 1/15/18			650			688,187
IDQ Holdings, Inc., 11.50%, 4/01/17 (b)			85			88,825
Jaguar Land Rover Plc, 8.25%, 3/15/20		GBP	100			151,192
						1,152,754
Beverages — 0.3%
Crown European Holdings SA, 7.13%, 8/15/18		EUR	92			121,437

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	1

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Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)			Value
Biotechnology — 0.1%
QHP Royalty Sub LLC, 10.25%, 3/15/15 (b)		USD	30		$	30,231
Building Products — 0.6%
Building Materials Corp. of America (b):
7.00%, 2/15/20			20			21,000
6.75%, 5/01/21			190			194,275
Momentive Performance Materials, Inc., 11.50%, 12/01/16			80			60,000
						275,275
Capital Markets — 1.1%
American Capital Ltd., 7.96%, 12/31/13			130			130,366
E*Trade Financial Corp.:
12.50%, 11/30/17			180			206,550
Series A, 2.36%, 8/31/19 (c)(d)			71			59,906
KKR Group Finance Co., 6.38%, 9/29/20 (b)			110			118,396
						515,218
Chemicals — 4.2%
American Pacific Corp., 9.00%, 2/01/15			140			139,300
Ashland, Inc., 9.13%, 6/01/17			5			5,488
Basell Finance Co. BV, 8.10%, 3/15/27 (b)			85			100,300
Celanese US Holdings LLC, 5.88%, 6/15/21			300			312,750
Chemtura Corp., 7.88%, 9/01/18			55			57,062
Hexion US Finance Corp.:
6.63%, 4/15/20 (b)			90			91,125
9.00%, 11/15/20			50			43,625
Huntsman International LLC, 8.63%, 3/15/21			25			28,000
Ineos Finance Plc (b):
8.38%, 2/15/19			100			102,750
7.50%, 5/01/20			75			74,250
Kinove German Bondco GmbH, 9.63%, 6/15/18 (b)			200			204,500
Kraton Polymers LLC, 6.75%, 3/01/19			20			20,500
LyondellBasell Industries NV, 5.75%, 4/15/24 (b)			460			471,500
Nexeo Solutions LLC, 8.38%, 3/01/18 (b)			30			28,800
PolyOne Corp., 7.38%, 9/15/20			35			36,925
Solutia, Inc., 7.88%, 3/15/20			105			122,850
TPC Group LLC, 8.25%, 10/01/17			55			57,750
						1,897,475
Commercial Banks — 1.4%
CIT Group, Inc.:
7.00%, 5/02/16 (b)			365			364,544
5.25%, 3/15/18			130			128,050
5.50%, 2/15/19 (b)			80			77,800

Corporate Bonds		Par (000)			Value
Commercial Banks (concluded)
CIT Group, Inc. (concluded):
6.00%, 4/01/36		USD	90		$	80,901
						651,295
Commercial Services & Supplies — 2.4%
ARAMARK Corp., 8.50%, 2/01/15			64			65,520
ARAMARK Holdings Corp., 8.63%, 5/01/16 (b)(e)			70			71,576
Aviation Capital Group Corp., 6.75%, 4/06/21 (b)			92			92,657
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)			171			176,764
Baker Corp. International, Inc., 8.25%, 6/01/19 (b)			35			35,000
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)			7			6,720
Covanta Holding Corp., 6.38%, 10/01/22			135			139,979
Iron Mountain, Inc., 7.75%, 10/01/19			50			53,250
Mead Products LLC / ACCO Brands Corp., 6.75%, 4/30/20 (b)			80			82,200
Mobile Mini, Inc., 7.88%, 12/01/20			60			63,000
RSC Equipment Rental, Inc., 8.25%, 2/01/21			148			156,510
Verisure Holding AB, 8.75%, 9/01/18		EUR	100			115,922
West Corp., 8.63%, 10/01/18		USD	25			26,062
						1,085,160
Communications Equipment — 0.7%
Avaya, Inc., 9.75%, 11/01/15			40			33,000
Consolidated Communications Finance Co., 10.88%, 6/01/20 (b)			110			110,000
Frontier Communications Corp., 6.25%, 1/15/13			150			153,375
						296,375
Computers & Peripherals — 0.1%
SanDisk Corp., 1.50%, 8/15/17 (d)			40			39,800
Construction & Engineering — 0.2%
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b)			35			36,137
URS Corp., 5.00%, 4/01/22 (b)			60			59,398
						95,535
Construction Materials — 1.3%
HD Supply, Inc. (b):
8.13%, 4/15/19			220			229,350
11.00%, 4/15/20			230			237,475
Xefin Lux SCA, 8.00%, 6/01/18		EUR	100			113,140
						579,965

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	2

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Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)			Value
Consumer Finance — 1.4%
Credit Acceptance Corp., 9.13%, 2/01/17		USD	80		$	86,000
Ford Motor Credit Co. LLC:
7.00%, 4/15/15			120			134,700
12.00%, 5/15/15			120			151,500
6.63%, 8/15/17			230			267,062
						639,262
Containers & Packaging — 1.3%
Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (b)			200			206,000
Berry Plastics Corp.:
4.34%, 9/15/14 (f)			50			48,937
8.25%, 11/15/15			20			21,150
9.50%, 5/15/18			35			35,875
9.75%, 1/15/21			50			52,000
Graphic Packaging International, Inc., 7.88%, 10/01/18			60			66,150
Sealed Air Corp., 8.38%, 9/15/21 (b)			40			44,000
Smurfit Kappa Acquisitions, 7.75%, 11/15/19		EUR	64			83,093
Tekni-Plex, Inc., 9.75%, 6/01/19 (b)		USD	30			29,775
						586,980
Diversified Consumer Services — 0.4%
ServiceMaster Co., 8.00%, 2/15/20			165			173,044
Diversified Financial Services — 5.3%
Ally Financial, Inc.:
8.00%, 3/15/20			300			338,250
8.00%, 11/01/31			800			900,000
CNG Holdings, Inc., 9.38%, 5/15/20 (b)			50			50,250
DPL, Inc., 7.25%, 10/15/21 (b)			195			212,063
Leucadia National Corp., 8.13%, 9/15/15			140			156,450
Reynolds Group Issuer, Inc. (b):
9.88%, 8/15/19			375			374,062
6.88%, 2/15/21			215			218,225
WMG Acquisition Corp.:
9.50%, 6/15/16 (b)			20			21,350
11.50%, 10/01/18			95			101,175
						2,371,825
Diversified Telecommunication Services — 1.9%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12			195			150,150
Level 3 Financing, Inc.:
8.13%, 7/01/19			440			440,000
8.63%, 7/15/20 (b)			160			163,200
Windstream Corp.:
8.13%, 8/01/13			25			26,313

Corporate Bonds		Par (000)			Value
Diversified Telecommunication Services (concluded)
Windstream Corp. (concluded):
7.88%, 11/01/17		USD	70		$	74,550
						854,213
Electronic Equipment, Instruments & Components — 0.2%
CDW LLC/CDW Finance Corp., 8.50%, 4/01/19			35			35,963
Jabil Circuit, Inc., 8.25%, 3/15/18			40			46,400
						82,363
Energy Equipment & Services — 3.3%
Antero Resources Finance Corp., 7.25%, 8/01/19 (b)			25			25,313
Atwood Oceanics, Inc., 6.50%, 2/01/20			25			25,875
Calfrac Holdings LP, 7.50%, 12/01/20 (b)			65			61,100
Cie Generale de Geophysique - Veritas:
7.75%, 5/15/17			65			66,950
6.50%, 6/01/21			200			196,000
Forbes Energy Services Ltd., 9.00%, 6/15/19			60			55,650
Frac Tech Services LLC, 8.13%, 11/15/18 (b)			295			292,050
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (b)			25			25,125
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (b)			50			49,000
Key Energy Services, Inc., 6.75%, 3/01/21			75			75,281
MEG Energy Corp., 6.50%, 3/15/21 (b)			205			209,100
Oil States International, Inc., 6.50%, 6/01/19			50			51,625
Peabody Energy Corp.:
6.25%, 11/15/21 (b)			230			229,425
7.88%, 11/01/26			65			67,275
Precision Drilling Corp.:
6.63%, 11/15/20			25			25,375
6.50%, 12/15/21			45			45,337
						1,500,481
Food & Staples Retailing — 0.1%
Rite Aid Corp., 9.25%, 3/15/20 (b)			60			57,450
Food Products — 0.3%
Darling International, Inc., 8.50%, 12/15/18			20			22,325
Del Monte Corp., 7.63%, 2/15/19			55			53,350
Post Holdings, Inc., 7.38%, 2/15/22 (b)			40			40,700
Smithfield Foods, Inc., 10.00%, 7/15/14			6			6,900
						123,275
Health Care Equipment & Supplies — 2.2%
Biomet, Inc.:
10.00%, 10/15/17			35			37,231

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	3

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Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)			Value
Health Care Equipment & Supplies (concluded)
Biomet, Inc. (concluded):
10.38%, 10/15/17 (e)		USD	440		$	468,325
DJO Finance LLC:
10.88%, 11/15/14			86			87,505
8.75%, 3/15/18 (b)			75			75,375
7.75%, 4/15/18			20			16,150
Fresenius Medical Care US Finance II, Inc., 5.88%, 1/31/22 (b)			110			109,450
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (b)			54			56,295
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)			80			91,400
Teleflex, Inc., 6.88%, 6/01/19			50			53,000
						994,731
Health Care Providers & Services — 5.8%
Aviv Healthcare Properties LP:
7.75%, 2/15/19			65			67,600
7.75%, 2/15/19 (b)			30			30,900
Crown Newco 3 Plc, 7.00%, 2/15/18		GBP	100			146,799
HCA, Inc.:
8.50%, 4/15/19		USD	25			27,594
6.50%, 2/15/20			335			353,844
7.88%, 2/15/20			115			126,212
7.25%, 9/15/20			410			446,900
5.88%, 3/15/22			45			44,663
IASIS Healthcare LLC, 8.38%, 5/15/19			265			249,100
INC Research LLC, 11.50%, 7/15/19 (b)			70			66,237
inVentiv Health, Inc. (b):
10.00%, 8/15/18			5			4,200
10.00%, 8/15/18			20			16,900
Omnicare, Inc., 7.75%, 6/01/20			160			175,600
PSS World Medical, Inc., 6.38%, 3/01/22 (b)			50			50,500
Symbion, Inc., 8.00%, 6/15/16			55			53,625
Tenet Healthcare Corp.:
10.00%, 5/01/18			164			186,960
6.25%, 11/01/18 (b)			55			55,550
8.88%, 7/01/19			340			378,250
United Surgical Partners International, Inc., 9.00%, 4/01/20 (b)			50			51,875
Vanguard Health Holding Co. II LLC, 7.75%, 2/01/19 (b)			75			73,500
						2,606,809
Health Care Technology — 1.1%
IMS Health, Inc., 12.50%, 3/01/18 (b)			410			479,700

Corporate Bonds		Par (000)			Value
Hotels, Restaurants & Leisure — 4.0%
Caesars Entertainment Operating Co., Inc.:
11.25%, 6/01/17		USD	165		$	175,312
10.00%, 12/15/18			640			432,000
Caesars Operating Escrow LLC., 8.50%, 2/15/20 (b)			75			74,719
Diamond Resorts Corp., 12.00%, 8/15/18			200			215,500
El Dorado Resorts LLC, 8.63%, 6/15/19 (b)			25			23,437
MGM Resorts International:
10.38%, 5/15/14			345			388,125
4.25%, 4/15/15 (d)			140			138,425
11.13%, 11/15/17			185			207,200
Travelport LLC:
5.09%, 9/01/14 (f)			20			12,650
9.88%, 9/01/14			5			3,488
6.47%, 12/01/16 (b)(e)			67			48,250
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(g)			25			—
Wynn Las Vegas LLC, 5.38%, 3/15/22 (b)			100			96,875
						1,815,981
Household Durables — 2.0%
Beazer Homes USA, Inc., 12.00%, 10/15/17			190			204,725
Jarden Corp., 8.00%, 5/01/16			40			43,300
Libbey Glass, Inc., 6.88%, 5/15/20 (b)			40			40,100
Ryland Group, Inc., 6.63%, 5/01/20			60			60,300
Spie BondCo 3 SCA, 11.00%, 8/15/19		EUR	100			117,158
Standard Pacific Corp.:
10.75%, 9/15/16		USD	300			350,250
8.38%, 1/15/21			95			101,650
						917,483
Household Products — 0.7%
Ontex IV SA, 7.50%, 4/15/18 (b)		EUR	100			118,086
Spectrum Brands Holdings, Inc.:
9.50%, 6/15/18		USD	60			66,300
9.50%, 6/15/18 (b)			100			110,500
						294,886
Independent Power Producers & Energy Traders — 3.2%
The AES Corp., 7.38%, 7/01/21 (b)			45			48,600
Calpine Corp. (b):
7.25%, 10/15/17			30			31,650
7.50%, 2/15/21			15			15,675
7.88%, 1/15/23			30			31,725
Energy Future Holdings Corp., 10.00%, 1/15/20			330			350,625

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	4

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Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)			Value
Independent Power Producers & Energy Traders (concluded)
Energy Future Intermediate Holding Co. LLC:
10.00%, 12/01/20		USD	453		$	488,107
11.75%, 3/01/22 (b)			240			244,800
Laredo Petroleum, Inc.:
9.50%, 2/15/19			90			99,900
7.38%, 5/01/22 (b)			70			71,575
QEP Resources, Inc., 5.38%, 10/01/22			56			54,740
						1,437,397
Industrial Conglomerates — 2.2%
Sequa Corp. (b):
11.75%, 12/01/15			350			371,437
13.50%, 12/01/15			586			621,656
						993,093
Insurance — 0.4%
CNO Financial Group, Inc., 9.00%, 1/15/18 (b)			61			64,660
Genworth Financial, Inc., 7.63%, 9/24/21			70			67,932
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)			40			34,400
						166,992
IT Services — 2.5%
Alliance Data Systems Corp., 6.38%, 4/01/20 (b)			60			59,700
Epicor Software Corp., 8.63%, 5/01/19			87			87,218
First Data Corp.:
7.38%, 6/15/19 (b)			255			255,000
8.88%, 8/15/20 (b)			90			96,075
8.25%, 1/15/21 (b)			100			97,000
12.63%, 1/15/21			266			250,705
SunGard Data Systems, Inc.:
7.38%, 11/15/18			150			152,625
7.63%, 11/15/20			100			102,500
						1,100,823
Machinery — 1.3%
SPX Corp., 6.88%, 9/01/17			30			32,700
UR Financing Escrow Corp. (b):
5.75%, 7/15/18			43			43,753
7.38%, 5/15/20			75			76,875
7.63%, 4/15/22			421			430,472
						583,800
Media — 14.8%
Affinion Group, Inc., 7.88%, 12/15/18			130			109,850
AMC Networks, Inc., 7.75%, 7/15/21 (b)			40			44,400
CCO Holdings LLC:
7.38%, 6/01/20			40			42,800
6.50%, 4/30/21			378			386,505

Corporate Bonds		Par (000)			Value
Media (continued)
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b)		USD	175		$	174,562
Checkout Holding Corp., 10.67%, 11/15/15 (b)(c)			110			42,900
Cinemark USA, Inc., 8.63%, 6/15/19			35			38,063
Clear Channel Communications, Inc., 9.00%, 3/01/21			95			81,700
Clear Channel Worldwide Holdings, Inc.:
9.25%, 12/15/17			246			263,220
7.63%, 3/15/20 (b)			332			317,060
Series B, 9.25%, 12/15/17			882			948,150
Cox Enterprises, Inc.:
Loan Close 2, 12.00%, 8/15/18			128			129,379
Loan Close 3, 12.00%, 8/15/18			147			147,918
Shares Loan, 12.00%, 8/15/18			151			152,556
CSC Holdings LLC, 8.50%, 4/15/14			80			88,100
DISH DBS Corp., 5.88%, 7/15/22 (b)			160			156,000
Gray Television, Inc., 10.50%, 6/29/15			95			97,850
Harron Communications LP, 9.13%, 4/01/20 (b)			60			62,850
Intelsat Jackson Holdings SA:
11.25%, 6/15/16			139			145,081
7.25%, 10/15/20 (b)			150			148,875
Intelsat Luxemburg SA:
11.25%, 2/04/17			210			206,325
11.50%, 2/04/17 (e)			173			169,972
Interactive Data Corp., 10.25%, 8/01/18			220			243,650
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17			55			62,013
Kabel Deutschland Vertrieb und Service GmbH, 6.50%, 6/29/18		EUR	100			129,214
Lamar Media Corp., 5.88%, 2/01/22 (b)		USD	25			25,156
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)			125			130,469
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)			105			114,450
The New York Times Co., 6.63%, 12/15/16			225			234,562
Nielsen Finance LLC, 7.75%, 10/15/18			600			645,000
ProQuest LLC, 9.00%, 10/15/18 (b)			85			73,100
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(d)(g)			414			207
Truven Health Analytics, Inc., 10.63%, 6/01/20 (b)(h)			90			88,650

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	5

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Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)			Value
Media (concluded)
Unitymedia GmbH, 9.50%, 3/15/21		EUR	100		$	129,214
Unitymedia Hessen GmbH & Co. KG:
8.13%, 12/01/17 (b)		USD	400			422,000
7.50%, 3/15/19		EUR	112			140,912
Ziggo Bond Co. BV, 8.00%, 5/15/18			65			85,999
Ziggo Finance BV, 6.13%, 11/15/17			120			155,799
						6,634,511
Metals & Mining — 3.0%
FMG Resources August 2006 Property Ltd. (b):
6.88%, 2/01/18		USD	60			58,950
6.88%, 4/01/22			85			81,813
Global Brass and Copper, Inc., 9.50%, 6/01/19 (b)(h)			50			50,500
Goldcorp, Inc., 2.00%, 8/01/14 (d)			85			95,306
Kaiser Aluminum Corp., 8.25%, 6/01/20 (b)			35			35,175
New Gold, Inc., 7.00%, 4/15/20 (b)			25			25,500
New World Resources NV, 7.88%, 5/01/18		EUR	110			125,474
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (d)		USD	90			112,050
Novelis, Inc., 8.75%, 12/15/20			545			576,337
Schmolz + Bickenbach Luxembourg SA, 9.88%, 5/15/19		EUR	100			118,704
Taseko Mines Ltd., 7.75%, 4/15/19		USD	70			66,500
						1,346,309
Multiline Retail — 2.2%
Dollar General Corp., 11.88%, 7/15/17 (f)			929			994,039
Oil, Gas & Consumable Fuels — 11.9%
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (d)			50			42,125
Alpha Natural Resources, Inc.:
6.00%, 6/01/19			20			17,900
6.25%, 6/01/21			80			71,200
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b)			80			83,600
Berry Petroleum Co., 6.38%, 9/15/22			70			71,400
BreitBurn Energy Partners LP, 7.88%, 4/15/22 (b)			40			39,200
CCS, Inc., 11.00%, 11/15/15 (b)			95			98,325
Chaparral Energy, Inc., 7.63%, 11/15/22 (b)			35			35,788

Corporate Bonds		Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Chesapeake Energy Corp.:
6.63%, 8/15/20		USD	35		$	32,900
6.88%, 11/15/20			30			28,425
6.13%, 2/15/21			95			89,300
Chesapeake Midstream Partners LP, 6.13%, 7/15/22			45			42,750
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)			20			21,300
Concho Resources, Inc.:
7.00%, 1/15/21			25			26,813
6.50%, 1/15/22			20			20,900
5.50%, 10/01/22			80			78,600
Consol Energy, Inc., 8.25%, 4/01/20			330			330,000
Continental Resources, Inc., 7.13%, 4/01/21			60			66,000
Copano Energy LLC, 7.13%, 4/01/21			55			56,650
Crosstex Energy LP:
8.88%, 2/15/18			30			31,500
7.13%, 6/01/22 (b)			25			24,813
Denbury Resources, Inc., 8.25%, 2/15/20			9			9,720
Energy XXI Gulf Coast, Inc.:
9.25%, 12/15/17			90			96,750
7.75%, 6/15/19			150			151,500
EV Energy Partners LP, 8.00%, 4/15/19			25			25,250
Everest Acquisition LLC / Everest Acquisition Finance, Inc. (b):
6.88%, 5/01/19			65			66,625
9.38%, 5/01/20			45			46,125
Hilcorp Energy I LP, 7.63%, 4/15/21 (b)			125			130,625
Holly Energy Partners LP, 6.50%, 3/01/20 (b)			25			24,875
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (b)			70			72,100
Linn Energy LLC:
6.50%, 5/15/19 (b)			15			14,550
6.25%, 11/01/19 (b)			385			366,712
8.63%, 4/15/20			40			42,400
7.75%, 2/01/21			75			76,687
MarkWest Energy Partners LP:
6.75%, 11/01/20			10			10,625
6.25%, 6/15/22			15			15,375
Newfield Exploration Co., 6.88%, 2/01/20			135			143,100
Northern Oil and Gas, Inc., 8.00%, 6/01/20 (b)			55			54,725
Oasis Petroleum, Inc.:
7.25%, 2/01/19			55			56,650
6.50%, 11/01/21			50			50,000
Offshore Group Investments Ltd., 11.50%, 8/01/15 (b)			180			191,700

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	6

---

Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)			Value
Oil, Gas & Consumable Fuels (concluded)
OGX Petroleo e Gas Participacoes SA (b):
8.50%, 6/01/18		USD	900		$	866,250
8.38%, 4/01/22			200			189,500
PBF Holding Co. LLC, 8.25%, 2/15/20 (b)			50			48,000
PetroBakken Energy Ltd., 8.63%, 2/01/20 (b)			220			223,300
Petrohawk Energy Corp., 7.25%, 8/15/18			55			62,685
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)			95			98,325
Pioneer Natural Resources Co.:
6.88%, 5/01/18			75			88,265
7.50%, 1/15/20			25			30,913
Plains Exploration & Production Co.:
6.63%, 5/01/21			95			93,575
6.75%, 2/01/22			10			9,900
Range Resources Corp.:
8.00%, 5/15/19			20			21,800
5.75%, 6/01/21			160			164,800
5.00%, 8/15/22			74			71,040
Samson Investment Co., 9.75%, 2/15/20 (b)			115			114,425
SandRidge Energy, Inc.:
7.50%, 3/15/21			45			43,650
8.13%, 10/15/22 (b)			45			44,325
SESI LLC:
6.38%, 5/01/19			55			57,750
7.13%, 12/15/21 (b)			40			43,600
SM Energy Co.:
6.63%, 2/15/19			20			20,600
6.50%, 11/15/21			45			46,012
Vanguard Natural Resources, 7.88%, 4/01/20			40			39,500
						5,333,798
Paper & Forest Products — 1.2%
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(e)			22			17,661
Boise Paper Holdings LLC:
9.00%, 11/01/17			15			16,538
8.00%, 4/01/20			5			5,475
Clearwater Paper Corp.:
10.63%, 6/15/16			70			78,050
7.13%, 11/01/18			95			99,987
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b)			55			54,588
NewPage Corp., 11.38%, 12/31/14 (a)(g)			365			226,300
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b)			25			23,500
						522,099

Corporate Bonds		Par (000)			Value
Pharmaceuticals — 0.7%
Pharmaceutical Product Development Inc., 9.50%, 12/01/19 (b)		USD	35		$	37,275
Spectrum Brands, Inc., 6.75%, 3/15/20 (b)			45			45,563
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (b)			225			229,500
						312,338
Professional Services — 0.6%
FTI Consulting, Inc.:
7.75%, 10/01/16			100			103,750
6.75%, 10/01/20			150			157,875
						261,625
Real Estate Investment Trusts (REITs) — 0.8%
Felcor Lodging LP, 6.75%, 6/01/19			250			250,625
The Rouse Co. LP, 6.75%, 11/09/15			85			88,825
						339,450
Real Estate Management & Development — 2.0%
CBRE Services, Inc., 6.63%, 10/15/20			55			58,575
Realogy Corp.:
11.50%, 4/15/17			60			53,100
12.00%, 4/15/17			15			13,275
7.88%, 2/15/19 (b)			400			380,000
7.63%, 1/15/20 (b)			120			123,300
9.00%, 1/15/20 (b)			60			60,000
Shea Homes LP, 8.63%, 5/15/19			205			213,713
						901,963
Road & Rail — 1.0%
Avis Budget Car Rental LLC, 8.25%, 1/15/19			25			25,875
Florida East Coast Railway Corp., 8.13%, 2/01/17			80			82,000
Hertz Corp.:
7.50%, 10/15/18			130			135,362
6.75%, 4/15/19 (b)			50			51,125
7.38%, 1/15/21			165			173,044
						467,406
Semiconductors & Semiconductor Equipment — 0.1%
Spansion LLC, 7.88%, 11/15/17			50			48,000
Software — 1.1%
Audatex North America, Inc., 6.75%, 6/15/18 (b)			90			92,700
Lawson Software, Inc., 9.38%, 4/01/19 (b)			300			309,000
Sophia LP, 9.75%, 1/15/19 (b)			78			80,925
						482,625

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	7

---

Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)			Value
Specialty Retail — 3.0%
Asbury Automotive Group, Inc.:
7.63%, 3/15/17		USD	60		$	61,650
8.38%, 11/15/20			60			64,500
Claire’s Stores, Inc., 9.00%, 3/15/19 (b)			110			110,000
House of Fraser Funding Plc, 8.88%, 8/15/18		GBP	100			134,084
Limited Brands, Inc.:
8.50%, 6/15/19		USD	140			164,675
5.63%, 2/15/22			25			25,188
Penske Automotive Group, Inc., 7.75%, 12/15/16			165			170,775
Phones4u Finance Plc, 9.50%, 4/01/18		GBP	100			134,084
QVC, Inc. (b):
7.13%, 4/15/17		USD	40			42,400
7.50%, 10/01/19			100			108,750
7.38%, 10/15/20			55			59,950
Sally Holdings LLC:
6.88%, 11/15/19 (b)			90			95,850
5.75%, 6/01/22			70			70,787
Sonic Automotive, Inc., 9.00%, 3/15/18			65			70,200
Toys ‘R’ US-Delaware, Inc., 7.38%, 9/01/16 (b)			25			25,188
						1,338,081
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co., 6.88%, 5/01/22 (b)			75			74,438
Trading Companies & Distributors — 0.2%
Aircastle, Ltd., 6.75%, 4/15/17 (b)			70			69,300
Transportation Infrastructure — 0.3%
Aguila 3 SA, 7.88%, 1/31/18			150			153,000
Wireless Telecommunication Services — 4.8%
Cricket Communications, Inc.:
7.75%, 5/15/16			250			263,750
7.75%, 10/15/20			10			9,150
Digicel Group Ltd. (b):
9.13%, 1/15/15			294			289,590
8.25%, 9/01/17			330			331,650
iPCS, Inc., 2.59%, 5/01/13 (f)			80			78,400
Matterhorn Mobile Holdings SA, 8.25%, 2/15/20		EUR	100			125,196
MetroPCS Wireless, Inc., 6.63%, 11/15/20		USD	110			106,425
NII Capital Corp., 7.63%, 4/01/21			60			50,550
Sprint Capital Corp., 6.88%, 11/15/28			310			230,175

Corporate Bonds		Par (000)			Value
Wireless Telecommunication Services (concluded)
Sprint Nextel Corp. (b):
9.00%, 11/15/18		USD	380		$	411,350
7.00%, 3/01/20			280			282,100
						2,178,336
Total Corporate Bonds – 105.2%						47,224,088
Floating Rate Loan Interests (f)
Airlines — 0.2%
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, 4/20/17			97			96,027
Auto Components — 0.2%
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17			90			89,550
Building Products — 0.0%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17			16			16,044
Capital Markets — 0.4%
Nuveen Investments, Inc.:
Incremental Term Loan, 7.25%, 5/13/17			110			109,725
New Second Lien Term Loan, 8.25%, 2/28/19			70			70,416
						180,141
Chemicals — 0.4%
Ineos US Finance LLC, 6 year Term Loan, 6.50%, 5/04/18			195			190,995
Commercial Services & Supplies — 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16			108			107,216
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16			100			99,875
Volume Services America, Inc., Term Loan B, 10.50% - 11.75%, 9/16/16			163			161,578
						368,669
Communications Equipment — 0.1%
Avaya, Inc., Term Loan B1, 3.22%, 10/24/14			40			37,563
Construction & Engineering — 0.6%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17			250			250,000
Construction Materials — 0.4%
HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17			185			185,740

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	8

---

Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (f)		Par (000)			Value
Consumer Finance — 1.7%
Springleaf Finance Corp.(FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		USD	840		$	774,547
Diversified Consumer Services — 0.1%
Laureate Education, Inc., Extended Term Loan, 5.25%, 8/15/18			25			23,893
ServiceMaster Co.:
Delayed Draw Term Loan, 2.74%, 7/24/14			1			1,307
Term Loan, 2.74% - 2.99%, 7/24/14			13			13,120
						38,320
Diversified Telecommunication Services — 0.5%
Level 3 Financing, Inc.:
Term Loan B3, 5.75%, 8/31/18			150			148,581
Tranche A Term Loan, 2.49% - 2.72%, 3/13/14			75			72,969
						221,550
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC (FKA CDW Corp.), Extended Term Loan, 4.00%, 7/14/17			49			47,074
Energy Equipment & Services — 2.3%
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16			334			340,461
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16			611			629,856
Tervita Corp., Incremental Term Loan, 6.50%, 10/17/14			45			44,663
						1,014,980
Food & Staples Retailing — 0.1%
US Foods, Inc. (FKA US Foodservice, Inc.), Term Loan B, 2.74%, 7/03/14			30			28,868
Food Products — 0.3%
Advance Pierre Foods, Term Loan (Second Lien), 11.25%, 9/29/17			135			135,717
Health Care Equipment & Supplies — 0.4%
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19			65			63,827
Hupah Finance Inc., Term Loan B, 6.25%, 1/21/19			130			130,407
						194,234
Health Care Providers & Services — 0.8%
Harden Healthcare LLC:
Term Loan A, 8.50%, 3/02/15			65			63,371
Tranche A Additional Term Loan, 7.75%, 3/02/15			76			74,894

Floating Rate Loan Interests (f)		Par (000)			Value
Health Care Providers & Services (concluded)
inVentiv Health, Inc., Combined Term Loan B, 6.50%, 8/04/16		USD	157		$	146,727
Wolverine Healthcare, Term Loan B, 6.75%, 5/12/17			60			59,025
						344,017
Hotels, Restaurants & Leisure — 1.3%
Caesars Entertainment Operating Co., Inc.:
Extended Term Loan B6, 5.49%, 1/26/18			35			30,806
Incremental Term Loan B4, 9.50%, 10/31/16			85			85,328
Term Loan B1, 3.24%, 1/28/15			82			74,824
Term Loan B2, 3.24%, 1/28/15			54			49,127
Term Loan B3, 3.24% - 3.47%, 1/28/15			166			151,244
OSI Restaurant Partners LLC:
Revolver, 2.54% - 2.72%, 6/14/13			2			1,754
Term Loan B, 2.56%, 6/14/14			18			17,732
Sabre, Inc., Non Extended Initial Term Loan, 2.24%, 9/30/14			20			19,004
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16			145			136,417
Travelport LLC (FKA Travelport, Inc.):
Extended Tranche A Term Loan, 6.47%, 9/28/12			31			11,985
Extended Tranche B Term Loan, 13.97%, 12/01/16			97			9,724
						587,945
Industrial Conglomerates — 0.2%
Sequa Corp.:
Incremental Term Loan, 6.25%, 12/03/14			75			74,625
Term Loan, 3.72%, 12/03/14			25			24,512
						99,137
IT Services — 0.3%
Ceridian Corp., Term Loan, 3.24%, 11/10/14			20			18,802
First Data Corp., Extended Term Loan B, 4.24%, 3/23/18			130			117,441
						136,243
Leisure Equipment & Products — 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13			110			110,309
Machinery — 0.2%
Rexnord Corp., Term Loan B, 5.00%, 4/02/18			100			99,152
Media — 5.7%
Affinion Group, Inc., Tranche B Term Loan, 5.00%, 7/16/15			5			4,575

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	9

---

Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (f)		Par  (000)			Value
Media (concluded)
Cengage Learning Acquisitions, Inc.:
Term Loan, 2.49%, 7/03/14		USD	60		$	54,042
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14			241			230,249
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19			75			73,050
Clear Channel Communications:
Term Loan B, 3.89%, 1/28/16			359			279,444
Term Loan C, 3.89%, 1/28/16			62			47,609
EMI Music Publishing Ltd., Term Loan B, 5.50%, 11/14/17			55			54,656
HMH Publishing Co. Ltd., Term Loan, 6.03%, 6/12/14			144			79,818
Intelsat Jackson Holdings SA(FKA Intelsat Jackson Holdings Ltd.), Tranche B Term Loan, 5.25%, 4/02/18			1,238			1,226,412
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18			70			68,602
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13			375			382,268
Univision Communications, Inc., Extended First Lien Term Loan, 4.49%, 3/31/17			55			50,401
						2,551,126
Metals & Mining — 0.2%
Constellium Holding Co. BV, Term Loan B, 9.25%, 5/22/18			70			68,250
Oil, Gas & Consumable Fuels — 1.3%
Chesapeake Energy Corp., Unsecured Term Loan, 8.50%, 12/01/17			390			382,785
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15			181			180,710
						563,495
Paper & Forest Products — 0.5%
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13			100			100,792
Verso Paper Finance Holdings LLC, Term Loan, 6.72% - 7.47%, 2/01/13			231			115,599
						216,391
Pharmaceuticals — 0.1%
Pharmaceutical Product Development, Inc., Term Loan Tranche 2, 6.25%, 12/05/18			65			64,849
Real Estate Investment Trusts (REITs) — 0.5%
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13			214			213,285

Floating Rate Loan Interests (f)		Par (000)			Value
Real Estate Management & Development — 0.4%
Realogy Corp.:
Extended Synthetic Letter of Credit Loan, 4.49%, 10/10/16		USD	17		$	15,822
Extended Term Loan, 4.49%, 10/10/16			123			111,807
Stockbridge SBE Holdings LLC, Term Loan B, 13.00%, 5/02/17			30			29,550
						157,179
Semiconductors & Semiconductor Equipment — 0.0%
NXP B.V., Term Loan A-2, 5.50%, 3/03/17			10			9,819
Software — 0.5%
Lawson Software, Inc., Term Loan B, 6.25%, 4/05/18			205			204,598
Magic Newco LLC, Second Lien Term Loan, 12.00%, 12/06/19			40			38,633
						243,231
Specialty Retail — 0.1%
Claire’s Stores, Inc., Term Loan B, 2.99% - 3.22%, 5/29/14			63			58,475
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18			185			179,759
Wireless Telecommunication Services — 1.3%
Crown Castle International Corp., Term Loan B, 4.00%, 1/31/19			40			39,301
Vodafone Americas Finance 2, Inc.:
Term Loan, 6.88%, 8/11/15 (e)			277			281,035
Term Loan B, 6.25%, 7/11/16			258			261,680
						582,016
Total Floating Rate Loan Interests – 22.6%						10,154,697
Preferred Securities
Capital Trusts
Insurance — 0.2%
Genworth Financial, Inc., 6.15%, 11/15/66 (f)			145			82,689
Total Capital Trusts – 0.2%						82,689

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	10

---

Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
	(Percentages shown are based on Net Assets)

Preferred Stocks		Shares			Value
Auto Components — 0.5%
Dana Holding Corp., 4.00% (b)(d)			1,800		$	206,100
Diversified Financial Services — 1.1%
Ally Financial, Inc., 7.00% (b)			600			514,463
Total Preferred Stocks – 1.6%						720,563
Trust Preferreds
Diversified Financial Services — 1.0%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f)			12,920			294,960
RBS Capital Funding Trust VII, 6.08%, 12/31/49 (a)			10,600			144,690
Total Trust Preferreds – 1.0%						439,650
Total Preferred Securities – 2.8%						1,242,902
Warrants (i)
Diversified Telecommunication Services — 0.0%
NEON Communications, Inc. (Expires 12/02/12)			53,622			1
Media — 0.1%
Cumulus Media, Inc. (Issued/Exercisable 9/16/11, 0.01 Share for 1 Warrant, Expires 6/03/30, Strike Price $2.88)			6,182			36,341
Software — 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)			61			—
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 3/09/17, Strike Price $12.26)			1,184			—
						—
Total Warrants – 0.1%						36,342
Total Long-Term Investments (Cost – $60,207,625) – 135.5%						60,853,473
Short-Term Securities		Shares			Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (j)(k)			1,304,361		$	1,304,361
Total Short-Term Securities (Cost – $1,304,361) – 2.9%						1,304,361
Options Purchased		Contracts
Over-the-Counter Call Options — 0.0%
Marsico Parent Superholdco LLC, Strike Price USD 942.86, Expires 12/14/19, Broker Goldman Sachs Bank USA			3			—
Total Options Purchased (Cost – $2,933) – 0.0%						—
Total Investments Before Options Written (Cost – $61,514,919*) – 138.4%						62,157,834

Options Written		Notional Amount (000 )
Over-the-Counter Credit Default Put Swaptions — (0.0)%
Sold credit default protection on Dow Jones CDX North America High Yield Index Series 18, Strike Price USD 92, Expires 6/20/12, Broker Credit Suisse International (l)		USD	190 (m	)		(1,734	)
Total Options Written (Premiums Received – $2,850) – 0.0%						(1,734	)
Total Investments, Net of Options Written – 138.4%						62,156,100
Liabilities in Excess of Other Assets – (38.4)%						(17,251,174	)
Net Assets – 100.0%					$	44,904,926

*	As of May 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost		$	61,560,125
Gross unrealized appreciation		$	2,273,431
Gross unrealized depreciation			(1,675,722	)
Net unrealized appreciation		$	597,709

(a)	Non-income producing security.

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	11

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

(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c)	Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(d)	Convertible security.
(e)	Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(f)	Variable rate security. Rate shown is as of report date.
(g)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(h)	When-issued security. Unsettled when-issued transactions were as follows:

Counterparty		Value			Unrealized Appreciation (Depreciation)
Goldman Sachs & Co.		$	50,500		$	500
JPMorgan Securities		$	88,650		$	(761	)

(i)	Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.
(j)	Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate		Shares Held at August 31, 2011			Net Activity			Shares Held at May 31, 2012			Income
BlackRock Liquidity Funds, TempFund, Institutional Class			421,345			883,016			1,304,361		$	352

(k)	Represents the current yield as of report date.
(l)	Not rated using Standard & Poor’s (S&P’s) rating of the underlying securities.
(m)	The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

AUD	Australian Dollar
DIP	Debtor-In-Possession
EUR	Euro
FKA	Formerly Known As
GBP	British Pound
USD	US Dollar

•	Financial futures contracts sold as of May 31, 2012 were as follows:

Contracts	Issue	Exchange	Expiration	Notional Value	Unrealized Appreciation
8	S&P 500 EMini Index Futures	Chicago Mercantile	June 2012	523,680	$           5,149

•	Foreign currency exchange contracts as of May 31, 2012 were as follows:

Currency Purchased			Currency Sold			Counterparty			Settlement Date			Unrealized Appreciation
USD	6,093		AUD	6,000			Deutsche    Bank AG			7/18/12		$	271
USD	596,026		GBP	373,500			Goldman Sachs & Co.			7/18/12			20,503
USD	1,740,420		EUR	1,318,500			Citibank NA			7/25/12			109,573
USD	113,746		EUR	88,000			UBS AG			7/25/12			4,899
Total												$	135,246

•	Credit default swaps on single-name issues - buy protection outstanding as of May 31, 2012 were as follows:

Issuer		Pay Fixed Rate			Counterparty			Expiration Date			Notional Amount (000)			Unrealized Appreciation (Depreciation)
MGM Resorts						Deutsche
International			5.00	%		Bank AG			6/20/15		$	20		$	(1,039	)
MGM Resorts						Deutsche
International			5.00	%		Bank AG			6/20/15		$	15			(910	)
MGM Resorts						Deutsche
International			5.00	%		Bank AG			6/20/15		$	30			(1,464	)
MGM Resorts						Deutsche
International			5.00	%		Bank AG			6/20/15		$	15			(401	)
MGM Resorts						Deutsche
International			5.00	%		Bank AG			6/20/15		$	15			(504	)
Republic of						Deutsche
Hungary			1.00	%		Bank AG			12/20/15		$	50			3,862
The New York						Barclays
Times Co.			1.00	%		Capital, Inc.			12/20/16		$	225			6,231
Israel						Deutsche
(State of)			1.00	%		Bank AG			3/20/17		$	35			(275	)
Israel
Government						Deutsche
Bond			1.00	%		Bank AG			3/20/17		$	100			(853	)
Total														$	4,647

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	12

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

•	Credit default swaps on single-name issues - sold protection outstanding as of May 31, 2012 were as follows:

Issuer		Receive Fixed Rate			Counterparty			Expiration Date			Issuer Credit Rating 1			Notional Amount (000) 2			Unrealized Appreciation (Depreciation)
Air Lease Corp.			5.00%			Goldman Sachs & Co.			2/14/13			Not Rated		$	100		$	2,372
CIT Group, Inc.			5.00%			Deutsche Bank AG			9/20/15			BB-		$	500			54,457
ARAMARK Corp.			5.00%			Credit Suisse Securities (USA) LLC			9/20/16			B		$	50			3,659
ARAMARK Corp.			5.00%			Goldman Sachs & Co.			9/20/16			B		$	50			3,484
Bausch & Lomb, Inc.			5.00%			Credit Suisse Securities (USA) LLC			3/20/17			B		$	20			1,288
ARAMARK Corp.			5.00%			Deutsche Bank AG			3/20/17			B		$	35			563
Crown Castle International Corp.			7.25%			Deutsche Bank AG			3/20/17			B-		$	80			369
Bausch & Lomb, Inc.			5.00%			Goldman Sachs & Co.			3/20/17			B		$	35			715
Bausch & Lomb, Inc.			5.00%			Goldman Sachs & Co.			3/20/17			B		$	15			902
Goodyear Tire & Rubber Co.			5.00%			Deutsche Bank AG			6/20/17			B+		$	50			(40	)
Goodyear Tire & Rubber Co.			5.00%			Goldman Sachs & Co.			6/20/17			B+		$	50			(639	)
CCO Holdings LLC			8.00%			Deutsche Bank AG			9/20/17			BB-		$	280			11,088
Total																	$	78,218

1	Using S&P’s rating.
2	The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	13

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

•	Credit default swaps on traded indexes - sold protection outstanding as of May 31, 2012 were as follows:

Index		Receive Fixed Rate			Counterparty			Expiration Date			Issuer Credit Rating 3			Notional Amount (000) 4			Unrealized Depreciation
Dow Jones CDX North America High Yield Series 18			5.00%			Credit Suisse Securities (USA) LLC			6/20/17			Not Rated		$	1,000		$	(45,865	)
Dow Jones CDX North America High Yield Series 18			5.00%			Credit Suisse Securities (USA) LLC			6/20/17			Not Rated		$	225			(2,649	)
Dow Jones CDX North America High Yield Series 18			5.00%			Credit Suisse Securities (USA) LLC			6/20/17			Not Rated		$	115			(633	)
Total																	$	(49,147	)

3	Using S&P’s rating of the underlying securities.
4	The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.
*	For Trust compliance purposes, the 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.
•	Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:
	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities
	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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 instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	14

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

The following tables summarize the inputs used as of May 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

Valuation Inputs		Level 1			Level 2			Level 3			Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities			—		$	200,743			—		$	200,743
Common Stocks		$	969,173			1,019,162		$	6,366			1,994,701
Corporate Bonds			—			46,582,417			641,671			47,224,088
Floating Rate Loan Interests			—			8,811,549			1,343,148			10,154,697
Preferred Securities			439,650			803,252			—			1,242,902
Warrants			—			36,341			1			36,342
Short-Term Securities			1,304,361			—			—			1,304,361
Total		$	2,713,184		$	57,453,464		$	1,991,186		$	62,157,834

Valuation Inputs		Level 1			Level 2			Level 3			Total
Derivative Financial
Instruments 1
Assets:
Interest rate contracts		$	5,149			—			—		$	5,149
Foreign currency exchange contracts			—		$	135,246			—			135,246
Credit contracts			—			20,704		$	68,286			88,990
Liabilities:
Credit contracts			—			(57,006	)		—			(57,006	)
Total		$	5,149		$	98,944		$	68,286		$	172,379

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

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of May 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

Valuation Inputs		Level 1			Level 2			Level 3			Total
Assets:
Cash		$	144,289			—			—		$	144,289
Cash pledged as collateral for financial futures contracts			34,000			—			—			34,000
Foreign currency			6,913			—			—			6,913
Liabilities:
Loan payable			—		$	(18,000,000	)		—			(18,000,000	)
Total		$	184,202		$	(18,000,000	)		—		$	(17,814,798	)

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2012.

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	15

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

The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee to determine the fair value of certain of the Trust’s Level 3 investments as of May 31, 2012:

		Value			Valuation Techniques			Unobservable Inputs 1			Range of Unobservable Inputs			Weighted Average of Unobservable Inputs 2
Assets:
Corporate Bonds		$	641,464			Market Comparable Companies			Yield			7.00% - 9.67%			8.79%
Floating Rate Loan Interests			115,599			Estimated Final Distribution			Probable Outcome			50%			50%
Total 3		$	757,063

1	A change to the unobservable input may result in a significant change to the value of the investment as follows:

Unobservable Input		Impact to Value if Input Increases		Impact to Value if Input Decreases
Yield		Decrease		Increase
Probable Outcome		Increase		Decrease

2	Unobservable inputs are weighted based on the value of the investments included in the range.
3	Does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

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

		Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Preferred Securities			Warrants			Total
Assets:
Opening balance as of August 31, 2011		$	27,152		$	688,980		$	1,642,711		$	477		$	45,985		$	34,922		$	2,440,227
Transfers into Level 3 1			—			—			188,877			—			—			—			188,877
Transfers out of Level 3 1			—			—			(387,187	)		—			—			(34,921	)		(422,108	)
Accrued discounts/ premiums			—			—			6,536			—			—			—			6,536
Net realized gain (loss)			—			9,120			2,128			—			—			—			11,248
Net change in unrealized appreciation/depreciation 2			(27,016	)		(20,926	)		(80,726	)		(477	)		(45,985	)		—			(175,130	)
Purchases			6,230			8,369			142,368			—			—			—			156,967
Sales			—			(43,872	)		(171,559	)								—			(215,431	)
Closing Balance as of May 31, 2012		$	6,366		$	641,671		$	1,343,148			—			—		$	1		$	1,991,186

1	Transfers into and transfers out of Level 3 represent the beginning of the reporting period value.
2	The change in unrealized appreciation/depreciation on investments still held as of May 31, 2012 was $(231,357).

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	16

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

The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

		Credit Contracts
Assets:
Opening balance as of August 31, 2011			—
Transfers into Level 3 1			—
Transfers out of Level 3 1			—
Accrued discounts/premiums		$	(8,350	)
Net realized gain (loss)			—
Net change in unrealized appreciation/depreciation 3			68,285
Purchases			—
Issues 4			44,181
Sales			—
Settlements 5			(35,830	)
Closing balance, as of May 31, 2012		$	68,286

3	The change in unrealized appreciation/depreciation on derivative financial instruments still held as of May 31, 2012 was $68,286.
4	Issues represents upfront cash received on certain derivative financial instruments.
5	Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

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.

	BLACKROCK HIGH YIELD TRUST	MAY 31, 2012	17

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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, 2012
	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, 2012
	By:	/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock High Yield Trust
	Date: July 25, 2012

 

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