BLACKROCK Ltd DURATION INCOME TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21349

Name of Fund: BlackRock Limited Duration Income Trust (BLW)

Fund Address:     100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:   John M. Perlowski, Chief Executive Officer, BlackRock Limited Duration

Income Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2017

Date of reporting period: 02/28/2017


Item 1 – Report to Stockholders


FEBRUARY 28, 2017

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock Defined Opportunity Credit Trust (BHL)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

BlackRock Limited Duration Income Trust (BLW)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

 

Dear Shareholder,

Risk assets, such as stocks and high yield bonds, enjoyed strong performance in the 12 months ended February 28, 2017. It was a different story for higher-quality assets such as U.S. Treasuries, which generated muted returns after struggling in the latter part of 2016 as reflationary expectations in the United States helped drive a pick-up in global growth and investors braced for higher interest rates.

Markets showed great resilience during the period. Big surprises such as the United Kingdom’s vote to leave the European Union and the outcome of the U.S. presidential election brought spikes in equity market volatility, but they were ultimately short-lived. Instead, investors used the sell-offs to seize upon buying opportunities, allowing markets to quickly rebound. We believe this reinforces the case for taking the long view rather than reacting to short-term market noise.

The global reflationary theme — rising nominal growth, wages and inflation — was the dominant driver of asset returns during the period, outweighing significant political upheavals and uncertainty. This trend accelerated after the U.S. election and continued into the beginning of 2017, stoked by expectations for an extra boost to U.S. growth via fiscal policy.

Although economic momentum is gaining traction, the capacity for rapid global growth is restrained by structural factors including an aging population, low productivity growth and excess savings. A tempered economic growth trend and high valuations across most assets have set the stage for muted investment returns going forward.

Equity markets still have room to move, although the disparity between winners and losers is widening, making selectivity increasingly important. Fixed income investors are also facing challenges as bond markets recalibrate to accommodate rising rates and higher inflation expectations. And in a world where political risk and policy uncertainty abound, there is no lack of potential catalysts for higher volatility.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 28, 2017  
    6-month     12-month  

U.S. large cap equities
(S&P 500® Index)

    10.01     24.98

U.S. small cap equities
(Russell 2000® Index)

    12.61       36.11  

International equities
(MSCI Europe, Australasia,
Far East Index)

    4.90       15.75  

Emerging market equities
(MSCI Emerging Markets Index)

    5.51       29.46  

3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index)

    0.22       0.39  

U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index)

    (6.17     (4.09

U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond Index)

    (2.19     1.42  

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

    (2.51     0.76  

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer
Capped Index)

    5.43       21.83  
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.  

 

                
2    THIS PAGE NOT PART OF YOUR FUND REPORT      


Table of Contents     

 

     Page  

The Markets in Review

    2  

Semi-Annual Report:

 

Fund Summaries

    4  

The Benefits and Risks of Leveraging

    10  

Derivative Financial Instruments

    10  
Financial Statements  

Schedules of Investments

    11  

Statements of Assets and Liabilities

    68  

Statements of Operations

    70  

Statements of Changes in Net Assets

    71  

Statements of Cash Flows

    72  

Financial Highlights

    73  

Notes to Financial Statements

    76  

Officers and Directors

    90  

Additional Information

    91  

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    3


Fund Summary as of February 28, 2017    BlackRock Defined Opportunity Credit Trust

 

 

Fund Overview

BlackRock Defined Opportunity Credit Trust’s (BHL) (the “Fund”) primary investment objective is to provide high current income, with a secondary objective of long-term capital appreciation. The Fund seeks to achieve its investment objectives by investing substantially all of its assets in loan and debt instruments and loan-related and debt-related instruments (collectively “credit securities”). The Fund invests, under normal market conditions, at least 80% of its managed assets in any combination of the following credit securities: (i) senior secured floating rate and fixed rate loans; (ii) second lien or other subordinated or unsecured floating rate and fixed rate loans or debt; (iii) credit securities that are rated below investment grade by a nationally recognized credit rating organization or unrated credit securities that are deemed to be of comparable quality by the investment adviser; and (iv) investment grade corporate bonds. The Fund may invest directly in such securities or synthetically through the use of derivatives.

BHL is scheduled to terminate no later than December 31, 2017.

No assurance can be given that the Fund’s investment objectives will be achieved.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BHL1,2

    6.26 %     4.02

Lipper Loan Participation Funds3

    13.07 %     6.22

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Fund moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

 

 

Floating rate loan interests (bank loans) benefited from the strong appetite for credit during the six-month period. From a sector perspective, the largest absolute contributors to performance included technology, healthcare, and consumer cyclical services. On a credit rating basis, B-rated, BB-rated and CCC-rated positions were the largest contributors over the semi-annual period. Finally, from an asset allocation standpoint, the Fund’s tactical positions in high yield bonds and collateralized loan obligations benefited performance.

 

 

From a sector perspective, exposure to retailers was the sole absolute detractor from Fund performance for the six-month period. From a credit rating perspective, D-rated names posted slightly negative results while all other credit-rating segments posted positive returns.

Describe recent portfolio activity.

 

 

During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. The Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. From a sector standpoint, the Fund reduced exposure to consumer cyclical services overall and in particular to retailers, on the view that the outlook for the space continues to deteriorate on the back of weaker revenues. By contrast, the Fund increased its allocation to the health care and pharmaceutical sectors. With the bank loan universe trading over par, the Fund selectively added to its fixed rate high yield bond allocation in order to add price appreciation potential, as well as to garner higher quality energy exposure relative to that available within bank loans.

Describe portfolio positioning at period end.

 

 

The Fund held a majority of its portfolio in floating rate bank loans, with a modest position in relatively conservative high yield corporate bonds. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a minimal position in loans rated CCC and below, while also avoiding the more volatile segments of that universe, such as oilfield services and retailers. Leading individual positions included Level 3 Communications, Inc. (wirelines), Altice NV (cable & satellite), and First Data Corp. (technology).

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
4    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Defined Opportunity Credit Trust

 

 

Fund Information     

Symbol on New York Stock Exchange (“NYSE”)

  BHL

Initial Offering Date

  January 31, 2008

Current Distribution Rate on Closing Market Price as of February 28, 2017 ($13.88)1

  4.41%

Current Monthly Distribution per Common Share2

  $0.051

Current Annualized Distribution per Common Share2

  $0.612

Economic Leverage as of February 28, 20173

  18%

 

  1   

Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change.

 

  3   

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

   $ 13.88      $ 13.42        3.43    $ 13.95      $ 13.24  

Net Asset Value

   $ 13.87      $ 13.70        1.24    $ 13.91      $ 13.68  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Fund’s Total Investments

 

Portfolio Composition   2/28/17     8/31/16  

Floating Rate Loan Interests

    94     95

Corporate Bonds

    5       4  

Asset-Backed Securities

    1       1  

Short-Term Securities4

           

Other

    5       6 

 

  4   

Representing less than 1% of the Fund’s total investments.

 

  5   

Includes less than 1% holding in each of the following investments types: Common Stocks, Rights and Warrants.

 

  6   

Includes less than 1% holding in each of the following investments types: Common Stocks, Investment Companies, Non-Agency Mortgage-Backed Securities and Warrants.

Credit Quality Allocation7,8   2/28/17     8/31/16  

A4

           

BBB/Baa

    6     11

BB/Ba

    46       45  

B

    43       39  

CCC/Caa

    2       2  

N/R

    3       3  

 

  7   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used.

       Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  8   

Excludes Short-Term Securities.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    5


Fund Summary as of February 28, 2017    BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

Fund Overview

BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) (the “Fund”) investment objective is to provide shareholders with high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its managed assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.

No assurance can be given that the Fund’s investment objective will be achieved.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

FRA1,2

    11.02 %     5.13

Lipper Loan Participation Funds3

    13.07 %     6.22

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

 

 

Floating rate loan interests (bank loans) benefited from the strong appetite for credit during the six-month period. On a sector basis, the largest contributors included holdings within technology, health care and chemicals. From a credit-rating perspective, B-rated, BB-rated and CCC-rated names were the largest contributors, as the lower credit-quality portions of the bank loan market drove the overall rally across the asset class. The Fund’s tactical allocation to high yield bonds also contributed to performance, as the asset class benefited to a greater degree than bank loans from the rally in the energy and metals & mining sectors. Finally, an out-of-benchmark allocation to collateralized loan obligations added to returns.

 

 

The sole negative contributor to the Fund’s absolute performance over the six months came from exposure to retailers, as the space continued to

   

display fundamental weakness. All other sectors within the bank loan market provided positive returns, as did all credit rating segments within the asset class.

Describe recent portfolio activity.

 

 

During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. The Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. From a sector standpoint, the Fund reduced exposure to consumer cyclical services overall and in particular to retailers, on the view that the outlook for the space continues to deteriorate on the back of weaker revenues. By contrast, the Fund increased its allocation to the health care and pharmaceutical sectors. With the bank loan universe trading over par, the Fund selectively added to its fixed rate high yield bond allocation in order to add price appreciation potential, as well as to garner higher quality energy exposure relative to that available within bank loans.

Describe portfolio positioning at period end.

 

 

The Fund held a majority of its portfolio in floating rate bank loans, with a moderate position in relatively conservative high yield corporate bonds. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers, while limiting exposure to both higher quality loans with less compelling risk/reward profiles and lower-rated loans with more equity-like profiles and greater downside risk should credit sentiment weaken. At period-end, top issuer overweights included Ligado Networks LLC (wireless), Altice NV (cable & satellite), and Level 3 Communications, Inc. (wirelines).

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
6    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

Fund Information

Symbol on NYSE

  FRA

Initial Offering Date

  October 31, 2003

Current Distribution Rate on Closing Market Price as of February 28, 2017 ($14.74)1

  4.97%

Current Monthly Distribution per Common Share2

  $0.061

Current Annualized Distribution per Common Share2

  $0.732

Economic Leverage as of February 28, 20173

  28%

 

  1   

Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change.

 

  3   

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $14.74        $13.70        7.59%        $14.82        $13.36  

Net Asset Value

     $15.06        $14.78        1.89%        $15.08        $14.76  

 

Market Price and Net Asset Value History For the Past Five Years                              

 

LOGO

 

Overview of the Fund’s Total Investments

 

Portfolio Composition   2/28/17     8/31/16  

Floating Rate Loan Interests

    92     93

Corporate Bonds

    6       4  

Asset-Backed Securities

    2       3  

Common Stocks4

           

Short-Term Securities

          4 

Other

    5       6 

 

  4   

Representing less than 1% of the Fund’s total investments.

 

  5   

Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests, Preferred Securities, Rights and Warrants.

 

  6   

Includes a less than 1% holding in each of the following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities, Options Purchased, Other Interests, Preferred Securities and Warrants.

Credit Quality Allocation7,8   2/28/17     8/31/16  

A4

           

BBB/Baa

    9     11

BB/Ba

    45       44  

B

    40       39  

CCC/Caa

    3       3  

N/R

    3       3  

 

  7   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  8   

Excludes Short-Term Securities.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    7


Fund Summary as of February 28, 2017    BlackRock Limited Duration Income Trust

 

Fund Overview

BlackRock Limited Duration Income Trust’s (BLW) (the “Fund”) investment objective is to provide current income and capital appreciation. The Fund seeks to achieve its investment objective by investing primarily in three distinct asset classes:

 

 

intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S. Government and agency securities;

 

 

senior, secured floating rate loans made to corporate and other business entities; and

 

 

U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality.

The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Fund’s investment objective will be achieved.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BLW1, 2

    6.64     5.61

Lipper High Yield Funds (Leveraged) 3

    7.08     7.59

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

 

 

The largest contributors to the Fund’s absolute performance over the period were its exposures to high yield corporate bonds, floating rate loans and asset-backed securities (“ABS”).

 

 

The largest detractors from the Fund’s absolute performance over the period were its allocation to sovereign plus names, as well as its duration (sensitivity to interest rate movements) and yield curve positioning.

 

The Fund held derivatives during the period, including Treasury futures, currency forwards, options and credit default swaps. The derivatives were primarily used to adjust duration (sensitivity to interest rate movements) and yield curve exposure, and to manage credit risk. The Fund’s derivative exposures had a positive impact on performance.

Describe recent portfolio activity.

 

 

Over the six-month period, the Fund kept its level of spread duration (sensitivity to changes in credit spreads) essentially unchanged, while rotating sector allocations to reflect the view that the economy is entering a reflationary period. The Fund’s allocations to ABS and investment grade credit were reduced and rotated into emerging market debt, high yield corporates and commercial mortgage-backed securities (“CMBS”). In addition, agency collateralized mortgage obligations were added to the portfolio.

Describe portfolio positioning at period end.

 

At period end, the Fund maintained a diversified exposure to non-government spread sectors, including high yield corporates, senior loans, investment grade corporate credit, CMBS, and ABS, as well as agency and non-agency residential mortgage-backed securities. The Fund ended the period with a shorter duration stance and a yield curve flattening bias based on the view that the Fed would raise interest rates imminently.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
8    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Limited Duration Income Trust

 

 

Fund Information                              

 

Symbol on NYSE

  BLW

Initial Offering Date

  July 30, 2003

Current Distribution Rate on Closing Market Price as of February 28, 2017 ($15.98)1

  6.53%

Current Monthly Distribution per Common Share2

  $0.087

Current Annualized Distribution per Common Share2

  $1.044

Economic Leverage as of February 28, 20173

  29%

 

  1   

Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change.

 

  3   

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

 

Market Price and Net Asset Value Per Share Summary                              

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

   $ 15.98      $ 15.74        1.52    $ 15.98      $ 14.75  

Net Asset Value

   $ 16.93      $ 16.84        0.53    $ 16.98      $ 16.54  

 

Market Price and Net Asset Value History For the Past Five Years                              

 

LOGO

 

Overview of the Fund’s Total Investments                              

 

Portfolio Composition   2/28/17     8/31/16  

Corporate Bonds

    46     42

Floating Rate Loan Interests

    26       26  

Asset-Backed Securities

    9       10  

Non-Agency Mortgage-Backed Securities

    7       8  

Preferred Securities

    7       8  

Foreign Agency Obligations

    3       4  

U.S. Government Sponsored Agency Securities

    1       1  

U.S. Treasury Obligations

    1       1  

Other

    4       5 

 

  4   

Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Options Written, Other Interests, Rights, Short-Term Securities and Warrants.

 

  5   

Includes a less than 1% holding in each of the following investment types: Common Stocks, Investment Companies, Options Purchased, Options Written, Other Interests, Short-Term Securities and Warrants.

Credit Quality Allocation6,7   2/28/17     8/31/16  

AAA/Aaa8

    4     4

AA/Aa

    1       1  

A

    6       7  

BBB/Baa

    18       19  

BB/Ba

    34       32  

B

    28       25  

CCC/Caa

    5       4  

N/R

    4       8  

 

  6   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  7   

Excludes Options Purchased, Options Written and Short-Term Securities.

 

  8  

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    9


The Benefits and Risks of Leveraging     

 

The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Funds (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.

To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Funds’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Funds had not used leverage. Furthermore, the value of the [Fund’s/Funds’] portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Funds’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result,

changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Funds’ intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Funds to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of the Funds’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than if the Funds did not use leverage.

Each Fund may utilize leverage through a credit facility, or reverse repurchase agreements as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds are permitted to issue debt up to 33  1/3% of their total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

If a Fund segregates or designates on its books and records cash or liquid assets having values not less than the value of a Fund’s obligations under the reverse repurchase agreement (including accrued interest), then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

 

Derivative Financial Instruments     

 

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the

transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

                
10    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)

 

Common Stocks               
Shares
    Value  

Specialty Retail — 0.0%

 

Things Remembered, Inc. (a)

             215,057        
Total Common Stocks — 0.0%                       
      
                          
Asset-Backed Securities (b)(c)   

Par  

(000)

        

Asset-Backed Securities — 1.2%

 

ALM XIV Ltd., Series 2014-14A, Class C, 4.49%, 7/28/26

     USD       463     $ 460,553  

ALM XVII Ltd., Series 2015-17A, Class C1, 5.17%, 1/15/28

       250       250,849  

Atrium CDO Corp., Series 9A, Class D, 4.55%, 2/28/24

       250       250,624  

Octagon Investment Partners XXI Ltd.,
Series 2014-1A, Class C, 4.69%, 11/14/26

       250       249,502  

Webster Park CLO Ltd., Series 2015-1A, Class B1, 4.13%, 1/20/27

             250       251,643  
Total Asset-Backed Securities — 1.2%                      1,463,171  
      
                          
Corporate Bonds                      

Airlines — 0.5%

 

US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18

             590       603,275  

Communications Equipment — 0.2%

 

 

Avaya, Inc., 7.00%, 4/01/19 (a)(b)(d)

             301       240,047  

Consumer Finance — 0.1%

 

 

Ally Financial, Inc., 8.00%, 11/01/31

             50       61,500  

Containers & Packaging — 1.2%

 

 

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (b)(c):

      

3.96%, 12/15/19

       62       63,314  

4.29%, 5/15/21

       249       255,536  

Reynolds Group Issuer, Inc., 4.52%,
7/15/21 (b)(c)

       1,160       1,190,450  
      

 

 

 
                       1,509,300  

Diversified Telecommunication Services — 0.4%

 

Level 3 Financing, Inc.:

      

4.76%, 1/15/18 (c)

       228       228,570  

6.13%, 1/15/21

       127       131,604  

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

       75       74,617  
      

 

 

 
                       434,791  

Electric Utilities — 0.0%

 

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%,
10/01/20 (b)(a)(d)

             240        

Energy Equipment & Services — 0.2%

 

 

Transocean, Inc., 9.00%, 7/15/23 (b)

       156       168,090  

Weatherford International Ltd., 9.88%, 2/15/24 (b)

       75       86,625  
      

 

 

 
                       254,715  
Corporate Bonds   

Par  

(000)

    Value  

Environmental, Maintenance, & Security Service — 0.1%

 

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

     USD       115     $ 120,175  

Health Care Providers & Services — 0.1%

 

 

HCA, Inc., 5.25%, 6/15/26

       50       52,813  

HealthSouth Corp., 5.75%, 11/01/24

       75       76,500  

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

       15       16,125  
      

 

 

 
                       145,438  

Independent Power and Renewable Electricity Producers — 0.3%

 

NRG Energy, Inc., 6.25%, 7/15/22

             340       345,950  

Internet Software & Services — 0.0%

 

 

Equinix, Inc., 5.75%, 1/01/25

             50       53,000  

Media — 1.1%

 

 

Altice Financing SA, 6.63%, 2/15/23 (b)

       200       210,500  

Clear Channel Worldwide Holdings, Inc., Series B, 7.63%, 3/15/20

       50       50,375  

CSC Holdings LLC, 10.88%, 10/15/25 (b)

       200       241,000  

SFR Group SA (b):

      

6.00%, 5/15/22

       200       207,438  

6.25%, 5/15/24

       240       243,597  

7.38%, 5/01/26

       255       264,244  

Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (b)

       200       202,250  
      

 

 

 
                       1,419,404  

Metals & Mining — 0.7%

 

Freeport-McMoRan, Inc.:

      

2.38%, 3/15/18

       306       304,470  

3.10%, 3/15/20

       250       245,000  

Teck Resources Ltd.:

      

4.50%, 1/15/21

       188       194,932  

3.75%, 2/01/23

       130       126,724  
      

 

 

 
                       871,126  

Oil, Gas & Consumable Fuels — 1.0%

 

Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (b)

       155       173,600  

CONSOL Energy, Inc., 5.88%, 4/15/22

       376       366,600  

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

       35       37,275  

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

       225       237,375  

NGPL PipeCo LLC, 7.12%, 12/15/17 (b)

       85       88,081  

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

       210       204,225  

Rowan Cos., Inc., 7.38%, 6/15/25

       80       83,000  

Sanchez Energy Corp., 6.13%, 1/15/23

       57       54,720  
      

 

 

 
                       1,244,876  

Road & Rail — 0.1%

 

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.80%, 12/01/17 (c)

             68       68,000  

Software — 0.0%

 

 

CDW LLC/CDW Finance Corp., 5.50%, 12/01/24

             50       52,500  

Wireless Telecommunication Services — 0.0%

 

 

Sprint Communications, Inc., 7.00%, 8/15/20

             50       53,938  
Total Corporate Bonds — 6.0%                      7,478,035  
 

 

Portfolio Abbreviations      

 

ABS    Asset-Backed Security    ETF    Exchange-Traded Fund    NZD    New Zealand Dollar
AUD    Australian Dollar    EUR    Euro    OTC    Over-the-Counter
BRL    Brazilian Real    GBP    British Pound    PIK    Payment-In-Kind
CAD    Canadian Dollar    JPY    Japanese Yen    S&P    Standard and Poor’s
CHF    Swiss Franc    LOC    Letter of Credit    SEK    Swedish Krona
CLO    Collateralized Loan Obligation    NOK    Norwegian Krone    USD    U.S. Dollar
DIP    Debtor-In-Possession            

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    11


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Aerospace & Defense — 2.1%

 

BE Aerospace, Inc., 2014 Term Loan B, 3.94%, 12/16/21

     USD       507     $ 508,639  

Engility Corp.:

      

Term Loan B1, 5.03%, 8/12/20

       78       78,561  

Term Loan B2, 4.53%, 8/12/23

       143       144,561  

TransDigm, Inc.:

      

2015 Term Loan E, 3.78%, 5/14/22

       216       217,139  

2016 Extended Term Loan F, 3.78%, 6/09/23

       1,403       1,409,439  

Term Loan D, 4.00%, 6/04/21

       257       258,225  
      

 

 

 
                       2,616,564  

Air Freight & Logistics — 0.8%

 

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

       133       115,626  

CEVA Intercompany BV, Dutch Term Loan, 6.54%, 3/19/21

       136       118,646  

CEVA Logistics Canada ULC, Canadian Term Loan, 6.54%, 3/19/21

       23       19,572  

CEVA Logistics US Holdings, Inc., Term Loan, 6.54%, 3/19/21

       185       160,496  

XPO Logistics, Inc., Term Loan B2, 4.30%, 11/01/21

       583       587,828  
      

 

 

 
                       1,002,168  

Airlines — 0.1%

 

Northwest Airlines, Inc.:

      

3.08%, 3/10/17

       30       29,767  

2.46%, 9/10/18

       109       107,529  
      

 

 

 
                       137,296  

Auto Components — 0.6%

 

Anchor Glass Container Corp., 2016 1st Lien Term Loan, 4.25%, 12/07/23

       120       121,401  

Gates Global LLC, Term Loan B, 4.25%, 7/06/21

       483       483,397  

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.78%, 4/30/19

       133       133,333  
      

 

 

 
                       738,131  

Automobiles — 0.1%

 

FCA US LLC, 2018 Term Loan B, 3.28%, 12/31/18

             109       109,463  

Biotechnology — 0.1%

 

 

AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21

             183       182,355  

Building Materials — 1.0%

 

 

USAGM HoldCo LLC:

      

2015 2nd Lien Term Loan, 9.54%, 7/28/23

       145       146,994  

2015 Term Loan, 4.79%, 7/28/22

       179       178,911  

2016 Incremental Delayed Draw Term Loan, 5.50%, 7/28/22

       97       97,687  

2016 Incremental Term Loan, 5.50%, 7/28/22

       799       804,141  
      

 

 

 
                       1,227,733  

Building Products — 2.8%

 

Continental Building Products LLC, 2017 Term Loan B, 3.28%, 8/18/23

       258       259,930  

CPG International, Inc., Term Loan, 4.75%, 9/30/20

       1,166       1,173,003  

GYP Holdings III Corp., 1st Lien Term Loan, 4.54%, 4/01/21

       345       346,872  

Jeld-Wen, Inc., Term Loan B2, 4.75%, 7/01/22

       403       405,231  

Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21

       207       207,957  

Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.02%, 11/15/23

       495       500,722  
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Building Products (continued)

 

Wilsonart LLC, 2016 Term Loan, 4.50%, 12/19/23

     USD       595     $ 598,386  
      

 

 

 
                       3,492,101  

Capital Markets — 0.4%

 

Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18

       145       144,224  

RPI Finance Trust, Term Loan B5, 3.50%, 10/14/22

       308       311,877  
      

 

 

 
                       456,101  

Chemicals — 4.2%

 

Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.29%, 9/13/23

       97       97,559  

Allnex USA, Inc., Term Loan B3, 5.29%, 9/13/23

       73       73,500  

Axalta Coating Systems US Holdings, Inc., Term Loan B1, 3.50%, 2/01/23

       367       371,805  

CeramTec Acquisition Corp., Term Loan B2, 4.30%, 8/30/20

       26       26,214  

Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22

       249       249,180  

Chemours Co., Term Loan B, 3.79%, 5/12/22

       268       269,632  

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

       68       60,137  

Huntsman International LLC, Term Loan B2, 3.78%, 4/01/23

       500       505,219  

Klockner-Pentaplast of America, Inc.:

      

1st Lien Term Loan, 4.25%, 4/28/20

       266       268,474  

German Borrower, 4.25%, 4/28/20

       114       114,732  

MacDermid, Inc.:

      

2016 Term Loan, 5.00%, 6/07/23

       391       395,077  

Term Loan B5, 4.50%, 6/07/20

       424       428,664  

OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20

       716       707,537  

PQ Corp., 2016 Term Loan, 5.29%, 11/04/22

       312       316,818  

Royal Holdings, Inc.:

      

2015 2nd Lien Term Loan, 8.50%, 6/19/23

       61       60,766  

2017 Term Loan B, 4.25%, 6/30/22

       256       257,621  

Solenis International LP:

      

1st Lien Term Loan, 4.30%, 7/31/21

       343       344,224  

2nd Lien Term Loan, 7.80%, 7/31/22

       390       384,961  

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20

       105       105,329  

Versum Materials, Inc., Term Loan, 3.50%, 9/29/23

       214       217,010  
      

 

 

 
                       5,254,459  

Commercial Services & Supplies — 7.2%

 

ADMI Corp., 2015 Term Loan B, 5.29%, 4/30/22

       260       261,457  

Advanced Disposal Services, Inc., Term Loan B3, 3.50%, 11/10/23

       758       765,147  

Asurion LLC:

      

2016 Term Loan B2, 4.03%, 7/08/20

       128       129,230  

Term Loan B4, 4.25%, 8/04/22

       441       446,645  

Term Loan B5, 4.75%, 11/03/23

       549       555,680  

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.79%, 11/26/20

       633       633,346  

Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23

       833       842,108  

Catalent Pharma Solutions, Inc., Term Loan B, 3.75%, 5/20/21

       821       830,790  

Dealer Tire LLC, 2016 Term Loan B, 4.75%, 12/22/21

       211       214,600  

Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20

       84       78,470  

GCA Services Group, Inc., 2016 Term Loan, 5.99%, 3/01/23

       423       427,376  
 

 

See Notes to Financial Statements.

 

                
12    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

 

KAR Auction Services, Inc.:

      

Term Loan B2, 4.19%, 3/11/21

     USD       300     $ 302,215  

Term Loan B3, 4.50%, 3/09/23

       402       406,738  

Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19

       299       295,162  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.25%, 5/02/22

       315       317,597  

PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21

       368       373,029  

Spin Holdco, Inc., Term Loan B, 4.28%, 11/14/19

       802       798,586  

TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23

       229       231,711  

US Ecology, Inc., Term Loan, 3.78%, 6/17/21

       153       154,414  

US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23

       479       483,935  

Waste Industries USA, Inc., 2016 Term Loan, 3.53%, 2/27/20

       500       502,552  
      

 

 

 
                       9,050,788  

Communications Equipment — 0.8%

 

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.00%, 1/25/21

       210       211,482  

2nd Lien Term Loan, 7.50%, 1/24/22

       84       84,702  

Avaya, Inc., Term Loan B7, 6.28%, 5/29/20 (a)(d)

       56       44,753  

CommScope, Inc., Term Loan B5, 3.28%, 12/29/22

       207       209,254  

Riverbed Technology, Inc., 2016 Term Loan, 4.25%, 4/24/22

       441       444,358  
      

 

 

 
                       994,549  

Construction & Engineering — 1.0%

 

CNT Holdings III Corp., 2017 Term Loan, 4.25%, 1/22/23

       283       284,455  

Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23

       768       777,676  

USIC Holdings, Inc., 2016 1st Lien Term Loan, 4.75%, 12/08/23

       190       191,070  
      

 

 

 
                       1,253,201  

Construction Materials — 0.8%

 

Filtration Group Corp., 1st Lien Term Loan, 4.30%, 11/21/20

       791       797,345  

Headwaters, Inc., 2016 Term Loan B, 4.00%, 3/24/22

       159       159,383  

McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19

       79       79,417  
      

 

 

 
                       1,036,145  

Containers & Packaging — 2.1%

 

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.01%, 12/17/21

       500       501,209  

Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21

       70       70,384  

Berry Plastics Group, Inc., Term Loan I, 3.28%, 10/03/22

       1,181       1,188,790  

BWAY Holding Co., 2016 Term Loan B, 4.75%, 8/14/23

       849       848,802  
      

 

 

 
                       2,609,185  

Distributors — 0.8%

 

American Builders & Contractors Supply Co., Inc., Term Loan B, 3.53%, 10/31/23

       771       777,279  

American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21

       214       212,559  
      

 

 

 
                       989,838  
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Diversified Consumer Services — 1.8%

 

Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.52%, 11/07/23

     USD       699     $ 706,533  

CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21

       270       255,349  

J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 9/07/23

       284       287,130  

Serta Simmons Holdings LLC, 2nd Lien Term Loan, 9.04%, 11/08/24

       240       244,500  

ServiceMaster Co., 2016 Term Loan B, 3.28%, 11/08/23

       440       444,400  

Weight Watchers International, Inc., Term Loan B2, 4.25%, 4/02/20

       338       296,628  
      

 

 

 
                       2,234,540  

Diversified Financial Services — 0.8%

 

AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22

       430       433,564  

Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21

       221       221,327  

SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20

       382       384,733  
      

 

 

 
                       1,039,624  

Diversified Telecommunication Services — 2.4%

 

Consolidated Communications, Inc.:

      

2016 Term Loan B, 4.00%, 10/04/23

       155       155,495  

Term Loan B2, 4.00%, 10/05/23

       105       105,600  

Hawaiian Telcom Communications, Inc., Term Loan B, 5.29%, 6/06/19

       508       507,643  

Integra Telecom, Inc.:

      

2015 1st Lien Term Loan, 5.29%, 8/14/20

       502       501,868  

2nd Lien Term Loan, 9.75%, 2/12/21

       168       167,511  

Telenet International Finance Sarl, Term Loan AF, 3.77%, 1/31/25

       905       912,919  

Virgin Media Investment Holdings Ltd., Term Loan I, 3.52%, 1/31/25

       590       592,295  
      

 

 

 
                       2,943,331  

Electric Utilities — 1.9%

 

Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.30%, 6/30/17

       1,425       1,428,681  

TEX Operations Co. LLC:

      

Exit Term Loan B, 3.53%, 8/04/23

       614       617,171  

Exit Term Loan C, 3.53%, 8/04/23

       140       140,690  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 5.03%, 11/10/17 (a)(d)

       380        

Vistra Operations Co. LLC, 2016 Term Loan B2, 4.02%, 12/14/23

       170       170,983  
      

 

 

 
                       2,357,525  

Electronic Equipment, Instruments & Components — 0.1%

 

CPI Acquisition, Inc., Term Loan B, 5.83%, 8/17/22

             146       130,590  

Food & Staples Retailing — 3.2%

 

 

Albertsons LLC:

      

2016 Term Loan B4, 3.78%, 8/22/21

       1,009       1,020,742  

2016 Term Loan B5, 4.25%, 12/22/22

       82       82,749  

Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22

       620       627,335  

Rite Aid Corp., 2nd Lien Term Loan:

      

5.75%, 8/21/20

       278       279,174  

4.88%, 6/21/21

       562       563,392  

US Foods, Inc., 2016 Term Loan B, 3.53%, 6/27/23

       1,478       1,495,675  
      

 

 

 
                       4,069,067  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    13


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Food Products — 2.0%

 

Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21

     USD       230     $ 227,776  

Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23

       355       359,217  

CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20

       243       240,100  

Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18

       601       602,830  

Reynolds Group Holdings Inc., 2017 Term Loan, 3.78%, 2/05/23

       1,049       1,056,458  
      

 

 

 
                       2,486,381  

Health Care Equipment & Supplies — 3.8%

 

Alere, Inc.:

      

2015 Term Loan A, 3.78%, 6/18/20

       103       103,230  

2015 Term Loan B, 4.25%, 6/18/22

       430       430,329  

Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22

       552       556,436  

Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21

       854       856,005  

Cotiviti Corp., Term Loan B, 3.75%, 9/28/23

       589       593,370  

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

       516       506,482  

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

       510       503,376  

National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21

       690       689,751  

Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21

       508       502,851  
      

 

 

 
                       4,741,830  

Health Care Providers & Services — 9.0%

 

Acadia Healthcare Co., Inc.:

      

Term Loan B, 3.78%, 2/11/22

       110       110,537  

Term Loan B2, 3.78%, 2/16/23

       485       488,889  

CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23

       764       773,778  

Community Health Systems, Inc.:

      

Term Loan F, 4.19%, 12/31/18

       273       272,676  

Term Loan G, 3.75%, 12/31/19

       420       415,832  

DaVita HealthCare Partners, Inc., Term Loan B, 3.53%, 6/24/21

       1,362       1,378,351  

Envision Healthcare Corp., 2016 Term Loan B, 4.00%, 12/01/23

       1,710       1,730,657  

HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22

       325       313,157  

HCA, Inc., Term Loan B6, 4.03%, 3/17/23

       1,173       1,181,585  

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

       926       931,179  

MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23

       571       579,530  

National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21

       104       104,337  

NVA Holdings, Inc.:

      

1st Lien Term Loan, 4.75%, 8/14/21

       116       116,958  

2016 Term Loan, 5.50%, 8/14/21

       161       161,492  

Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22

       374       378,349  

Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22

       711       710,559  

Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20

       433       435,241  

Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22

       564       564,860  

U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22

       305       280,879  

Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23

       409       414,504  
      

 

 

 
                       11,343,350  
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Health Care Technology — 1.2%

 

Emdeon Business Services LLC, Term Loan B3, 3.75%, 11/02/18

     USD       55     $ 54,720  

IMS Health, Inc., 2016 Term Loan B, 3.50%, 3/17/21

       938       941,887  

Press Ganey Holdings, Inc.:

      

1st Lien Term Loan, 4.25%, 10/21/23

       410       410,513  

2nd Lien Term Loan, 8.25%, 10/21/24

       115       116,725  
      

 

 

 
                       1,523,845  

Hotels, Restaurants & Leisure — 5.1%

 

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       572       572,583  

2nd Lien Term Loan, 8.00%, 8/01/22

       227       227,199  

AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23

       262       263,216  

Boyd Gaming Corp.:

      

Term Loan B, 4.00%, 8/14/20

       81       81,170  

Term Loan B2, 3.71%, 9/15/23

       478       482,634  

Burger King Capital Holdings LLC, 2017 Term Loan B, 3.25%, 2/14/24

       567       567,058  

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       1,724       1,738,406  

CCM Merger, Inc., Term Loan B, 4.03%, 8/08/21

       305       307,687  

Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22

       479       484,105  

ESH Hospitality, Inc., 2016 Term Loan B, 3.78%, 8/30/23

       728       733,090  

Four Seasons Holdings, Inc., 1st Lien Term Loan, 4.00%, 11/30/23

       55       55,746  

La Quinta Intermediate Holdings LLC, Term Loan B, 3.77%, 4/14/21

       188       188,633  

RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21

       288       290,053  

Sabre GLBL, Inc., Term Loan B, 3.53%, 2/08/24

       93       93,469  

Scientific Games International, Inc., 2017 Term Loan B3, 4.77%, 10/01/21

       349       354,528  
      

 

 

 
                       6,439,577  

Household Products — 0.9%

 

Serta Simmons Bedding LLC, 1st Lien Term Loan, 4.54%, 11/08/23

             1,065       1,069,462  

Independent Power and Renewable Electricity Producers — 2.5%

 

 

Aria Energy Operating LLC, Term Loan, 5.55%, 5/27/22

       271       270,434  

Calpine Construction Finance Co., LP, Term Loan B1, 3.03%, 5/03/20

       236       236,263  

Calpine Corp.:

      

Term Loan B5, 3.75%, 1/15/24

       253       253,790  

Term Loan B6, 3.75%, 1/15/23

       480       482,325  

Term Loan B7, 3.75%, 5/31/23

       172       173,512  

Dynegy, Inc., 2017 Term Loan C, 4.25%, 6/27/23

       717       724,287  

Granite Acquisition, Inc.:

      

Term Loan B, 5.00%, 12/19/21

       746       753,095  

Term Loan C, 5.00%, 12/19/21

       33       33,813  

Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21

       250       230,366  
      

 

 

 
                       3,157,885  

Industrial Conglomerates — 0.6%

 

Cortes NP Acquisition Corp., Term Loan B, 6.04%, 11/30/23

       663       667,549  

Sequa Corp., Term Loan B, 5.25%, 6/19/17

       111       106,513  
      

 

 

 
                       774,062  

Insurance — 1.6%

 

AssuredPartners, Inc., 2016 Term Loan B, 5.25%, 10/21/22

       494       499,140  
 

 

See Notes to Financial Statements.

 

                
14    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Insurance (continued)

 

Hub International Ltd., Term Loan B, 4.03%, 10/02/20

     USD       206     $ 208,001  

Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (e)

       260       271,050  

Sedgwick Claims Management Services, Inc.:

      

1st Lien Term Loan, 3.75%, 3/01/21

       447       448,357  

2016 1st Lien Term Loan, 4.25%, 3/01/21

       204       205,378  

2nd Lien Term Loan, 6.75%, 2/28/22

       410       411,197  
      

 

 

 
                       2,043,123  

Internet & Direct Marketing Retail — 0.6%

 

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 3.78%, 8/19/23

             688       688,582  

Internet Software & Services — 0.3%

 

 

GTT Communications, Inc., 2016 Term Loan B, 5.00%, 1/09/24

       86       87,182  

WaveDivision Holdings LLC, Term Loan B, 3.79%, 10/15/19

       333       333,927  
      

 

 

 
                       421,109  

IT Services — 4.3%

 

Cision US, Inc., Term Loan B, 7.00%, 6/16/23

       279       280,224  

First Data Corp., 2016 Term Loan, 3.78%, 3/24/21

       2,803       2,827,369  

Global Payments, Inc., Reprice Term Loan B, 3.28%, 4/22/23

       371       374,944  

VF Holding Corp., Reprice Term Loan, 4.25%, 6/30/23

       1,082       1,091,087  

WEX, Inc., Term Loan B, 4.28%, 7/01/23

       851       863,486  
      

 

 

 
                       5,437,110  

Machinery — 2.2%

 

Faenza Acquisition GmbH:

      

Term Loan B1, 4.30%, 8/30/20

       224       224,655  

Term Loan B3, 4.30%, 8/30/20

       68       68,575  

Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20

       254       253,648  

Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22

       335       336,275  

Mueller Water Products, Inc., 2017 Term Loan B, 3.28%, 11/26/21

       176       178,055  

Navistar International Corp., 2017 Term Loan B, 5.00%, 8/07/20

       215       216,122  

Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23

       471       473,200  

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

       830       791,068  

Wabash National Corp., 2017 Term Loan B, 3.53%, 3/18/22

       199       200,360  
      

 

 

 
                       2,741,958  

Media — 10.7%

 

Altice US Finance I Corp., 2016 Term Loan B, 3.78%, 1/15/25

       1,116       1,128,126  

AMC Entertainment, Inc., Term Loan B, 3.53%, 12/15/23

       165       166,733  

CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23

       217       219,260  

Charter Communications Operating LLC, 2016 Term Loan I Add, 3.03%, 1/15/24

       1,872       1,883,270  

CSC Holdings LLC, 2016 Term Loan, 3.77%, 10/11/24

       788       795,574  

Entercom Radio LLC, 2016 Term Loan, 4.50%, 11/01/23

       119       119,718  

Hemisphere Media Holdings LLC, 2017 Term Loan B, 4.27%, 2/08/24

       365       364,073  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21

       497       461,544  

iHeartCommunications, Inc.:

      

Extended Term Loan E, 8.28%, 7/30/19

       110       95,150  

Term Loan D, 7.53%, 1/30/19

       1,321       1,146,276  
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Media (continued)

 

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

     USD       874     $ 867,970  

Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.25%, 11/17/23

       409       413,349  

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.52%, 1/07/22

       275       274,313  

Live Nation Entertainment, Inc., Term Loan B2, 3.31%, 10/31/23

       111       112,570  

MCC Iowa LLC, Term Loan J, 3.50%, 6/30/21

       122       122,675  

Mediacom Illinois LLC, Term Loan K, 3.00%, 2/15/24

       248       248,917  

Mission Broadcasting, Inc., 2016 Term Loan B2, 3.77%, 1/17/24

       93       94,649  

Nexstar Broadcasting, Inc., 2017 Term Loan B, 3.77%, 1/17/24

       982       996,671  

Nielsen Finance LLC, Term Loan B3, 3.27%, 10/04/23

       433       438,165  

Numericable U.S. LLC:

      

Term Loan B10, 4.29%, 1/14/25

       479       482,190  

Term Loan B7, 5.29%, 1/15/24

       143       144,125  

SBA Senior Finance II LLC, Term Loan B1, 3.04%, 3/24/21

       517       519,423  

Sinclair Television Group, Inc., Term Loan B2, 3.04%, 1/03/24

       224       223,995  

Trader Corp., Term Loan, 5.00%, 9/28/23

       350       351,022  

Tribune Media Co., Term Loan C, 3.78%, 1/27/24

       884       891,358  

Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20

       790       792,778  
      

 

 

 
                       13,353,894  

Metals & Mining — 0.0%

 

Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20

             100       9,667  

Multiline Retail — 0.4%

 

 

Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22

             497       487,528  

Oil, Gas & Consumable Fuels — 4.1%

 

 

California Resources Corp.:

      

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

       745       839,369  

Term Loan A, 3.78%, 10/01/19

       568       546,483  

Chesapeake Energy Corp., Term Loan, 8.55%, 8/23/21

       739       797,730  

CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18

       236       240,193  

Energy Transfer Equity LP, 2017 Term Loan B, 3.53%, 2/02/24

       272       272,346  

EWT Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21

       131       131,441  

MEG Energy Corp., 2017 Term Loan B, 4.75%, 12/31/23

       901       906,300  

Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20

       79       77,248  

PowerTeam Services LLC:

      

1st Lien Term Loan, 4.25%, 5/06/20

       113       113,259  

2nd Lien Term Loan, 8.25%, 11/06/20

       105       104,475  

Seventy Seven Operating LLC, Term Loan B, 3.78%, 6/25/20

       60       59,139  

TPF II Power LLC, Term Loan B, 5.00%, 10/02/21

       468       472,131  

Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22

       617       623,281  
      

 

 

 
                       5,183,395  

Personal Products — 0.5%

 

Revlon Consumer Products Corp., 2016 Term Loan B, 4.28%, 9/07/23

             678       681,949  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    15


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Pharmaceuticals — 4.8%

 

 

Akorn, Inc., Term Loan B, 5.25%, 4/16/21

     USD       563     $ 570,595  

CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19

       206       206,313  

DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21

       1,492       1,498,078  

Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.81%, 9/26/22

       512       514,314  

Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22

       1,557       1,564,813  

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 4.54%, 10/20/18

       91       90,784  

Series C2 Term Loan B, 5.28%, 12/11/19

       878       882,263  

Series D2 Term Loan B, 5.03%, 2/13/19

       348       349,838  

Series E Term Loan B, 5.27%, 8/05/20

       208       208,980  

Series F1 Term Loan B, 5.53%, 4/01/22

       180       181,489  
      

 

 

 
                       6,067,467  

Professional Services — 2.6%

 

Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.25%, 7/23/21

       255       253,272  

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

       812       813,092  

Information Resources, Inc., 1st Lien Term Loan, 5.25%, 1/18/24

       175       177,079  

Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22

       365       363,635  

TransUnion LLC, Term Loan B2, 3.28%, 4/09/23

       1,659       1,675,862  
      

 

 

 
                       3,282,940  

Real Estate Investment Trusts (REITs) — 1.4%

 

Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.00%, 10/24/22

       536       538,446  

MGM Growth Properties LLC, 2016 Term Loan B, 3.28%, 4/25/23

       1,242       1,251,711  
      

 

 

 
                       1,790,157  

Real Estate Management & Development — 1.0%

 

 

CityCenter Holdings LLC, Term Loan B, 3.53%, 10/16/20

       489       495,061  

Realogy Corp., 2017 Term Loan B, 3.03%, 7/20/22

       711       716,052  
      

 

 

 
                       1,211,113  

Semiconductors & Semiconductor Equipment — 0.4%

 

 

Cavium, Inc., Term Loan B, 3.78%, 8/16/22

       184       185,254  

Microsemi Corp., 2015 Term Loan B, 3.03%, 1/15/23

       89       89,379  

ON Semiconductor Corp., Incremental Term Loan, 4.03%, 3/31/23

       219       221,331  
      

 

 

 
                       495,964  

Software — 6.9%

 

BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20

       624       626,861  

DTI Holdco, Inc., 2016 Term Loan B, 6.09%, 9/21/23

       349       348,106  

Infor (US), Inc., Term Loan B6, 3.75%, 2/01/22

       633       633,646  

Informatica Corp., Term Loan, 4.50%, 8/05/22

       918       912,716  

IQOR US, Inc., Term Loan B, 6.00%, 4/01/21

       168       162,878  

Kronos, Inc.:

      

1st Lien Term Loan, 5.00%, 11/01/23

       1,040       1,051,804  

2nd Lien Term Loan, 9.28%, 11/01/24

       385       397,786  

Mitchell International, Inc.:

      

1st Lien Term Loan, 4.54%, 10/13/20

       488       490,948  

2nd Lien Term Loan, 8.50%, 10/11/21

       350       349,345  

RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23

       501       504,813  
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Software (continued)

 

SolarWinds, Inc., 2017 Term Loan, 4.50%, 2/05/23

     USD       726     $ 727,352  

Solera LLC, Term Loan B, 5.75%, 3/03/23

       238       239,491  

Sophia LP, 2017 Term Loan B, 4.25%, 9/30/22

       557       558,382  

SS&C Technologies, Inc.:

      

2015 Term Loan B1, 4.03%, 7/08/22

       1,078       1,083,467  

2015 Term Loan B2, 4.03%, 7/08/22

       103       103,547  

Tibco Software Inc., 2017 Term Loan B, 5.50%, 12/04/20

       426       431,061  
      

 

 

 
                       8,622,203  

Specialty Retail — 2.7%

 

Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22

       253       199,776  

Bass Pro Group LLC:

      

2015 Term Loan, 4.02%, 6/05/20

       81       77,673  

Asset Sale Term Loan, 5.72%, 6/09/18

       150       150,000  

Term Loan B, 5.97%, 12/16/23

       185       177,472  

Coinstar LLC, 1st Lien Term Loan, 5.25%, 9/27/23

       185       186,095  

Leslie’s Poolmart, Inc., 2016 Term Loan, 4.75%, 8/16/23

       274       275,177  

Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/30/23

       1,036       1,032,866  

Party City Holdings, Inc., 2016 Term Loan, 3.79%, 8/19/22

       648       643,120  

Petco Animal Supplies, Inc., 2017 Term Loan B, 4.29%, 1/26/23

       549       528,846  

Things Remembered, Inc., 2016 Term Loan, 6.00%, 2/29/20

       227       56,826  
      

 

 

 
                       3,327,851  

Technology Hardware, Storage & Peripherals — 0.3%

 

Dell, Inc., 2016 Term Loan B, 4.04%, 9/07/23

       274       275,986  

Oberthur Technologies SA, 2016 Term Loan B1, 4.70%, 12/15/23

       53       53,922  
      

 

 

 
                       329,908  

Textiles, Apparel & Luxury Goods — 0.4%

 

Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22

             549       552,880  

Thrifts & Mortgage Finance — 0.5%

 

IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21

             616       619,736  

Trading Companies & Distributors — 1.0%

 

 

Beacon Roofing Supply, Inc., Term Loan B, 3.71%, 10/01/22

       315       316,762  

HD Supply, Inc.:

      

Incremental Term Loan B1, 3.75%, 8/13/21

       636       640,198  

Incremental Term Loan B2, 3.75%, 10/17/23

       234       236,171  

Nexeo Solutions LLC, 2016 Term Loan, 5.29%, 6/09/23

       60       60,013  
      

 

 

 
                       1,253,144  

Transportation — 0.2%

 

Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22

             287       281,358  

Wireless Telecommunication Services — 2.5%

 

 

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (e)

       1,761       1,722,465  

LTS Buyer LLC, 1st Lien Term Loan, 4.25%, 4/13/20

       1,221       1,229,974  

Radiate Holdco LLC, 1st Lien Term Loan, 3.78%, 2/01/24

       235       236,730  
      

 

 

 
        3,189,169  
Total Floating Rate Loan Interests — 109.6%       137,533,351  
 

 

See Notes to Financial Statements.

 

                
16    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Rights — 0.0%          

Shares

    Value  

Electric Utilities — 0.0%

 

 

Tex Energy LLC (b)

             10,446     $ 14,102  
      
                          
Warrants — 0.0%         

Software — 0.0%

 

 

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)

             691       180  
Total Long-Term Investments
(Cost — $145,324,936) — 116.8%
      146,488,839  
Short-Term Securities          

Shares

    Value  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.42% (f)(g)

             337,646     $ 337,646  
Total Short-Term Securities
(Cost — $337,646) — 0.3%
      337,646  
Total Investments (Cost — $145,662,582) — 117.1%       146,826,485  

Liabilities in Excess of Other Assets — (17.1)%

 

    (21,406,961
      

 

 

 
Net Assets — 100.0%     $ 125,419,524  
      

 

 

 
 
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)   Variable rate security. Rate as of period end.

 

(d)   Issuer filed for bankruptcy and/or is in default.

 

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

 

(f)   During the six months ended February 28, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at August 31,
2016
    Shares
Purchased
    Shares
Sold
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income     Net
Realized
Gain1
    Change in
Unrealized
Appreciation
        

BlackRock Liquidity Funds, T-Fund, Institutional Class

          337,646 2            337,646     $ 337,646     $ 971     $ 2          

BlackRock Liquidity Funds, TempFund, Institutional Class

    220,100           $ (220,100 )3                                 

iShares iBoxx $ High Yield Corporate Bond ETF

    5,864             (5,864                 6,701       1,068     $ (6,079        

Total

          $ 337,646     $ 7,672     $ 1,070     $ (6,079  
         

 

 

 

1    Includes net capital gain distributions.

     

         

2    Represents net shares purchased.

     

         

3    Represents net shares sold.

     

         

 

(g)   Current yield as of period end.

For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End                              

Futures Contracts

 

Contracts
Short
       Issue   Expiration   Notional Value   Unrealized
Appreciation
 
  (4      10-Year U.S. Treasury Note   June 2017   $498,313   $ 1,182  

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
         Counterparty   Settlement
Date
    Unrealized
Appreciation
 
USD     817,081        GBP     654,000         Barclays Bank PLC     3/06/17     $ 5,517  

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    17


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

 

Centrally Cleared Interest Rate Swaps                          
Fixed
Rate
       Floating
Rate
     Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Unrealized
Appreciation
        
  1.92 %1       3-Month LIBOR        N/A       12/14/21       USD       260     $ 616    
  1.92 %1       3-Month LIBOR        N/A       12/14/21       USD       390       888    
  1.91 %1       3-Month LIBOR        N/A       12/16/21       USD       400       1,137          
  Total                     $ 2,641    
                 

 

 

 
     

1    Fund pays a fixed rate and receives the floating rate.

       

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         

Futures contracts

  Net unrealized appreciation1                           $ 1,182           $ 1,182    

Forward foreign currency exchange Contracts

  Unrealized appreciation on forward foreign currency exchange contracts                     $ 5,517                   5,517    

Swaps — centrally cleared

  Net unrealized appreciation1                             2,641             2,641    
   

 

 

 

Total

                      $ 5,517     $ 3,823           $ 9,340    
   

 

 

 

1    Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

     

 

For the six months ended February 28, 2017, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         

Futures contracts

                          $ 19,012           $ 19,012    

Forward foreign currency exchange contracts

                    $ (7,059                 (7,059  

Swaps

        $ 61,842                   3,922             65,764    
 

 

 

 

Total

        $ 61,842           $ (7,059   $ 22,934           $ 77,717    
 

 

 

 
 
Net Change in Unrealized Appreciation (Depreciation) on:                                                   

Futures contracts

                          $ 1,522           $ 1,522    

Forward foreign currency exchange contracts

                    $ 4,430                   4,430    

Swaps

                            (4,073           (4,073  
 

 

 

 

Total

                    $ 4,430     $ (2,551         $ 1,879    
 

 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      

 

Futures contracts:        

Average notional value of contracts — short

  $ 498,188  
Forward foreign currency exchange contracts:  

Average amounts purchased — in USD

  $ 1,193,679  
Credit default swaps:  

Average notional value — sell protection

  $ 592,000  
Interest rate swaps:  

Average notional value — pays fixed rate

  $ 525,000  
Total return swaps:  

Average notional value

  $ 62,500  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

 

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

     Assets     Liabilities  
Derivative Financial Instruments:    

Futures contracts

  $ 62        

Forward foreign currency exchange contracts

    5,517        

Swaps — Centrally cleared

    11        
 

 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

  $ 5,590        
 

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

  $ (73      
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 5,517        
 

 

 

 

The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received by the Fund:

 

Counterparty   Derivative Assets
Subject to an MNA
by Counterparty
       Derivatives Available
for Offset
       Non-cash
Collateral
Received
       Cash
Collateral
Received
       Net Amount of
Derivative Assets1,2
 

Barclays Bank PLC

  $ 5,517                                   $ 5,517  

1   Net amount represents the net amount receivable from the counterparty in the event of default.

    

2   Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total         

Assets:

                  
Investments:                   

Long-Term Investments:

                  

Asset-Backed Securities

           $ 1,463,171                 $ 1,463,171    

Corporate Bonds

             7,478,035                   7,478,035    

Floating Rate Loan Interests

             130,268,982        $ 7,264,369          137,533,351    

Rights

                      14,102          14,102    

Warrants

                      180          180    

Unfunded Floating Rate Loan Interests1

             1,245                   1,245    

Short-Term Securities

  $ 337,646                            337,646    
 

 

 

 

Total

  $ 337,646        $ 139,211,433        $ 7,278,651        $ 146,827,730    
 

 

 

 
                  
Derivative Financial Instruments 2                                                 

Assets:

                  

Foreign currency exchange contracts

           $ 5,517                 $ 5,517    

Interest rate contracts

  $ 1,182          2,641                   3,823    
 

 

 

 

Total

  $ 1,182        $ 8,158                 $ 9,340    
 

 

 

 

1    Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

     

 

2    Derivative financial instruments are forward foreign currency exchange contracts, futures contracts, and swaps. Forward foreign currency exchange contracts, futures contracts, and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

     

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end bank borrowings payable of $28,000,000 are categorized as Level 2 within the disclosure hierarchy.

During the six months ended February 28, 2017, there were no transfers between Level 1 and Level 2.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    19


Schedule of Investments (concluded)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
       Floating
Rate Loan
Interests
       Rights        Warrants        Total         

Assets:

                       

Opening balance, as of August 31, 2016

  $ 489,393        $ 7,792,714                 $ 1,408        $ 8,283,515    

Transfers into Level 31

             3,379,601                            3,379,601    

Transfers out of Level 32

    (489,393        (4,024,602                          (4,513,995  

Accrued discounts/premiums

             15,621                            15,621    

Net realized gain (loss)

             14,258                            14,258    

Net change in unrealized appreciation (depreciation)3,4

             58,156        $ 14,102          (1,228        71,030    

Purchases

             1,629,076                            1,629,076    

Sales

             (1,600,455                          (1,600,455  
 

 

 

 

Closing Balance, as of February 28, 2017

           $ 7,264,369        $ 14,102        $ 180        $ 7,278,651    
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 20174

           $ 42,015        $ 14,102        $ (1,228      $ 54,889    
 

 

 

 

1    As of August 31, 2016, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2017, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

     

 

2    As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2017, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

     

 

3    Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

     

 

4    Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

     

 

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

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Consolidated Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

Common Stocks (a)               
Shares
    Value  

Chemicals — 0.0%

      

GEO Specialty Chemicals, Inc.

             167,777     $ 33,555  

Diversified Financial Services — 0.1%

      

Kcad Holdings I Ltd.

             309,827,230       666,129  

Health Care Management Services — 0.0%

 

   

New Millennium HoldCo, Inc.

             14,906       15,845  

Semiconductors & Semiconductor Equipment — 0.0%

 

 

SunPower Corp.

             1,860       16,294  

Specialty Retail — 0.0%

      

Things Remembered, Inc.

             932,803        
Total Common Stocks — 0.1%       731,823  
      
                          
Asset-Backed Securities (b)(c)          

Par  

(000)

        

Asset-Backed Securities — 2.5%

      

ALM Loan Funding, Series 2012-5A, Class BR, 4.02%, 10/18/27

     USD       250       250,487  

ALM VII R Ltd., Series 2013-7RA, Class BR, 3.72%, 10/15/28

       250       251,084  

ALM XIV Ltd., Series 2014-14A, Class C, 4.49%, 7/28/26

       463       460,553  

ALM XVII Ltd., Series 2015-17A, Class C1, 5.17%, 1/15/28

       500       501,698  

AMMC CLO Ltd., Series 2014-15A, Class D, 5.15%, 12/09/26

       250       251,403  

Ares CLO Ltd., Series 2016-40A, Class C, 4.55%, 10/15/27

       250       250,872  

Ares XXXII CLO, Ltd., Series 2014-32A, Class CR, 4.49%, 11/15/25

       1,000       1,000,000  

Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, 2.91%, 12/05/25

       450       449,019  

Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, 4.63%, 10/15/26

       750       750,408  

Atrium CDO Corp., Series 9A, Class D, 4.55%, 2/28/24

       1,350       1,353,370  

Atrium X, Series 10A, Class D, 4.52%, 7/16/25

       250       250,203  

Atrium XII, Series 12A, Class D, 4.94%, 10/22/26

       250       249,374  

Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R, 3.05%, 1/20/29

       500       498,544  

Benefit Street Partners CLO VIII Ltd., Series 2015-8A:

      

Class B, 4.03%, 1/20/28

       500       501,405  

Class C, 4.93%, 1/20/28

       500       501,730  

Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 5.04%, 2/14/25

       250       250,696  

CIFC Funding Ltd.:

      

Series 2013-1A, Class A2, 2.92%, 4/16/25

       475       475,548  

Series 2013-4A, Class DR, 4.29%, 11/27/24

       250       250,000  

Series 2014-2A, Class A3LR, 3.28%, 5/24/26

       280       280,000  

Series 2014-3A, Class C1, 3.84%, 7/22/26

       250       251,658  

Dryden 36 Senior Loan Fund, Series 2014-36A, Class CR, 3.94%, 1/15/28

       250       250,125  
Asset-Backed Securities (b)(c)          

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

Grippen Park CLO Ltd., Series 2017-1A, Class C, 3.35%, 1/20/30 (d)

     USD       280     $ 280,000  

LCM XVIII LP, Series 18A, Class INC, 0.00%, 4/20/27

       1,000       686,227  

Seneca Park CLO Ltd., Series 2014-1A, Class C, 3.92%, 7/17/26

       250       251,656  

Sound Point CLO III Ltd., Series 2013-2A, Class D, 4.92%, 7/15/25

       250       249,481  

TCI-Cent CLO Ltd., Series 2016-1A, Class A2, 3.32%, 12/21/29

       300       302,351  

Treman Park CLO LLC, Series 2015-1A, Class D, 4.89%, 4/20/27

       1,400       1,403,997  

Venture XIX CLO Ltd., Series 2014-19A, Class BR, 3.02%, 1/15/27

       250       250,625  

Voya CLO Ltd., Series 2014-4A, Class C, 5.02%, 10/14/26

       1,000       1,001,683  

Webster Park CLO Ltd., Series 2015-1A, Class C, 5.08%, 1/20/27

             500       501,858  
Total Asset-Backed Securities — 2.5%                      14,206,055  
      
                          
Corporate Bonds                      

Airlines — 0.5%

      

US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18

             2,605       2,663,611  

Banks — 0.0%

      

CIT Group, Inc., 5.00%, 8/01/23

             135       142,763  

Capital Markets — 0.2%

      

Blackstone CQP Holdco LP, 9.30%, 3/19/19 (c)

             1,059       1,070,806  

Chemicals — 0.5%

      

GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 (c)

       1,714       2,402,004  

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

       635       622,300  
      

 

 

 
        3,024,304  

Communications Equipment — 0.2%

      

Avaya, Inc., 7.00%, 4/01/19 (a)(c)(e)

             1,347       1,074,233  

Consumer Finance — 0.1%

      

Ally Financial, Inc., 8.00%, 11/01/31

             300       369,000  

Containers & Packaging — 1.3%

      

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (c):

      

3.96%, 12/15/19(b)

       340       347,007  

4.29%, 5/15/21(b)

       608       623,960  

4.25%, 9/15/22(d)

       780       791,700  

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.25%, 5/15/24 (c)

       300       327,000  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 4.52%, 7/15/21 (b)(c)

       5,360       5,500,700  
      

 

 

 
                       7,590,367  

Diversified Consumer Services — 0.1%

      

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

             300       328,125  

Electric Utilities — 0.0%

      

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20 (a)(c)

             1,061        
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    21


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Corporate Bonds   

Par  

(000)

    Value  

Energy Equipment & Services — 0.4%

      

Transocean, Inc., 9.00%, 7/15/23 (c)

     USD       1,593     $ 1,716,457  

Weatherford International Ltd., 9.88%, 2/15/24 (c)

       325       375,375  
      

 

 

 
                       2,091,832  

Environmental, Maintenance, & Security Service — 0.1%

 

 

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

             540       564,300  

Health Care Providers & Services — 0.4%

      

CHS/Community Health Systems, Inc., 5.13%, 8/01/21

       1,540       1,513,050  

HCA, Inc., 5.25%, 6/15/26

       325       343,281  

HealthSouth Corp., 5.75%, 11/01/24

       325       331,500  

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

       70       75,250  
      

 

 

 
                       2,263,081  

Independent Power and Renewable Electricity Producers — 0.3%

 

 

NRG Energy, Inc., 6.25%, 7/15/22

             1,505       1,531,337  

Internet Software & Services — 0.1%

      

Equinix, Inc., 5.75%, 1/01/25

       325       344,500  

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

       280       287,404  
      

 

 

 
                       631,904  

IT Services — 0.0%

      

Millennium Corp., 12/31/49

             3,115        

Media — 1.2%

      

Altice Financing SA (c):

      

6.63%, 2/15/23

       550       578,875  

7.50%, 5/15/26

       875       939,531  

Altice US Finance I Corp., 5.50%, 5/15/26 (c)

       350       361,812  

Clear Channel Worldwide Holdings, Inc., Series B, 7.63%, 3/15/20

       325       327,438  

CSC Holdings LLC, 10.88%, 10/15/25 (c)

       275       331,375  

SFR Group SA (c):

      

6.00%, 5/15/22

       842       873,314  

6.25%, 5/15/24

       1,040       1,055,590  

7.38%, 5/01/26

       1,857       1,924,316  

Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (c)

       350       353,938  
      

 

 

 
                       6,746,189  

Metals & Mining — 0.9%

      

Constellium NV, 6.63%, 3/01/25 (c)

       300       298,313  

Freeport-McMoRan, Inc.:

      

2.38%, 3/15/18

       771       767,145  

3.10%, 3/15/20

       1,150       1,127,000  

3.88%, 3/15/23

       625       575,000  

Novelis Corp., 6.25%, 8/15/24 (c)

       600       636,000  

Teck Resources Ltd.:

      

4.50%, 1/15/21

       839       869,938  

3.75%, 2/01/23

       595       580,006  
      

 

 

 
                       4,853,402  

Oil, Gas & Consumable Fuels — 1.5%

      

Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (c)

       670       750,400  

CONSOL Energy, Inc., 5.88%, 4/15/22

       2,262       2,205,450  

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

       140       149,100  

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

       995       1,049,725  

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

       1,695       1,678,050  

MEG Energy Corp., 6.50%, 1/15/25 (c)

       661       646,128  

NGPL PipeCo LLC, 7.12%, 12/15/17 (c)

       381       394,811  
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

 

 

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

     USD       280     $ 272,300  

Rowan Cos., Inc., 7.38%, 6/15/25

       340       352,750  

Sanchez Energy Corp., 6.13%, 1/15/23

       820       787,200  

Whiting Petroleum Corp., 5.75%, 3/15/21

       290       288,550  
      

 

 

 
                       8,574,464  

Real Estate Investment Trusts (REITs) — 0.1%

 

 

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.63%, 5/01/24 (c)

             800       846,000  

Road & Rail — 0.1%

      

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.80%, 12/01/17 (b)

             295       295,000  

Software — 0.1%

      

CDW LLC/CDW Finance Corp., 5.50%, 12/01/24

       325       341,250  

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

       300       342,000  
      

 

 

 
                       683,250  

Wireless Telecommunication Services — 0.1%

 

 

Sprint Communications, Inc., 7.00%, 8/15/20

             325       350,594  
Total Corporate Bonds — 8.2%                      45,694,562  
      
                          
Floating Rate Loan Interests (b)                      

Aerospace & Defense — 2.1%

      

BE Aerospace, Inc., 2014 Term Loan B, 3.94%, 12/16/21

       2,217       2,225,946  

Engility Corp.:

      

Term Loan B1, 5.03%, 8/12/20

       346       348,613  

Term Loan B2, 4.53%, 8/12/23

       635       641,489  

TransDigm, Inc.:

      

2015 Term Loan E, 3.78%, 5/14/22

       865       868,555  

2016 Extended Term Loan F, 3.78%, 6/09/23

       6,351       6,381,904  

Term Loan D, 4.00%, 6/04/21

       1,137       1,140,739  
      

 

 

 
                       11,607,246  

Air Freight & Logistics — 2.0%

      

Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, 3.50%, 1/13/22

       6,299       6,407,635  

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

       733       637,251  

CEVA Intercompany BV, Dutch Term Loan, 6.54%, 3/19/21

       753       654,726  

CEVA Logistics Canada ULC, Canadian Term Loan, 6.54%, 3/19/21

       130       112,886  

CEVA Logistics US Holdings, Inc., Term Loan, 6.54%, 3/19/21

       1,002       872,029  

XPO Logistics, Inc., Term Loan B2, 4.30%, 11/01/21

       2,593       2,614,272  
      

 

 

 
                       11,298,799  

Airlines — 0.1%

      

Northwest Airlines, Inc. Term Loan:

      

3.08%, 3/10/17

       130       130,399  

2.46%, 9/10/18

       478       472,205  
      

 

 

 
                       602,604  
 

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Auto Components — 1.2%

      

Anchor Glass Container Corp.:

      

2016 1st Lien Term Loan, 4.25%, 12/07/23

     USD       530     $ 536,185  

2016 2nd Lien Term Loan, 8.75%, 12/07/24

       395       402,406  

FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19

       1,015       953,351  

Gates Global LLC, Term Loan B, 4.25%, 7/06/21

       4,093       4,093,411  

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.78%, 4/30/19

       582       581,667  

GPX International Tire Corp., Term Loan (a)(e):

      

12.25%, 12/31/49

       1,097        

PIK, 13.00%, 12/31/49 (f)

       18        
      

 

 

 
                       6,567,020  

Automobiles — 0.4%

      

CH Hold Corp.:

      

1st Lien Term Loan, 4.03%, 2/01/24

       1,175       1,186,608  

2nd Lien Term Loan, 8.28%, 2/01/25

       245       249,287  

Delayed Draw Term Loan B, 0.00%, 1/18/24

       120       121,346  

FCA US LLC, 2018 Term Loan B, 3.28%, 12/31/18

       475       475,299  
      

 

 

 
                       2,032,540  

Biotechnology — 0.1%

      

AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21

             792       790,207  

Building Materials — 1.0%

      

USAGM HoldCo LLC:

      

2015 2nd Lien Term Loan, 9.54%, 7/28/23

       645       653,869  

2015 Term Loan, 4.79%, 7/28/22

       838       839,243  

2016 Incremental Delayed Draw Term Loan, 5.50%, 7/28/22

       441       443,211  

2016 Incremental Term Loan, 5.50%, 7/28/22

       3,627       3,648,420  
      

 

 

 
                       5,584,743  

Building Products — 2.8%

      

Continental Building Products LLC, 2017 Term Loan B, 3.53%, 8/18/23

       1,123       1,131,832  

CPG International, Inc., Term Loan, 4.75%, 9/30/20

       5,113       5,141,898  

GYP Holdings III Corp., 1st Lien Term Loan, 4.54%, 4/01/21

       1,552       1,561,069  

Jeld-Wen, Inc., Term Loan B2, 4.75%, 7/01/22

       1,773       1,783,581  

Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21

       924       928,283  

Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.02%, 11/15/23

       2,215       2,240,605  

Wilsonart LLC, 2016 Term Loan, 4.50%, 12/19/23

       2,748       2,763,698  
      

 

 

 
                       15,550,966  

Capital Markets — 0.4%

      

Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18

       639       636,674  

RPI Finance Trust, Term Loan B5, 3.50%, 10/14/22

       1,385       1,400,736  
      

 

 

 
                       2,037,410  

Chemicals — 4.2%

      

Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.29%, 9/13/23

       421       424,668  
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Chemicals (continued)

      

Allnex USA, Inc., Term Loan B3, 5.29%, 9/13/23

     USD       317     $ 319,941  

Atotech BV, 2017 Term Loan B1, 4.00%, 1/31/24

       1,025       1,035,250  

Axalta Coating Systems US Holdings, Inc., Term Loan B1, 3.50%, 2/01/23

       1,618       1,637,347  

CeramTec Acquisition Corp., Term Loan B2, 4.30%, 8/30/20

       114       114,050  

Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22

       934       936,731  

Chemours Co., Term Loan B, 3.79%, 5/12/22

       1,189       1,196,860  

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

       302       267,520  

Huntsman International LLC, Term Loan B2, 3.78%, 4/01/23

       2,151       2,173,196  

Klockner-Pentaplast of America, Inc.:

      

1st Lien Term Loan, 4.25%, 4/28/20

       1,138       1,146,901  

German Borrower, 4.25%, 4/28/20

       486       490,128  

MacDermid, Inc.:

      

2016 Term Loan, 5.00%, 6/07/23

       1,709       1,727,146  

Term Loan B5, 4.50%, 6/07/20

       1,916       1,939,435  

OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20

       3,025       2,987,634  

PQ Corp., 2016 Term Loan, 5.29%, 11/04/22

       1,385       1,404,495  

Royal Holdings, Inc.:

      

2015 2nd Lien Term Loan, 8.50%, 6/19/23

       257       256,872  

2017 Term Loan B, 4.25%, 6/30/22

       1,118       1,124,616  

Solenis International LP:

      

1st Lien Term Loan, 4.30%, 7/31/21

       1,493       1,498,103  

2nd Lien Term Loan, 7.80%, 7/31/22

       1,725       1,702,713  

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20

       460       460,328  

Versum Materials, Inc., Term Loan, 3.50%, 9/29/23

       953       963,930  
      

 

 

 
                       23,807,864  

Commercial Services & Supplies — 8.0%

      

ADMI Corp., 2015 Term Loan B, 5.29%, 4/30/22

       1,157       1,161,718  

Advanced Disposal Services, Inc., Term Loan B3, 3.50%, 11/10/23

       3,350       3,383,229  

Aramark Services, Inc.:

      

Term Loan E, 3.28%, 9/07/19

       1,776       1,793,161  

Term Loan F, 3.50%, 2/24/21

       845       853,294  

Asurion LLC:

      

2016 Term Loan B2, 4.03%, 7/08/20

       572       577,874  

Term Loan B4, 4.25%, 8/04/22

       2,041       2,065,232  

Term Loan B5, 4.75%, 11/03/23

       2,130       2,157,050  

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.79%, 11/26/20

       2,818       2,818,123  

Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23

       2,135       2,158,217  

Casella Waste Systems, Inc., Term Loan B, 4.00%, 10/17/23

       940       944,700  

Catalent Pharma Solutions, Inc., Term Loan B, 3.75%, 5/20/21

       3,634       3,676,538  

Creative Artists Agency LLC, 2017 1st Lien Term Loan B, 4.50%, 2/15/24

       2,090       2,109,604  

Dealer Tire LLC, 2016 Term Loan B, 4.75%, 12/22/21

       1,000       1,015,065  

Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20

       374       348,063  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    23


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

 

 

GCA Services Group, Inc., 2016 Term Loan, 5.99%, 3/01/23

     USD       1,870     $ 1,888,405  

Harland Clarke Holdings Corp., Term Loan B6, 7.00%, 2/02/22

       95       95,594  

KAR Auction Services, Inc.:

      

Term Loan B2, 4.19%, 3/11/21

       1,315       1,325,845  

Term Loan B3, 4.50%, 3/09/23

       1,757       1,777,595  

Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19

       1,312       1,294,906  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.25%, 5/02/22

       2,332       2,353,408  

PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21

       1,617       1,641,328  

Spin Holdco, Inc., Term Loan B, 4.28%, 11/14/19

       3,608       3,593,019  

TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23

       1,010       1,022,549  

US Ecology, Inc., Term Loan, 3.78%, 6/17/21

       648       651,971  

US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23

       2,121       2,144,840  

Waste Industries USA, Inc., 2016 Term Loan, 3.53%, 2/27/20

       2,094       2,104,437  
      

 

 

 
                       44,955,765  

Communications Equipment — 0.8%

      

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.00%, 1/25/21

       910       915,726  

2nd Lien Term Loan, 7.50%, 1/24/22

       376       378,668  

Avaya, Inc.:

      

DIP Term Loan, 8.50%, 1/24/18

       60       61,908  

Term Loan B7, 6.28%, 5/29/20 (a)(e)

       249       198,422  

CommScope, Inc., Term Loan B5, 3.28%, 12/29/22

       904       911,749  

Riverbed Technology, Inc., 2016 Term Loan, 4.25%, 4/24/22

       1,963       1,977,783  
      

 

 

 
                       4,444,256  

Construction & Engineering — 1.0%

      

CNT Holdings III Corp., 2017 Term Loan, 4.25%, 1/22/23

       1,325       1,332,447  

Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23

       3,387       3,428,844  

USIC Holdings, Inc., 2016 1st Lien Term Loan, 4.75%, 12/08/23

       850       854,786  
      

 

 

 
                       5,616,077  

Construction Materials — 0.8%

      

Filtration Group Corp., 1st Lien Term Loan, 4.30%, 11/21/20

       3,542       3,569,337  

Headwaters, Inc., 2016 Term Loan B, 4.00%, 3/24/22

       712       713,758  

McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19

       350       352,079  
      

 

 

 
                       4,635,174  

Containers & Packaging — 2.4%

      

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.01%, 12/17/21

       1,809       1,813,331  

Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21

       588       592,678  

Berry Plastics Group, Inc., Term Loan I, 3.28%, 10/03/22

       5,801       5,840,016  

BWAY Holding Co., 2016 Term Loan B, 4.75%, 8/14/23

       3,771       3,771,851  

Flex Acquisition Company, Inc., 1st Lien Term Loan, 4.25%, 12/29/23

       1,185       1,192,999  
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Containers & Packaging (continued)

      

Prolampac Intermediate Inc., 2016 1st Lien Term Loan, 5.06%, 11/18/23

     USD       380     $ 385,890  
      

 

 

 
                       13,596,765  

Distributors — 0.6%

      

American Builders & Contractors Supply Co., Inc., Term Loan B, 3.53%, 10/31/23

       2,681       2,703,078  

American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21

       935       930,417  
      

 

 

 
                       3,633,495  

Diversified Consumer Services — 3.4%

      

Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.52%, 11/07/23

       2,955       2,984,943  

CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21

       1,184       1,118,968  

J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 9/07/23

       1,257       1,269,419  

Serta Simmons Bedding LLC, 1st Lien Term Loan, 9.54%, 11/08/23

       4,750       4,769,902  

Serta Simmons Holdings LLC, 2nd Lien Term Loan, 9.04%, 11/08/24

       1,065       1,084,969  

ServiceMaster Co., 2016 Term Loan B, 3.28%, 11/08/23

       4,190       4,231,900  

Wand Intermediate I LP, 1st Lien Term Loan, 4.75%, 9/17/21

       1,386       1,397,948  

Weight Watchers International, Inc., Term Loan B2, 4.25%, 4/02/20

       2,231       1,956,869  
      

 

 

 
                       18,814,918  

Diversified Financial Services — 1.3%

      

AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22

       1,896       1,913,662  

Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21

       956       959,083  

Jefferies Finance LLC, Term Loan, 4.56%, 5/14/20

       2,733       2,712,875  

SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20

       1,674       1,687,866  
      

 

 

 
                       7,273,486  

Diversified Telecommunication Services — 6.6%

 

 

Consolidated Communications, Inc.:

      

2016 Term Loan B, 4.00%, 10/04/23

       673       677,157  

Term Loan B2, 4.00%, 10/05/23

       455       457,598  

Hawaiian Telcom Communications, Inc., Term Loan B, 5.29%, 6/06/19

       2,648       2,648,362  

Integra Telecom, Inc.:

      

2015 1st Lien Term Loan, 5.29%, 8/14/20

       2,244       2,244,698  

2nd Lien Term Loan, 9.75%, 2/12/21

       750       749,393  

Level 3 Financing Inc., 2017 Term Loan B, 2.50%, 2/14/24

       11,590       11,643,777  

Sprint Communications, Inc., 1st Lien Term Loan B, 3.31%, 2/02/24

       2,905       2,909,154  

Telenet International Finance Sarl, Term Loan AF, 3.77%, 1/31/25

       4,035       4,070,306  

Telesat Canada, 2017 Term Loan B, 3.85%, 11/17/23

       1,144       1,155,574  

Virgin Media Investment Holdings Ltd.:

      

Term Loan I, 3.52%, 1/31/25

       2,585       2,595,056  

Term Loan J, 3.72%, 1/31/26

     GBP       2,830       3,543,479  

Zayo Group LLC:

      

3.53%, 1/19/24

     USD       4,125       4,163,610  
      

 

 

 
                       36,858,164  
 

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Electric Utilities — 2.3%

      

Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.30%, 6/30/17

     USD       6,096     $ 6,111,701  

Lightstone Generation LLC:

      

Term Loan B, 6.54%, 11/22/23

       1,000       1,013,950  

Term Loan C, 6.54%, 11/22/23

       95       96,567  

PrimeLine Utility Services LLC, Term Loan, 6.50%, 11/12/22

       1,370       1,383,318  

TEX Operations Co. LLC:

      

Exit Term Loan B, 3.53%, 8/04/23

       2,723       2,735,570  

Exit Term Loan C, 3.53%, 8/04/23

       621       624,110  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 5.03%, 11/10/17

       1,710        

Vistra Operations Co. LLC, 2016 Term Loan B2, 4.02%, 12/14/23

       725       729,190  
      

 

 

 
                       12,694,406  

Electronic Equipment, Instruments & Components — 0.1%

 

 

CPI Acquisition, Inc., Term Loan B, 5.83%, 8/17/22

             650       583,662  

Energy Equipment & Services — 0.7%

      

Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21

       857       607,549  

Gavilan Resources LLC, 2nd Lien Term Loan, 7.50%, 2/24/24

       1,490       1,475,100  

Weatherford International Ltd., Term Loan, 3.09%, 7/13/20

       1,642       1,604,793  
      

 

 

 
                       3,687,442  

Food & Staples Retailing — 4.1%

      

Albertsons LLC:

      

2016 Term Loan B4, 3.78%, 8/22/21

       4,503       4,556,831  

2016 Term Loan B5, 4.25%, 12/22/22

       370       374,699  

BJ’s Wholesale Club, Inc.:

      

2017 1st Lien Term Loan, 4.75%, 2/03/24

       3,795       3,764,185  

2017 2nd Lien Term Loan, 8.50%, 2/03/25

       1,110       1,108,379  

Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22

       2,768       2,800,625  

Rite Aid Corp.:

      

5.75%, 8/21/20

       1,247       1,249,638  

4.88%, 6/21/21

       2,373       2,381,382  

US Foods, Inc., 2016 Term Loan B, 3.53%, 6/27/23

       6,542       6,622,266  
      

 

 

 
                       22,858,005  

Food Products — 2.9%

      

Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21

       1,034       1,022,086  

Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23

       1,565       1,583,592  

CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20

       1,061       1,048,129  

Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18

       2,619       2,626,810  

JBS USA LLC, 2017 Term Loan B, 3.28%, 10/30/22

       2,020       2,030,948  

Pinnacle Foods Finance LLC, 2017 Term Loan B, 2.25%, 2/02/24

       2,640       2,652,091  

Reddy Ice Corp.:

      

1st Lien Term Loan, 6.75%, 5/01/19

       1,591       1,567,302  

2nd Lien Term Loan, 10.75%, 11/01/19

       532       464,835  

Reynolds Group Holdings Inc., 2017 Term Loan, 3.78%, 2/05/23

       3,238       3,262,053  
      

 

 

 
                       16,257,846  
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Health Care Equipment & Supplies — 4.1%

      

Alere, Inc.:

      

2015 Term Loan A, 3.78%, 6/18/20

     USD       459     $ 459,196  

2015 Term Loan B, 4.25%, 6/18/22

       1,896       1,898,825  

Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22

       2,445       2,464,933  

Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21

       3,789       3,796,176  

Cotiviti Corp., Term Loan B, 3.75%, 9/28/23

       2,604       2,622,347  

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

       2,905       2,850,303  

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

       2,272       2,242,327  

Mallinckrodt International Finance SA, Term Loan B, 3.75%, 9/24/24

       1,210       1,214,538  

National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21

       3,421       3,418,923  

Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21

       2,249       2,227,163  
      

 

 

 
                       23,194,731  

Health Care Providers & Services — 9.9%

      

Acadia Healthcare Co., Inc.:

      

Term Loan B, 3.78%, 2/11/22

       460       462,874  

Term Loan B2, 3.78%, 2/16/23

       2,138       2,155,101  

CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23

       3,399       3,441,804  

Community Health Systems, Inc.:

      

Term Loan F, 4.19%, 12/31/18

       3,203       3,193,951  

Term Loan G, 3.75%, 12/31/19

       1,443       1,430,148  

Term Loan H, 4.00%, 1/27/21

       702       689,170  

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22

       647       649,426  

DaVita HealthCare Partners, Inc., Term Loan B, 3.53%, 6/24/21

       5,557       5,625,239  

Envision Healthcare Corp., 2016 Term Loan B, 4.00%, 12/01/23

       7,620       7,712,050  

HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22

       1,434       1,383,670  

HCA, Inc., Term Loan B6, 4.03%, 3/17/23

       5,185       5,223,592  

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

       4,105       4,130,448  

MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23

       2,523       2,561,150  

National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21

       485       485,470  

NVA Holdings, Inc.:

      

1st Lien Term Loan, 4.75%, 8/14/21

       507       509,709  

1st Lien Term Loan B2, 4.50%, 8/14/21

       90       91,185  

2016 Term Loan, 5.50%, 8/14/21

       908       908,197  

Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22

       1,642       1,662,272  

Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22

       3,071       3,069,221  

Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20

       1,834       1,844,774  

Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22

       2,511       2,513,948  

Team Health, Inc., 1st Lien Term Loan, 3.75%, 2/06/24

       3,005       2,995,624  

U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22

       1,315       1,209,494  

Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23

       1,817       1,840,752  
      

 

 

 
                       55,789,269  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    25


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Health Care Technology — 2.3%

      

Change Healthcare Holdings, Inc., 2017 Term Loan B, 3.75%, 2/08/24

     USD       7,685     $ 7,717,047  

IMS Health, Inc., 2016 Term Loan B, 3.50%, 3/17/21

       3,277       3,290,637  

Press Ganey Holdings, Inc.:

      

1st Lien Term Loan, 4.25%, 10/21/23

       1,365       1,366,706  

2nd Lien Term Loan, 8.25%, 10/21/24

       495       502,425  
      

 

 

 
                       12,876,815  

Hotels, Restaurants & Leisure — 7.7%

      

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       2,744       2,746,163  

2nd Lien Term Loan, 8.00%, 8/01/22

       1,036       1,039,350  

AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23

       1,164       1,167,959  

Boyd Gaming Corp.:

      

Term Loan B, 4.00%, 8/14/20

       742       745,433  

Term Loan B2, 3.71%, 9/15/23

       1,746       1,764,630  

Bronco Midstream Funding LLC, Term Loan B, 5.06%, 8/15/20

       2,348       2,359,584  

Burger King Capital Holdings LLC, 2017 Term Loan B, 3.25%, 2/14/24

       4,687       4,683,692  

Caesars Entertainment Operating Co., Term Loan B7, 6.00%, 3/01/22

       2,435       2,924,021  

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       7,570       7,633,387  

CCM Merger, Inc., Term Loan B, 4.03%, 8/08/21

       1,349       1,358,619  

Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22

       2,068       2,091,185  

ESH Hospitality, Inc., 2016 Term Loan B, 3.78%, 8/30/23

       3,237       3,258,737  

Four Seasons Holdings, Inc., 1st Lien Term Loan, 4.00%, 11/30/23

       225       228,053  

Gateway Casinos & Entertainment Ltd., Term Loan B1, 5.25%, 2/14/23

       305       306,717  

Hilton Worldwide Finance LLC:

      

Term Loan B1, 3.50%, 10/26/20

       173       173,781  

Term Loan B2, 3.28%, 10/25/23

       1,636       1,642,898  

La Quinta Intermediate Holdings LLC, Term Loan B, 3.77%, 4/14/21

       827       832,207  

Penn National Gaming, Inc., 2017 Term Loan B, 3.28%, 1/19/24

       385       387,968  

RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21

       1,253       1,263,449  

Sabre Inc., Term Loan B, 3.53%, 2/08/24

       2,585       2,603,904  

Scientific Games International, Inc., 2017 Term Loan B3, 4.77%, 10/01/21

       1,903       1,932,818  

Station Casinos LLC, 2016 Term Loan B, 3.28%, 6/08/23

       813       816,444  

Yum! Brands, Inc., 1st Lien Term Loan B, 3.53%, 6/16/23

       1,448       1,466,126  
      

 

 

 
                       43,427,125  

Household Products — 0.6%

      

Spectrum Brands, Inc., 2016 Term Loan, 3.51%, 6/23/22

             3,263       3,302,924  

Independent Power and Renewable Electricity Producers — 2.6%

 

 

Aria Energy Operating LLC, Term Loan, 5.55%, 5/27/22

       1,209       1,204,658  

Calpine Construction Finance Co., LP, Term Loan B1, 3.03%, 5/03/20

       1,049       1,048,619  

Calpine Corp.:

      

Term Loan B5, 3.75%, 1/15/24

       1,123       1,128,624  

Term Loan B6, 3.75%, 1/15/23

       2,128       2,138,142  

Term Loan B7, 3.75%, 5/31/23

       770       774,709  
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Independent Power and Renewable Electricity Producers (continued)

 

Dynegy, Inc., 2017 Term Loan C, 4.25%, 6/27/23

     USD       3,704     $ 3,740,947  

Granite Acquisition, Inc.:

      

Term Loan B, 5.00%, 12/19/21

       3,303       3,334,742  

Term Loan C, 5.00%, 12/19/21

       148       149,723  

Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21

       1,098       1,012,661  
      

 

 

 
                       14,532,825  

Industrial Conglomerates — 0.8%

      

Cortes NP Acquisition Corp., Term Loan B, 6.04%, 11/30/23

       2,918       2,938,188  

Power Products LLC, Term Loan, 5.44%, 12/20/22

       835       841,789  

Sequa Corp., Term Loan B, 5.25%, 6/19/17

       509       489,549  
      

 

 

 
                       4,269,526  

Insurance — 2.3%

      

Alliant Holdings I, Inc., 2015 Term Loan B, 4.50%, 8/12/22

       1,672       1,685,959  

AmWINS Group, Inc.:

      

2017 2nd Lien Term Loan, 7.75%, 1/25/25

       295       299,794  

2017 Term Loan B, 3.75%, 1/25/24

       1,880       1,889,400  

AssuredPartners, Inc., 2016 Term Loan B, 5.25%, 10/21/22

       2,208       2,231,203  

Hub International Ltd., Term Loan B, 4.03%, 10/02/20

       899       906,289  

Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (f)

       1,160       1,209,300  

Sedgwick Claims Management Services, Inc.:

      

1st Lien Term Loan, 3.75%, 3/01/21

       1,974       1,978,617  

2016 1st Lien Term Loan, 4.25%, 3/01/21

       900       906,670  

2nd Lien Term Loan, 6.75%, 2/28/22

       1,805       1,810,270  
      

 

 

 
                       12,917,502  

Internet & Direct Marketing Retail — 0.5%

      

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 3.78%, 8/19/23

             3,046       3,048,061  

Internet Software & Services — 1.6%

      

Go Daddy Operating Co, LLC,:

      

Delayed Draw Term Loan, 2.50%, 2/10/24

       2,157       2,162,089  

Term Loan B, 2.75%, 2/02/24

       1,624       1,627,257  

GTT Communications, Inc., 2016 Term Loan B, 5.00%, 1/09/24

       365       370,019  

Rackspace Hosting, Inc., 1st Lien Term Loan, 4.53%, 11/03/23

       3,335       3,370,451  

WaveDivision Holdings LLC, Term Loan B, 3.79%, 10/15/19

       1,450       1,455,508  
      

 

 

 
                       8,985,324  

IT Services — 6.0%

      

Abacus Innovations Corp., Term Loan B, 3.06%, 8/16/23

       4,072       4,119,846  

Cision US, Inc., Term Loan B, 7.00%, 6/16/23

       1,224       1,230,985  

First Data Corp.:

      

2016 Repriced Term Loan, 4.00%, 7/10/22

       853       858,883  

2016 Term Loan, 3.78%, 3/24/21

       12,211       12,315,950  

Term Loan A, 2.78%, 6/02/20

       652       652,172  

Global Payments, Inc., Reprice Term Loan B, 3.28%, 4/22/23

       1,646       1,662,948  
 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

IT Services (continued)

      

TKC Holdings, Inc.:

      

2017 2nd Lien Term Loan, 8.50%, 2/01/24

     USD       752     $ 753,414  

2017 Term Loan, 4.75%, 2/01/23

       2,020       2,035,150  

Vantiv LLC, 2014 Term Loan B, 3.27%, 10/14/23

       1,107       1,117,583  

VF Holding Corp., Reprice Term Loan, 4.25%, 6/30/23

       4,788       4,826,926  

WEX, Inc., Term Loan B, 4.28%, 7/01/23

       3,761       3,817,517  
      

 

 

 
                       33,391,374  

Machinery — 2.8%

      

Columbus McKinnon Corp., Term Loan B, 4.00%, 1/31/24

       229       230,457  

Faenza Acquisition GmbH:

      

Term Loan B1, 4.30%, 8/30/20

       975       977,393  

Term Loan B3, 4.30%, 8/30/20

       298       298,347  

Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20

       1,142       1,138,928  

Global Brass & Copper, Inc., 2016 Term Loan B, 5.25%, 7/18/23

       1,127       1,144,083  

Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22

       1,970       1,980,189  

Milacron LLC, Amended Term Loan B, 3.00%, 6/20/23

       500       502,190  

Mueller Water Products, Inc., 2017 Term Loan B, 3.28%, 11/26/21

       784       791,354  

Navistar International Corp., 2017 Term Loan B, 5.00%, 8/07/20

       951       956,539  

Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23

       2,162       2,174,313  

Signode Industrial Group US, Inc., Term Loan B, 4.00%, 5/01/21

       923       926,037  

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

       3,683       3,511,075  

Wabash National Corp., 2017 Term Loan B, 7.29%, 3/18/22

       1,267       1,273,264  
      

 

 

 
                       15,904,169  

Media — 11.4%

      

Altice US Finance I Corp., 2016 Term Loan B, 3.78%, 1/15/25

       4,104       4,146,603  

AMC Entertainment, Inc., Term Loan B, 3.53%, 12/15/23

       720       727,560  

CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23

       996       1,004,943  

Charter Communications Operating LLC, 2016 Term Loan I Add, 3.03%, 1/15/24

       8,297       8,347,352  

CSC Holdings LLC, 2016 Term Loan, 3.77%, 10/11/24

       3,491       3,524,696  

Entercom Radio LLC, 2016 Term Loan, 4.50%, 11/01/23

       525       526,760  

Gray Television, Inc., 2017 Term Loan B, 3.28%, 2/28/24

       655       659,912  

Hemisphere Media Holdings LLC, 2017 Term Loan B, 4.27%, 2/08/24

       1,586       1,582,430  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21

       2,416       2,242,004  

iHeartCommunications, Inc.:

      

Extended Term Loan E, 8.28%, 7/30/19

       515       445,475  

Term Loan D, 7.53%, 1/30/19

       5,966       5,176,877  

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

       5,990       5,948,706  

Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.25%, 11/17/23

       1,829       1,849,983  
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Media (continued)

      

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.52%, 1/07/22

     USD       1,215     $ 1,211,962  

Live Nation Entertainment, Inc., Term Loan B2, 3.31%, 10/31/23

       484       489,433  

MCC Iowa LLC, Term Loan J, 3.50%, 6/30/21

       512       515,233  

Mediacom Illinois LLC, Term Loan K, 3.00%, 2/15/24

       1,089       1,093,284  

Mission Broadcasting, Inc., 2016 Term Loan B2, 3.77%, 1/17/24

       414       420,139  

Nexstar Broadcasting, Inc., 2017 Term Loan B, 3.77%, 1/17/24

       4,357       4,424,136  

Numericable U.S. LLC:

      

Term Loan B10, 4.29%, 1/14/25

       817       822,917  

Term Loan B7, 5.29%, 1/15/24

       628       633,155  

SBA Senior Finance II LLC, Term Loan B1, 3.04%, 3/24/21

       4,426       4,444,934  

Sinclair Television Group, Inc., Term Loan B2, 3.04%, 1/03/24

       196       196,283  

Trader Corp., Term Loan, 5.00%, 9/28/23

       1,565       1,569,570  

Tribune Media Co., Term Loan C, 3.78%, 1/27/24

       3,908       3,940,862  

Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20

       3,678       3,691,008  

William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21

       245       245,664  

Ziggo Secured Finance Partnership, Term Loan E, 2.50%, 4/23/25

       4,205       4,217,026  
      

 

 

 
                       64,098,907  

Metals & Mining — 0.1%

      

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 9/30/23

             748       753,422  

Multiline Retail — 0.4%

      

Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22

             2,208       2,167,437  

Oil, Gas & Consumable Fuels — 5.2%

      

Arch Coal Inc., 2017 Term Loan B, 5.50%, 2/17/24

       450       450,000  

California Resources Corp.:

      

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

       3,390       3,819,411  

Term Loan A, 3.78%, 10/01/19

       2,542       2,444,650  

Chesapeake Energy Corp., Term Loan, 8.55%, 8/23/21

       3,486       3,765,397  

CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18

       1,060       1,077,137  

Drillships Financing Holding, Inc., Term Loan B1, 6.06%, 3/31/21

       1,018       832,361  

Energy Transfer Equity LP, 2017 Term Loan B, 3.53%, 2/02/24

       2,452       2,458,605  

EWT Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21

       587       589,051  

MEG Energy Corp., 2017 Term Loan B, 4.75%, 12/31/23

       3,970       3,991,134  

Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20

       350       342,582  

Peabody Energy Corp., Exit Term Loan, 5.54%, 1/30/22

       580       584,106  

PowerTeam Services LLC:

      

1st Lien Term Loan, 4.25%, 5/06/20

       503       502,280  

2nd Lien Term Loan, 8.25%, 11/06/20

       470       467,650  

Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21

       1,409       1,380,998  

Seventy Seven Operating LLC, Term Loan B, 3.78%, 6/25/20

       261       258,864  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    27


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

TPF II Power LLC, Term Loan B, 5.00%, 10/02/21

     USD       1,965     $ 1,982,576  

Ultra Resources, Inc., Revolver, 3.75%, 4/06/17 (a)(e)

       1,222       1,247,968  

Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22

       2,729       2,756,088  
      

 

 

 
                       28,950,858  

Personal Products — 0.9%

      

Prestige Brands, Inc., Term Loan B4, 3.53%, 1/26/24

       2,119       2,144,966  

Revlon Consumer Products Corp., 2016 Term Loan B, 4.28%, 9/07/23

       2,988       3,003,585  
      

 

 

 
                       5,148,551  

Pharmaceuticals — 5.5%

      

Akorn, Inc., Term Loan B, 5.25%, 4/16/21

       2,483       2,517,442  

CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19

       893       892,425  

DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21

       6,056       6,081,302  

Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.81%, 9/26/22

       1,378       1,383,849  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 2.97%, 1/31/25

       5,725       5,743,778  

Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22

       6,381       6,412,830  

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 4.54%, 10/20/18

       401       401,385  

Series C2 Term Loan B, 5.28%, 12/11/19

       3,941       3,958,018  

Series D2 Term Loan B, 5.03%, 2/13/19

       1,091       1,095,609  

Series E Term Loan B, 5.27%, 8/05/20

       1,397       1,404,668  

Series F1 Term Loan B, 5.53%, 4/01/22

       771       775,979  
      

 

 

 
                       30,667,285  

Professional Services — 2.6%

      

Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.25%, 7/23/21

       1,099       1,093,665  

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

       3,162       3,165,855  

Information Resources, Inc., 1st Lien Term Loan, 5.25%, 1/18/24

       785       794,326  

SIRVA Worldwide, Inc., 2016 Term Loan, 7.50%, 11/14/22

       821       802,527  

Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22

       1,622       1,613,628  

TransUnion LLC, Term Loan B2, 3.28%, 4/09/23

       7,330       7,405,854  
      

 

 

 
                       14,875,855  

Real Estate Investment Trusts (REITs) — 1.3%

 

 

Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.00%, 10/24/22

       2,370       2,380,416  

MGM Growth Properties LLC, 2016 Term Loan B, 3.28%, 4/25/23

       4,692       4,728,370  
      

 

 

 
                       7,108,786  

Real Estate Management & Development — 1.5%

 

   

CityCenter Holdings LLC, Term Loan B, 3.53%, 10/16/20

       2,154       2,179,896  

DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.29%, 11/04/21

       1,872       1,881,799  
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Real Estate Management & Development (continued)

 

 

Realogy Corp.:

      

2017 Term Loan B, 3.03%, 7/20/22

     USD       3,128     $ 3,151,204  

Term Loan A, 2.77%, 10/23/20

       1,087       1,083,697  
      

 

 

 
                       8,296,596  

Road & Rail — 0.2%

      

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 5.05%, 6/13/23

             1,242       1,247,215  

Semiconductors & Semiconductor Equipment — 0.4%

 

 

Cavium, Inc., Term Loan B, 3.78%, 8/16/22

       813       820,413  

Microsemi Corp., 2015 Term Loan B, 3.03%, 1/15/23

       440       443,009  

ON Semiconductor Corp., Incremental Term Loan, 4.03%, 3/31/23

       1,047       1,056,351  
      

 

 

 
                       2,319,773  

Software — 8.6%

      

Aptean, Inc., 2016 1st Lien Term Loan, 6.00%, 12/20/22

       580       587,975  

BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20

       3,051       3,066,169  

DTI Holdco, Inc., 2016 Term Loan B, 6.09%, 9/21/23

       1,556       1,551,556  

Hyland Software, Inc., 2017 Term Loan, 4.28%, 7/01/22

       395       400,114  

Infor (US), Inc., Term Loan B6, 3.75%, 2/01/22

       3,705       3,707,610  

Informatica Corp., Term Loan, 4.50%, 8/05/22

       4,072       4,046,090  

IPS Corp., 2016 1st Lien Term Loan, 6.25%, 12/20/23

       640       644,800  

IQOR US, Inc., Term Loan B, 6.00%, 4/01/21

       737       713,853  

Kronos, Inc.:

      

1st Lien Term Loan, 5.00%, 11/01/23

       4,610       4,662,324  

2nd Lien Term Loan, 9.28%, 11/01/24

       1,695       1,751,291  

LANDesk Group, Inc., 2017 Term Loan B, 5.25%, 1/20/24

       400       401,928  

Mitchell International, Inc.:

      

1st Lien Term Loan, 4.54%, 10/13/20

       2,111       2,122,576  

2nd Lien Term Loan, 8.50%, 10/11/21

       1,600       1,597,008  

Optiv Security, Inc.:

      

1st Lien Term Loan, 4.25%, 2/01/24

       2,885       2,902,137  

2nd Lien Term Loan, 8.25%, 2/01/25

       756       764,977  

RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23

       2,216       2,234,722  

SolarWinds, Inc., 2017 Term Loan, 4.50%, 2/05/23

       3,229       3,233,231  

Solera LLC, Term Loan B, 5.75%, 3/03/23

       1,378       1,384,966  

Sophia LP, 2017 Term Loan B, 4.25%, 9/30/22

       2,482       2,489,717  

SS&C Technologies, Inc.:

      

2015 Term Loan B1, 4.03%, 7/08/22

       4,750       4,771,630  

2015 Term Loan B2, 4.03%, 7/08/22

       456       458,454  

Synchronoss Technologies, Inc., Term Loan, 3.78%, 1/19/24

       1,960       1,964,900  

Tibco Software Inc., 2017 Term Loan B, 5.50%, 12/04/20

       1,911       1,934,738  

Veritas US Inc., Term Loan B1, 6.63%, 1/27/23

       712       709,999  
      

 

 

 
                       48,102,765  

Specialty Retail — 2.8%

      

Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22

       1,787       1,409,744  
 

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Specialty Retail (continued)

      

Bass Pro Group LLC:

      

2015 Term Loan, 4.02%, 6/05/20

     USD       351     $ 336,265  

Asset Sale Term Loan, 5.72%, 6/09/18

       665       665,000  

Term Loan B, 5.97%, 12/16/23

       820       786,634  

Coinstar LLC, 1st Lien Term Loan, 5.25%, 9/27/23

       803       809,765  

Leslie’s Poolmart, Inc., 2016 Term Loan, 4.75%, 8/16/23

       1,562       1,566,883  

Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/30/23

       4,529       4,515,802  

Party City Holdings, Inc., 2016 Term Loan, 3.79%, 8/19/22

       2,862       2,839,691  

Petco Animal Supplies, Inc., 2017 Term Loan B, 4.29%, 1/26/23

       2,435       2,344,072  

Things Remembered, Inc., 2016 Term Loan, 1.00%, 2/29/20

       986       246,483  
      

 

 

 
                       15,520,339  

Technology Hardware, Storage & Peripherals — 0.6%

 

 

Dell, Inc., 2016 Term Loan B, 4.04%, 9/07/23

       2,584       2,599,285  

Oberthur Technologies SA, 2016 Term Loan B1, 4.70%, 12/15/23

       233       234,946  

Western Digital Corp., Term Loan A, 2.78%, 4/29/21

       397       397,658  
      

 

 

 
                       3,231,889  

Textiles, Apparel & Luxury Goods — 0.4%

 

 

Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22

             2,422       2,438,170  

Thrifts & Mortgage Finance — 0.5%

      

IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21

             2,741       2,758,519  

Trading Companies & Distributors — 1.0%

 

 

Beacon Roofing Supply, Inc., Term Loan B, 3.71%, 10/01/22

       1,384       1,390,426  

HD Supply, Inc.:

      

Incremental Term Loan B1, 3.75%, 8/13/21

       2,825       2,844,915  

Incremental Term Loan B2, 3.75%, 10/17/23

       1,032       1,040,155  

Nexeo Solutions LLC, 2016 Term Loan, 5.29%, 6/09/23

       249       250,056  
      

 

 

 
                       5,525,552  

Transportation — 0.2%

      

Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22

             1,257       1,232,154  

Wireless Telecommunication Services — 2.6%

 

 

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (f)

       7,841       7,668,984  
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Wireless Telecommunication Services (continued)

 

 

LTS Buyer LLC, 1st Lien Term Loan, 4.25%, 4/13/20

     USD       5,408     $ 5,447,383  

Radiate Holdco LLC, 1st Lien Term Loan, 3.78%, 2/01/24

       1,375       1,385,120  
      

 

 

 
                       14,501,487  
Total Floating Rate Loan Interests — 136.7%       766,374,065  
      
                          
Other Interests — 0.0% (g)           Investment
Value
(000)
        

United States — 0.0%

      

Intermet Liquidating Trust, Class A

             256       2  
      
                          
Trust Preferred — 0.3%           Shares         

Diversified Financial Services — 0.3%

      

GMAC Capital Trust I, Series 2, 6.60%, 2/15/40 (b)

             60,894       1,561,577  
Total Preferred Securities — 0.3%                      1,561,577  
      
                          
Rights — 0.0%                      

Electric Utilities — 0.0%

      

Tex Energy LLC (c)

             46,682       63,021  

Oil, Gas & Consumable Fuels — 0.0%

      

Southcross Holdings LP

             99       29,700  
Total Rights — 0.0%                      92,721  
      
                          
Warrants — 0.0%                      

Software — 0.0%

      

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)

             2,406       625  
Total Long-Term Investments
(Cost — $825,678,108) — 147.8%
                     828,661,430  
Options Purchased
(Cost — $43,022) — 0.0%
                      
Total Investments (Cost — $825,721,130) — 147.8%       828,661,430  

Liabilities in Excess of Other Assets — (47.8)%

 

      (267,823,150
      

 

 

 

Net Assets — 100.0%

       $ 560,838,280  
      

 

 

 
 
Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

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

 

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

 

(d)   When-issued security.

 

(e)   Issuer filed for bankruptcy and/or is in default.

 

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

 

(g)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    29


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

During the six months ended February 28, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at August 31,
2016
    Shares
Purchased
    Shares
Sold
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
   
Income
    Net
Realized
Gain1
    Change in
Unrealized
(Depreciation)
        

BlackRock Liquidity Funds, TempFund, Institutional Class

    1,859,207             (1,859,207 )2                                 

BlackRock Liquidity Funds, T-Fund, Institutional Class

                                $ 3,296     $ 13      

iShares iBoxx $ High Yield Corporate Bond ETF

    27,839             (27,839                 31,812       2,741     $ (26,532        

Total

                $ 35,108     $ 2,754     $ (26,532  
         

 

 

   

 

 

 

1    Includes net capital gain distributions.

     

         

2    Represents net shares sold.

     

         

For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts              
Contracts
Short
       Issue   Expiration   Notional
Value
    Unrealized
Appreciation
        
  (16      10-Year U.S. Treasury Note   June 2017   $ 1,993,250     $ 4,086          

 

Forward Foreign Currency Exchange Contracts  

Currency

Purchased

       Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
        
GBP     5,500,000          USD       6,851,834     Northern Trust Co.     3/06/17     $ (26,749  
USD     3,476,969          GBP       2,783,000     Barclays Bank PLC     3/06/17       23,476    
USD     3,549,672          GBP       2,830,000     HSBC Bank PLC     3/06/17       37,855    
USD     3,256,739          GBP       2,621,000     Morgan Stanley & Co. International PLC     4/05/17       1,606          
Total                $ 36,188    
              

 

 

 

 

OTC Options Purchased                   
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
  Contracts      Value  

Marsico Parent Superholdco LLC

  Call   Goldman Sachs & Co.     12/14/19     942.86   44         

 

Centrally Cleared Interest Rate Swaps                             
Fixed
Rate
    Floating Rate   Effective
Date
    Expiration
Date
       Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
        
  1.92 %1    3-Month LIBOR     N/A       12/14/21          USD       1,470     $ 3,483    
  1.92 %1    3-Month LIBOR     N/A       12/14/21          USD       2,205       5,022    
  1.91 %1    3-Month LIBOR     N/A       12/16/21          USD       2,500       7,108    
  2.00 %1    3-Month LIBOR     N/A       2/21/22          USD       2,500       (875        
  Total                  $ 14,738    
              

 

 

 
     

1    Fund pays a fixed rate and receives the floating rate.

       

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated Statement of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments  

Commodity

Contracts

   

Credit

Contracts

    Equity
Contracts
   

Foreign

Currency

Exchange

Contracts

   

Interest

Rate

Contracts

   

Other

Contracts

    Total         

Futures contracts

   Net unrealized appreciation1                           $ 4,086           $ 4,086    

Forward foreign currency exchange contracts

   Unrealized appreciation on forward foreign currency exchange contracts                     $ 62,937                   62,937    

Swaps — Centrally Cleared

   Net unrealized appreciation1                             15,613             15,613    
    

 

 

 

Total

                       $ 62,937     $ 19,699           $ 82,636    
    

 

 

 
                  
Liabilities — Derivative Financial Instruments                                                        

Forward foreign currency exchange contracts

   Unrealized depreciation on forward foreign currency exchange contracts                     $ 26,749                 $ 26,749    

Swaps — Centrally Cleared

   Net unrealized depreciation1                           $ 875             875    
    

 

 

 

Total

                       $ 26,749     $ 875           $ 27,624    
    

 

 

 

1    Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities.

     

 

For the six months ended February 28, 2017, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:

 

Net Realized Gain (Loss) from:  

Commodity

Contracts

   

Credit

Contracts

    Equity
Contracts
   

Foreign

Currency

Exchange

Contracts

   

Interest

Rate

Contracts

   

Other

Contracts

    Total         

Futures contracts

                          $ 81,966           $ 81,966    

Forward foreign currency exchange contracts

                    $ (17,354                 (17,354  

Swaps

        $ 231,133                   14,294             245,427    
 

 

 

 

Total

        $ 231,133           $ (17,354   $ 96,260           $ 310,039    
 

 

 

 
 
Net Change in Unrealized Appreciation (Depreciation) on:                                                   

Futures contracts

                          $ 5,607           $ 5,607    

Forward foreign currency exchange contracts

                    $ 27,014                   27,014    

Swaps

                            (15,879           (15,879  
 

 

 

 

Total

                    $ 27,014     $ (10,272         $ 16,742    
 

 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:        

Average notional value of contracts — short

  $ 1,992,750  
Forward foreign currency exchange contracts:  

Average amounts purchased — in USD

  $ 8,933,475  

Average amounts sold — in USD

  $ 3,784,927  
Credit default swaps:  

Average notional value — sell protection

  $ 2,634,000  
Interest Rate swaps:  

Average notional value — pays fixed rate

  $ 4,337,500  
Total return swaps:  

Average notional value

  $ 285,000  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Consolidated Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    31


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

 

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

     Assets     Liabilities  

Futures contracts

  $ 250        

Forward foreign currency exchange contracts

    62,937     $ 26,749  

Swaps — Centrally Cleared

    7        
 

 

 

 

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities

  $ 63,194     $ 26,749  
 

 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

    (257      
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 62,937     $ 26,749  
 

 

 

 

The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

 

Counterparty   Derivative Assets
Subject to an MNA
by Counterparty
    Derivatives Available
for Offset
    Non-cash
Collateral
Received
    Cash
Collateral
Received
    Net Amount of
Derivative Assets1,3
        

Barclays Bank PLC

  $ 23,476                       $ 23,476    

HSBC Bank PLC

    37,855                         37,855    

Morgan Stanley & Co. International PLC

    1,606                         1,606    
 

 

 

 

Total

  $ 62,937                       $ 62,937    
 

 

 

 
           
Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
    Derivatives Available
for Offset
    Non-cash
Collateral
Pledged
    Cash
Collateral
Pledged
    Net Amount of
Derivative Liabilities2,3
        

Northern Trust Co.

  $ 26,749                       $ 26,749    
 

 

 

 

1    Net amount represents the net amount receivable from the counterparty in the event of default.

     

 

2   Net amount represents the net amount payable to the counterparty in the event of default.

    

 

3   Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

    

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 
Long-Term Investments:                 

Asset-Backed Securities

           $ 12,175,305        $ 2,030,750        $ 14,206,055  

Common Stocks

  $ 16,294          15,845          699,684          731,823  

Corporate Bonds

             43,292,558          2,402,004          45,694,562  

Floating Rate Loan Interests

             722,606,101          43,767,964          766,374,065  

Other Interests

                      2          2  

Rights

                      92,721          92,721  

Trust Preferred

    1,561,577                            1,561,577  

Warrants

                      625          625  

Unfunded floating rate loan interests1

             5,425                   5,425  
 

 

 

 

Total

  $ 1,577,871        $ 778,095,234        $ 48,993,750        $ 828,666,855  
 

 

 

 
                
Derivative Financial Instruments 2                                         

Assets:

                

Foreign currency exchange contracts

           $ 62,937                 $ 62,937  

Interest rate contracts

  $ 4,086          15,613                   19,699  

Liabilities:

                

Foreign currency exchange contracts

             (26,749                 (26,749

Interest rate contracts

             (875                 (875
 

 

 

 

Total

  $ 4,086        $ 50,926                 $ 55,012  
 

 

 

 

1    Unfunded floating rate loan interests are valued at the unrealized appreciation/depreciation on the commitment.

     

2    Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

     

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Consolidated Schedule of Investments (concluded)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $213,000,000 is categorized as Level 2 within the disclosure hierarchy.

During the six months ended February 28, 2017, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Rights     Warrants     Total         

Assets:

                 

Opening balance, as of August 31, 2016

  $ 2,218,460     $ 140,083     $ 1,527,870     $ 44,995,306     $ 1,562,503           $ 4,902     $ 50,449,124    

Transfers into Level 31

                      14,721,797                         14,721,797    

Transfers out of Level 32

    (1,967,885                 (21,661,901                       (23,629,786  

Other3

          (29,700                     $ 29,700                

Accrued discounts/premiums

    (14           128       69,296                         69,410    

Net realized gain (loss)

    1,250             (119,999     (346,862     1,737,609                   1,271,998    

Net change in unrealized appreciation (depreciation)4,5

    (2,046     589,301       930,158       857,778       (764,982     63,021       (4,277     1,668,953    

Purchases

    2,030,985             63,847       13,665,551                         15,760,383    

Sales

    (250,000                 (8,533,001     (2,535,128                 (11,318,129  
 

 

 

 

Closing Balance, as of February 28, 2017

  $ 2,030,750     $ 699,684     $ 2,402,004     $ 43,767,964     $ 2     $ 92,721     $ 625     $ 48,993,750    
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 20174

  $ (221   $ 589,301     $ 810,287     $ 394,614           $ 63,021     $ (4,277   $ 1,852,725    
 

 

 

 

1    As of August 31, 2016 the Fund used observable inputs in determining the value of certain investments. As of February 28, 2017, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

     

 

2    As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2017, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

     

 

3    Certain Level 3 investments were re-classified between Common Stocks and Rights.

     

 

4    Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations.

     

 

5    Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

     

 

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

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    33


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  

Chemicals — 0.0%

 

LyondellBasell Industries NV, Class A

             37     $ 3,376  

Diversified Financial Services — 0.2%

      

Kcad Holdings I Ltd. (a)

             546,753,936       1,175,521  

Health Care Management Services — 0.0%

 

New Millennium HoldCo, Inc.

             8,511       9,047  

Household Durables — 0.0%

 

Berkline Benchcraft Equity LLC (a)(b)

             3,155        

Real Estate Investment Trusts (REITs) — 0.0%

 

Ovation Acquisition I LLC, (Acquired 12/29/15,
cost $187,463) (c)

 

    1,013       1,013  
Total Common Stocks — 0.2%       1,188,957  
      
                          
Asset-Backed Securities   

Par  

(000)

        

Asset-Backed Securities — 12.3%

 

ACAS CLO Ltd., Series 2014-1A, Class C, 3.92%, 7/18/26 (d)(e)

     USD       1,000       1,000,171  

Allegro CLO II, Ltd., Series 2014-1A, Class CR, 4.77%, 1/21/27 (d)(e)

       1,000       1,000,000  

ALM VI Ltd., Series 2012-6A, Class B2R, 3.82%, 7/15/26 (d)(e)

       1,000       1,002,115  

ALM XIV Ltd., Series 2014-14A, Class C, 4.49%, 7/28/26 (d)(e)

       3,140       3,126,783  

AmeriCredit Automobile Receivables, Series 2014-3, Class C, 2.58%, 9/08/20

       4,850       4,901,623  

AMMC CLO Ltd. (d)(e):

      

Series 2016-19A, Class D, 4.63%, 10/15/28

       1,000       977,702  

Series 2014-15A, Class D, 5.15%, 12/09/26

       2,000       2,011,226  

Anchorage Capital CLO Ltd., Series 2016-9A, Class D, 4.95%, 1/15/29 (d)(e)

       350       350,910  

Ares CLO Ltd., Series 2012-2A, Class CR, 3.72%, 10/12/23 (d)(e)

       1,000       1,001,013  

Ares XXXII CLO Ltd., Series 2014-32A, Class BR, 3.29%, 11/15/25 (d)(e)

       1,250       1,250,000  

Atrium CDO Corp., Series 9A, Class D, 4.55%, 2/28/24 (d)(e)

       1,850       1,854,618  

BlueMountain CLO Ltd., Series 2012-2A, Class DR, 5.20%, 11/20/28 (d)(e)

       1,000       1,003,029  

Carlyle Global Market Strategies CLO Ltd., Class C (d)(e):

      

Series 2013-1A, 5.04%, 2/14/25

       250       250,696  

Series 2014-5A, 5.17%, 10/16/25

       2,000       2,004,283  

Series 2015-1A, 4.18%, 4/20/27

       500       502,090  

CIFC Funding Ltd., Class D (d)(e):

      

Series 2014-3A, 4.44%, 7/22/26

       420       422,233  

Series 2015-1A, 5.04%, 1/22/27

       600       600,358  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (e)

       1,186       1,098,446  

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

       3,121       3,114,633  

Litigation Fee Residual Funding, 4.00%, 10/30/27

       1,702       1,668,354  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, 3.24%, 1/27/26 (d)(e)

       1,500       1,500,042  

Octagon Investment Partners XVIII Ltd., Series 2013-1A, Class CR, 4.39%, 12/16/24 (d)(e)(f)

       1,000       1,000,000  
Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

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

     USD       4,000     $ 3,988,922  

OZLM IX Ltd. (d)(e):

      

Series 2014-9A, Class C, 4.63%, 1/20/27

       1,000       1,000,170  

Series 2014-9A, Class CR, 4.63%, 1/20/27 (f)

       1,000       1,000,000  

OZLM VII Ltd., Series 2014-7A, Class C, 4.62%, 7/17/26 (d)(e)

       780       783,558  

OZLM VIII Ltd., Series 2014-8A (d)(e):

      

Class B, 4.02%, 10/17/26

       2,500       2,491,249  

Class C, 4.52%, 10/17/26

       500       499,948  

OZLM XII Ltd., Series 2015-12A, Class C, 4.74%, 4/30/27 (d)(e)

       1,000       1,000,414  

OZLM XV Ltd., Series 2016-15A, Class C, 4.92%, 1/20/29 (d)(e)

       1,000       1,003,772  

Regatta V Funding Ltd., Series 2014-1A, Class B, 4.04%, 10/25/26 (d)(e)

       2,000       2,009,468  

Santander Drive Auto Receivables Trust:

      

Series 2014-3, Class D, 2.65%, 8/17/20

       4,015       4,053,809  

Series 2014-4, Class C, 2.60%, 11/16/20

       4,500       4,530,012  

Series 2014-4, Class D, 3.10%, 11/16/20

       4,500       4,557,956  

Sound Point CLO IV Ltd., Series 2013-3A, Class D, 4.54%, 1/21/26 (d)(e)

       800       800,700  

Sound Point CLO VII Ltd., Series 2014-3A, Class D, 4.64%, 1/23/27 (d)(e)

       2,000       2,010,991  

Symphony CLO XV Ltd., Series 2014-15A (d)(e):

      

Class C, 4.22%, 10/17/26

       4,000       4,000,608  

Class CR, 3.33%, 10/17/26 (f)

       1,250       1,250,000  

Symphony CLO XVIII Ltd., Series 2016-18A, Class D, 4.95%, 1/23/28 (d)(e)

       1,000       993,311  

Venture XXI CLO Ltd., Series 2015-21A, Class D, 4.62%, 7/15/27 (d)(e)

       400       386,745  

Venture XXVI CLO Ltd., Series 2017-26A, Class D, 5.29%, 1/20/29 (d)(e)

       1,000       1,000,000  

Vibrant CLO IV Ltd., Series 2016-4A, Class D, 5.53%, 7/20/28 (d)(e)

       1,000       1,005,009  

Voya CLO Ltd., Class C (d)(e):

      

Series 2014-4A, 5.02%, 10/14/26

       2,500       2,504,207  

Series 2016-3A, 4.67%, 10/18/27

       270       271,005  

World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22

       3,000       3,062,457  

York CLO-4 Ltd., Series 2016-2A, Class E, 7.90%, 1/20/30 (d)(e)

       1,000       986,000  
      

 

 

 
        76,830,636  

Interest Only Asset-Backed Securities — 0.1%

 

 

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

       4,485       301,322  

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

       6,454       449,679  
      

 

 

 
        751,001  
Total Asset-Backed Securities — 12.4%               77,581,637  
      
                          
Corporate Bonds                

Aerospace & Defense — 1.0%

      

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

       560       491,400  
 

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Aerospace & Defense (continued)

      

Bombardier, Inc. (e):

      

8.75%, 12/01/21

     USD       707     $ 783,002  

6.00%, 10/15/22

       212       212,265  

6.13%, 1/15/23

       152       152,000  

7.50%, 3/15/25

       569       591,760  

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

       538       566,353  

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

       225       234,000  

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

       270       276,750  

TransDigm, Inc.:

      

6.00%, 7/15/22 (g)

       1,852       1,901,967  

6.50%, 7/15/24 (g)

       747       767,543  

6.50%, 5/15/25

       60       61,425  

6.38%, 6/15/26

       59       59,590  
      

 

 

 
        6,098,055  

Air Freight & Logistics — 0.2%

 

 

XPO Logistics, Inc.:

      

5.75%, 6/15/21

     EUR       100       111,872  

6.50%, 6/15/22 (e)(g)

     USD       1,100       1,155,000  
      

 

 

 
        1,266,872  

Airlines — 2.3%

 

 

Air Canada Pass-Through Trust (e):

      

Series 2013-1, Class C,
6.63%, 5/15/18

       651       680,295  

Series 2015-1, Class B,
3.88%, 9/15/24 (g)

       1,397       1,362,501  

American Airlines Group, Inc., 4.63%, 3/01/20 (e)

       315       320,119  

American Airlines Pass-Through Trust:

      

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

       2,940       3,138,904  

Series 2013-2, Class B,
5.60%, 1/15/22 (e)(g)

       562       583,537  

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

       1,540       1,574,650  

Avianca Holdings SA / Avianca Leasing LLC / Grupo Taca Holdings Ltd., 8.38%, 5/10/20

       221       224,867  

Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (g)

       780       813,150  

United Airlines Pass-Through Trust (g):

      

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

       2,080       2,123,916  

Series 2015-1, Class A, 3.70%, 6/01/24

       2,430       2,466,450  

US Airways Pass-Through Trust, Series 2011-1, Class B, 9.75%, 4/22/20

       333       372,007  

Virgin Australia Trust, Series 2013-1 (e):

      

Class A, 5.00%, 4/23/25

       456       472,937  

Class C, 7.13%, 10/23/18 (g)

       492       501,735  
      

 

 

 
        14,635,068  

Auto Components — 0.5%

 

 

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

       297       302,198  

CNH Industrial Finance Europe SA, 2.88%, 5/17/23

     EUR       175       192,735  

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

     USD       240       229,619  

Fiat Chrysler Finance Europe, 4.75%, 3/22/21

     EUR       100       117,064  

Goodyear Tire & Rubber Co., 5.00%, 5/31/26

     USD       67       68,340  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

4.88%, 3/15/19 (g)

       1,314       1,335,352  
Corporate Bonds   

Par  

(000)

    Value  

Auto Components (continued)

 

 

Icahn Enterprises LP/Icahn Enterprises Finance Corp. (continued):

      

6.25%, 2/01/22 (e)

     USD       119     $ 122,868  

6.75%, 2/01/24 (e)

       258       267,675  

IHO Verwaltungs GmbH (h):

      

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

     EUR       100       109,423  

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

       100       109,913  

(3.75% Cash or 4.50% PIK), 3.75%, 9/15/26

       100       107,926  

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

     USD       200       198,416  

(4.50% Cash or 5.25% PIK), 4.50%, 9/15/23 (e)

       200       195,025  
      

 

 

 
        3,356,554  

Automobiles — 0.4%

 

General Motors Co., 3.50%, 10/02/18 (g)

             2,478       2,535,403  

Banks — 1.7%

      

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

     EUR       100       110,229  

Banca Popolare di Vicenza,
0.50%, 2/03/20

       100       104,979  

Banco Espirito Santo SA (a)(b):

      

4.75%, 1/15/18

       100       31,517  

4.00%, 1/21/19

       100       31,517  

Banco Popolare, 2.75%, 7/27/20

       100       108,111  

Bank of Ireland, 4.25%, 6/11/24 (d)

       100       110,442  

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

       200       216,366  

Barclays PLC, 3.65%, 3/16/25 (g)

     USD       3,600       3,511,516  

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

     EUR       100       109,014  

CIT Group, Inc.:

      

5.50%, 2/15/19 (e)(g)

     USD       1,195       1,259,231  

5.00%, 8/01/23

       610       645,075  

Commerzbank AG, 7.75%, 3/16/21

     EUR       100       127,792  

HSBC Holdings PLC, 4.38%, 11/23/26

     USD       395       399,844  

Nordea Bank AB,
4.50%, 3/26/20

     EUR       1,020       1,222,231  

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

     USD       1,750       1,791,242  

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

       950       940,360  
      

 

 

 
        10,719,466  

Beverages — 0.6%

 

Anheuser-Busch InBev Finance, Inc., 3.30%, 2/01/23 (g)

       3,000       3,066,033  

Central American Bottling Corp.,
5.75%, 1/31/27 (e)

       517       535,095  
      

 

 

 
        3,601,128  

Building Materials — 0.3%

 

Dry Mix Solutions Investissements SAS, 3.93%, 6/15/21 (d)

     EUR       100       105,940  

Tecnoglass, Inc., 8.20%, 1/31/22 (e)

     USD       1,318       1,359,912  

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

     EUR       100       110,005  
      

 

 

 
        1,575,857  

Building Products — 0.8%

 

American Builders & Contractors Supply Co.,
Inc. (e):

      

5.63%, 4/15/21

     USD       190       194,987  

5.75%, 12/15/23

       210       220,500  

Building Materials Corp. of America (e):

      

5.38%, 11/15/24

       100       102,790  

6.00%, 10/15/25 (g)

       535       568,437  

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

       1,030       1,078,925  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    35


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Building Products (continued)

      

Louisiana-Pacific Corp., 4.88%, 9/15/24

     USD       89     $ 89,668  

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

       404       417,130  

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

       714       742,703  

Standard Industries, Inc. (e):

      

5.13%, 2/15/21

       40       41,700  

5.50%, 2/15/23

       204       212,160  

USG Corp.:

      

8.25%, 1/15/18 (g)

       1,460       1,533,000  

5.50%, 3/01/25 (e)

       15       15,938  
      

 

 

 
        5,217,938  

Capital Markets — 0.4%

 

 

Blackstone CQP Holdco LP, 9.30%, 3/19/19 (e)

       1,228       1,241,496  

Morgan Stanley, 4.00%, 7/23/25 (g)

       965       999,184  
      

 

 

 
        2,240,680  

Chemicals — 1.2%

 

 

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

       800       800,000  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 1/15/25

     EUR       100       110,456  

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

     USD       239       243,780  

Blue Cube Spinco, Inc.:

      

9.75%, 10/15/23

       80       95,400  

10.00%, 10/15/25

       35       42,525  

CF Industries, Inc.:

      

7.13%, 5/01/20

       130       142,513  

5.15%, 3/15/34

       90       85,556  

4.95%, 6/01/43

       270       232,200  

Chemours Co.:

      

6.63%, 5/15/23

       248       263,190  

7.00%, 5/15/25

       112       121,660  

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

       199       204,970  

Huntsman International LLC:

      

4.88%, 11/15/20

       133       137,655  

5.13%, 4/15/21

     EUR       100       118,148  

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

       100       110,310  

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

       100       112,633  

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

     USD       1,378       1,350,440  

NOVA Chemicals Corp., 5.25%, 8/01/23 (e)

       130       133,900  

Platform Specialty Products Corp. (e):

      

10.38%, 5/01/21

       53       59,559  

6.50%, 2/01/22 (g)

       1,592       1,663,640  

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

       319       345,318  

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

     EUR       100       111,263  

Tronox Finance LLC:

      

6.38%, 8/15/20

     USD       208       211,640  

7.50%, 3/15/22 (e)

       62       64,790  

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

       116       121,365  

WR Grace & Co-Conn (e):

      

5.13%, 10/01/21

       176       185,240  

5.63%, 10/01/24

       200       212,500  
      

 

 

 
        7,280,651  

Commercial Services & Supplies — 1.2%

 

 

ADT Corp.:

      

3.50%, 7/15/22

       456       432,630  

4.13%, 6/15/23

       78       75,075  

4.88%, 7/15/32 (e)

       316       254,380  

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

       225       230,063  

Aviation Capital Group Corp., 4.63%, 1/31/18 (e)(g)

       1,000       1,025,000  
Corporate Bonds   

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

 

 

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

     USD       824     $ 863,140  

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

       280       289,275  

Iron Mountain, Inc., 6.00%, 10/01/20 (e)

       315       330,841  

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

       447       467,115  

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

       239       249,157  

Pitney Bowes, Inc., 3.38%, 10/01/21 (g)

       1,500       1,472,002  

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

       188       193,405  

S&P Global, Inc., 2.50%, 8/15/18

       445       448,859  

Silk Bidco AS, 7.50%, 2/01/22

     EUR       120       136,663  

United Rentals North America, Inc. (g):

      

7.63%, 4/15/22

     USD       46       48,027  

5.75%, 11/15/24

       579       614,898  

Verisure Holding AB, 6.00%, 11/01/22

     EUR       125       144,277  
      

 

 

 
        7,274,807  

Communications Equipment — 0.8%

 

 

Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 (g)

     USD       1,005       1,110,525  

Avaya, Inc., 7.00%, 4/01/19 (a)(b)(e)

       183       145,943  

CommScope Technologies Finance LLC, 6.00%, 6/15/25 (e)(g)

       18       19,260  

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

       465       478,950  

Motorola Solutions, Inc., 3.75%, 5/15/22 (g)

       1,500       1,529,307  

Nokia OYJ, 6.63%, 5/15/39

       200       213,500  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.00%, 4/01/23 (g)

       649       686,317  

6.38%, 5/15/25

       549       591,547  

5.75%, 1/15/27 (e)

       212       224,148  
      

 

 

 
        4,999,497  

Construction & Engineering — 0.3%

 

 

Aeropuerto Internacional de Tocumen SA, 5.63%, 5/18/36 (e)

       663       697,807  

BlueLine Rental Finance Corp.,
7.00%, 2/01/19 (e)

       557       568,140  

Engility Corp., 8.88%, 9/01/24 (e)

       216       232,200  

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23

       320       308,800  
      

 

 

 
        1,806,947  

Construction Materials — 0.5%

 

 

Beacon Roofing Supply, Inc., 6.38%, 10/01/23

       305       329,781  

HD Supply, Inc. (e):

      

5.25%, 12/15/21 (g)

       1,828       1,928,540  

5.75%, 4/15/24

       454       480,105  

LKQ Italia Bondco SpA, 3.88%, 4/01/24

     EUR       100       113,225  

PulteGroup, Inc., 5.50%, 3/01/26

     USD       190       197,125  

Rexel SA, 3.50%, 6/15/23

     EUR       116       128,534  
      

 

 

 
        3,177,310  

Consumer Discretionary — 0.0%

 

 

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

     USD       175       176,312  

Silversea Cruise Finance Ltd., 7.25%, 2/01/25 (e)

       95       99,038  
      

 

 

 
        275,350  

Consumer Finance — 1.4%

 

 

Alliance Data Systems Corp. (e):

      

5.25%, 12/01/17

       28       28,420  

5.88%, 11/01/21

       696       720,360  

Ally Financial, Inc. (g):

      

4.63%, 3/30/25

       846       865,035  

8.00%, 11/01/31

       2,500       3,075,000  
 

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Consumer Finance (continued)

 

 

General Motors Financial Co., Inc., 2.63%, 7/10/17 (g)

     USD       2,760     $ 2,770,543  

Navient Corp.:

      

5.00%, 10/26/20

       310       311,457  

6.63%, 7/26/21

       155       161,587  

5.50%, 1/25/23

       134       128,305  

7.25%, 9/25/23

       257       263,425  

6.13%, 3/25/24

       115       110,113  

5.88%, 10/25/24

       125       117,188  

5.63%, 8/01/33

       95       76,950  

OneMain Financial Holdings LLC (e):

      

6.75%, 12/15/19

       147       153,891  

7.25%, 12/15/21

       117       122,265  
      

 

 

 
        8,904,539  

Containers & Packaging — 1.8%

 

 

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

      

6.75%, 1/31/21 (e)

       605       627,264  

4.29%, 5/15/21 (d)(e)

       200       205,250  

4.25%, 1/15/22

     EUR       220       240,596  

4.25%, 9/15/22 (e)(f)

     USD       679       689,185  

2.75%, 3/15/24

     EUR       125       132,577  

6.75%, 5/15/24

       100       117,196  

6.00%, 2/15/25 (e)

     USD       599       615,473  

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. (e):

      

4.63%, 5/15/23

       206       209,605  

7.25%, 5/15/24

       1,868       2,036,120  

Bahia Sul Holdings GmbH, 5.75%, 7/14/26 (e)

       600       618,360  

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

       303       320,801  

Clearwater Paper Corp., 5.38%, 2/01/25 (e)

       269       268,328  

Crown European Holdings SA, 4.00%, 7/15/22

     EUR       149       175,214  

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

     USD       147       150,308  

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

     EUR       200       229,545  

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

      

5.75%, 10/15/20 (g)

     USD       1,062       1,093,860  

6.88%, 2/15/21

       136       139,851  

4.52%, 7/15/21 (d)(e)

       1,060       1,087,825  

5.13%, 7/15/23 (e)

       175       181,344  

7.00%, 7/15/24 (e)

       588       632,468  

Sealed Air Corp.:

      

4.88%, 12/01/22 (e)

       80       82,700  

4.50%, 9/15/23

     EUR       100       118,594  

6.88%, 7/15/33 (e)

     USD       44       47,740  

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

       502       515,805  

Suzano Trading Ltd., 5.88%, 1/23/21 (e)

       500       529,255  

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

     EUR       100       112,402  
      

 

 

 
        11,177,666  

Diversified Consumer Services — 0.5%

 

 

APX Group, Inc.:

      

6.38%, 12/01/19

     USD       47       48,351  

8.75%, 12/01/20

       312       322,920  

7.88%, 12/01/22

       130       140,725  

7.88%, 12/01/22 (e)

       195       211,087  

Laureate Education, Inc., 9.25%, 9/01/19 (e)

       495       517,894  

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

       1,821       1,991,719  
Corporate Bonds   

Par  

(000)

    Value  

Diversified Consumer Services (continued)

 

 

Sotheby’s, 5.25%, 10/01/22 (e)

     USD       28     $ 28,560  

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

     EUR       100       109,039  
      

 

 

 
        3,370,295  

Diversified Financial Services — 0.5%

 

 

Aircastle Ltd.:

      

6.25%, 12/01/19 (g)

     USD       367       400,030  

5.13%, 3/15/21

       16       17,080  

5.50%, 2/15/22

       219       236,246  

Deutsche Bank AG, 4.25%, 10/14/21 (e)

       150       151,696  

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

       130       139,126  

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

     GBP       100       129,669  

General Motors Financial Co., Inc.,
4.38%, 9/25/21 (g)

     USD       530       559,237  

Jefferies Finance LLC/JFIN Co-Issuer Corp. (e):

      

7.38%, 4/01/20

       290       295,075  

6.88%, 4/15/22 (g)

       480       466,800  

Mercury Bondco PLC (h):

      

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

     EUR       100       104,881  

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

       100       108,059  

UniCredit SpA:

      

6.95%, 10/31/22

       100       123,066  

5.75%, 10/28/25 (d)

       100       113,301  

4.38%, 1/03/27 (d)

       100       108,734  
      

 

 

 
        2,953,000  

Diversified Telecommunication Services — 2.0%

 

 

CenturyLink, Inc.:

      

6.45%, 6/15/21

     USD       648       690,528  

Series U, 7.65%, 3/15/42

       147       134,505  

Series Y, 7.50%, 4/01/24

       161       173,075  

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

       671       709,582  

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

       100       99,750  

Frontier Communications Corp.:

      

7.13%, 3/15/19

       190       201,875  

8.50%, 4/15/20

       110       116,600  

6.25%, 9/15/21

       35       33,425  

7.13%, 1/15/23

       170       153,850  

7.63%, 4/15/24

       496       445,160  

6.88%, 1/15/25

       1,168       984,040  

11.00%, 9/15/25

       609       612,045  

Level 3 Financing, Inc.:

      

4.76%, 1/15/18 (d)

       411       412,028  

5.38%, 8/15/22 (g)

       240       248,820  

5.13%, 5/01/23 (g)

       295       300,900  

5.38%, 1/15/24

       240       246,300  

5.38%, 5/01/25 (g)

       261       269,483  

5.25%, 3/15/26 (e)

       167       168,461  

OTE PLC, 3.50%, 7/09/20

     EUR       100       106,470  

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

     USD       263       261,659  

SoftBank Group Corp., 4.75%, 7/30/25

     EUR       122       145,105  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD       130       131,300  

6.00%, 9/30/34

       630       622,125  

7.20%, 7/18/36

       160       169,440  

Telecom Italia Finance SA, 7.75%, 1/24/33

     EUR       37       51,193  

Telecom Italia SpA:

      

6.38%, 6/24/19

     GBP       200       271,401  

5.88%, 5/19/23

       100       139,372  

Telenet Finance V Luxembourg SCA, 6.75%, 8/15/24

     EUR       129       151,552  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    37


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Diversified Telecommunication Services (continued)

 

 

Verizon Communications, Inc.:

      

3.65%, 9/14/18 (g)

     USD       3,855     $ 3,970,858  

4.50%, 9/15/20

       145       154,732  

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

       26       26,780  

Windstream Services LLC, 7.50%, 6/01/22

       79       78,210  
      

 

 

 
        12,280,624  

Electric Utilities — 0.6%

 

 

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

       270       268,110  

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

       305       293,043  

Exelon Corp., 3.40%, 4/15/26

       140       138,584  

Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 (g)

       197       180,020  

Pampa Energia SA, 7.50%, 1/24/27 (e)

       663       667,972  

Southern Co., 2.95%, 7/01/23

       1,920       1,888,320  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.:

      

10.25%, 11/01/15

       47       212  

10.50%, 11/01/17

       31       140  

11.50%, 10/01/20 (a)(e)

       300        
      

 

 

 
        3,436,401  

Electrical Equipment — 0.0%

 

 

Areva SA, 4.88%, 9/23/24

     EUR       100       107,116  

Belden, Inc., 5.50%, 4/15/23

       149       167,716  
      

 

 

 
        274,832  

Electronic Equipment, Instruments & Components — 0.2%

 

 

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22 (g)

     USD       615       651,131  

5.00%, 9/01/23

       122       125,660  

5.00%, 9/01/25 (f)

       107       108,539  

SESI LLC, 7.13%, 12/15/21

       85       87,337  
      

 

 

 
        972,667  

Energy Equipment & Services — 1.1%

 

 

Ensco PLC:

      

4.50%, 10/01/24

       113       97,180  

5.20%, 3/15/25

       40       35,400  

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

       547       551,102  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

5.75%, 2/15/21

       30       30,450  

6.75%, 8/01/22

       397       413,872  

Halliburton Co., 3.80%, 11/15/25

       100       102,498  

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

       12       11,370  

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

       138       141,623  

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

       275       256,781  

Precision Drilling Corp.:

      

6.50%, 12/15/21

       100       102,750  

5.25%, 11/15/24

       134       132,660  

Transocean, Inc.:

      

4.25%, 10/15/17 (g)

       414       416,443  

6.00%, 3/15/18 (g)

       850       871,250  

7.38%, 4/15/18

       30       30,825  

5.55%, 10/15/22

       497       464,695  

9.00%, 7/15/23 (e)

       1,314       1,415,835  

6.80%, 3/15/38

       176       144,320  

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

       365       375,950  

Weatherford International Ltd.:

      

7.75%, 6/15/21

       465       501,619  

8.25%, 6/15/23

       290       314,650  

9.88%, 2/15/24 (e)

       376       434,280  
      

 

 

 
        6,845,553  
Corporate Bonds   

Par  

(000)

    Value  

Environmental, Maintenance, & Security Service — 0.1%

 

 

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

     EUR       100     $ 108,212  

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

     USD       642       670,890  
      

 

 

 
        779,102  

Food & Staples Retailing — 0.8%

 

 

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

      

6.63%, 6/15/24

       226       239,560  

5.75%, 3/15/25

       254       254,476  

B&M European Value Retail SA, 4.13%, 2/01/22

     GBP       100       129,224  

Casino Guichard Perrachon SA:

      

4.56%, 1/25/23

     EUR       100       118,464  

3.25%, 3/07/24

       200       232,452  

CVS Health Corp., 4.75%, 12/01/22

     USD       165       179,502  

Dollar Tree, Inc.:

      

5.25%, 3/01/20

       58       59,653  

5.75%, 3/01/23

       1,321       1,401,911  

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24

       62       65,565  

Rite Aid Corp.:

      

9.25%, 3/15/20 (g)

       1,095       1,130,587  

6.13%, 4/01/23 (e)(g)

       804       851,959  

7.70%, 2/15/27

       45       53,775  

Tesco PLC, 5.00%, 3/24/23

     GBP       100       137,582  
      

 

 

 
        4,854,710  

Food Products — 0.8%

 

 

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

     USD       249       219,120  

Aramark Services, Inc., 5.13%, 1/15/24

       758       794,081  

Arcor SAIC, 6.00%, 7/06/23 (e)

       403       428,590  

FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, 8/15/26 (e)

       338       345,605  

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

      

7.25%, 6/01/21

       40       41,200  

5.88%, 7/15/24

       140       146,300  

5.75%, 6/15/25

       485       500,762  

Marfrig Holdings Europe BV, 8.00%, 6/08/23 (e)

       410       430,024  

Minerva Luxembourg SA, 6.50%, 9/20/26 (e)

       244       242,170  

Post Holdings, Inc. (e):

      

7.75%, 3/15/24 (g)

       725       804,750  

5.50%, 3/01/25

       47       47,881  

8.00%, 7/15/25

       285       321,338  

TreeHouse Foods, Inc., 6.00%, 2/15/24 (e)

       383       403,108  

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

       168       183,120  
      

 

 

 
        4,908,049  

Health Care Equipment & Supplies — 0.6%

 

 

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

       810       722,925  

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

       1,146       1,014,210  

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

       115       118,128  

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

       235       229,713  

IDH Finance PLC, 6.25%, 8/15/22

     GBP       100       118,811  

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

      

4.88%, 4/15/20 (g)

     USD       284       284,710  

5.75%, 8/01/22

       330       323,400  

5.63%, 10/15/23

       120       115,200  

5.50%, 4/15/25

       135       125,550  
 

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Health Care Equipment & Supplies (continued)

 

 

Teleflex, Inc.:

      

3.88%, 8/01/17 (i)

     USD       100     $ 310,562  

5.25%, 6/15/24

       250       258,125  

4.88%, 6/01/26

       56       56,420  

Thermo Fisher Scientific, Inc., 3.00%, 4/15/23

       305       301,617  
      

 

 

 
        3,979,371  

Health Care Providers & Services — 3.1%

 

 

Acadia Healthcare Co., Inc.:

      

5.13%, 7/01/22

       105       105,788  

5.63%, 2/15/23

       339       348,323  

6.50%, 3/01/24

       61       64,813  

Aetna, Inc., 2.80%, 6/15/23

       340       338,718  

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

       450       456,750  

Amsurg Corp., 5.63%, 7/15/22 (g)

       618       643,492  

Centene Corp.:

      

5.63%, 2/15/21

       359       377,848  

4.75%, 5/15/22

       314       325,383  

6.13%, 2/15/24

       37       40,145  

4.75%, 1/15/25

       295       303,481  

CHS/Community Health Systems, Inc.:

      

8.00%, 11/15/19

       154       150,535  

5.13%, 8/01/21

       1,230       1,208,475  

6.88%, 2/01/22 (g)

       380       333,450  

DaVita HealthCare Partners, Inc.,
5.13%, 7/15/24 (g)

       530       540,931  

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

       165       168,919  

HCA Holdings, Inc., 6.25%, 2/15/21

       35       38,106  

HCA, Inc.:

      

3.75%, 3/15/19 (g)

       786       805,650  

6.50%, 2/15/20

       125       137,224  

7.50%, 2/15/22

       342       394,582  

5.88%, 3/15/22 (g)

       82       90,508  

4.75%, 5/01/23 (g)

       38       39,853  

5.88%, 5/01/23

       70       76,125  

5.00%, 3/15/24 (g)

       900       948,375  

5.38%, 2/01/25 (g)

       653       683,201  

5.25%, 4/15/25 (g)

       1,230       1,311,487  

5.88%, 2/15/26

       426       456,885  

5.25%, 6/15/26

       248       261,950  

4.50%, 2/15/27

       388       387,030  

HealthSouth Corp.:

      

5.75%, 11/01/24

       565       576,300  

5.75%, 9/15/25

       102       103,275  

2.00%, 12/01/43 (i)

       335       402,628  

Hologic, Inc.:

      

5.25%, 7/15/22 (e)(g)

       439       457,657  

Series 2012, 2.00%, 3/01/42 (j)

       129       175,682  

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

       201       207,784  

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

       737       794,117  

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

       111       117,660  

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

       341       366,575  

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

       104       106,340  

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

       71       75,970  

Tenet Healthcare Corp.:

      

6.25%, 11/01/18 (g)

       264       279,510  

4.75%, 6/01/20 (g)

       520       530,400  

4.46%, 6/15/20 (d)

       805       815,062  

6.00%, 10/01/20

       241       255,460  

7.50%, 1/01/22 (e)

       141       152,633  
Corporate Bonds   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

 

   

Tenet Healthcare Corp. (continued):

      

8.13%, 4/01/22

     USD       216     $ 226,260  

6.75%, 6/15/23

       1,361       1,349,091  

UnitedHealth Group, Inc., 3.75%, 7/15/25 (g)

       1,470       1,539,979  
      

 

 

 
        19,570,410  

Health Care Technology — 0.0%

 

 

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

       181       186,938  

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

     EUR       100       106,099  
      

 

 

 
        293,037  

Hotels, Restaurants & Leisure — 3.8%

 

 

Boyd Gaming Corp., 6.88%, 5/15/23 (g)

     USD       261       281,880  

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

       2,225       2,327,906  

Cemex Finance LLC, 9.38%, 10/12/22 (e)

       330       358,462  

CPUK Finance Ltd., 7.00%, 2/28/42

     GBP       100       130,915  

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

     USD       130       131,138  

Gateway Casinos & Entertainment Ltd., 8.25%, 3/01/24 (e)

       72       73,170  

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

     EUR       125       144,464  

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

     USD       67       68,843  

KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC (e):

      

5.00%, 6/01/24

       35       35,931  

5.25%, 6/01/26

       152       157,130  

McDonald’s Corp., 3.70%, 1/30/26 (g)

       405       415,558  

MGM Resorts International:

      

8.63%, 2/01/19

       74       81,770  

5.25%, 3/31/20

       368       387,320  

6.75%, 10/01/20

       323       356,011  

6.63%, 12/15/21 (g)

       960       1,071,600  

7.75%, 3/15/22

       60       70,050  

4.63%, 9/01/26

       128       125,439  

New Red Finance, Inc., 6.00%, 4/01/22 (e)(g)

       1,095       1,141,866  

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

     EUR       100       109,850  

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/21

     USD       630       644,175  

Sabre, Inc. (e):

      

5.38%, 4/15/23

       147       149,572  

5.25%, 11/15/23

       242       245,630  

Scientific Games International, Inc.:

      

7.00%, 1/01/22 (e)

       773       822,049  

10.00%, 12/01/22

       799       847,939  

Six Flags Entertainment Corp. (e):

      

5.25%, 1/15/21

       486       499,608  

4.88%, 7/31/24

       19       19,190  

Spirit Issuer PLC:

      

Series A1, 0.92%, 12/28/28 (d)

     GBP       445       417,514  

Series A2, 3.07%, 12/28/31 (d)

       1,800       2,089,568  

Series A5, 5.47%, 12/28/28

       4,500       5,790,573  

Series A6, 2.17%, 12/28/36 (d)

       2,670       3,247,173  

Station Casinos LLC, 7.50%, 3/01/21 (g)

     USD       1,025       1,068,562  

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

     EUR       100       112,879  

Unique Pub Finance Co. PLC, Series A4, 5.66%, 6/30/27

     GBP       294       394,584  

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

     USD       98       96,040  
      

 

 

 
        23,914,359  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    39


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Household Durables — 0.5%

 

 

Berkline/Benchcraft LLC, 4.50%, 6/01/17 (a)(b)

     USD       200        

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (e)

       259     $ 266,770  

CalAtlantic Group, Inc.:

      

8.38%, 1/15/21 (g)

       134       156,613  

5.38%, 10/01/22

       6       6,300  

5.25%, 6/01/26

       10       10,013  

Lennar Corp.:

      

4.50%, 11/15/19

       370       382,487  

4.75%, 4/01/21

       26       27,073  

4.13%, 1/15/22

       118       119,475  

4.75%, 11/15/22

       132       135,762  

4.88%, 12/15/23

       122       125,965  

4.75%, 5/30/25

       260       263,250  

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

       103       107,635  

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

       469       485,415  

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

       165       176,137  

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

       30       32,175  

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

       247       242,677  

TRI Pointe Group, Inc.:

      

4.38%, 6/15/19

       110       112,200  

4.88%, 7/01/21

       190       196,175  

5.88%, 6/15/24 (g)

       170       175,950  

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

       120       120,150  
      

 

 

 
        3,142,222  

Household Products — 0.2%

 

 

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

       85       86,063  

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

       150       159,000  

Spectrum Brands, Inc.:

      

6.63%, 11/15/22

       815       861,862  

6.13%, 12/15/24

       75       79,808  

5.75%, 7/15/25

       145       154,062  
      

 

 

 
        1,340,795  

Independent Power and Renewable Electricity Producers — 0.6%

 

Calpine Corp.:

      

6.00%, 1/15/22 (e)

       33       34,609  

5.38%, 1/15/23 (g)

       164       165,640  

5.88%, 1/15/24 (e)

       108       113,940  

Dynegy, Inc.:

      

6.75%, 11/01/19 (g)

       550       566,500  

7.38%, 11/01/22

       324       318,330  

5.88%, 6/01/23

       35       31,675  

7.63%, 11/01/24

       115       109,250  

8.00%, 1/15/25 (e)

       25       23,750  

NRG Energy, Inc.:

      

7.88%, 5/15/21

       198       205,425  

6.25%, 7/15/22

       600       610,500  

6.63%, 3/15/23

       40       40,500  

6.25%, 5/01/24

       40       40,000  

7.25%, 5/15/26

       104       106,990  

6.63%, 1/15/27 (e)

       567       557,077  

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

       135       138,375  

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

       559       561,795  

TerraForm Power Operating LLC, 6.38%, 2/01/23 (e)(j)

       188       194,580  
      

 

 

 
        3,818,936  

Industrial Conglomerates — 0.1%

 

 

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

 

    438       470,302  
Corporate Bonds   

Par  

(000)

    Value  

Insurance — 1.9%

 

 

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

     USD       360     $ 361,023  

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

       2,705       2,723,954  

Aon PLC, 3.88%, 12/15/25

       1,115       1,144,820  

Assicurazioni Generali SpA (d):

      

7.75%, 12/12/42

     EUR       100       126,084  

5.50%, 10/27/47

       100       111,767  

Forethought Financial Group, Inc., 8.63%, 4/15/21 (e)(g)

     USD       750       834,011  

Groupama SA, 6.00%, 1/23/27

     EUR       100       108,293  

HUB International Ltd. (e):

      

9.25%, 2/15/21

     USD       129       133,838  

7.88%, 10/01/21

       686       725,445  

Lincoln National Corp., 3.35%, 3/09/25 (g)

       845       840,498  

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

     EUR       400       503,124  

Prudential Financial, Inc., 5.63%, 6/15/43 (d)(g)

     USD       3,250       3,499,600  

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

       355       373,637  

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

       545       574,975  
      

 

 

 
        12,061,069  

Internet Software & Services — 0.3%

 

 

Equinix, Inc.:

      

5.75%, 1/01/25

       125       132,500  

5.88%, 1/15/26 (g)

       568       606,692  

Netflix, Inc., 4.38%, 11/15/26 (e)

       780       773,175  

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

       283       290,484  
      

 

 

 
        1,802,851  

IT Services — 0.7%

 

 

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

       404       423,190  

First Data Corp. (e)(g):

      

7.00%, 12/01/23

       1,366       1,468,450  

5.75%, 1/15/24

       2,444       2,532,595  

Millennium Corp., 0.00%, 12/31/49

       1,779        

WEX, Inc., 4.75%, 2/01/23 (e)

       220       218,900  
      

 

 

 
        4,643,135  

Machinery — 0.2%

 

 

Gardner Denver, Inc., 6.88%, 8/15/21 (e)

       135       139,050  

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

       45       45,450  

SPX FLOW, Inc. (e):

      

5.63%, 8/15/24

       292       300,030  

5.88%, 8/15/26

       157       159,355  

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

       298       305,822  
      

 

 

 
        949,707  

Media — 7.6%

 

 

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

     EUR       100       110,575  

Altice Financing SA:

      

5.25%, 2/15/23

       100       113,186  

6.63%, 2/15/23 (e)

     USD       575       605,187  

7.50%, 5/15/26 (e)

       1,284       1,378,695  

Altice Luxembourg SA:

      

7.75%, 5/15/22 (e)(g)

       465       494,644  

6.25%, 2/15/25

     EUR       100       112,561  

7.63%, 2/15/25 (e)(g)

     USD       286       304,590  

Altice US Finance I Corp. (e):

      

5.38%, 7/15/23 (g)

       1,146       1,194,705  

5.50%, 5/15/26

       439       453,816  

AMC Networks, Inc.:

      

4.75%, 12/15/22

       353       356,530  

5.00%, 4/01/24

       267       269,504  
 

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

 

 

Cablevision SA, 6.50%, 6/15/21 (e)

     USD       335     $ 352,169  

Cablevision Systems Corp.:

      

8.63%, 9/15/17

       114       117,563  

7.75%, 4/15/18

       464       487,200  

8.00%, 4/15/20

       125       138,125  

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

       222       236,985  

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22

       595       618,800  

5.13%, 2/15/23

       270       281,138  

5.13%, 5/01/23 (e)

       561       582,037  

5.75%, 2/15/26 (e)

       225       240,750  

5.50%, 5/01/26 (e)

       419       444,664  

5.13%, 5/01/27 (e)

       350       363,563  

5.88%, 5/01/27 (e)(g)

       820       880,762  

Cellnex Telecom SA, 2.38%, 1/16/24

     EUR       100       106,999  

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

      

6.38%, 9/15/20

     USD       150       154,594  

5.13%, 12/15/21

       827       836,937  

7.75%, 7/15/25

       1,276       1,413,170  

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

       2,425       2,554,502  

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

       425       450,500  

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22 (g)

       1,108       1,119,080  

6.50%, 11/15/22

       1,181       1,223,067  

Series B, 7.63%, 3/15/20 (g)

       1,253       1,262,397  

Columbus Cable Barbados Ltd.,
7.38%, 3/30/21 (e)(g)

       686       729,993  

CSC Holdings LLC:

      

10.13%, 1/15/23 (e)

       1,010       1,169,075  

5.25%, 6/01/24

       550       553,437  

6.63%, 10/15/25 (e)

       235       259,381  

10.88%, 10/15/25 (e)

       1,282       1,544,810  

Discovery Communications LLC:

      

3.25%, 4/01/23 (g)

       1,490       1,465,756  

3.45%, 3/15/25

       170       162,672  

DISH DBS Corp.:

      

5.88%, 7/15/22

       626       671,385  

5.88%, 11/15/24 (g)

       308       328,020  

7.75%, 7/01/26

       867       1,014,390  

DISH Network Corp., 3.38%, 8/15/26 (e)(i)

       274       329,828  

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

     EUR       100       110,919  

GTT Escrow Corp., 7.88%, 12/31/24 (e)

     USD       74       77,515  

Hughes Satellite Systems Corp.:

      

7.63%, 6/15/21

       93       103,114  

5.25%, 8/01/26 (e)

       483       490,849  

6.63%, 8/01/26 (e)

       98       101,981  

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       380       332,025  

9.00%, 9/15/22 (g)

       755       607,775  

10.63%, 3/15/23

       944       783,520  

Intelsat Jackson Holdings SA:

      

7.25%, 4/01/19

       601       575,457  

7.25%, 10/15/20

       391       361,675  

5.50%, 8/01/23 (g)

       729       599,602  

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

       85       87,444  

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

       91       89,180  

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

       369       356,546  
Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

 

 

Midcontinent Communications / Midcontinent Finance Corp. (e):

      

6.25%, 8/01/21

     USD       245     $ 254,555  

6.88%, 8/15/23

       112       120,680  

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp.,
5.00%, 8/01/18 (e)(g)

       345       348,019  

National CineMedia LLC, 5.75%, 8/15/26

       88       89,760  

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

       238       243,355  

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (e)(g)

       315       324,450  

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

     EUR       110       121,545  

Outfront Media Capital LLC/Outfront Media Capital Corp.:

      

5.25%, 2/15/22

     USD       300       311,625  

5.63%, 2/15/24

       138       144,900  

SFR Group SA (e):

      

6.00%, 5/15/22 (g)

       370       383,760  

6.25%, 5/15/24

       1,400       1,420,986  

7.38%, 5/01/26

       2,493       2,583,371  

Sirius XM Radio, Inc. (e):

      

5.75%, 8/01/21 (g)

       424       441,721  

4.63%, 5/15/23

       25       25,563  

Sterling Entertainment Corp., 9.75%, 12/15/19

       1,175       1,163,250  

TEGNA, Inc., 5.13%, 10/15/19

       197       202,171  

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

       169       184,633  

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

       853       871,126  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

5.63%, 4/15/23

     EUR       80       91,108  

4.00%, 1/15/25

       136       151,931  

5.00%, 1/15/25 (e)(g)

     USD       200       205,500  

Univision Communications, Inc. (e):

      

5.13%, 5/15/23 (g)

       948       948,000  

5.13%, 2/15/25

       895       882,694  

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

       455       466,944  

Virgin Media Secured Finance PLC:

      

5.13%, 1/15/25

     GBP       100       131,375  

5.50%, 1/15/25

       180       236,196  

5.25%, 1/15/26 (e)

     USD       555       561,244  

5.50%, 8/15/26 (e)

       200       204,978  

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

       790       821,600  

Wind Acquisition Finance SA, 7.38%, 4/23/21 (e)

       925       963,156  

Ziggo Bond Finance BV:

      

4.63%, 1/15/25

     EUR       137       153,846  

5.88%, 1/15/25 (e)(g)

     USD       470       477,638  
      

 

 

 
        47,697,024  

Metals & Mining — 3.6%

 

 

Alcoa, Inc.:

      

5.87%, 2/23/22 (g)

       630       683,479  

5.13%, 10/01/24 (g)

       498       515,679  

5.90%, 2/01/27

       105       112,481  

5.95%, 2/01/37

       50       51,188  

Anglo American Capital PLC:

      

1.50%, 4/01/20

     EUR       100       108,326  

4.45%, 9/27/20 (e)

     USD       206       215,682  

4.13%, 4/15/21 (e)

       200       206,040  

3.50%, 3/28/22

     EUR       100       117,047  

4.88%, 5/14/25 (e)

     USD       400       415,000  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    41


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Metals & Mining (continued)

 

 

ArcelorMittal:

      

7.75%, 10/15/39

     USD       94     $ 109,510  

7.50%, 3/01/41

       323       366,605  

Cliffs Natural Resources, Inc. (e):

      

8.25%, 3/31/20

       190       207,575  

5.75%, 3/01/25

       216       211,896  

Constellium NV (e):

      

8.00%, 1/15/23

       300       315,000  

5.75%, 5/15/24 (g)

       377       357,207  

6.63%, 3/01/25

       1,491       1,482,613  

First Quantum Minerals Ltd. (e):

      

7.00%, 2/15/21

       334       345,899  

7.25%, 5/15/22

       356       368,015  

FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (e)

       189       218,650  

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       286       285,285  

2.38%, 3/15/18

       2,476       2,463,620  

3.10%, 3/15/20

       1,540       1,509,200  

4.00%, 11/14/21

       240       230,400  

3.55%, 3/01/22

       625       580,469  

3.88%, 3/15/23

       1,528       1,405,760  

5.40%, 11/14/34

       126       110,565  

5.45%, 3/15/43

       1,197       1,023,435  

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

       180       192,600  

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

       172       191,780  

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

       112       117,600  

Kinross Gold Corp.:

      

5.95%, 3/15/24

       40       42,300  

6.88%, 9/01/41

       65       65,813  

Novelis Corp. (e):

      

6.25%, 8/15/24

       1,088       1,153,280  

5.88%, 9/30/26

       1,049       1,079,159  

Peabody Securities Finance Corp. (e):

      

6.00%, 3/31/22

       121       123,420  

6.38%, 3/31/25

       128       130,560  

Steel Dynamics, Inc.:

      

5.13%, 10/01/21 (g)

       645       665,156  

6.38%, 8/15/22 (g)

       555       579,975  

5.25%, 4/15/23

       200       208,270  

5.50%, 10/01/24

       56       59,573  

5.00%, 12/15/26 (e)

       15       15,505  

Teck Resources Ltd.:

      

3.00%, 3/01/19

       208       213,034  

4.50%, 1/15/21

       456       472,815  

3.75%, 2/01/23

       762       742,798  

8.50%, 6/01/24 (e)

       380       443,650  

6.13%, 10/01/35

       91       94,185  

6.00%, 8/15/40

       588       589,470  

6.25%, 7/15/41

       73       75,737  

5.20%, 3/01/42

       563       533,262  

5.40%, 2/01/43

       279       265,747  

ThyssenKrupp AG, 1.38%, 3/03/22

     EUR       75       79,128  

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

     USD       320       360,000  
      

 

 

 
        22,511,443  

Multi-Utilities — 0.3%

 

 

Brooklyn Union Gas Co., 3.41%, 3/10/26 (e)

       1,475       1,495,292  

NGL Energy Partners LP/NGL Energy Finance Corp.:

      

5.13%, 7/15/19

       120       120,300  

6.88%, 10/15/21

       209       215,139  

7.50%, 11/01/23 (e)

       190       199,975  
      

 

 

 
        2,030,706  
Corporate Bonds   

Par  

(000)

    Value  

Multiline Retail — 0.0%

 

 

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

     USD       378     $ 237,195  

Offshore Drilling & Other Services — 0.0%

 

 

Sensata Technologies BV, 5.63%, 11/01/24 (e)

             179       188,845  

Oil, Gas & Consumable Fuels — 7.5%

 

 

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

       117       123,728  

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

       55       55,825  

Antero Resources Corp.:

      

5.13%, 12/01/22

       76       76,380  

5.63%, 6/01/23

       74       74,925  

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

       967       826,785  

Callon Petroleum Co., 6.13%, 10/01/24 (e)

       209       217,882  

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

       140       141,750  

Cheniere Corpus Christi Holdings LLC (e):

      

7.00%, 6/30/24

       973       1,089,760  

5.88%, 3/31/25

       561       593,257  

Chesapeake Energy Corp.:

      

4.27%, 4/15/19 (d)

       786       780,105  

6.88%, 11/15/20

       215       212,850  

8.00%, 12/15/22 (e)

       558       590,085  

8.00%, 1/15/25 (e)

       313       310,652  

ConocoPhillips Co., 4.20%, 3/15/21

       290       308,312  

CONSOL Energy, Inc.:

      

5.88%, 4/15/22 (g)

       3,657       3,565,575  

8.00%, 4/01/23

       19       19,808  

Continental Resources, Inc.:

      

4.50%, 4/15/23

       147       144,060  

3.80%, 6/01/24

       395       365,869  

4.90%, 6/01/44

       290       254,475  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

      

6.00%, 12/15/20

       35       36,006  

6.25%, 4/01/23

       35       36,313  

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

      

7.13%, 4/15/21

       875       910,000  

7.75%, 2/15/23

       145       156,238  

DCP Midstream LLC (e):

      

4.75%, 9/30/21

       80       82,600  

6.45%, 11/03/36

       197       202,418  

6.75%, 9/15/37

       237       251,220  

Denbury Resources, Inc.:

      

9.00%, 5/15/21 (e)

       578       622,795  

5.50%, 5/01/22

       221       182,325  

4.63%, 7/15/23

       40       31,200  

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

       203       210,105  

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

       70       72,275  

Energy Transfer Equity LP:

      

7.50%, 10/15/20 (g)

       703       789,996  

5.88%, 1/15/24 (g)

       452       485,900  

5.50%, 6/01/27

       390       412,912  

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

       510       519,881  

Ensco PLC, 8.00%, 1/31/24 (e)

       111       113,775  

EP Energy LLC/Everest Acquisition Finance, Inc.:

      

9.38%, 5/01/20

       334       326,485  

8.00%, 11/29/24 (e)

       256       271,360  

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

       376       400,440  
 

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Genesis Energy LP/Genesis Energy Finance Corp., 5.63%, 6/15/24

     USD       83     $ 82,793  

GNL Quintero SA:

      

4.63%, 7/31/29 (e)

       247       250,396  

4.63%, 7/31/29

       240       243,300  

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

       755       796,525  

Gulfport Energy Corp.:

      

6.63%, 5/01/23

       74       75,295  

6.38%, 5/15/25 (e)

       203       204,015  

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

       1,613       1,596,870  

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

       50       50,014  

Hilcorp Energy I LP/Hilcorp Finance Co. (e):

      

5.00%, 12/01/24 (g)

       299       286,292  

5.75%, 10/01/25

       2       1,985  

Matador Resources Co.:

      

6.88%, 4/15/23

       390       411,450  

6.88%, 4/15/23 (e)

       447       471,585  

MEG Energy Corp. (e):

      

6.50%, 3/15/21

       384       392,640  

6.38%, 1/30/23

       30       26,625  

7.00%, 3/31/24 (g)

       1,229       1,106,100  

6.50%, 1/15/25

       1,135       1,109,462  

Murphy Oil Corp.:

      

6.88%, 8/15/24

       260       278,330  

6.13%, 12/01/42

       67       62,980  

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

       399       385,035  

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

       166       177,620  

NGPL PipeCo LLC (e):

      

7.12%, 12/15/17

       820       849,725  

7.77%, 12/15/37

       607       687,427  

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

       785       763,412  

Oasis Petroleum, Inc.:

      

6.50%, 11/01/21

       407       414,122  

2.63%, 9/15/23 (i)

       220       297,962  

ONEOK, Inc.:

      

7.50%, 9/01/23

       315       374,062  

6.00%, 6/15/35

       35       36,838  

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

       530       560,607  

Parker Drilling Co.:

      

7.50%, 8/01/20

       215       209,625  

6.75%, 7/15/22

       188       173,900  

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

      

6.25%, 6/01/24

       186       195,415  

5.38%, 1/15/25

       116       117,740  

5.25%, 8/15/25

       164       165,640  

Petrobras Argentina SA, 7.38%, 7/21/23 (e)

       767       792,610  

Petrobras Global Finance BV:

      

4.88%, 3/17/20

       332       341,462  

8.38%, 5/23/21

       867       966,965  

8.75%, 5/23/26

       168       190,596  

7.38%, 1/17/27

       354       370,284  

Petrobras International Finance Co., 5.75%, 1/20/20

       332       348,268  

Petroleos Mexicanos:

      

5.38%, 3/13/22 (e)

       39       40,792  

4.63%, 9/21/23

       265       265,527  

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

       75       81,188  

Raizen Fuels Finance SA, 5.30%, 1/20/27 (e)

       475       485,687  

Range Resources Corp. (e):

      

5.88%, 7/01/22

       330       337,425  

5.00%, 3/15/23

       155       150,156  

Resolute Energy Corp., 8.50%, 5/01/20

       237       241,740  
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Rockies Express Pipeline LLC (e):

      

6.85%, 7/15/18

     USD       183     $ 192,608  

6.00%, 1/15/19

       20       21,000  

5.63%, 4/15/20 (g)

       550       580,250  

6.88%, 4/15/40

       475       505,875  

Rowan Cos., Inc.:

      

4.88%, 6/01/22

       70       66,850  

7.38%, 6/15/25

       608       630,800  

RSP Permian, Inc.:

      

6.63%, 10/01/22

       291       307,732  

5.25%, 1/15/25 (e)

       151       154,775  

Sanchez Energy Corp.:

      

7.75%, 6/15/21

       50       51,250  

6.13%, 1/15/23 (g)

       1,630       1,564,800  

SESI LLC, 6.38%, 5/01/19

       90       90,338  

Seven Generations Energy Ltd., 8.25%, 5/15/20 (e)(g)

       119       125,248  

SM Energy Co.:

      

6.50%, 11/15/21

       85       86,913  

6.13%, 11/15/22 (g)

       18       18,135  

5.00%, 1/15/24

       5       4,688  

5.63%, 6/01/25

       425       402,156  

6.75%, 9/15/26

       139       141,433  

Southwestern Energy Co.:

      

5.80%, 1/23/20

       1,087       1,076,130  

6.70%, 1/23/25

       55       52,800  

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.75%, 4/15/25

       82       83,230  

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

       235       232,100  

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

      

5.50%, 9/15/24

       412       416,120  

5.13%, 2/01/25

       114       118,560  

5.38%, 2/01/27

       109       113,633  

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

      

6.38%, 8/01/22

       85       87,763  

5.25%, 5/01/23

       15       15,488  

Tesoro Corp. (e):

      

4.75%, 12/15/23

       443       458,505  

5.13%, 12/15/26

       617       652,477  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

      

5.88%, 10/01/20 (g)

       138       142,244  

6.13%, 10/15/21

       39       40,706  

Tullow Oil PLC, 6.25%, 4/15/22 (e)

       200       186,500  

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

       27       25,448  

Weatherford International Ltd.:

      

4.50%, 4/15/22

       95       90,844  

6.50%, 8/01/36

       240       221,400  

5.95%, 4/15/42

       207       173,363  

Whiting Petroleum Corp.:

      

5.00%, 3/15/19

       713       719,239  

5.75%, 3/15/21

       157       156,215  

6.25%, 4/01/23

       40       40,100  

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

       235       232,062  

Williams Cos., Inc.:

      

4.55%, 6/24/24

       162       164,430  

5.75%, 6/24/44

       819       827,190  

WPX Energy, Inc.:

      

7.50%, 8/01/20

       70       75,425  

6.00%, 1/15/22

       90       91,913  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    43


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

WPX Energy, Inc. (continued):

      

8.25%, 8/01/23

     USD       90     $ 100,800  

5.25%, 9/15/24

       105       102,506  

YPF SA:

      

8.88%, 12/19/18 (e)

       1,295       1,410,799  

8.50%, 3/23/21 (e)

       168       185,388  

8.50%, 7/28/25

       83       89,665  
      

 

 

 
        46,662,708  

Paper & Forest Products — 0.1%

 

 

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

       79       80,580  

Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (e)

       260       259,350  
      

 

 

 
        339,930  

Pharmaceuticals — 2.1%

 

 

AbbVie, Inc., 3.60%, 5/14/25 (g)

       695       692,076  

Actavis Funding SCS, 3.45%, 3/15/22 (g)

       2,460       2,514,678  

Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (e)(h)

       121       121,605  

DPx Holdings BV, 7.50%, 2/01/22 (e)

       110       116,669  

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

      

7.25%, 1/15/22

       121       117,143  

5.38%, 1/15/23

       65       57,525  

6.00%, 7/15/23 (g)

       433       398,360  

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

     EUR       100       114,691  

Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (g)

     USD       479       496,962  

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

       376       392,920  

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

       1,179       1,268,899  

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

       696       735,150  

Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23

       1,500       1,454,679  

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

       695       691,525  

Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23

       775       735,525  

Valeant Pharmaceuticals International, Inc. (e):

      

6.75%, 8/15/18 (g)

       1,044       1,028,340  

6.38%, 10/15/20 (g)

       621       565,110  

7.50%, 7/15/21

       270       248,063  

6.75%, 8/15/21

       65       57,850  

5.63%, 12/01/21

       307       258,648  

5.50%, 3/01/23

       16       12,900  

5.88%, 5/15/23 (g)

       506       411,757  

6.13%, 4/15/25

       925       736,531  
      

 

 

 
        13,227,606  

Real Estate — 0.0%

 

 

Prologis LP, 3.75%, 11/01/25 (g)

             255       263,229  

Real Estate Investment Trusts (REITs) — 1.2%

 

 

ATF Netherlands BV, 2.13%, 3/13/23

     EUR       100       107,523  

AvalonBay Communities, Inc., 3.45%, 6/01/25 (g)

     USD       1,245       1,260,713  

ERP Operating LP, 3.38%, 6/01/25 (g)

       1,015       1,013,211  

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

       179       177,031  

iStar, Inc., 4.00%, 11/01/17

       250       250,937  

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

      

5.63%, 5/01/24

       1,462       1,546,065  

4.50%, 9/01/26

       396       385,110  
Corporate Bonds   

Par  

(000)

    Value  

Real Estate Investment Trusts (REITs) (continued)

 

 

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

     USD       234     $ 243,068  

Trust F/1401, 6.95%, 1/30/44

       659       647,204  

Ventas Realty LP, 4.13%, 1/15/26 (g)

       650       663,596  

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

       1,300       1,397,462  
      

 

 

 
        7,691,920  

Real Estate Management & Development — 0.3%

 

 

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

     EUR       100       109,425  

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

      

4.50%, 4/15/19 (g)

     USD       301       311,535  

5.25%, 12/01/21 (g)

       75       78,000  

4.88%, 6/01/23

       1,041       1,025,385  

Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (e)

       220       223,850  
      

 

 

 
        1,748,195  

Road & Rail — 1.1%

 

 

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

      

5.13%, 6/01/22

       205       201,156  

6.38%, 4/01/24

       30       30,488  

5.25%, 3/15/25

       930       890,475  

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

     EUR       100       105,326  

Florida East Coast Holdings Corp., 6.75%, 5/01/19 (e)(g)

     USD       701       720,277  

Herc Rentals, Inc. (e):

      

7.50%, 6/01/22

       175       189,000  

7.75%, 6/01/24

       12       13,200  

Hertz Corp.:

      

6.75%, 4/15/19

       285       285,000  

5.88%, 10/15/20

       409       398,775  

7.38%, 1/15/21

       72       72,000  

6.25%, 10/15/22

       174       166,170  

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

       3,000       3,172,500  

Loxam SAS, 3.50%, 5/03/23

     EUR       100       104,590  

Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (e)

     USD       319       334,153  
      

 

 

 
        6,683,110  

Semiconductors & Semiconductor Equipment — 1.4%

 

 

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

       73       81,760  

Analog Devices, Inc.:

      

3.90%, 12/15/25

       375       385,905  

3.50%, 12/05/26

       275       273,498  

Applied Materials, Inc., 3.90%, 10/01/25

       285       301,881  

Broadcom Corp. / Broadcom Cayman Finance Ltd. (e):

      

3.00%, 1/15/22

       1,250       1,249,901  

3.63%, 1/15/24

       1,515       1,531,897  

Microchip Technology, Inc., 2.13%, 12/15/37 (i)

       60       181,575  

Micron Technology, Inc.:

      

5.25%, 8/01/23 (e)

       306       308,677  

5.50%, 2/01/25

       35       36,138  

5.63%, 1/15/26 (e)

       74       76,035  

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

       720       722,250  

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

       37       42,643  

NXP BV/NXP Funding LLC (e):

      

4.13%, 6/15/20 (g)

       834       867,510  

4.13%, 6/01/21

       200       207,620  

3.88%, 9/01/22

       200       204,750  

4.63%, 6/01/23

       425       452,625  
 

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Semiconductors & Semiconductor Equipment (continued)

 

 

QUALCOMM, Inc., 3.45%, 5/20/25 (g)

     USD       1,570     $ 1,589,732  

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

       332       336,980  

Xilinx, Inc., 2.63%, 6/15/17 (i)

       55       112,578  
      

 

 

 
        8,963,955  

Software — 1.5%

 

 

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

       360       371,520  

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

       1,323       1,342,845  

CDW LLC/CDW Finance Corp.,
5.50%, 12/01/24 (g)

       513       538,650  

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

       303       320,422  

Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24 (e)

       175       190,312  

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

       512       539,520  

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

       46       40,538  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (e)(g)(h)

       545       559,987  

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

       1,153       1,199,120  

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

       437       422,142  

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

       311       326,550  

Nuance Communications, Inc. (e):

      

5.38%, 8/15/20 (g)

       36       36,701  

6.00%, 7/01/24

       160       165,400  

5.63%, 12/15/26

       102       104,168  

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

       106       113,155  

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

       1,217       1,387,380  

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

       600       634,500  

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

       842       915,675  

Veritas US, Inc./Veritas Bermuda Ltd.:

      

7.50%, 2/01/23

     EUR       100       111,767  

10.50%, 2/01/24 (e)

     USD       200       216,000  
      

 

 

 
        9,536,352  

Specialty Retail — 0.4%

 

 

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

       660       686,400  

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

       375       386,250  

JC Penney Corp., Inc.:

      

8.13%, 10/01/19

       22       23,430  

6.38%, 10/15/36

       81       61,965  

7.40%, 4/01/37

       231       187,110  

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

       371       356,624  

Penske Automotive Group, Inc.:

      

5.38%, 12/01/24

       441       447,615  

5.50%, 5/15/26

       190       188,708  
      

 

 

 
        2,338,102  

Technology Hardware, Storage & Peripherals — 0.4%

 

 

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

      

4.42%, 6/15/21

       130       136,324  

7.13%, 6/15/24

       651       719,300  

6.02%, 6/15/26

       135       148,443  

8.35%, 7/15/46

       130       169,526  

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

       375       390,199  
Corporate Bonds   

Par  

(000)

    Value  

Technology Hardware, Storage & Peripherals (continued)

 

 

Western Digital Corp.:

      

7.38%, 4/01/23 (e)

     USD       444     $ 487,290  

10.50%, 4/01/24

       248       290,160  
      

 

 

 
        2,341,242  

Textiles, Apparel & Luxury Goods — 0.0%

 

 

BiSoho SAS, 5.88%, 5/01/23

     EUR       100       113,091  

Thrifts & Mortgage Finance — 0.1%

 

 

Jerrold Finco PLC, 6.25%, 9/15/21

     GBP       100       128,118  

MGIC Investment Corp., 5.75%, 8/15/23

     USD       163       172,372  
      

 

 

 
        300,490  

Tobacco — 0.1%

 

 

Reynolds American, Inc., 3.25%, 6/12/20 (g)

             396       405,942  

Trading Companies & Distributors — 0.0%

 

 

Ashtead Capital, Inc., 5.63%, 10/01/24 (e)(g)

             220       233,200  

Transportation Infrastructure — 1.3%

 

 

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

       460       409,400  

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

     EUR       100       103,558  

Empresa de Transporte de Pasajeros Metro SA, 5.00%, 1/25/47 (e)

     USD       231       239,432  

Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (e)(g)

       6,155       6,259,758  

Rumo Luxembourg Sarl, 7.38%, 2/09/24 (e)

       907       931,942  

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

       435       447,557  
      

 

 

 
        8,391,647  

Utilities — 0.5%

 

 

AES Panama SRL, 6.00%, 6/25/22 (e)

       250       258,125  

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

     EUR       100       112,148  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23 (e)

     USD       831       877,661  

Inkia Energy Ltd., 8.38%, 4/04/21 (e)

       332       341,545  

Stoneway Capital Corp., 10.00%, 3/01/27 (e)

       1,333       1,346,330  
      

 

 

 
        2,935,809  

Wireless Telecommunication Services — 2.4%

 

 

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

      

6.00%, 4/15/23 (e)

       149       156,450  

8.25%, 10/15/23

       835       904,931  

7.13%, 12/15/24 (e)

       390       401,700  

Digicel Group Ltd. (e):

      

8.25%, 9/30/20

       268       236,845  

7.13%, 4/01/22

       267       216,342  

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

       2,073       1,916,157  

GEO Group, Inc.:

      

5.88%, 1/15/22

       50       52,063  

5.13%, 4/01/23

       357       357,892  

6.00%, 4/15/26

       64       66,624  

Matterhorn Telecom SA, 3.88%, 5/01/22

     EUR       100       109,913  

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

     USD       269       270,009  

Rogers Communications, Inc., 5.00%, 3/15/44 (g)

       545       588,546  

Sprint Capital Corp.:

      

6.90%, 5/01/19

       135       143,818  

6.88%, 11/15/28

       1,409       1,502,346  

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (e)(g)

       1,579       1,727,031  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    45


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Wireless Telecommunication Services (continued)

 

 

Sprint Communications, Inc. (continued):

      

7.00%, 3/01/20 (e)(g)

     USD       241     $ 263,293  

7.00%, 8/15/20

       339       365,696  

Sprint Corp.:

      

7.25%, 9/15/21

       105       114,450  

7.88%, 9/15/23

       1,100       1,223,750  

7.13%, 6/15/24 (g)

       2,003       2,162,619  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23 (e)

       520       521,950  

T-Mobile USA, Inc.:

      

6.63%, 4/28/21 (g)

       228       237,166  

6.13%, 1/15/22

       75       79,313  

6.73%, 4/28/22

       173       179,920  

6.00%, 3/01/23 (g)

       513       542,497  

6.84%, 4/28/23

       55       58,663  

6.50%, 1/15/24 (g)

       535       574,857  

6.38%, 3/01/25

       14       15,050  

6.50%, 1/15/26 (g)

       53       58,234  

Wind Acquisition Finance SA, 4.00%, 7/15/20

     EUR       195       210,508  
      

 

 

 
        15,258,633  
Total Corporate Bonds — 65.9%               412,905,589  
      
                          
Floating Rate Loan Interests (d)         

Aerospace & Defense — 0.5%

      

BE Aerospace, Inc., 2014 Term Loan B, 3.94%, 12/16/21

     USD       618       620,254  

Engility Corp.:

      

Term Loan B1, 5.03%, 8/12/20

       112       112,931  

Term Loan B2, 4.53%, 8/12/23

       206       207,806  

TransDigm, Inc.:

      

2015 Term Loan E, 3.78%, 5/14/22

       634       636,940  

2016 Extended Term Loan F, 3.78%, 6/09/23

       1,043       1,047,823  

Term Loan D, 4.00%, 6/04/21

       334       335,231  
      

 

 

 
        2,960,985  

Air Freight & Logistics — 0.7%

 

 

Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, 3.50%, 1/13/22

       2,786       2,834,384  

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

       213       185,438  

CEVA Intercompany BV, Dutch Term Loan, 6.54%, 3/19/21

       219       190,410  

CEVA Logistics Canada ULC, Canadian Term Loan, 6.54%, 3/19/21

       42       36,715  

CEVA Logistics US Holdings, Inc., Term Loan, 6.54%, 3/19/21

       289       251,388  

XPO Logistics, Inc., Term Loan B2, 4.30%, 11/01/21

       811       817,864  
      

 

 

 
        4,316,199  

Airlines — 0.1%

 

 

Northwest Airlines, Inc. Term Loan:

      

3.08%, 3/10/17

       76       75,196  

2.46%, 9/10/18

       276       272,274  
      

 

 

 
        347,470  

Auto Components — 0.3%

 

 

Anchor Glass Container Corp.:

      

2016 1st Lien Term Loan, 4.25%, 12/07/23

       165       166,926  
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Auto Components (continued)

      

Anchor Glass Container Corp. (continued):

      

2016 2nd Lien Term Loan, 8.75%, 12/07/24

     USD       175     $ 178,281  

Gates Global LLC, Term Loan B, 4.25%, 7/06/21

       1,433       1,433,079  
      

 

 

 
        1,778,286  

Automobiles — 0.2%

 

 

CH Hold Corp.:

      

1st Lien Term Loan, 4.03%, 2/01/24

       370       373,655  

2nd Lien Term Loan, 8.28%, 2/01/25

       110       111,925  

Delayed Draw Term Loan B, 4.50%, 1/18/24

       40       40,449  

FCA US LLC, 2018 Term Loan B, 3.28%, 12/31/18

       758       758,437  
      

 

 

 
        1,284,466  

Building Materials — 0.3%

 

 

USAGM HoldCo LLC:

      

2015 2nd Lien Term Loan, 9.54%, 7/28/23

       290       293,987  

2015 Term Loan, 4.79%, 7/28/22

       350       350,932  

2016 Incremental Delayed Draw Term Loan, 5.50%, 7/28/22

       108       108,249  

2016 Incremental Term Loan, 5.50%, 7/28/22

       886       891,082  
      

 

 

 
        1,644,250  

Building Products — 0.8%

 

 

Continental Building Products LLC, 2017 Term Loan B, 3.28%, 8/18/23

       597       601,160  

CPG International, Inc., Term Loan, 4.75%, 9/30/20

       1,267       1,274,094  

GYP Holdings III Corp., 1st Lien Term Loan, 4.54%, 4/01/21

       706       710,337  

Jeld-Wen, Inc., Term Loan B2, 4.75%, 7/01/22

       514       517,680  

Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21

       386       388,157  

Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.02%, 11/15/23

       609       616,419  

Wilsonart LLC, 2016 Term Loan, 4.50%, 12/19/23

       660       664,106  
      

 

 

 
        4,771,953  

Capital Markets — 0.1%

 

 

Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18

       214       213,040  

RPI Finance Trust, Term Loan B5, 3.50%, 10/14/22

       444       448,678  
      

 

 

 
        661,718  

Chemicals — 1.2%

 

 

Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.29%, 9/13/23

       182       183,640  

Allnex USA, Inc., Term Loan B3, 5.29%, 9/13/23

       137       138,353  

Atotech BV, 2017 Term Loan B1, 4.00%, 1/31/24

       610       616,100  

Axalta Coating Systems US Holdings, Inc., Term Loan B1, 3.50%, 2/01/23

       484       490,059  

Chemours Co., Term Loan B, 3.79%, 5/12/22

       381       383,841  

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

       47       41,210  

Huntsman International LLC, Term Loan B2, 3.78%, 4/01/23

       749       757,195  
 

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Chemicals (continued)

 

 

MacDermid, Inc.:

      

2016 Term Loan, 5.00%, 6/07/23

     USD       607     $ 613,491  

Term Loan B5, 4.50%, 6/07/20

       470       475,243  

OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20

       1,050       1,036,492  

PQ Corp., 2016 Term Loan, 5.29%, 11/04/22

       615       623,547  

Royal Holdings, Inc.:

      

2015 2nd Lien Term Loan, 8.50%, 6/19/23

       102       102,197  

2017 Term Loan B, 4.25%, 6/30/22

       458       460,249  

Solenis International LP:

      

1st Lien Term Loan, 4.30%, 7/31/21

       503       504,216  

2nd Lien Term Loan, 7.80%, 7/31/22

       600       592,248  

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20

       519       518,845  
      

 

 

 
        7,536,926  

Commercial Services & Supplies — 2.0%

 

 

ADMI Corp., 2015 Term Loan B, 5.29%, 4/30/22

       184       184,406  

Advanced Disposal Services, Inc.,
Term Loan B3, 3.50%, 11/10/23

       1,044       1,054,907  

Aramark Services, Inc., Term Loan F, 3.50%, 2/24/21

       453       457,221  

Asurion LLC:

      

2016 Term Loan B2, 4.03%, 7/08/20

       219       221,820  

Term Loan B4, 4.25%, 8/04/22

       230       232,550  

Term Loan B5, 4.75%, 11/03/23

       933       944,657  

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.79%, 11/26/20

       1,254       1,253,773  

Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23

       663       670,661  

Catalent Pharma Solutions, Inc., Term Loan B, 3.75%, 5/20/21

       1,194       1,207,883  

Creative Artists Agency LLC, 2017 1st Lien Term Loan B, 4.50%, 2/15/24

       715       721,707  

Dealer Tire LLC, 2016 Term Loan B, 4.75%, 12/22/21

       230       233,156  

Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20

       162       150,378  

GCA Services Group, Inc., 2016 Term Loan, 5.99%, 3/01/23

       566       571,491  

Harland Clarke Holdings Corp., Term Loan B6, 7.03%, 2/02/22

       45       45,281  

KAR Auction Services, Inc., Term Loan B3, 4.50%, 3/09/23

       432       436,867  

Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19

       330       325,169  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.25%, 5/02/22

       748       754,355  

PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21

       617       625,932  

Spin Holdco, Inc., Term Loan B, 4.28%, 11/14/19

       849       845,312  

TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23

       338       342,529  

US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23

       603       610,277  

Waste Industries USA, Inc., 2016 Term Loan, 3.53%, 2/27/20

       680       683,008  
      

 

 

 
        12,573,340  

Communications Equipment — 0.3%

 

 

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.00%, 1/25/21

       299       300,941  
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Communications Equipment (continued)

      

Applied Systems, Inc. (continued):

      

2nd Lien Term Loan, 7.50%, 1/24/22

     USD       262     $ 264,071  

Avaya, Inc.:

      

DIP Term Loan, 8.50%, 1/24/18

       55       56,749  

Term Loan B7, 6.28%, 5/29/20 (b)

       289       230,635  

Checkout Holding Corp., 1st Lien Term Loan, 4.50%, 4/09/21

       53       48,126  

CommScope, Inc., Term Loan B5, 3.28%, 12/29/22

       359       362,344  

Riverbed Technology, Inc., 2016 Term Loan, 4.25%, 4/24/22

       687       692,519  
      

 

 

 
        1,955,385  

Construction & Engineering — 0.3%

 

 

CNT Holdings III Corp., 2017 Term Loan, 4.25%, 1/22/23

       571       573,901  

Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23

       1,027       1,040,268  

USIC Holdings, Inc., 2016 1st Lien Term Loan, 4.75%, 12/08/23

       375       377,111  
      

 

 

 
        1,991,280  

Construction Materials — 0.2%

 

 

Filtration Group Corp.:

      

1st Lien Term Loan, 4.30%, 11/21/20

       915       922,114  

Delayed Draw Term Loan, 4.25%, 11/21/20

       281       282,537  
      

 

 

 
        1,204,651  

Containers & Packaging — 0.6%

 

 

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.01%, 12/17/21

       898       900,112  

Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21

       261       262,993  

Berry Plastics Group, Inc., Term Loan I, 3.28%, 10/03/22

       1,655       1,666,155  

BWAY Holding Co., 2016 Term Loan B, 4.75%, 8/14/23

       1,173       1,173,602  
      

 

 

 
        4,002,862  

Distributors — 0.1%

 

 

American Builders & Contractors Supply Co., Inc., Term Loan B, 3.53%, 10/31/23

       546       550,919  

American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21

       221       220,050  
      

 

 

 
        770,969  

Diversified Consumer Services — 0.7%

 

 

Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.52%, 11/07/23

       1,186       1,198,085  

Serta Simmons Bedding LLC, 1st Lien Term Loan, 4.54%, 11/08/23

       1,335       1,340,594  

Serta Simmons Holdings LLC, 2nd Lien Term Loan, 9.04%, 11/08/24

       470       478,812  

ServiceMaster Co., 2016 Term Loan B, 3.28%, 11/08/23

       740       747,400  

Weight Watchers International, Inc., Term Loan B2, 4.25%, 4/02/20

       721       631,991  
      

 

 

 
        4,396,882  

Diversified Financial Services — 0.1%

 

 

AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22

       595       600,989  

SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20

       161       162,279  
      

 

 

 
        763,268  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    47


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Diversified Telecommunication Services — 2.0%

 

 

Consolidated Communications, Inc.:

      

2016 Term Loan B, 4.00%, 10/04/23

     USD       289     $ 290,927  

Term Loan B2, 4.00%, 10/05/23

       205       206,171  

Hawaiian Telcom Communications, Inc., Term Loan B, 5.29%, 6/06/19

       696       696,241  

Integra Telecom, Inc.:

      

2015 1st Lien Term Loan, 5.29%, 8/14/20

       836       836,036  

2nd Lien Term Loan, 9.75%, 2/12/21

       360       359,847  

Level 3 Financing Inc., 2017 Term Loan B, 3.03%, 2/14/24

       4,290       4,309,906  

Sprint Communications, Inc., 1st Lien Term Loan B, 3.31%, 2/02/24

       985       986,408  

Telenet International Finance Sarl,
Term Loan AF, 3.77%, 1/31/25

       1,255       1,265,981  

Virgin Media Investment Holdings Ltd.:

      

Term Loan I, 3.52%, 1/31/25

       1,480       1,485,757  

Term Loan J, 3.83%, 1/31/26

     GBP       304       380,550  

Zayo Group LLC: 2017 Term Loan B2, 3.53%, 1/19/24

       1,825       1,842,082  
      

 

 

 
        12,659,906  

Electric Utilities — 0.6%

 

 

Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.30%, 6/30/17

       2,064       2,069,545  

Lightstone Generation LLC:

      

Term Loan B, 6.54%, 11/22/23

       438       444,471  

Term Loan C, 6.54%, 11/22/23

       42       42,331  

TEX Operations Co. LLC:

      

Exit Term Loan B, 3.53%, 8/04/23

       819       822,895  

Exit Term Loan C, 3.53%, 8/04/23

       187       187,740  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 5.03%, 11/10/17

       780        

Vistra Operations Co. LLC, 2016
Term Loan B2, 4.02%, 12/14/23

       305       306,763  
      

 

 

 
        3,873,745  

Energy Equipment & Services — 0.2%

 

 

Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21

       373       264,157  

Gavilan Resources LLC, 2nd Lien Term Loan, 7.50%, 2/24/24

       665       658,350  

Weatherford International Ltd., Term Loan, 3.09%, 7/13/20

       564       550,897  
      

 

 

 
        1,473,404  

Food & Staples Retailing — 1.2%

 

 

Albertsons LLC:

      

2016 Term Loan B4, 3.78%, 8/22/21

       1,473       1,490,764  

2016 Term Loan B5,
4.25%, 12/22/22

       109       110,137  

BJ’s Wholesale Club, Inc.:

      

2017 1st Lien Term Loan, 4.75%, 2/03/24

       1,180       1,170,418  

2017 2nd Lien Term Loan, 8.50%, 2/03/25

       485       484,292  

Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22

       1,204       1,218,650  

Rite Aid Corp.:

      

5.75%, 8/21/20

     USD       240       240,600  

4.88%, 6/21/21

       815       817,714  

US Foods, Inc., 2016 Term Loan B, 3.53%, 6/27/23

       2,015       2,039,557  
      

 

 

 
        7,572,132  
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Food Products — 1.0%

 

 

Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21

     USD       405     $ 400,855  

Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23

       531       537,308  

Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18

       693       695,462  

JBS USA LLC, 2017 Term Loan B, 3.28%, 10/30/22

       895       899,851  

Pinnacle Foods Finance LLC, 2017 Term Loan B, 3.03%, 2/02/24

       645       647,954  

Reddy Ice Corp.:

      

1st Lien Term Loan, 6.75%, 5/01/19

       645       635,496  

2nd Lien Term Loan, 10.75%, 11/01/19

       233       203,584  

Reynolds Group Holdings Inc., 2017 Term Loan, 3.78%, 2/05/23

       2,025       2,039,685  
      

 

 

 
        6,060,195  

Health Care Equipment & Supplies — 1.3%

 

 

Alere, Inc.:

      

2015 Term Loan A, 3.78%, 6/18/20

       363       363,086  

2015 Term Loan B, 4.25%, 6/18/22

       485       485,419  

Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22

       1,039       1,047,729  

Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21

       1,234       1,236,451  

Cotiviti Corp., Term Loan B, 3.75%, 9/28/23

       892       897,753  

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

       1,017       998,194  

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

       763       753,553  

Mallinckrodt International Finance SA, Term Loan B, 3.80%, 9/01/24

       535       537,006  

National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21

       1,172       1,171,375  

Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21

       607       601,587  
      

 

 

 
        8,092,153  

Health Care Providers & Services — 2.6%

 

 

Acadia Healthcare Co., Inc.:

      

Term Loan B, 3.78%, 2/11/22

       233       234,891  

Term Loan B2, 3.78%, 2/16/23

       644       648,526  

CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23

       978       989,833  

Community Health Systems, Inc.:

      

Term Loan F, 4.19%, 12/31/18

       1,223       1,219,603  

Term Loan G, 3.75%, 12/31/19

       449       444,682  

Term Loan H, 4.00%, 1/27/21

       232       227,778  

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22

       321       322,204  

DaVita HealthCare Partners, Inc.,
Term Loan B, 3.53%, 6/24/21

       390       394,935  

Envision Healthcare Corp., 2016
Term Loan B, 4.00%, 12/01/23

       2,390       2,418,871  

HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22

       824       795,440  

HCA, Inc., Term Loan B6, 4.03%, 3/17/23

       1,088       1,096,608  

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

       1,080       1,086,577  

MPH Acquisition Holdings LLC, 2016
Term Loan B, 5.00%, 6/07/23

       1,082       1,098,303  

NVA Holdings, Inc.:

      

1st Lien Term Loan, 4.75%, 8/14/21

       118       118,976  

1st Lien Term Loan B2, 4.50%, 8/14/21

       104       104,925  

2016 Term Loan, 5.50%, 8/14/21

       234       233,581  
 

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

 

 

Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22

     USD       547     $ 554,091  

Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22

       963       962,216  

Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20

       397       399,532  

Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22

       777       778,063  

Team Health, Inc., 1st Lien Term Loan, 3.75%, 2/06/24

       995       991,896  

U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22

       438       402,604  

Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23

       572       579,413  
      

 

 

 
        16,103,548  

Health Care Technology — 0.6%

 

 

Change Healthcare Holdings, Inc., 2017 Term Loan B, 3.80%, 2/08/24

       2,420       2,430,092  

IMS Health, Inc., 2016 Term Loan B, 3.50%, 3/17/21

       367       368,440  

Press Ganey Holdings, Inc.:

      

1st Lien Term Loan, 4.25%, 10/21/23

       425       425,531  

2nd Lien Term Loan, 8.25%, 10/21/24

       215       218,225  
      

 

 

 
        3,442,288  

Hotels, Restaurants & Leisure — 2.3%

 

 

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       981       981,977  

2nd Lien Term Loan, 8.00%, 8/01/22

       246       246,441  

AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23

       507       508,417  

Boyd Gaming Corp.:

      

Term Loan B, 4.00%, 8/14/20

       287       288,596  

Term Loan B2, 3.71%, 9/15/23

       378       382,085  

Bronco Midstream Funding LLC, Term Loan B, 5.06%, 8/15/20

       1,039       1,043,728  

Burger King Capital Holdings LLC, 2017 Term Loan B, 3.25%, 2/14/24

       1,716       1,715,432  

Caesars Entertainment Operating Co., Term Loan B7, 4.00%, 3/01/22

       1,067       1,281,286  

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       2,564       2,585,431  

CCM Merger, Inc., Term Loan B, 4.03%, 8/08/21

       627       631,358  

Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22

       962       973,181  

ESH Hospitality, Inc., 2016 Term Loan B, 3.78%, 8/30/23

       873       878,704  

Four Seasons Holdings, Inc., 1st Lien Term Loan, 4.00%, 11/30/23

       100       101,357  

Gateway Casinos & Entertainment Ltd., Term Loan B1, 4.80%, 2/14/23

       135       135,760  

Hilton Worldwide Finance LLC, Term Loan B1, 3.50%, 10/26/20

       32       32,239  

La Quinta Intermediate Holdings LLC, Term Loan B, 3.77%, 4/14/21

       239       240,862  

RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21

       543       547,621  

Sabre, Inc., Term Loan B, 3.53%, 2/08/24

       903       909,538  

Scientific Games International, Inc., 2017 Term Loan B3, 4.77%, 10/01/21

       646       655,845  

Station Casinos LLC, 2016 Term Loan B, 3.28%, 6/08/23

       251       252,512  
      

 

 

 
        14,392,370  
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Household Products — 0.1%

 

 

Spectrum Brands, Inc., 2016 Term Loan, 3.51%, 6/23/22

     USD       361     $ 365,546  

Independent Power and Renewable Electricity Producers — 0.6%

 

 

Calpine Construction Finance Co., LP, Term Loan B1, 3.03%, 5/03/20

       492       491,766  

Calpine Corp.:

      

1st Lien Term Loan, 2.54%, 11/30/17

       250       250,063  

Term Loan B5, 3.75%, 1/15/24

       257       257,960  

Term Loan B6, 3.75%, 1/15/23

       272       273,483  

Term Loan B7, 3.75%, 5/31/23

       410       412,761  

Dynegy, Inc., 2017 Term Loan C, 4.25%, 6/27/23

       1,192       1,204,130  

Granite Acquisition, Inc.:

      

Term Loan B, 5.00%, 12/19/21

       1,094       1,104,018  

Term Loan C, 5.00%, 12/19/21

       49       49,568  
      

 

 

 
        4,043,749  

Industrial Conglomerates — 0.2%

 

 

Cortes NP Acquisition Corp., Term Loan B, 6.04%, 11/30/23

       1,282       1,291,244  

Sequa Corp., Term Loan B, 5.25%, 6/19/17

       199       191,908  
      

 

 

 
        1,483,152  

Insurance — 0.6%

 

 

AmWINS Group, Inc., 2017 Term Loan B, 3.75%, 1/25/24

       625       628,125  

AssuredPartners, Inc., 2016 Term Loan B, 5.25%, 10/21/22

       601       607,758  

Hub International Ltd., Term Loan B, 4.03%, 10/02/20

       374       376,382  

Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (h)

       430       448,275  

Sedgwick Claims Management Services, Inc.:

      

1st Lien Term Loan, 3.75%, 3/01/21

       803       804,909  

2016 1st Lien Term Loan, 4.25%, 3/01/21

       264       265,489  

2nd Lien Term Loan, 6.75%, 2/28/22

       765       767,234  
      

 

 

 
        3,898,172  

Internet & Direct Marketing Retail — 0.1%

 

 

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 3.78%, 8/19/23

             919       919,715  

Internet Software & Services — 0.5%

 

 

Go Daddy Operating Co, LLC

      

Delayed Draw Term Loan, 2.50%, 2/10/24

       679       680,759  

2017 Term Loan B, 3.41%, 2/02/24

       511       512,360  

GTT Communications, Inc., 2016 Term Loan B, 5.00%, 1/09/24

       162       164,227  

Rackspace Hosting, Inc., 1st Lien Term Loan, 4.53%, 11/03/23

       1,090       1,101,587  

WaveDivision Holdings LLC, Term Loan B, 3.79%, 10/15/19

       383       384,360  
      

 

 

 
        2,843,293  

IT Services — 1.5%

 

 

Cision US, Inc., Term Loan B, 7.00%, 6/16/23

       532       535,428  

First Data Corp.:

      

2016 Repriced Term Loan, 4.00%, 7/10/22

       179       179,766  

2016 Term Loan, 3.78%, 3/24/21

       3,569       3,599,481  

Term Loan A, 2.78%, 6/02/20

       136       136,501  

Global Payments, Inc., Reprice Term Loan B, 3.28%, 4/22/23

       493       497,920  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    49


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

IT Services (continued)

 

 

TKC Holdings, Inc.:

      

2017 2nd Lien Term Loan, 8.50%, 2/01/24

     USD       333     $ 333,626  

2017 Term Loan, 4.75%, 2/01/23

       635       639,763  

Vantiv LLC, 2014 Term Loan B, 3.27%, 10/14/23

       519       524,298  

VF Holding Corp., Reprice Term Loan, 4.25%, 6/30/23

       1,456       1,468,190  

WEX, Inc., Term Loan B, 4.28%, 7/01/23

       1,209       1,227,059  
      

 

 

 
        9,142,032  

Machinery — 0.8%

 

 

Columbus McKinnon Corp., Term Loan B, 4.00%, 1/31/24

       102       102,239  

Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20

       499       497,348  

Global Brass & Copper, Inc., 2016
Term Loan B, 5.25%, 7/18/23

       489       496,107  

Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22

       760       763,800  

Milacron LLC, Amended Term Loan B, 3.00%, 6/20/23

       220       220,964  

Mueller Water Products, Inc., 2017
Term Loan B, 3.28%, 11/26/21

       299       301,704  

Navistar International Corp., 2017
Term Loan B, 5.00%, 8/07/20

       413       415,234  

Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23

       764       768,575  

Signode Industrial Group US, Inc.,
Term Loan B, 4.00%, 5/01/21

       85       85,635  

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

       1,448       1,380,853  
      

 

 

 
        5,032,459  

Media — 3.1%

 

 

Altice US Finance I Corp., 2016 Term Loan B, 3.78%, 1/15/25

       1,427       1,441,986  

AMC Entertainment, Inc., Term Loan B, 3.53%, 12/15/23

       315       318,307  

CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23

       435       438,521  

Charter Communications Operating LLC, 2016 Term Loan I Add, 3.03%, 1/15/24

       1,718       1,728,548  

CSC Holdings LLC, 2016 Term Loan, 3.77%, 10/11/24

       1,087       1,097,691  

Entercom Radio LLC, 2016 Term Loan, 4.50%, 11/01/23

       234       234,647  

Gray Television, Inc., 2017 Term Loan B, 3.28%, 2/28/24

       290       292,175  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21

       807       748,886  

iHeartCommunications, Inc.:

      

Extended Term Loan E, 8.28%, 7/30/19

       215       185,975  

Term Loan D, 7.53%, 1/30/19

       1,972       1,710,903  

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

       2,421       2,404,892  

Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.25%, 11/17/23

       571       577,007  

Mission Broadcasting, Inc., 2016 Term Loan B2, 3.77%, 1/17/24

       151       152,895  

Nexstar Broadcasting, Inc., 2017 Term Loan B, 3.77%, 1/17/24

       1,586       1,610,006  

Numericable U.S. LLC:

      

Term Loan B10, 4.29%, 1/14/25

       345       347,575  

Term Loan B7, 5.29%, 1/15/24

       371       374,468  
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Media (continued)

 

 

SBA Senior Finance II LLC, Term Loan B1, 3.04%, 3/24/21

     USD       679     $ 681,558  

Sinclair Television Group, Inc., Term Loan B2, 3.04%, 1/03/24

       370       370,307  

Trader Corp., Term Loan, 5.00%, 9/28/23

       455       456,329  

Tribune Media Co., Term Loan C, 3.78%, 1/27/24

       1,292       1,302,803  

Univision Communications, Inc.,
Term Loan C4, 4.00%, 3/01/20

       1,278       1,282,139  

William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21

       110       110,298  

Ziggo Secured Finance Partnership,
Term Loan E, 3.27%, 4/23/25

       1,310       1,313,747  
      

 

 

 
        19,181,663  

Metals & Mining — 0.0%

 

 

Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20

       255       24,651  

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 9/30/23

       234       236,072  
      

 

 

 
        260,723  

Multiline Retail — 0.2%

 

 

Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22

             966       947,877  

Oil, Gas & Consumable Fuels — 1.5%

 

 

Arch Coal Inc., 2017 Term Loan B, 5.00%, 2/17/24

       200       200,000  

California Resources Corp.:

      

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

       1,145       1,290,037  

Term Loan A, 3.78%, 10/01/19

       863       830,270  

Chesapeake Energy Corp., Term Loan, 8.55%, 8/23/21

       1,269       1,370,279  

CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18

       345       350,269  

Drillships Financing Holding, Inc.,
Term Loan B1, 6.06%, 3/31/21

       441       361,027  

Energy Transfer Equity LP, 2017
Term Loan B, 3.53%, 2/02/24

       817       819,204  

EWT Holdings III Corp., 1st Lien
Term Loan, 4.75%, 1/15/21

       291       292,091  

MEG Energy Corp., 2017 Term Loan B, 4.75%, 12/31/23

       1,246       1,252,372  

Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20

       158       154,535  

Peabody Energy Corp., Exit Term Loan, 5.54%, 1/30/22

       255       256,806  

PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20

       275       273,625  

Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21

       254       249,252  

Seventy Seven Operating LLC, Term Loan B, 3.78%, 6/25/20

       103       101,609  

TPF II Power LLC, Term Loan B, 5.00%, 10/02/21

       322       325,442  

Ultra Resources, Inc., Revolver,
0.00%, 4/06/17 (a)(b)

       531       542,284  

Veresen Midstream Limited Partnership,
Term Loan B1, 5.25%, 3/31/22

       819       826,863  
      

 

 

 
        9,495,965  

Personal Products — 0.3%

 

 

Prestige Brands, Inc., Term Loan B4, 3.53%, 1/26/24

       936       947,141  

Revlon Consumer Products Corp., 2016
Term Loan B, 4.28%, 9/07/23

       913       917,623  
      

 

 

 
        1,864,764  
 

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Pharmaceuticals — 1.5%

 

 

Akorn, Inc., Term Loan B, 5.25%, 4/16/21

     USD       609     $ 617,104  

DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21

       1,632       1,638,967  

Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.81%, 9/26/22

       352       353,176  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 2.97%, 1/31/25

       2,090       2,096,855  

Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22

       1,986       1,995,848  

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 4.54%, 10/20/18

       115       114,682  

Series A4 Tranche A, 4.75%, 4/01/20

       250       249,922  

Series C2 Term Loan B, 5.28%, 12/11/19

       1,743       1,754,273  

Series E Term Loan B, 5.27%, 8/05/20

       469       472,018  

Series F1 Term Loan B, 5.53%, 4/01/22

       332       335,046  
      

 

 

 
        9,627,891  

Professional Services — 0.6%

 

 

Advantage Sales & Marketing, Inc., 2014
1st Lien Term Loan, 4.25%, 7/23/21

       362       359,719  

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

       1,038       1,039,793  

Information Resources, Inc., 1st Lien Term Loan, 5.25%, 1/18/24

       345       349,099  

SIRVA Worldwide, Inc., 2016 Term Loan, 7.50%, 11/14/22

       240       234,600  

Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22

       586       583,037  

TransUnion LLC, Term Loan B2, 3.28%, 4/09/23

       1,145       1,157,240  
      

 

 

 
        3,723,488  

Real Estate Investment Trusts (REITs) — 0.3%

 

 

Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.00%, 10/24/22

       777       780,692  

MGM Growth Properties LLC, 2016 Term Loan B, 3.28%, 4/25/23

       1,389       1,399,980  
      

 

 

 
        2,180,672  

Real Estate Management & Development — 0.4%

 

 

CityCenter Holdings LLC, Term Loan B, 3.53%, 10/16/20

       756       765,268  

DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.29%, 11/04/21

       802       806,219  

Realogy Corp., 2017 Term Loan B, 3.03%, 7/20/22

       820       826,058  
      

 

 

 
        2,397,545  

Road & Rail — 0.0%

 

 

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 5.00%, 6/13/23

             150       150,644  

Semiconductors & Semiconductor Equipment — 0.1%

 

 

Cavium, Inc., Term Loan B, 3.78%, 8/16/22

       236       238,184  

Microsemi Corp., 2015 Term Loan B, 3.03%, 1/15/23

       162       163,214  

ON Semiconductor Corp., Incremental Term Loan, 4.03%, 3/31/23

       329       331,996  
      

 

 

 
        733,394  

Software — 2.7%

 

 

Aptean, Inc., 2016 1st Lien Term Loan, 6.00%, 12/20/22

       255       258,506  

BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20

       1,179       1,185,011  
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Software (continued)

 

 

DTI Holdco, Inc., 2016 Term Loan B, 6.09%, 9/21/23

     USD       544     $ 542,050  

Hyland Software, Inc., 2017 Term Loan, 3.25%, 7/01/22

       123       124,978  

Infor (US), Inc., Term Loan B6, 3.75%, 2/01/22

       1,372       1,373,026  

Informatica Corp., Term Loan, 4.50%, 8/05/22

       889       883,195  

IPS Corp., 2016 1st Lien Term Loan, 6.25%, 12/20/23

       285       287,138  

IQOR US, Inc., Term Loan B, 6.00%, 4/01/21

       337       326,928  

Kronos, Inc.:

      

1st Lien Term Loan, 5.00%, 11/01/23

       1,170       1,183,280  

2nd Lien Term Loan, 9.28%, 11/01/24

       615       635,424  

LANDesk Group, Inc., 2017 Term Loan B, 5.25%, 1/20/24

       180       180,868  

Mitchell International, Inc.:

      

1st Lien Term Loan, 4.54%, 10/13/20

       608       610,954  

2nd Lien Term Loan, 8.50%, 10/11/21

       600       598,878  

Optiv Security, Inc.:

      

1st Lien Term Loan, 4.25%, 2/01/24

       1,275       1,282,574  

2nd Lien Term Loan, 8.25%, 2/01/25

       335       338,657  

RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23

       851       857,694  

SolarWinds, Inc., 2017 Term Loan, 4.50%, 2/05/23

       915       916,663  

Solera LLC, Term Loan B, 5.75%, 3/03/23

       497       499,392  

Sophia LP, 2017 Term Loan B, 4.25%, 9/30/22

       927       929,787  

SS&C Technologies, Inc.:

      

2015 Term Loan B1, 4.03%, 7/08/22

       1,722       1,730,477  

2015 Term Loan B2, 4.03%, 7/08/22

       165       166,108  

Synchronoss Technologies, Inc., Term Loan, 4.08%, 1/19/24

       865       867,163  

Tibco Software Inc., 2017 Term Loan B, 5.50%, 12/04/20

       718       727,163  

Veritas US Inc., Term Loan B1, 6.63%, 1/27/23

       316       315,112  
      

 

 

 
        16,821,026  

Specialty Retail — 0.8%

 

 

Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22

       647       510,375  

Bass Pro Group LLC:

      

2015 Term Loan, 4.02%, 6/05/20

       162       154,779  

Asset Sale Term Loan, 5.72%, 6/09/18

       295       295,000  

Term Loan B, 5.97%, 12/16/23

       360       345,352  

Coinstar LLC, 1st Lien Term Loan, 5.25%, 9/27/23

       352       354,586  

Leslie’s Poolmart, Inc., 2016 Term Loan, 4.75%, 8/16/23

       369       370,237  

Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/30/23

       1,147       1,143,690  

Party City Holdings, Inc., 2016 Term Loan, 3.79%, 8/19/22

       1,114       1,105,079  

Petco Animal Supplies, Inc., 2017 Term Loan B, 4.29%, 1/26/23

       802       771,829  
      

 

 

 
        5,050,927  

Technology Hardware, Storage & Peripherals — 0.2%

 

 

Dell, Inc., 2016 Term Loan B, 4.04%, 9/07/23

       793       797,850  

Oberthur Technologies SA, 2016 Term Loan B1, 4.70%, 12/15/23

       103       103,993  

Western Digital Corp., Term Loan A, 2.78%, 4/29/21

       140       140,350  
      

 

 

 
        1,042,193  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    51


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Textiles, Apparel & Luxury Goods — 0.1%

 

 

Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22

     USD       715     $ 720,112  

Thrifts & Mortgage Finance — 0.1%

 

 

IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21

             835       840,420  

Trading Companies & Distributors — 0.3%

 

 

Beacon Roofing Supply, Inc., Term Loan B, 3.71%, 10/01/22

       841       845,224  

HD Supply, Inc.:

      

Incremental Term Loan B1, 3.75%, 8/13/21

       978       984,628  

Incremental Term Loan B2, 3.75%, 10/17/23

       224       226,121  

Nexeo Solutions LLC, 2016 Term Loan, 5.29%, 6/09/23

       109       110,025  
      

 

 

 
        2,165,998  

Transportation — 0.1%

 

 

Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22

             495       485,100  

Wireless Telecommunication Services — 0.8%

 

 

Ligado Networks LLC:

      

2015 2nd Lien Term Loan, 13.50%, 12/07/20

       30       23,739  

PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (h)

       2,691       2,631,660  

LTS Buyer LLC, 1st Lien Term Loan, 4.25%, 4/13/20

       1,798       1,811,538  

Radiate Holdco LLC, 1st Lien Term Loan, 3.78%, 2/01/24

       450       453,312  
      

 

 

 
        4,920,249  
Total Floating Rate Loan Interests — 37.8%               236,969,400  
      
                          
Foreign Agency Obligations         

Argentine Republic Government International Bond (e):

      

6.25%, 4/22/19

       2,269       2,397,198  

5.63%, 1/26/22

       4,650       4,696,500  

7.50%, 4/22/26

       3,008       3,143,360  

7.63%, 4/22/46

       2,422       2,438,954  

Banque Centrale de Tunisie International Bond, 4.50%, 6/22/20

     EUR       559       612,191  

Colombia Government International Bond:

      

11.75%, 2/25/20

     USD       37       46,898  

4.38%, 7/12/21

       2,292       2,429,520  

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

     EUR       2,600       2,983,773  

Egypt Government International Bond:

      

5.75%, 4/29/20

     USD       1,857       1,920,361  

8.50%, 1/31/47 (e)

       373       404,694  

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

       3,030       3,432,345  

Indonesia Government International Bond, 5.88%, 3/13/20

       1,146       1,257,689  

Mexico Government International Bond, 4.00%, 10/02/23

       508       520,192  

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

             3,190       3,090,064  
Total Foreign Agency Obligations — 4.7%               29,373,739  
Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Collateralized Mortgage Obligations — 1.8%

 

 

Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

     USD       3,020     $ 2,595,375  

Countrywide Home Loan Mortgage Pass-Through Trust:

      

Series 2005-17, Class 1A6, 5.50%, 9/25/35

       645       640,569  

Series 2006-17, Class A2, 6.00%, 12/25/36

       1,571       1,364,618  

Series 2007-HY5, Class 3A1, 4.61%, 9/25/37 (d)

       1,097       981,468  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44

       4,275       4,456,755  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.24%, 10/25/35 (d)

       1,040       892,614  
      

 

 

 
        10,931,399  

Commercial Mortgage-Backed Securities — 7.6%

 

 

Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.82%, 2/10/51 (d)

       593       598,172  

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

       4,830       4,853,608  

Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class D, 3.82%, 9/15/27 (d)(e)

       2,825       2,778,427  

Commercial Mortgage Pass-Through Certificates, Series 2014-PAT (d)(e):

      

Class E, 3.92%, 8/13/27

       1,000       1,001,253  

Class F, 3.21%, 8/13/27

       2,000       1,943,609  

Commercial Mortgage Trust:

      

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

       1,110       1,130,404  

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

       230       236,728  

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

       5,930       5,955,441  

Series 2015-CR22, Class B, 3.93%, 3/10/48 (d)

       5,000       5,045,361  

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

       3,615       3,652,233  

CSAIL Commercial Mortgage Trust,
Series 2015-C1, Class B, 4.04%, 4/15/50 (d)

       890       919,092  

GAHR Commercial Mortgage Trust, Series 2015-NRF (d)(e):

      

Class DFX, 3.38%, 12/15/34

       4,830       4,880,220  

Class GFX, 3.38%, 12/15/34

       2,500       2,399,383  

Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust,
Series 2006-GG7, Class AM, 5.77%, 7/10/38 (d)

       687       686,650  

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

       1,995       2,037,286  

JPMorgan Chase Commercial Mortgage Securities Corp. (d):

      

Series 2007-CB19, Class A4, 5.74%, 2/12/49

       735       735,137  

Series 2012-LC9, Class XA, 1.81%, 12/15/47

       13,654       822,358  

JPMorgan Chase Commercial Mortgage Securities Trust:

      

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

       33       32,821  

Series 2016-NINE, Class A, 2.85%, 10/06/38 (d)(e)

       800       778,048  
 

 

See Notes to Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

 

LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4,
5.86%, 7/15/40 (d)

     USD       2,122     $ 2,130,919  

Merrill Lynch Mortgage Trust,
Series 2007-C1, Class A1A,
5.83%, 6/12/50 (d)

       1,259       1,265,798  

Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4,
5.98%, 2/15/51 (d)

       656       656,912  

Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class A4, 3.70%, 11/15/48

       600       622,342  

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

      

Class B, 4.31%, 8/15/45

       1,085       1,147,244  

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

       1,395       1,448,210  
      

 

 

 
        47,757,656  

Interest Only Commercial Mortgage-Backed Securities — 0.2%

 

 

Commercial Mortgage Loan Trust,
Series 2015-LC21, Class XA, 0.87%, 7/10/48 (d)

       16,051       704,981  

WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class XA,
1.17%, 5/15/47 (d)

       14,436       795,724  
      

 

 

 
        1,500,705  
Total Non-Agency Mortgage-Backed Securities — 9.6%       60,189,760  
      
                          
Other Interests — 0.0% (K)          

Investment

Value

(000)

        

Auto Components — 0.0%

      

Lear Corp. Escrow

             1,000       10  
      
                          
Preferred Securities                      
Capital Trusts   

Par  

(000)

        

Banks — 2.6%

      

Banco Popular Espanol SA, 8.25% (d)(l)

       200       183,541  

Banco Santander SA, 6.25% (d)(l)

       200       208,967  

Capital One Financial Corp., Series E, 5.55% (d)(g)(l)

       3,000       3,105,000  

Citigroup, Inc. (d)(g)(l):

      

5.90%

       5,000       5,231,250  

5.95%

       1,370       1,441,021  

Series R, 6.13%

       950       1,004,682  

Cooperatieve Rabobank UA, 6.63% (d)(l)

       200       228,724  

Intesa Sanpaolo SpA, 7.00% (d)(l)

       200       212,410  

RZB Finance Jersey IV Ltd., 1.62% (d)(l)

       100       100,831  

U.S. Bancorp, Series J, 5.30% (d)(l)

       421       428,367  

Wells Fargo & Co (d)(g)(l):

      

Series S, 5.90%

       3,170       3,352,275  

Series U, 5.88%

       650       702,000  
      

 

 

 
        16,199,068  

Capital Markets — 1.1%

      

Goldman Sachs Group, Inc., (d)(g)(l):

      

Series L, 5.70%

       819       843,570  

Series M, 5.38%

       1,730       1,786,225  

Morgan Stanley, Series H, 5.45% (d)(g)(l)

       2,546       2,611,667  

State Street Corp., Series F, 5.25% (d)(g)(l)

       1,625       1,700,156  

UBS Group AG, 5.75% (d)(l)

       200       231,479  
      

 

 

 
        7,173,097  
Capital Trusts   

Par  

(000)

    Value  

Chemicals — 0.0%

      

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

     USD       50     $ 56,943  

Solvay Finance SA, 5.12% (d)(l)

       100       116,176  
      

 

 

 
        173,119  

Diversified Financial Services — 3.3%

      

Bank of America Corp. (d)(l):

      

Series AA, 6.10% (g)

       1,241       1,323,992  

Series U, 5.20% (g)

       1,250       1,252,344  

Series V, 5.13%

       510       515,737  

Series X, 6.25% (g)

       1,929       2,064,223  

Barclays PLC (d)(l):

      

7.88%

       200       209,810  

7.38%

       200       248,165  

Credit Agricole SA, 6.50% (d)(l)

       100       109,958  

JPMorgan Chase & Co. (d)(g)(l):

      

Series U, 6.13%

       6,690       7,101,100  

Series V, 5.00%

       4,060       4,084,401  

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

       1,450       1,480,111  

Royal Bank of Scotland Group PLC, 8.63% (d)(l)

       200       211,300  

Societe Generale SA (d)(e)(l)

      

6.00% (g)

       2,000       1,885,000  

7.38%

       200       202,500  
      

 

 

 
        20,688,641  

Diversified Telecommunication Services — 0.1%

 

 

Telefonica Europe BV (d)(l):

      

3.75%

       100       107,132  

4.20%

       200       222,209  

5.00%

       100       112,577  
      

 

 

 
        441,918  

Electric Utilities — 0.0%

      

Enel SpA, 5.00%, 1/15/75 (d)

       100       113,091  

Enel SpA, 7.75%, 9/10/75 (d)

       100       137,421  
      

 

 

 
        250,512  

Insurance — 1.0%

      

Hartford Financial Services Group, Inc.,
8.13%, 6/15/38 (d)(g)

       2,500       2,675,000  

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

       3,500       3,578,750  
      

 

 

 
        6,253,750  

Oil, Gas & Consumable Fuels — 0.1%

      

DCP Midstream LLC, 5.85%, 5/21/43 (d)(e)

       40       37,400  

Gas Natural Fenosa Finance BV, 3.38% (d)(l)

       100       102,614  

Repsol International Finance BV, 4.50%, 3/25/75 (d)

       100       107,298  

TOTAL SA, 3.88% (d)(l)

       100       112,794  
      

 

 

 
        360,106  
Total Capital Trusts — 8.2%       51,540,211  
      
                          
Preferred Stocks           Shares         

Capital Markets — 1.9%

      

Goldman Sachs Group, Inc., Series J, 5.50% (d)(l)

       202,526       5,397,318  

Morgan Stanley (d)(l):

      

6.88%

       120,000       3,471,600  

Series K, 5.85%

       78,162       2,020,487  

SCE Trust III, 5.75% (d)(l)

       21,200       591,904  
      

 

 

 
        11,481,309  

Wireless Telecommunication Services — 0.0%

 

 

CF-B L2 (D) LLC, (Aquired 4/08/15,
cost $629,122) (c)

             127,973       120,717  
Total Preferred Stocks — 1.9%       11,602,026  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    53


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Preferred Stocks               
Shares
    Value  
Trust Preferred — 0.4%                

Diversified Financial Services — 0.4%

 

 

GMAC Capital Trust I, Series 2,
8.13%, 2/15/40 (d)

             105,753     $ 2,711,949  
Total Preferred Securities — 10.5%                      65,854,186  
      
                          
U.S. Government Sponsored Agency Securities    

Par  

(000)

        

Interest Only Collateralized Mortgage Obligations — 0.5%

 

 

Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 3.99%, 12/25/17 (d)

     USD       9,023       121,841  

Freddie Mac Mortgage-Backed Securities, Class X1 (d):

      

Series K042, 1.06%, 12/25/24

       34,775       2,350,684  

Series K707, 1.53%, 12/25/18

       40,708       906,577  
      

 

 

 
        3,379,102  

Mortgage-Backed Securities — 0.3%

      

Fannie Mae Mortgage-Backed Securities, 5.00%, 7/1/20 - 8/1/23 (g)

             1,693       1,752,463  
Total U.S. Government Sponsored Agency Securities — 0.8%       5,131,565  
      
                          
U.S. Treasury Obligations — 0.5%                      

U.S. Treasury Bonds, 2.50%, 2/15/46

             3,200       2,896,125  
      
                          
Rights — 0.0%           Shares         

Electric Utilities — 0.0%

      

Tex Energy LLC (e)

             18,143       24,493  

Oil, Gas & Consumable Fuels — 0.0%

 

Southcross Holdings LP

             40       12,000  
Total Rights — 0.00%                      36,493  
Warrants               
Shares
    Value  

Software — 0.0%

      

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)

             3,100     $ 806  

Transportation Infrastructure — 0.0%

      

Jack Cooper Enterprises, Inc. (Expires 4/26/27), Class B

             3,658       23,484  
Total Warrants — 0.0%                      24,290  
Total Long-Term Investments
(Cost — $883,827,948) — 142.4%
                     892,151,751  
      
                          
Short-Term Securities                      

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.42% (m)(n)

             2,168,959       2,168,959  

Total Short-Term Securities

(Cost — $2,168,959) — 0.4%

 

 

    2,168,959  
Options Purchased
(Cost — $282,464) — 0.0%
      201,186  
Total Investments Before Options Written
(Cost — $886,279,371) — 142.8%
      894,521,896  
Options Written
(Premiums Received — $214,987) — (0.0)%
      (179,419
Total Investments, Net of Options Written
(Cost — $886,064,384) — 142.8%
      894,342,477  

Liabilities in Excess of Other Assets — (42.8)%

 

    (268,029,191
      

 

 

 

Net Assets — 100.0%

 

  $ 626,313,286  
      

 

 

 

 

 
Notes to Schedule of Investments      

 

(a)   Non-income producing security.

 

(b)   Issuer filed for bankruptcy and/or is in default.

 

(c)   Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $121,738 and an original cost of $27,096, which was less than 0.05% of its net assets.

 

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

 

(e)   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.

 

(f)   When-issued security.

 

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

 

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

 

(i)   Convertible security.

 

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

 

(k)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(l)   Perpetual security with no stated maturity date.

 

(m)   Current yield as of period end.

 

See Notes to Financial Statements.

 

                
54    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

(n)   During the six months ended February 28, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at August 31,
2016
    Shares
Purchased
    Shares
Sold
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income     Realized
Gain (Loss)1
    Change in
Unrealized
Depreciation
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

          2,168,959 2            2,168,959     $ 2,168,959     $ 11,280     $ 12        

BlackRock Liquidity Funds, TempFund, Institutional Class

    2,911,779             (2,911,779 )3                  33              

iShares iBoxx $ High Yield Corporate Bond ETF

    8,500             (8,500                 9,713       (3,886   $ (3,377

Total

 

  $ 2,168,959     $ 21,026     $ (3,874   $ (3,377
         

 

 

 

1    Includes net capital gain distributions.

     

 

2    Represents net shares purchased.

     

 

3    Represents net shares sold.

     

 

For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.

Reverse Repurchase Agreements

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash
Underlying Collateral
  Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets LLC

    1.40     5/02/16       Open     $ 493,850     $ 497,994     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     5/04/16       Open       527,363       531,743     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     5/24/16       Open       196,080       197,510     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     5/26/16       Open       484,544       488,455     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     5/31/16       Open       571,200       575,365     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     6/03/16       Open       538,670       542,839     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     7/15/16       Open       578,550       581,445     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     7/15/16       Open       1,881,600       1,890,369     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/18/16       Open       235,950       237,474     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     7/25/16       Open       327,590       328,865     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     7/25/16       Open       225,318       226,195     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     7/25/16       Open       296,735       297,890     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     7/25/16       Open       139,825       140,369     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     7/25/16       Open       154,019       154,619     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     7/25/16       Open       113,940       114,633     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       446,220       448,529     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       238,080       239,568     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       342,785       344,766     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       1,118,380       1,125,420     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       892,080       897,234     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       882,090       887,262     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       833,000       838,279     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       715,145       719,492     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     7/28/16       Open       549,450       552,625     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/01/16       Open       384,225       386,474     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/01/16       Open       174,400       175,386     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/02/16       Open       414,200       416,652     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     8/15/16       Open       1,003,850       1,009,371     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     8/19/16       Open       1,061,580       1,067,183     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     8/29/16       Open       128,700       129,202     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     8/29/16       Open       137,025       137,517     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     8/29/16       Open       144,300       144,876     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     8/29/16       Open       121,155       121,685     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/29/16       Open       156,750       157,480     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/29/16       Open       351,480       353,360     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/29/16       Open       466,830       469,226     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/29/16       Open       473,000       475,529     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/29/16       Open       1,650,420       1,660,396     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/30/16       Open       516,030       518,775     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/30/16       Open       172,000       172,930     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/30/16       Open       405,810       407,986     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/30/16       Open       133,450       134,160     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     8/30/16       Open       396,800       398,961     Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    55


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash
Underlying Collateral
  Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets LLC

    1.40     8/30/16       Open     $ 365,375     $ 367,350     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     9/14/16       Open       632,625       635,836     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     9/19/16       Open       284,400       285,724     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     9/20/16       Open       710,640       713,738     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     9/21/16       Open       260,580       261,743     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     9/21/16       Open       538,725       541,278     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     9/29/16       Open       46,355       46,514     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     9/29/16       Open       453,560       455,432     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     9/30/16       Open       808,980       811,735     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     10/07/16       Open       529,277       531,579     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     10/11/16       Open       241,180       242,288     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     10/11/16       Open       37,100       37,219     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     10/13/16       Open       104,720       105,146     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     10/17/16       Open       217,935       218,779     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     10/20/16       Open       856,800       860,122     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     10/21/16       Open       3,395,000       3,405,402     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     10/21/16       Open       789,000       791,154     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     10/21/16       Open       2,690,000       2,697,345     Capital Trusts   Open/Demand

HSBC Securities (USA), Inc.

    1.00     10/21/16       Open       898,000       900,452     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     10/21/16       Open       1,473,000       1,477,390     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     10/21/16       Open       1,474,000       1,478,025     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     10/21/16       Open       3,341,000       3,350,123     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     10/21/16       Open       824,000       826,250     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     10/24/16       Open       351,000       352,498     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.75     10/25/16       Open       484,500       485,762     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.95     10/25/16       Open       480,525       482,110     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     10/25/16       Open       467,500       469,123     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     10/25/16       Open       462,210       463,815     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     10/28/16       Open       1,002,000       1,006,115     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     10/28/16       Open       274,000       275,125     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     10/28/16       Open       417,000       418,659     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     10/28/16       Open       621,000       623,312     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     10/28/16       Open       52,000       52,165     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/03/16       Open       678,000       680,633     Capital Trusts   Open/Demand

RBC Capital Markets LLC

    1.40     11/03/16       Open       171,270       171,887     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     11/04/16       Open       377,540       378,803     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/07/16       Open       371,000       372,417     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/09/16       Open       569,000       571,082     Capital Trusts   Open/Demand

BNP Paribas Securities Corp.

    1.05     11/10/16       Open       530,000       531,639     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       427,000       428,446     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     11/14/16       Open       190,740       191,219     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     11/14/16       Open       191,200       191,797     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     11/17/16       Open       252,000       252,756     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    (0.50 )%      11/21/16       Open       1,037,500       1,036,073     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/02/16       Open       182,727       183,268     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     12/07/16       Open       2,247,530       2,252,987     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/12/16       Open       302,365       303,097     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/14/16       Open       232,180       232,647     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/14/16       Open       657,900       659,717     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.50     12/15/16       Open       83,835       83,922     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.25     12/15/16       Open       3,197,189       3,205,514     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50     12/15/16       Open       916,700       919,565     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50     12/15/16       Open       1,217,447       1,221,252     Capital Trusts   Open/Demand

Credit Suisse Securities (USA) LLC

    1.00     12/15/16       Open       384,456       385,257     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     12/15/16       Open       1,831,636       1,837,362     Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     12/15/16       Open       2,440,240       2,447,866     Foreign Agency Obligations   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/15/16       Open       60,000       60,174     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     12/15/16       Open       6,414,000       6,427,363     Capital Trusts   Open/Demand

HSBC Securities (USA), Inc.

    1.00     12/15/16       Open       482,000       483,004     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     12/15/16       Open       937,000       938,952     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       12,000       12,033     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       175,000       175,474     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       3,042,000       3,050,239     Capital Trusts   Open/Demand

 

See Notes to Financial Statements.

 

                
56    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash
Underlying Collateral
  Remaining
Contractual Maturity
of the Agreements1

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open     $ 203,000     $ 203,550     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       2,222,000       2,228,018     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       347,000       347,940     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       1,052,000       1,054,849     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       307,000       307,831     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       1,017,000       1,019,754     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       219,000       219,593     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       168,000       168,435     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       1,417,000       1,420,838     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open       600,000       601,625     Corporate Bonds   Open/Demand

UBS Ltd.

    1.00     12/16/16       Open       2,647,500       2,652,795     Capital Trusts   Open/Demand

UBS Ltd.

    1.00     12/16/16       Open       2,872,500       2,878,245     Capital Trusts   Open/Demand

UBS Ltd.

    1.00     12/16/16       Open       1,295,525       1,298,116     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       423,915       424,975     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       226,800       227,367     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       758,437       760,334     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       155,763       156,152     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       1,095,019       1,097,756     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       1,495,481       1,499,220     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       298,800       299,547     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       1,099,060       1,101,808     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       937,875       940,220     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       790,125       792,100     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       266,009       266,674     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       483,313       484,521     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       1,625,000       1,629,063     Capital Trusts   Open/Demand

UBS Ltd.

    1.25     12/16/16       Open       4,487,500       4,498,719     Capital Trusts   Open/Demand

BNP Paribas Securities Corp.

    1.11     12/19/16       Open       3,818,000       3,826,358     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.11     12/19/16       Open       544,000       545,191     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.11     12/19/16       Open       386,000       386,845     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       332,000       332,956     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       376,000       377,083     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       970,000       972,793     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       636,000       637,831     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       1,305,000       1,308,758     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       587,000       588,690     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       681,000       682,961     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       804,000       806,315     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       233,000       233,671     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.00     12/19/16       Open       5,839,556       5,850,911     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.00     12/19/16       Open       895,737       897,479     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.00     12/19/16       Open       681,031       682,355     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.00     12/19/16       Open       1,290,250       1,292,759     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       1,444,275       1,447,237     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       244,163       244,663     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       1,154,737       1,157,106     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       637,663       638,970     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       331,200       331,879     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       628,875       630,165     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       415,425       416,277     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       1,636,250       1,639,606     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/19/16       Open       2,101,000       2,105,309     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     12/19/16       Open       80,360       80,542     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       421,200       422,363     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       496,212       497,583     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       225,720       226,343     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       361,460       362,458     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       230,040       230,675     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       648,450       650,240     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       577,275       578,869     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       284,625       285,411     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/19/16       Open       632,000       633,745     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     12/20/16       Open       2,882,000       2,887,884     Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    57


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash
Underlying Collateral
  Remaining
Contractual Maturity
of the Agreements1

Deutsche Bank Securities, Inc.

    1.05     12/20/16       Open     $ 1,476,000     $ 1,479,014     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     12/20/16       Open       2,754,000       2,760,158     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       463,000       464,324     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       415,000       416,187     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       303,000       303,867     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       918,000       920,625     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       214,000       214,612     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       967,000       969,765     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       510,000       511,458     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       217,000       217,621     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       405,000       406,158     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       450,000       451,269     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       549,000       550,548     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       659,000       660,858     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       883,000       885,490     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       656,000       657,850     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       440,000       441,241     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       166,000       166,468     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       359,000       360,012     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       807,000       809,275     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       313,000       313,882     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       406,000       407,145     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       505,000       506,424     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       401,000       402,131     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       569,000       570,604     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       729,000       731,055     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       717,000       719,022     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       167,000       167,471     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       864,000       866,436     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       163,000       163,460     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,026,000       1,028,893     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       130,000       130,367     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       926,000       928,611     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,023,000       1,025,884     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,048,000       1,050,955     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       309,000       309,871     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       536,000       537,511     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       285,000       285,804     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       508,000       509,432     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,373,000       1,376,871     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       906,000       908,554     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       164,000       164,462     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       548,000       549,545     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       479,000       480,351     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,225,000       1,228,454     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       278,000       278,784     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,122,000       2,127,983     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,418,000       2,424,817     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       666,000       667,878     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,309,000       1,312,691     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       941,000       943,653     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,261,000       1,264,555     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       130,000       130,367     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,077,000       1,080,037     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,679,000       1,683,734     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,489,000       1,493,198     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,921,000       1,926,416     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       453,000       454,277     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       331,000       331,933     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       552,000       553,556     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.25     12/21/16       Open       318,135       318,287     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/21/16       Open       280,013       280,571     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/21/16       Open       1,355,900       1,358,603     Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
58    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash
Underlying Collateral
  Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets LLC

    1.04     12/21/16       Open     $ 1,059,250     $ 1,061,361     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/21/16       Open       950,000       951,894     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/21/16       Open       95,000       95,189     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/21/16       Open       355,313       356,021     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.04     12/21/16       Open       483,538       484,501     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     12/21/16       Open       124,063       124,336     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.15     12/21/16       Open       185,925       186,335     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       696,825       698,695     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       375,600       376,608     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       384,225       385,256     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       199,100       199,634     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       338,445       339,353     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       709,125       711,028     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       1,024,713       1,027,462     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       521,325       522,724     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     12/21/16       Open       462,825       464,067     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     12/22/16       Open       441,000       441,784     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    0.55     12/29/16       Open       2,860,000       2,862,756     U.S. Treasury Obligations   Open/Demand

RBC Capital Markets LLC

    1.04     12/30/16       Open       379,812       380,481     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/06/17       Open       385,000       385,775     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/09/17       Open       34,000       34,070     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/10/17       Open       116,610       116,828     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/10/17       Open       711,525       712,703     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/11/17       Open       663,375       664,588     Corporate Bonds   Open/Demand

Citigroup Global Markets, Inc.

    (0.25 )%      1/12/17       Open       835,200       834,922     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/13/17       Open       825,120       826,468     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/17/17       Open       58,400       58,496     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/18/17       Open       440,000       440,684     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/20/17       Open       2,304,000       2,307,341     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/20/17       Open       262,080       262,447     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/20/17       Open       362,560       363,068     Corporate Bonds   Open/Demand

UBS Ltd.

    1.25     1/20/17       Open       364,720       365,176     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/23/17       Open       244,850       245,183     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/25/17       Open       974,820       976,071     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/25/17       Open       188,320       188,562     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.45     1/26/17       Open       803,000       803,970     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     1/27/17       Open       479,000       479,563     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     1/27/17       Open       433,000       433,509     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     1/27/17       Open       551,000       551,648     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/27/17       Open       15,000       15,018     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/27/17       Open       784,400       785,407     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/27/17       Open       661,752       662,601     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/27/17       Open       1,613,952       1,616,023     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/27/17       Open       1,172,288       1,173,792     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/27/17       Open       1,113,552       1,114,981     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/30/17       Open       2,029,000       2,031,452     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/30/17       Open       367,000       367,443     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/30/17       Open       1,038,000       1,039,254     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/30/17       Open       491,000       491,593     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/30/17       Open       332,000       332,401     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.25     1/31/17       Open       273,600       273,655     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    (0.50 )%      1/31/17       Open       260,181       260,076     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/31/17       Open       908,000       908,987     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     1/31/17       Open       1,619,680       1,621,381     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     2/01/17       Open       675,360       676,043     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     2/02/17       Open       1,057,000       1,057,986     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/03/17       Open       159,438       159,579     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     2/06/17       Open       1,751,000       1,752,491     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     2/07/17       Open       257,480       257,680     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     2/09/17       Open       945,000       945,613     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     2/09/17       Open       1,181,590       1,182,325     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     2/09/17       Open       292,175       292,357     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.75     2/10/17       3/13/17       1,681,000       1,681,560     U.S. Government Sponsored Agency Securities   Up to 30 Days

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    59


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash
Underlying Collateral
  Remaining
Contractual Maturity
of the Agreements1

Deutsche Bank Securities, Inc.

    1.45     2/10/17       Open     $ 561,000     $ 561,339     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.30     2/10/17       Open       143,000       143,077     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     2/14/17       Open       373,000       373,197     Corporate Bonds   Open/Demand

J.P. Morgan Securities LLC

    1.00     2/15/17       3/01/17       4,182,000       4,183,627     Non-Agency Mortgage-Backed Securities   Up to 30 Days

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       634,000       634,358     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       778,000       778,439     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       696,000       696,392     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       588,000       588,332     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       642,000       642,362     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       539,000       539,304     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       484,000       484,273     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       546,000       546,308     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/15/17       Open       275,000       275,133     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     2/15/17       Open       105,300       105,349     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       165,000       165,080     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       358,000       358,173     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       217,000       217,105     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       316,000       316,153     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       398,000       398,192     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       330,000       330,160     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       174,000       174,084     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       292,000       292,141     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       252,000       252,122     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       224,000       224,108     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/17/17       Open       288,000       288,139     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/21/17       Open       234,000       234,047     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/22/17       Open       311,000       311,063     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/22/17       Open       2,172,000       2,172,437     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     2/22/17       Open       924,208       924,388     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/23/17       Open       361,000       361,029     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.25     2/23/17       Open       1,261,000       1,261,088     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     2/24/17       Open       131,000       131,005     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/24/17       Open       196,000       196,008     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     2/24/17       Open       324,000       324,013     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.40     2/27/17       Open       832,800       832,800     Corporate Bonds   Open/Demand

J.P. Morgan Securities LLC

    1.00     2/28/17       3/15/17       4,223,000       4,223,000     Non-Agency Mortgage-Backed Securities   Up to 30 Days

Total

        $ 254,996,505     $ 255,621,583      
       

 

 

     

 

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

 

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Long (Short)
       Issue   Expiration            Notional Value     Unrealized
Appreciation
(Depreciation)
               
  (27      2-Year U.S. Treasury Note     June 2017       $ 5,842,969     $ 1,648      
  (1      5-Year U.S. Treasury Note     June 2017       $ 117,703       163      
  120        5-Year U.S. Treasury Note     June 2017       $ 14,124,375       (15,961    
  (535      10-Year U.S. Treasury Note     June 2017       $ 66,649,297       (239,318    
  (70      10-Year U.S. Ultra Long Treasury Note     June 2017       $ 9,375,625       (63,033    
  (4      Euro BOBL     June 2017       $ 562,160       (4    
  (2      Euro Bund Future     June 2017       $ 344,962       (150    
  (82      Long U.S. Treasury Bond     June 2017       $ 12,435,812       5,107      
  7        Ultra Long U.S. Treasury Bond     June 2017             $ 1,132,469       6,758                  
  Total                $ (304,790    
            

 

 

   

 

See Notes to Financial Statements.

 

                
60    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
        
BRL     578,054       USD       184,800     Goldman Sachs International     3/02/17     $ 1,010    
BRL     588,311       USD       189,821     Morgan Stanley & Co. International PLC     3/02/17       (714  
BRL     1,910,216       USD       616,000     Royal Bank of Scotland PLC     3/02/17       (1,980  
BRL     1,965,564       USD       634,196     Royal Bank of Scotland PLC     3/02/17       (2,385  
USD     186,511       BRL       578,054     Goldman Sachs International     3/02/17       701    
USD     184,800       BRL       588,311     Morgan Stanley & Co. International PLC     3/02/17       (4,307  
USD     616,338       BRL       1,910,216     Royal Bank of Scotland PLC     3/02/17       2,318    
USD     616,000       BRL       1,965,564     Royal Bank of Scotland PLC     3/02/17       (15,811  
USD     129,946       EUR       123,000     Bank of America N.A.     3/06/17       (378  
USD     42,328       EUR       40,000     JPMorgan Chase Bank N.A.     3/06/17       (54  
USD     11,724,258       EUR       10,892,000     Morgan Stanley & Co. International PLC     3/06/17       183,661    
USD     4,797,559       EUR       4,457,000     Morgan Stanley & Co. International PLC     3/06/17       75,154    
USD     180,625       EUR       170,000     State Street Bank and Trust Co.     3/06/17       502    
USD     10,171,040       GBP       8,141,000     Barclays Bank PLC     3/06/17       68,673    
USD     373,559       GBP       299,000     Barclays Bank PLC     3/06/17       2,522    
USD     2,356,293       GBP       1,886,000     Barclays Bank PLC     3/06/17       15,909    
USD     381,272       GBP       304,000     Morgan Stanley & Co. International PLC     3/06/17       4,031    
JPY     40,466,865       USD       360,000     Morgan Stanley & Co. International PLC     3/10/17       273    
USD     360,000       JPY       40,681,836     HSBC Bank PLC     3/10/17       (2,187  
CHF     3,110,731       EUR       2,920,000     BNP Paribas S.A     3/15/17       4,318    
JPY     349,816,384       NZD       4,280,000     Credit Suisse International     3/15/17       33,552    
NOK     12,910,987       AUD       2,040,000     Bank of America N.A.     3/15/17       (23,383  
NOK     12,910,730       AUD       2,040,000     BNP Paribas S.A.     3/15/17       (23,413  
NZD     4,280,000       JPY       347,883,108     Citibank N.A.     3/15/17       (16,335  
USD     3,109,945       GBP       2,500,000     JPMorgan Chase Bank N.A.     3/15/17       6,949    
CAD     2,052,862       AUD       2,040,000     Barclays Bank PLC     3/27/17       (17,289  
CAD     2,075,143       AUD       2,040,000     Barclays Bank PLC     3/27/17       (510  
SEK     13,936,178       NOK       13,060,000     BNP Paribas S.A.     3/27/17       (12,225  
BRL     3,574,161       USD       1,143,000     Goldman Sachs International     4/04/17       (3,100  
USD     616,000       BRL       1,926,586     Royal Bank of Scotland PLC     4/04/17       1,558    
USD     4,666,947       EUR       4,396,000     Bank of America N.A.     4/05/17       2,423    
USD     11,815,998       EUR       11,130,000     Bank of America N.A.     4/05/17       6,134    
USD     10,122,596       GBP       8,140,695     Barclays Bank PLC     4/05/17       12,314    
USD     2,009,425       GBP       1,616,000     Barclays Bank PLC     4/05/17       2,443    
SEK     13,978,129       NZD       2,160,000     Credit Suisse International     4/18/17       (1,400  
USD     148,718       EUR       137,859     Citibank N.A.     2/21/18       (232  
USD     245,034       EUR       227,918     Deutsche Bank AG     2/21/18       (1,221  
USD     243,365       EUR       226,375     Morgan Stanley & Co. International PLC     2/21/18       (1,223        
Total             $ 296,298    
           

 

 

 

OTC Options Purchased

 

Description   Put/
Call
    Counterparty   Expiration
Date
   

Strike
Price

    Notional
Amount
(000)
    Contracts     Value  

AUD Currency

    Call     Morgan Stanley & Co. International PLC     03/23/17       CAD       1.02       AUD       8,145           $ 38,999  

NOK Curency

    Call     Citibank N.A.     03/23/17       SEK       1.08       NOK       77,745             43,411  

Marsico Parent Superholdco LLC

    Call     Goldman Sachs & Co.     12/14/19       USD       942.86               46        

AUD Currency

    Put     Morgan Stanley & Co. International PLC     03/17/17       USD       0.75       AUD       12,190             14,131  

NZD Currency

    Put     BNP Paribas S.A.     03/23/17       JPY       79.50       NZD       8,570             26,025  

EUR Currency

    Put     UBS AG     08/14/17       USD       1.03       EUR       5,895             78,620  

Total

                  $ 201,186  
                 

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    61


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Options Written

 

Description   Put/
Call
    Counterparty     Expiration
Date
   

Strike
Price

    Notional
Amount
(000)
    Value  

AUD Currency

    Call       Morgan Stanley & Co. International PLC       03/17/17       NZD       1.09       AUD       8,125     $ (3,146

NOK Curency

    Call       Citibank N.A.       03/23/17       SEK       1.09       NOK       77,745       (17,045

NZD Currency

    Call       BNP Paribas S.A.       03/23/17       JPY       83.00       NZD       8,570       (8,512

NZD Currency

    Call       Deutsche Bank AG       04/12/17       SEK       6.55       NZD       12,995       (78,383

EUR Currency

    Call       UBS AG       05/12/17       CHF       1.09       EUR       11,790       (50,074

NZD Currency

    Put       Deutsche Bank AG       04/12/17       SEK       6.25       NZD       12,995       (22,259

Total

                $ (179,419
               

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Issuer   Receive
Fixed Rate
  Expiration
Date
    Credit
Rating1
   

Notional
Amount
(000)2

    Unrealized
Depreciation
 

Chesapeake Energy Corp.

  5.00%     12/20/21       CCC       USD       75     $ (852

1    Using Standard & Poor’s (S&P’s) rating of the issure or the underlying securities of the index., as applicable.

     

2    The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

     

Centrally Cleared Interest Rate Swaps

 

Fixed
Rate
     Floating
Rate
  Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
        
1.92%1      3-Month LIBOR     N/A       12/14/21       USD       600     $ 1,423    
1.92%1      3-Month LIBOR     N/A       12/14/21       USD       900       2,052    
1.91%1      3-Month LIBOR     N/A       12/16/21       USD       750       2,135    
2.00%1      3-Month LIBOR     N/A       2/21/22       USD       1,600       (555  
2.54%2      3-Month LIBOR     N/A       9/04/24       USD       18,700       462,408    
2.60%1      3-Month LIBOR     N/A       9/04/24       USD       18,700       (463,936        
Total                $ 3,527    
              

 

 

 

1    Fund pays a fixed rate and receives the floating rate.

       

2    Fund pays a floating rate and receives the fixed rate.

       

OTC Credit Default Swaps — Buy Protection

 

Issuer   Pay
Fixed
Rate
    Counterparty     Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
    Unrealized
Depreciation
 

Australia & New Zealand Banking Group Ltd.

    1.00     Deutsche Bank AG       9/20/17       USD       1     $ (3   $ 2     $ (5

Westpac Banking Corp.

    1.00     Deutsche Bank AG       9/20/17       USD       1       (3     2       (5

Federation of Russia

    1.00     JPMorgan Chase Bank N.A.       12/20/21       USD       1,150       32,714       63,042       (30,328

Federation of Russia

    1.00     Bank of America N.A.       12/20/21       USD       215       6,116       12,218       (6,102

Federation of Russia

    1.00     Bank of America N.A.       12/20/21       USD       210       5,974       11,934       (5,960

Federation of Russia

    1.00     Bank of America N.A.       12/20/21       USD       130       3,698       7,388       (3,690

Federation of Russia

    1.00     Bank of America N.A.       12/20/21       USD       210       5,973       11,940       (5,967

Federation of Russia

    1.00     Bank of America N.A.       12/20/21       USD       215       6,116       12,135       (6,019

Federation of Russia

    1.00     Bank of America N.A.       12/20/21       USD       210       5,974       11,853       (5,879

Total

            $ 66,559     $ 130,514     $ (63,955
           

 

 

   

 

 

   

 

 

 

 

See Notes to Financial Statements.

 

                
62    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Credit Default Swaps — Sell Protection

 

Issuer/Index   Receive
Fixed
Rate
    Counterparty     Expiration
Date
    Credit
Rating1
    Notional
Amount
(000)2
    Value     Premiums
Paid
(Received)
   

Unrealized

Appreciation
(Depreciation)

 

Hellenic Telecommunications Organization SA

    5.00     Barclays Bank PLC       12/20/21       B+       EUR       20     $ 1,502     $ 1,296     $ 206  

UniCredit SPA

    1.00     Barclays Bank PLC       12/20/21       BBB-       EUR       10       (351     (562     211  

UniCredit SPA

    1.00     BNP Paribas S.A.       12/20/21       BBB-       EUR       5       (183     (229     46  

Markit CMBX North America, Series 8

    3.00     Barclays Bank PLC       10/17/57       BBB-       USD       5,000       (761,170     (525,399     (235,771

Markit CMBX North America, Series 8

    3.00     Credit Suisse International       10/17/57       BBB-       USD       2,500       (380,584     (259,570     (121,014

Markit CMBX North America, Series 8

    3.00    
Morgan Stanley & Co.
International PLC
 
 
    10/17/57       BBB-       USD       4,450       (677,442     (616,043     (61,399

Markit CMBX North America, Series 9

    3.00    
Morgan Stanley & Co.
International PLC
 
 
    9/17/58       BBB-       USD       7,550       (942,784     (965,540     22,756  
                 

Total

              $ (2,761,012   $ (2,366,047   $ (394,965
             

 

 

 

1    Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

     

2    The maximum potential amount the Fund may pay should a negative credit event take place, as defined under the terms of the agreement.

     

 

Transactions in Options Written for the Period Ended February 28, 2017
        Calls  
              Notional (000)              
          Contracts     AUD     EUR     GBP     NOK     NZD     USD     Premiums
Received
        

Outstanding options, beginning of period

            12,265                               15,965     $ 264,928    

Options written

            45,315       115,640       19,725       155,090       21,565       33,450       1,198,960    

Options exercised

            (12,365     (20,500           (77,345                 (241,130  

Options expired

            (24,825     (77,770     (14,910                 (22,775     (665,153  

Options closed

            (12,265     (5,580     (4,815                 (26,640     (383,568  
   

 

 

 

Outstanding options, end of period

            8,125       11,790             77,745       21,565           $ 174,037    
   

 

 

 

 

        Puts  
              Notional (000)              
          Contracts     AUD     CAD     EUR     GBP     NOK     NZD     USD     Premiums
Received
        

Outstanding options, beginning of period

                                                9,735     $ 63,575    

Options written

            22,650       12,340       58,950       18,245       38,875       43,580       4,690       786,214    

Options exercised

                        (18,355     (13,430                       (319,760  

Options expired

            (22,650     (12,340     (23,935     (4,815           (30,585     (14,035     (406,898  

Options closed

                        (16,660           (38,875           (390     (82,181  
   

 

 

 

Outstanding options, end of period

                                          12,995           $ 40,950    
   

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure      

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

          Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         
Assets — Derivative Financial Instruments                                                        

Futures contracts

  Net unrealized appreciation1                           $ 13,676           $ 13,676    

Forward foreign currency exchange contracts

  Unrealized appreciation on forward foreign currency exchange contracts                     $ 424,445                   424,445    

Options purchased

  Investments at value — unaffiliated                       201,186                   201,186    

Swaps — centrally cleared

  Net unrealized appreciation1                             468,018             468,018    

Swaps — OTC

  Unrealized depreciation on OTC swaps; Swap premiums paid         $ 155,029                               155,029    
   

 

 

 

Total

          $ 155,029           $ 625,631     $ 481,694           $ 1,262,354    
   

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    63


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

          Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         
Liabilities — Derivative Financial Instruments                                                        

Futures contracts

  Net unrealized depreciation1                           $ 318,466           $ 318,466    

Forward foreign currency exchange contracts

  Unrealized depreciation on forward foreign currency exchange contracts                     $ 128,147                   128,147    

Options written

  Options written at value                       179,419                   179,419    

Swaps — centrally cleared

  Net unrealized depreciation1         $ 852                   464,491             465,343    

Swaps — OTC

  Unrealized depreciation on OTC swaps; Swap premiums received           2,849,482                               2,849,482    
   

 

 

 

Total

          $ 2,850,334           $ 307,566     $ 782,957           $ 3,940,857    
   

 

 

 

1    Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

     

 

For the six months ended February 28, 2017, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         

Futures contracts

                          $ 3,770,665           $ 3,770,665    

Forward foreign currency exchange contracts

                    $ 1,028,456                   1,028,456    

Options purchased1

                      (1,777,254                 (1,777,254  

Options written

                      1,502,699                   1,502,699    

Swaps

        $ 241,822                   228,296             470,118    
 

 

 

 

Total

        $ 241,822           $ 753,901     $ 3,998,961           $ 4,994,684    
 

 

 

 
 
Net Change in Unrealized Appreciation (Depreciation) on:                                                   

Futures contracts

                          $ (430,848         $ (430,848  

Forward foreign currency exchange contracts

                    $ 168,438                   168,438    

Options purchased1

                      212,824                   212,824    

Options written

                      (80,621                 (80,621  

Swaps

        $ 8,498                   7,882             16,380    
 

 

 

 

Total

        $ 8,498           $ 300,641     $ (422,966         $ (113,827  
 

 

 

 

1    Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

     

       

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

       

Average notional value of contracts — long

  $ 23,748,719  

Average notional value of contracts — short

  $ 91,833,221  
Forward foreign currency exchange contracts:  

Average amounts purchased — in USD

  $ 108,242,002  

Average amounts sold — in USD

  $ 45,358,932  
Options:  

Average value of option contracts purchased

  $ 509,758  

Average value of option contracts written

  $ 552,822  
Credit default swaps:  

Average notional value — buy protection

  $ 2,341,000  

Average notional value — sell protection

  $ 14,759,806  
Interest rate swaps:  

Average notional value — pays fixed rate

  $ 20,625,000  

Average notional amount — receives fixed rate

  $ 18,700,000  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
64    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

     Assets     Liabilities  

Futures contracts

  $ 227     $ 28,532  

Forward foreign currency exchange contracts

    424,445       128,147  

Options

    201,186 1      179,419  

Swaps — Centrally cleared

          538  

Swaps — OTC2

    155,029       2,849,482  
 

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

  $ 780,887     $ 3,186,118  
 

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

    (227     (29,070
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 780,660     $ 3,157,048  
 

 

 

 

1    Includes options purchased at value which is included in Investments at value — unaffiliated in the Statments of Assets and Liabilities and reported in the Schedule of Investments.

     

2    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid (received) in the Statements of Assets and Liabilities.

     

The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received and pledged by the Fund:

 

Counterparty   Derivative Assets
Subject to an MNA
by Counterparty
    Derivatives Available
for Offset1
    Non-cash
Collateral
Received
    Cash
Collateral
Received
    Net Amount of
Derivative Assets2,5
        

Bank of America N.A.

  $ 76,025     $ (57,378               $ 18,647    

Barclays Bank PLC

    103,574       (103,574                    

BNP Paribas S.A.

    30,389       (30,389                    

Citibank N.A.

    43,411       (33,612                 9,799    

Credit Suisse International

    33,552       (33,552                    

Deutsche Bank AG

    4       (4                    

Goldman Sachs International

    1,711       (1,711                    

JPMorgan Chase Bank N.A.

    69,991       (30,382                 39,609    

Morgan Stanley & Co. International PLC

    339,005       (339,005                    

Royal Bank of Scotland PLC

    3,876       (3,876                    

State Street Bank and Trust Co.

    502                         502    

UBS AG

    78,620       (50,074                 28,546    
 

 

 

 

Total

  $ 780,660     $ (683,557               $ 97,103    
 

 

 

 
           
Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
    Derivatives Available
for Offset1
    Non-cash
Collateral
Pledged
    Cash
Collateral
Pledged3
    Net Amount of
Derivative Liabilities4,5
        

Bank of America N.A.

  $ 57,378     $ (57,378                    

Barclays Bank PLC

    779,531       (103,574         $ (640,000   $ 35,957    

BNP Paribas S.A.

    44,379       (30,389                 13,990    

Citibank N.A.

    33,612       (33,612                    

Credit Suisse International

    381,984       (33,552           (348,432        

Deutsche Bank AG

    101,873       (4           (90,000     11,869    

Goldman Sachs International

    3,100       (1,711                 1,389    

HSBC Bank PLC

    2,187                         2,187    

JPMorgan Chase Bank N.A.

    30,382       (30,382                    

Morgan Stanley & Co. International PLC

    1,652,372       (339,005                 1,313,367    

Royal Bank of Scotland PLC

    20,176       (3,876                 16,300    

UBS AG

    50,074       (50,074                    
 

 

 

 

Total

  $ 3,157,048     $ (683,557         $ (1,078,432   $ 1,395,059    
 

 

 

 

1    The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.

     

 

2    Net amount represents the net amount receivable from the counterparty in the event of default.

     

 

3    Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

     

 

4    Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

     

 

5    Net amount may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized.

     

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    65


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

           $ 70,575,372        $ 7,006,265        $ 77,581,637  

Common Stocks

  $ 3,376          9,047          1,176,534          1,188,957  

Corporate Bonds

             411,741,987          1,163,602          412,905,589  

Floating Rate Loan Interests

             224,307,976          12,661,424          236,969,400  

Foreign Agency Obligations

             29,373,739                   29,373,739  

Non-Agency Mortgage-Backed Securities

             60,189,760                   60,189,760  

Other Interests

                      10          10  

Preferred Securities

    14,193,258          51,540,211                   65,733,469  

U.S. Government Sponsored Agency Securities

             5,131,565                   5,131,565  

U.S. Treasury Obligations

             2,896,125                   2,896,125  

Rights

                      36,493          36,493  

Warrants

                      24,290          24,290  

Unfunded Floating Rate Loan Interests1

             2,401                   2,401  

Short-Term Securities

    2,168,959                            2,168,959  

Options Purchased:

                

Foreign Currency Exchange Contracts

             201,186                   201,186  
 

 

 

 

Subtotal

  $ 16,365,593        $ 855,969,369        $ 22,068,618        $ 894,403,580  
 

 

 

 

Investments valued at NAV2

                   120,717  
                

 

 

 

Total Investments

                 $ 894,524,297  
                

 

 

 
                
                                       
Derivative Financial Instruments 3                 

Assets:

                

Foreign currency exchange contracts

           $ 424,445                 $ 424,445  

Credit contracts

             23,219                   23,219  

Interest rate contracts

  $ 13,676          468,018                   481,694  

Liabilities:

                

Foreign currency exchange contracts

             (307,566                 (307,566

Credit contracts

             (482,991                 (482,991

Interest rate contracts

    (318,466        (464,491                 (782,957
 

 

 

 

Total

  $ (304,790      $ (339,366               $ (644,156
 

 

 

 

1    Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

     

2    As of February 28, 2017, certain Investments of the Fund were fair valued using net asset value per share as no quoted market value is available and have been excluded from the fair value hierarchy.

     

3    Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

     

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, reverse repurchase agreements of $255,621,583 are categorized as Level 2 within the disclosure hierarchy

During the six months ended February 28, 2017, there were no transfers between Level 1 and Level 2.

 

See Notes to Financial Statements.

 

                
66    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (concluded)

  

BlackRock Limited Duration Income Trust (BLW)

 

A reconciliation of Level 3 Investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Rights     Warrants     Total  
Assets:                

Opening balance, as of August 31, 2016

  $ 18,351,873     $ 1,167,006     $ 1,163,250     $ 12,230,322     $ 193,629           $ 6,316     $ 33,112,396  

Transfers into Level 3

                      4,148,994                         4,148,994  

Transfers out of Level 31

    (2,952,810                 (6,067,534                       (9,020,344

Other2

          (12,000                     $ 12,000              

Accrued discounts/premiums

    (51,320           400       11,006                         (39,914

Net realized gain (loss)

    (638,505     689,120       (374,995     (286,477     193,619                   (417,238

Net change in unrealized appreciation (depreciation)3,4

    1,614,058       618,039       374,947       543,406       (193,619     24,493       17,974       2,999,298  

Purchases

    4,496,360                   5,795,252                         10,291,612  

Sales

    (13,813,391     (1,285,631           (3,713,545     (193,619                 (19,006,186
 

 

 

 

Closing Balance, as of February 28, 2017

  $ 7,006,265     $ 1,176,534     $ 1,163,602     $ 12,661,424     $ 10     $ 36,493     $ 24,290     $ 22,068,618  
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 20173

  $ 112,140     $ 989,625     $ 351     $ 189,220           $ 24,493     $ 17,974     $ 1,333,803  
 

 

 

 

1    As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2017, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

     

2    Certain Level 3 investments were re-classified between Common Stocks and Rights.

     

       

3    Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

     

4    Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

     

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

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    67


Statements of Assets and Liabilities     

 

February 28, 2017 (Unaudited)   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
   

BlackRock
Floating Rate
Income

Strategies
Fund, Inc.
(FRA)1

   

BlackRock
Limited

Duration
Income Trust
(BLW)

 
     
Assets                        

Investments at value — unaffiliated2

  $ 146,488,839     $ 828,661,430     $ 892,352,937  

Investments at value — affiliated3

    337,646             2,168,959  

Cash

    1,315,294       4,946,740       979,099  
Cash pledged:      

Centrally cleared swaps

    16,000       127,000       135,320  

Collateral — OTC derivatives

                1,260,000  

Futures contracts

    6,700       24,000       1,228,995  

Foreign currency at value4

    818,158       260,034       3,634,708  
Receivables:      

Investments sold

    4,893,443       12,210,997       6,868,194  

Interest — unaffiliated

    610,695       2,996,941       8,757,009  

Dividends — affiliated

    264       1,535       2,242  

Variation margin on futures contracts

    62       250       277  

Variation margin on centrally cleared swaps

    11       7        

Reverse repurchase agreements

                5,055,800  

Swap premiums paid

                131,810  
Unrealized appreciation on:      

Forward foreign currency exchange contracts

    5,517       62,937       424,445  

OTC derivatives

                23,219  

Unfunded floating rate loan interests

    1,245       5,425       2,401  

Prepaid expenses

    10,965       25,721       26,988  
 

 

 

   

 

 

   

 

 

 

Total assets

    154,504,839       849,323,017       923,052,403  
 

 

 

   

 

 

   

 

 

 
     
Liabilities                        

Cash received as collateral for reverse repurchase agreements

                260,000  

Swap premiums received

                2,367,343  

Options written at value5

                179,419  

Reverse repurchase agreements

                255,621,583  
Payables:      

Bank borrowings

    28,000,000       213,000,000        

Investments purchased

    698,526       74,132,199       35,437,195  

Investment advisory fees

    122,251       443,635       368,468  

Income dividends

    68,160       88,099       87,144  

Interest expense

    44,943       262,987        

Officer’s and Directors’ fees

    1,518       6,635       382,606  

Principle paydowns

                42,304  

Variation margin on futures contracts

                28,532  

Deferred foreign capital gain tax

          187,467        

Variation margin on centrally cleared swaps

                538  

Reverse repurchase agreements

                992,308  

Other accrued expenses

    149,917       336,966       361,391  
Unrealized depreciation on:      

Forward foreign currency exchange contracts

          26,749       128,147  

OTC derivatives

                482,139  

Commitments and contingencies

          9      9 
 

 

 

   

 

 

   

 

 

 

Total liabilities

    29,085,315       288,484,737       296,739,117  
 

 

 

 

Net Assets

  $ 125,419,524     $ 560,838,280     $ 626,313,286  
 

 

 

   

 

 

   

 

 

 
     

 

 

See Notes to Financial Statements.      
                
68    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Statements of Assets and Liabilities (concluded)     

 

February 28, 2017 (Unaudited)   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
   

BlackRock
Floating Rate
Income

Strategies
Fund, Inc.
(FRA)1

   

BlackRock
Limited

Duration
Income Trust
(BLW)

 
     
Net Assets Consist of  

Paid-in capital6,7,8

  $ 128,319,712     $ 659,688,373     $ 701,014,215  

Undistributed (distributions in excess of) net investment income

    320,534       1,405,776       (213,432

Accumulated net realized loss

    (4,391,801     (103,323,908     (82,299,226

Net unrealized appreciation (depreciation)

    1,171,079       3,068,039       7,811,729  
 

 

 

   

 

 

   

 

 

 

Net Assets

  $ 125,419,524     $ 560,838,280     $ 626,313,286  
 

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $ 13.87     $ 15.06     $ 16.93  
 

 

 

   

 

 

   

 

 

 

1    Consolidated Statement of Assets and Liabilities

     

2    Investments at cost — unaffiliated

  $ 145,324,936     $ 825,721,130     $ 884,110,412  

3    Investments at cost — affiliated

  $ 337,646           $ 2,168,959  

4    Foreign currency at cost

  $ 821,566     $ 261,846     $ 3,621,336  

5    Premiums received

              $ 214,987  

6    Par value per share

  $ 0.001     $ 0.001     $ 0.001  

7    Shares outstanding

  $ 9,044,041     $ 37,232,488     $ 37,003,854  

8    Shares authorized

    unlimited       200 million       unlimited  

9    See Note 4 and Note 12 of the Notes to Financial Statements for details of commitments and contingencies.

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    69


Statements of Operations     

 

Six Months Ended February 28, 2017 (Unaudited)   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
   

BlackRock
Floating Rate

Income

Strategies

Fund, Inc.
(FRA)1

   

BlackRock
Limited

Duration
Income Trust
(BLW)

 
     
Investment Income                        

Interest — unaffiliated

  $ 4,163,899     $ 19,298,622     $ 23,153,854  

Dividends — unaffiliated

    24,913       111,127       299,720  

Dividends — affiliated

    7,672       35,108       21,026  
 

 

 

   

 

 

   

 

 

 

Total investment income

    4,196,484       19,444,857       23,474,600  
 

 

 

   

 

 

   

 

 

 
     
Expenses                        

Investment advisory

    842,959       2,912,054       2,396,402  

Professional

    53,798       129,297       99,934  

Custodian

    36,963       105,530       82,346  

Transfer agent

    11,032       31,353       38,055  

Accounting services

    9,730       31,879       61,936  

Printing

    7,208       11,207       12,159  

Officer and Directors

    5,431       24,117       51,455  

Registration

    4,971       7,588       7,540  

Miscellaneous

    13,127       215,626       37,271  
 

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense

    985,219       3,468,651       2,787,098  

Interest expense

    309,564       1,547,583       1,319,618  
 

 

 

   

 

 

   

 

 

 

Total expenses

    1,294,783       5,016,234       4,106,716  

Less fees waived by the Manager

    (1,146     (4,156     (3,214

Less fees paid indirectly

                (167
 

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or paid indirectly

    1,293,637       5,012,078       4,103,335  
 

 

 

   

 

 

   

 

 

 

Net investment income

    2,902,847       14,432,779       19,371,265  
 

 

 

   

 

 

   

 

 

 
     
Realized and Unrealized Gain (Loss)                        
Net realized gain (loss) from:      

Investments — unaffiliated

    124,686       1,744,090       (329,640

Investments — affiliated

    1,068       2,741       (3,886

Futures contracts

    19,012       81,966       3,770,665  

Forward foreign currency exchange contracts

    (7,059     (17,354     1,028,456  

Foreign currency transactions

    54,145       219,558       1,432,200  

Capital gain distributions from investment companies — affiliated

    2       13       12  

Options written

                1,502,699  

Swaps

    65,764       245,427       470,118  
 

 

 

   

 

 

   

 

 

 
    257,618       2,276,441       7,870,624  
 

 

 

   

 

 

   

 

 

 
Net change in unrealized appreciation (depreciation) on:      

Investments — unaffiliated

    1,716,531       10,494,717       4,569,003  

Investments — affiliated

    (6,079     (26,532     (3,377

Futures contracts

    1,522       5,607       (430,848

Forward foreign currency exchange contracts

    4,430       27,014       168,438  

Foreign currency translations

    (5,105     59,166       (42,338

Options written

                (80,621

Swaps

    (4,073     (15,879     16,380  

Unfunded floating rate loan interests

    (48     (5,691     968  
 

 

 

   

 

 

   

 

 

 
    1,707,178       10,538,402       4,197,605  
 

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

    1,964,796       12,814,843       12,068,229  
 

 

 

   

 

 

   

 

 

 

Net Increase in Net Assets Resulting from Operations

  $ 4,867,643     $ 27,247,622     $ 31,439,494  
 

 

 

   

 

 

   

 

 

 

1    Consolidated Statement of Operations.

     

 

 

See Notes to Financial Statements.      
                
70    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Statements of Changes in Net Assets     

 

    BlackRock Defined Opportunity
Credit Trust (BHL)
          BlackRock Floating Rate Income
Strategies Fund, Inc. (FRA)1
 
Increase (Decrease) in Net Assets:   Six Months Ended
February 28,
2017
(Unaudited)
    Year Ended
August 31,
2016
          Six Months Ended
February 28,
2017
(Unaudited)
   

Year Ended

August 31,
2016

 
         
Operations                                        

Net investment income

  $ 2,902,847     $ 5,780,621       $ 14,432,779     $ 28,437,150  

Net realized gain (loss)

    257,618       (2,841,854       2,276,441       (9,800,070

Net change in unrealized appreciation (depreciation)

    1,707,178       1,595,681         10,538,402       4,497,103  
 

 

 

     

 

 

 

Net increase in net assets resulting from operations

    4,867,643       4,534,448         27,247,622       23,134,183  
 

 

 

     

 

 

 
         
Distributions to Shareholders2                                        

From net investment income

    (3,364,383     (5,800,975       (16,680,155     (27,967,481
 

 

 

     

 

 

 
         
Net Assets                                        

Total increase (decrease) in net assets

    1,503,260       (1,266,527       10,567,467       (4,833,298

Beginning of period

    123,916,264       125,182,791         550,270,813       555,104,111  
 

 

 

     

 

 

 

End of period

  $ 125,419,524     $ 123,916,264       $ 560,838,280     $ 550,270,813  
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 320,534     $ 782,070       $ 1,405,776     $ 3,653,152  
 

 

 

     

 

 

 

 

    BlackRock Limited Duration
Income Trust (BLW)
 
Increase (Decrease) in Net Assets:   Six Months Ended
February 28,
2017
(Unaudited)
   

Year Ended

August 31,
2016

 
   
Operations                

Net investment income

  $ 19,371,265     $ 48,949,670  

Net realized gain (loss)

    7,870,624       (26,033,447

Net change in unrealized appreciation (depreciation)

    4,197,605       17,919,734  
 

 

 

 

Net increase in net assets resulting from operations

    31,439,494       40,835,957  
 

 

 

 
   
Distributions to Shareholders2                

From net investment income

    (28,344,952     (48,005,248
 

 

 

 
   
Net Assets                

Total increase (decrease) in net assets

    3,094,542       (7,169,291

Beginning of period

    623,218,744       630,388,035  
 

 

 

 

End of period

  $ 626,313,286     $ 623,218,744  
 

 

 

 

Undistributed (distribution in excess of) net investment income, end of period

  $ (213,432   $ 8,760,255  
 

 

 

 

 

  1   

Consolidated Statements of Changes in Net Assets.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    71


Statements of Cash Flows     

 

Six Months Ended February 28, 2017 (Unaudited)   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
    BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited
Duration
Income Trust
(BLW)
 
     
Cash Provided by Operating Activities                        

Net increase in net assets resulting from operations

  $ 4,867,643     $ 27,247,622     $ 31,439,494  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

     

Proceeds from sales of long-term investments and principal paydowns

    64,251,476       275,365,894       268,133,867  

Purchases of long-term investments

    (45,618,755     (258,761,868     (252,993,155

Net proceeds from sales of short-term securities

          1,859,207       742,820  

Net purchases of short-term securities

    (117,546            

Amortization of premium and accretion of discount on investments and other fees

    (103,730     (535,566     650,478  

Paid-in-kind income

    (96,324     (641,346     (285,727

Premiums paid on closing options written

                (562,383

Premiums received from options written

                1,985,174  

Net realized gain on investments and options written

    (117,479     (1,594,492     (1,275,635

Net unrealized gain on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests

    (1,708,119     (10,458,891     (4,645,050

(Increase) Decrease in Assets:

     

Cash Pledged:

     

Collateral — OTC derivatives

                420,000  

Centrally cleared swaps

    (16,000     (127,000     (114,150

Futures contracts

    (1,000     (1,000     (255,525

Receivables:

     

Interest — unaffiliated

    235,413       884,824       280,447  

Dividends — affiliated

    (133     (925     (1,005

Dividends — unaffiliated

                31  

Variation margin on futures contracts

    (62     (250     6,191  

Variation margin on centrally cleared swaps

    (11     (7     829  

Swap premiums paid

                (61,031

Prepaid expenses

    (6,564     (16,368     (17,062

Increase (Decrease) in Liabilities:

     

Cash received as collateral for reverse repurchase agreements

                (1,418,000

Payables:

     

Investment advisory fees

    (159,774     (525,300     (437,972

Interest expense and fees

    380       36,747       (162,853

Deferred foreign capital gain tax

          187,467        

Officer’s and Directors’ fees

    (1,297     (5,817     15,982  

Variation margin on futures contracts

                28,532  

Variation margin on centrally cleared swaps

                538  

Other accrued expenses

    736       12,347       82,933  

Swap premiums received

                1,577,044  
 

 

 

 

Net cash provided by operating activities

    21,408,854       32,925,278       43,134,812  
 

 

 

 
     
Cash Used for Financing Activities                        

Cash dividends paid to Common Shareholders

    (3,367,674     (16,686,070     (28,352,695

Payments on bank borrowings

    (50,000,000     (190,000,000      

Proceeds from bank borrowings

    34,000,000       178,000,000        

Net borrowing of reverse repurchase agreements

                (11,447,644
 

 

 

 

Net cash used for financing activities

    (19,367,674     (28,686,070     (39,800,339
 

 

 

 
     
Cash Impact from Foreign Exchange Fluctuations  

Cash impact from foreign exchange fluctuations

  $ (3,314   $ (1,745   $ 21,741  
 

 

 

 
     
Cash and Foreign Currency                        

Net increase in cash and foreign currency at value

    2,037,866       4,237,463       3,356,214  

Cash and foreign currency at value at beginning of period

    95,586       969,311       1,257,593  
 

 

 

 

Cash and foreign currency at value at end of period

  $ 2,133,452     $ 5,206,774     $ 4,613,807  
 

 

 

 
     
Supplemental Disclosure of Cash Flow Information                        

Cash paid during the period for interest expense

  $ 309,184     $ 1,510,836     $ 1,482,471  
 

 

 

 

 

  1   

Consolidated Statement of Cash Flows.

 

 

See Notes to Financial Statements.      
                
72    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Financial Highlights    BlackRock Defined Opportunity Credit Trust (BHL)

 

   

Six Months Ended
February 28,
2017
(Unaudited)

    Year Ended August 31,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 13.70     $ 13.84     $ 14.41     $ 14.44     $ 14.12     $ 13.17  
 

 

 

 

Net investment income1

    0.32       0.64       0.71       0.77       0.87       0.85  

Net realized and unrealized gain (loss)

    0.22       (0.14     (0.38     0.03       0.30       0.90  
 

 

 

 

Net increase from investment operations

    0.54       0.50       0.33       0.80       1.17       1.75  
 

 

 

 
Distributions: 2            

From net investment income

    (0.37     (0.64     (0.76     (0.83     (0.85     (0.80

From net realized gain

                (0.14                  
 

 

 

 

Total distributions

    (0.37     (0.64     (0.90     (0.83     (0.85     (0.80
 

 

 

 

Net asset value, end of period

  $ 13.87     $ 13.70     $ 13.84     $ 14.41     $ 14.44     $ 14.12  
 

 

 

 

Market price, end of period

  $ 13.88     $ 13.42     $ 12.95     $ 13.84     $ 13.77     $ 13.94  
 

 

 

 
           
Total Return3                                                

Based on net asset value

    4.02% 4      3.91%       2.80%       5.98%       8.52%       13.94%  
 

 

 

 

Based on market price

    6.26% 4      8.79%       0.15%       6.75%       4.82%       17.12%  
 

 

 

 
           
Ratios to Average Net Assets                                                

Total expenses

    2.09% 5,6      1.93%       2.01%       1.92%       1.92%       1.91%  
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    2.09% 5,6      1.93%       2.01%       1.92%       1.92%       1.91%  
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense

    1.59% 5,6      1.56%       1.64%       1.60%       1.58% 7      1.61% 7 
 

 

 

 

Net investment income

    4.69% 5,6      4.75%       5.03%       5.31%       6.04%       6.24%  
 

 

 

 
           
Supplemental Data                                                

Net assets, end of period (000)

  $  125,420     $  123,916     $  125,183     $  130,351     $  130,599     $  127,455  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 28,000     $ 44,000     $ 45,000     $ 55,000     $ 49,000     $ 55,000  
 

 

 

 

Asset coverage, end of period per $1,000 of bank borrowings

  $ 5,479     $ 3,816     $ 3,782     $ 3,370     $ 3,665     $ 3,317  
 

 

 

 

Portfolio turnover rate

    21%       51%       42%       59%       85%       53%  
 

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

 

  7   

For the years ended August 31, 2013 and August 31, 2012, the total expense ratios after fees waived and/or paid indirectly and excluding interest expense and borrowing cost were 1.57% and 1.52%, respectively.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    73


Consolidated Financial Highlights    BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

   

Six Months Ended
February 28,
2017
(Unaudited)

    Year Ended August 31,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.78     $ 14.91     $ 15.38     $ 15.36     $ 14.98     $ 14.04  
 

 

 

 

Net investment income1

    0.39       0.76       0.81       0.87       0.99       0.97  

Net realized and unrealized gain (loss)

    0.34       (0.14     (0.47     0.04       0.42       0.90  
 

 

 

 

Net increase from investment operations

    0.73       0.62       0.34       0.91       1.41       1.87  
 

 

 

 

Distributions from net investment income2

    (0.45     (0.75     (0.81     (0.89     (1.03     (0.93
 

 

 

 

Net asset value, end of period

  $ 15.06     $ 14.78     $ 14.91 3    $ 15.38     $ 15.36     $ 14.98  
 

 

 

 

Market price, end of period

  $ 14.74     $ 13.70     $ 12.94     $ 14.26     $ 14.96     $ 15.20  
 

 

 

 
           
Total Return4                                                

Based on net asset value

    5.13% 5      5.00%       2.88% 3      6.45%       9.68%       13.91%  
 

 

 

 

Based on market price

    11.02% 5      12.14%       (3.71 )%      1.33%       5.28%       21.74%  
 

 

 

 
           
Ratios to Average Net Assets                                                

Total expenses

    1.82% 6      1.54%       1.56%       1.48%       1.54% 7      1.67% 8 
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    1.82% 6      1.54%       1.56%       1.48%       1.52% 7      1.67% 8 
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense

    1.26% 6      1.14%       1.19%       1.15%       1.15% 7,9      1.35% 8,9 
 

 

 

 

Net investment income

    5.24% 6      5.27%       5.39%       5.65%       6.49%       6.67%  
 

 

 

 
           
Supplemental Data                                                

Net assets, end of period (000)

  $  560,838     $  550,271     $  555,104     $  572,463     $  571,802     $  276,990  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 213,000     $ 225,000     $ 196,000     $ 235,000     $ 214,000     $ 117,000  
 

 

 

 

Asset coverage, end of period per $1,000 of bank borrowings

  $ 3,633     $ 3,446     $ 3,832     $ 3,436     $ 3,672     $ 3,367  
 

 

 

 

Portfolio turnover rate

    34%       48%       43%       58%       88%       53%  
 

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized

 

  7   

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or paid indirectly and total expenses after fees waived and/or paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.

 

  8   

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or paid indirectly and total expenses after fees waived and/or paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively.

 

  9   

For the years ended August 31, 2013 and August 31, 2012, the total expense ratios after fees waived and/or paid indirectly and excluding interest expense and borrowing costs were 1.14% and 1.26%, respectively.

 

 

See Notes to Financial Statements.      
                
74    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Financial Highlights    BlackRock Limited Duration Income Trust (BLW)

 

   

Six Months Ended
February 28,
2017
(Unaudited)

    Year Ended August 31,  
      2016     20151     20141     20131     20121  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 16.84     $ 17.04     $ 18.09     $ 17.54     $ 17.38     $ 16.52  
 

 

 

 

Net investment income2

    0.52       1.32       1.16       1.26       1.30       1.31  

Net realized and unrealized gain (loss)

    0.34       (0.22     (0.92     0.51       0.25       0.88  
 

 

 

 

Net increase from investment operations

    0.86       1.10       0.24       1.77       1.55       2.19  
 

 

 

 

Distributions from net investment income3

    (0.77 )4      (1.30     (1.29     (1.22     (1.39     (1.33
 

 

 

 

Net asset value, end of period

  $ 16.93     $ 16.84     $ 17.04 5    $ 18.09     $ 17.54     $ 17.38  
 

 

 

 

Market price, end of period

  $ 15.98     $ 15.74     $ 14.60     $ 16.81     $ 16.89     $ 18.00  
 

 

 

 
           
Total Return6                                                

Based on net asset value

    5.61% 7      7.78%       2.23% 5      10.77%       9.13%       13.86%  
 

 

 

 

Based on market price

    6.64% 7      17.59%       (5.74)%       6.89%       1.47%       21.68%  
 

 

 

 
           
Ratios to Average Net Assets                                                

Total expenses

    1.33% 8      1.21%       1.15%       1.14%       1.12%       1.05%  
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    1.33% 8      1.21%       1.15%       1.14%       1.12%       1.05%  
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense

    0.90% 8      0.89%       0.92%       0.92%       0.90%       0.89%  
 

 

 

 

Net investment income

    6.28% 8      8.04%       6.65%       7.00%       7.34%       7.82%  
 

 

 

 
           
Supplemental Data                                                

Net assets, end of period (000)

  $  626,313     $  623,219     $  630,388     $  669,382     $  649,120     $  642,391  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 255,622     $ 263,445     $ 264,036     $ 293,890     $ 273,347     $ 296,476  
 

 

 

 

Portfolio turnover rate

    30%       54%       47%       57%       71%       54%  
 

 

 

 

 

  1   

Consolidated Financial Highlights.

 

  2   

Based on average shares outstanding.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

 

  5   

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

 

  6   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  7   

Aggregate total return.

 

  8   

Annualized.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    75


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually, a “Fund”:

 

Fund Name   Herein Referred To As     Organized     Diversification Classification  

BlackRock Defined Opportunity Credit Trust

    BHL       Delaware       Diversified  

BlackRock Floating Rate Income Strategies Fund, Inc.

    FRA       Maryland       Diversified  

BlackRock Limited Duration Income Trust

    BLW       Delaware       Diversified  

The Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset value (“NAV”) of their Common Shares on a daily basis.

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (“the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of FRA include the accounts of FRA Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly owned taxable subsidiary of FRA, the Taxable Subsidiary enables FRA to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for FRA. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for FRA. FRA may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Taxable Subsidiary as of period end were $2,866,093, which is 0.5% of FRA’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to FRA.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Foreign Currency: Each Fund’s books and records are maintained in U.S. dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

 

                
76    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the independent Directors (“Independent Directors”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, if applicable. Deferred compensation liabilities are included in officer’s and directors’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Funds’ presentation in the Statements of Cash Flows.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Through May 31, 2016, the Funds had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned may have been utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Funds no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

 

 

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

 

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but the Funds may hold or transact in such securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    77


Notes to Financial Statements (continued)     

 

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Futures contracts traded on exchanges are valued at their last sale price.

 

 

Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

 

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

 

Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include Market approach, Income approach and Cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately-held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

    (i   recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
    (ii   recapitalizations and other transactions across the capital structure; and
      (iii   market multiples of comparable issuers.

Income approach

    (i   future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;
    (ii   quoted prices for similar investments or assets in active markets; and
      (iii   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

    (i   audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
    (ii   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
    (iii   relevant news and other public sources; and
      (iv   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

 

                
78    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund 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 each Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of February 28, 2017, certain investments of BLW were valued using net asset value per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

4. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a Fund may subsequently have to reinvest the proceeds at lower interest rates. If a Fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”), there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    79


Notes to Financial Statements (continued)     

 

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a Fund’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a Fund to purchase a specified 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. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a Fund will lose any amount it paid for

 

                
80    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result to proceeds from the sale to not be readily available for a Fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a Fund to the extent that it invests in floating rate loan interest. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a Fund’s investment policies.

When a Fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a Fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A Fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A Fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a Fund having a contractual relationship only with the lender, not with the borrower. A Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A Fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a Fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A Fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a Fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a Fund having a direct contractual relationship with the borrower, and a Fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:

 

Fund   Borrower      Par      Commitment
Amount
     Value      Unrealized
Appreciation
 

BHL

    Oberthur Technologies SA      $ 86,579      $ 86,146      $ 87,391      $ 1,245  

FRA

    Oberthur Technologies SA      $ 377,237      $ 375,350      $ 380,775      $ 5,425  

BLW

    Oberthur Technologies SA      $ 166,974      $ 166,139      $ 168,540      $ 2,401  

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Fund may be required to pay more at settlement than the security is worth. In addition, a Fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Commitments: Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate a Fund to make future cash payments. As of February 28, 2017, BLW had outstanding commitments of

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    81


Notes to Financial Statements (continued)     

 

$5,600,000 in connection with the Chapter 11 cases of Energy Future Holding Corp., et al. These commitments are not included in the net assets of BLW as of February 28, 2017.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a Fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A Fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a Fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a Fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a Fund would still be required to pay the full repurchase price. Further, a Fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a Fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to a Fund.

For the six months ended February 28, 2017, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $256,590,202 and 1.04%, respectively.

Reverse repurchase transactions are entered into by a Fund under Master Repurchase Agreements (each, an “MRA”), which permit a Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. With reverse repurchase transactions, typically a Fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of BLW’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

Counterparty  

        Reverse Repurchase

            Agreements

    

Fair Value of Non-cash

Collateral Pledged

Including Accrued
Interest1

    

Cash Collateral

Pledged

  

Net

Amount2

 

Barclays Capital, Inc.

    $ 5,963,984      $ (5,963,984          

BNP Paribas Securities Corp

      17,760,073        (17,760,073          

Citigroup Global Markets, Inc.

      834,922        (834,922          

Credit Suisse Securities (USA) LLC

      17,292,818        (17,292,818          

Deutsche Bank Securities, Inc.

      74,277,478        (74,277,478          

HSBC Securities (USA), Inc.

      37,165,313        (37,165,313          

J.P. Morgan Securities LLC

      8,406,627        (8,339,576       $ 67,051  

RBC Capital Markets LLC

      72,547,580        (72,547,580          

UBS Ltd. 

      21,372,788        (21,372,788          
   

 

 

    

 

 

    

 

  

 

 

 

Total

    $ 255,621,583      $ (255,554,532       $ 67,051  
   

 

 

    

 

 

    

 

  

 

 

 

 

  1   

Net collateral, including accrued interest, with a value of $298,574,224 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  2   

Net amount represents the net amount payable due to the counterparty in the event of default.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.

5. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

 

                
82    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

Futures Contracts: The Funds invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Funds enter into forward foreign currency exchange contracts to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

 

 

Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

 

Foreign Currency options — Certain Funds purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    83


Notes to Financial Statements (continued)     

 

Swaps: The Funds enter into swap contracts to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

 

Credit default swaps — Certain Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

 

Total return swaps — Certain Funds enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.

 

 

Interest rate swaps — Certain Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and

 

                
84    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, FRA pays the Manager a monthly fee at an annual rate equal to 0.75% of the average daily value of the Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “net assets” means the total assets of the Fund minus the sum of its accrued liabilities.

For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Fund minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, BHL pays the Manager a monthly fee at an annual rate equal to 1.00% of the average daily value of the Fund’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of its accrued liabilities (other than money borrowed for investment purposes).

The Manager provides investment management and other services to the Taxable Subsidiary. The Manager does not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, the Funds pay the Manager based on the Funds’ net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiary.

Distribution Fees: FRA and BLW have entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA and BLW common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, as of February 28, 2017, BLW is no longer actively engaged in a Shelf Offering and has not filed a registration statement or a prospectus for any current Shelf Offering. Pursuant to the Distribution Agreement, FRA and BLW would compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA and BLW’s Common Shares and a portion of such commission would be re-allowed to broker-dealers engaged by BRIL.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    85


Notes to Financial Statements (continued)     

 

Waivers: The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived by the Manager in the Statements of Operations. For the six months ended February 28, 2017, the amounts waived were as follows:

 

     BHL      FRA      BLW  

Amounts waived

  $ 159      $ 643      $ 2,427  

Effective September 1, 2016, the Manager voluntarily agreed to waive its investment advisory fee with respect to any portion of Fund’s assets invested in affiliated equity or fixed-income mutual funds or affiliated exchange-traded funds that have a contractual management fee. Prior to September 1, 2016, the Manager did not waive such fees. On December 2, 2016, the Manager entered into a Master Advisory Fee Agreement (“Agreement”), contractually committing to this arrangement through June 30, 2017 for BHL and BLW and through December 31, 2017 for FRA. The Agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ independent directors. For the six months ended February 28, 2017 the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

     BHL      FRA      BLW  

Amounts waived

  $ 987      $ 3,513      $ 787  

Officers and Directors: Certain officers and/or directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Officer and Directors in the Statements of Operations.

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the six months ended February 28, 2017, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized Gain (loss)  

BLW

  $ 6,334                

7. Purchases and Sales:

For the six months ended February 28, 2017, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases                       
     BHL      FRA      BLW  

Non-U.S. Government Securities

  $ 35,948,191      $ 284,667,669      $ 269,585,822  

U.S. Government Securities

                   
 

 

 

 

Total Purchases

  $ 35,948,191      $ 284,667,669      $ 269,585,822  
 

 

 

 
Sales                       
     BHL      FRA      BLW  

Non-U.S. Government Securities (includes paydowns)

  $ 66,963,950      $ 279,082,153      $ 264,620,434  

U.S. Government Securities

                  1,589,200  
 

 

 

 

Total Sales

  $ 66,963,950      $ 279,082,153      $ 266,209,634  
 

 

 

 

8. Income Tax Information:

It is the Funds’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no U.S. federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2016. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of February 28, 2017, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

 

                
86    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

As of August 31, 2016, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   BHL      FRA      BLW  

No expiration date1

  $ 4,624,408      $ 21,876,470      $ 41,127,468  

2017

           50,735,721        9,996,868  

2018

           27,716,009        37,509,275  

2019

           2,206,081         
 

 

 

    

 

 

    

 

 

 

Total

  $ 4,624,408      $ 102,534,281      $ 88,633,611  
 

 

 

    

 

 

    

 

 

 

As of February 28, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:

 

     BHL      FRA      BLW  

Tax cost

  $ 145,687,933      $ 829,102,835      $ 885,558,373  
 

 

 

    

 

 

    

 

 

 

Gross unrealized appreciation

  $ 1,798,710      $ 10,305,227        23,009,105  

Gross unrealized depreciation

    (660,158      (10,746,632      (14,045,582
 

 

 

    

 

 

    

 

 

 

Net unrealized appreciation (depreciation)

  $ 1,138,552      $ (441,405    $ 8,963,523  
 

 

 

    

 

 

    

 

 

 

9. Bank Borrowings:

BHL and FRA are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to the Funds. As of period end, the Funds have not received any notice to terminate. BHL and FRA have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:

 

     Commitment Amounts  

BHL

  $ 61,000,000  

FRA

  $ 274,000,000  

Advances will be made by SSB to BHL or FRA, at the Funds’ option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, BHL and FRA paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to BHL and FRA as of period end are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

BHL and FRA may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the six months ended February 28, 2017, the average amount of bank borrowings and the daily weighted average interest rates for BHL and FRA for loans under the revolving credit agreements were as follows:

 

     Average Amount of Bank
Borrowings
     Daily Weighted Average
Interest Rate
 

BHL

  $ 45,220,994        1.38%  

FRA

  $ 227,337,017        1.37%  

10. Principal Risks:

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers of securities owned by the Funds. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    87


Notes to Financial Statements (continued)     

 

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent the Funds deposit collateral with their counterparties to a written option.

With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

Concentration Risk: Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

The Funds invest a significant portion of their assets in fixed income securities and/or use derivatives tied to the fixed income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

11. Capital Share Transactions:

BHL and BLW are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

 

                
88    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (concluded)     

 

On October 26, 2016, with respect to FRA and BLW, the Board approved the Funds’ participation in an open market share repurchase program. The Funds are eligible to purchase, at prevailing market prices, up to 5% of their common shares outstanding as of the close of business on October 28, 2016, subject to certain conditions. Repurchases may be made through November 30, 2017. There is no assurance that the Funds will purchase shares in any particular amounts.

For the six months ended February 28, 2017 and the year ended August 31, 2016, shares issued and outstanding remained constant.

BLW had previously filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 3,750,000 Common Shares through a Shelf Offering. BLW is no longer actively engaged in a Shelf Offering and has not filed a registration statement or a prospectus for any current Shelf Offering. BLW did not issue any Common Shares through its Shelf Offering.

FRA filed a final prospectus with the SEC allowing it to issue an additional 3,050,000 Common Shares through a Shelf Offering. Under the Shelf Offering, FRA, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above FRA’s NAV per Common Share (calculated within 48 hours of pricing). FRA has not issued any Common Shares through its Shelf Offering. See Additional Information - Shelf Offering Program for additional information about the Shelf Offering.

Costs incurred by FRA and BLW in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

12. Contingencies:

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to FRA, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that FRA and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that FRA and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. FRA cannot predict the outcome of the lawsuit, or the effect, if any, on FRA’s net asset value. As such, no liability for litigation related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that will be realized by FRA but does not expect the loss to exceed the payment received in 2009. The amount of the proceeds received in 2009 is $668,165.

13. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend Per Share  
     Paid1      Declared2  

BHL

  $ 0.051      $ 0.051  

FRA

  $ 0.061      $ 0.061  

BLW

  $ 0.087      $ 0.087  

 

  1   

Net investment income dividend paid on March 31, 2017 to Common Shareholders of record on March 15, 2017.

 

  2   

Net investment income dividend declared on April 3, 2017, payable to Common Shareholders of record on April 13, 2017.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    89


Officers and Directors     

 

Richard E. Cavanagh, Chair of the Board and Director

Karen P. Robards, Vice Chair of the Board and Director

Michael J. Castellano, Director

Cynthia L. Egan, Director

Frank J. Fabozzi, Director

Jerrold B. Harris, Director

R. Glenn Hubbard, Director

W. Carl Kester, Director

Catherine A. Lynch, Director

Barbara G. Novick, Director

John M. Perlowski, Director, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

       

Investment Adviser

BlackRock Advisors, LLC
Wilmington, DE 19809

 

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

 

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

Distributor1

BlackRock Investments, LLC

New York, NY 10022

 

Transfer Agent

Computershare Trust
Company, N.A.

Canton, MA 02021

 

Legal Counsel

Skadden, Arps, Slate,
Meagher & Flom LLP

Boston, MA 02116

 

 

  1   

For FRA and BLW.

 

                
90    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Additional Information     

 

Fund Certification

Certain Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Fund’s taxable income and net capital gains, but not in excess of a Fund’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

BHL and BLW do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statements of Additional Information have not been updated after the completion of the respective Fund’s offerings and the information contained in their Statements of Additional Information may have become outdated.

FRA’s Statement of Additional Information includes additional information about its Board and is available, without charge upon request by calling (800) 882-0052.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that FRA and BLW from time to time may purchase their common shares in the open market or in private transactions.

Except as described below, during the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

On October 28, 2016, FRA announced that it had divided its Board of Directors into three classes, with one class standing for election each year, and had adopted a voting standard of a majority of the outstanding shares for the election of directors in a contested election.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    91


Additional Information (continued)     

 

 

General Information (concluded)

Householding

The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

Section 19(a) Notices

BLW’s amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Fund’s investment experience during the remainder of the fiscal year and may be subject to changes based on tax regulations. The Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

 

February 28, 2017         
    Total Cumulative Distributions
for the Fiscal Period
    % Breakdown of the Total Cumulative
Distributions for the Fiscal Period
 
     Net Investment
Income
    Net Realized
Capital Gains
Short Term
    Net Realized
Capital Gains
Long Term
    Return of
Capital
    Total Per
Common
Share
    Net Investment
Income
    Net Realized
Capital Gains
Short Term
    Net Realized
Capital Gains
Long Term
    Return of
Capital
    Total Per
Common
Share
 

BLW

  $ 0.740334                 $ 0.025666     $ 0.7660       97     0     0     3     100

The Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder's investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund's investment performance and should not be confused with "yield" or "income". When distributions exceed total return performance, the difference will incrementally reduce the Fund's net asset value per share.

Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website http://www.blackrock.com.

 

                
92    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Additional Information (concluded)     

 

 

Shelf Offering Program

From time-to-time, the Funds may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, the Funds may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Funds’ net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow the Funds to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

BHL and BLW have not filed a registration statement with respect to any current Shelf Offerings. This report is not an offer to sell Fund Common Shares and is not a solicitation of an offer to buy Fund Common Shares. If a Fund files a registration statement with respect to any current Shelf Offering, the prospectus contained therein will contain more complete information about the Fund and should be read carefully before investing.

FRA has filed a final prospectus with the SEC in connection with its Shelf Offering. This report is not an offer to sell FRA Common Shares or a solicitation of an offer to buy FRA Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus contains important information about FRA, including its investment objectives, risks, charges and expenses. Investors are urged to read the prospectus of FRA carefully and in its entirety before investing. A copy of the final prospectus for FRA can be obtained from BlackRock at http://www.blackrock.com.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    93


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

CEFT-BK3-2/17-SAR    LOGO


Item 2 –   Code of Ethics – Not Applicable to this semi-annual report
Item 3 –   Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 –   Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 –   Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 –  

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 –  

Portfolio Managers of Closed-End Management Investment Companies

(a) Not Applicable to this semi-annual report.

(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 –   Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 –   Controls and Procedures
  (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.
  (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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –   Exhibits attached hereto
  (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
  (a)(2) – Certifications – Attached hereto
  (a)(3) – Not Applicable
  (b) –    Certifications – Attached hereto

 

2


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 Limited Duration Income Trust

 

By:       /s/ John M. Perlowski
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Limited Duration Income Trust

Date: May 3, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:       /s/ John M. Perlowski
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Limited Duration Income Trust

Date: May 3, 2017

 

By:       /s/ Neal J. Andrews
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Limited Duration Income Trust

Date: May 3, 2017

 

3