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: 08/31/2018

Date of reporting period: 02/28/2018

 


Item 1 – Report to Stockholders


FEBRUARY 28, 2018

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

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,

In the 12 months ended February 28, 2018, assets with higher risk and return potential, such as stocks and high-yield bonds, continued to deliver strong performance. Faster global growth drove the equity market, while rising interest rates constrained bond returns.

Emerging market stocks posted the strongest performance, as accelerating growth in China, the second-largest economy in the world, improved the outlook for corporate profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment. Higher prices for industrial metals also bolstered the outlook for emerging-market countries.

Rising interest rates worked against high-quality assets with more interest rate sensitivity. Consequently, the 10-year U.S. Treasury — a bellwether of the bond market — posted a negative return, as rising energy prices, higher wages, and steady job growth drove expectations of higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”).

The market’s performance reflected reflationary expectations early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.

The Fed responded to these positive developments by increasing short-term interest rates three times during the year. In October 2017, the Fed also began to reduce its balance sheet, while setting expectations for additional rate hikes in 2018.

By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) continued to expand their balance sheets despite nascent signs of sustained economic growth. Rising global growth and inflation, as well as limited bond supply, put steady pressure on other central banks to follow in the Fed’s footsteps. In October 2017, the ECB announced plans to cut its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus, as the country’s inflation rate remained below 2.0%.

Rising consumer confidence and improving business sentiment are driving momentum for the U.S. economy. If the Fed maintains a measured pace of stimulus reduction, to the extent that inflation rises, it’s likely to be accompanied by rising real growth and higher wages. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and improving growth in 2018. We continue to believe the primary risks to the economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. In particular, we are closely monitoring trade protectionism and the rise of populism in Western nations.

In December 2017, Congress passed a sweeping tax reform bill. The U.S. tax overhaul is likely to accentuate the existing reflationary themes, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21% will create many winners and losers among high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.

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, 2018
     6-month   12-month

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

  10.84%   17.10%

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

  8.30   10.51

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

  7.12   20.13

Emerging market equities
(MSCI Emerging Markets Index)

  10.58   30.51

3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index)

  0.58   0.99

U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index)

  (5.47)   (2.54)

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

  (2.18)   0.51

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

  (1.15)   2.32

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

  1.11   4.18
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 IS 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

    65  

Statements of Operations

    66  

Statements of Changes in Net Assets

    67  

Statements of Cash Flows

    68  

Financial Highlights

    69  

Notes to Financial Statements

    71  

Director and Officer Information

    83  

Additional Information

    84  

Glossary of Terms Used in this Report

    87  

 

 

     3  


Fund Summary  as of February 28, 2018    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.

Fund Information

 

Symbol on New York Stock Exchange (“NYSE”)

  FRA

Initial Offering Date

  October 31, 2003

Current Distribution Rate on Closing Market Price as of February 28, 2018 ($14.50)(a)

  5.05%

Current Monthly Distribution per Common Share(b)

  $0.0610

Current Annualized Distribution per Common Share(b)

  $0.7320

Economic Leverage as of February 28, 2018(c)

  30%

 

  (a)  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.  
  (b)  The distribution rate is not constant and is subject to change.  
  (c)  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

 

     02/28/18     

08/31/17

     Change      High      Low  

Market Price

  $ 14.50      $ 14.10        2.84    $ 14.50      $ 13.70  

Net Asset Value

    14.99        14.93        0.40        15.07        14.87  

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

 

LOGO

 

 

4    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of February 28, 2018 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2018 were as follows:

 

          Average Annual Total Returns  
     6-Month     1 Year      3 Years      5 Years  

Fund at NAV(a)(b)

    3.03     4.79      5.45      5.45

Fund at Market Price(a)(b)

    5.52       3.56        7.51        3.32  

S&P/LSTA Leveraged Loan Index(c)

    2.69       4.22        4.24        4.01  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.  
  (b)  The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  An unmanaged market value-weighted index (the “Reference Benchmark”) designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.  

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

Past performance is not indicative of future results.

FRA is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Fund’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.

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 a strong appetite for credit over much of the six-month period. The largest sector contributors to the Fund’s performance over the period included technology, health care and independent energy. More modest positive contributions were seen from the life insurance and government-related sectors. B-rated loan credits were the largest quality driver of positive performance, consistent with the Fund’s overweight positioning with respect to this segment. Finally, from an asset allocation perspective, tactical exposures were substantial positive contributors, including a net-long equity position, high yield corporate bonds and collateralized loan obligations.

Exposure to chemicals sector was the sole detractor from the Fund’s absolute performance. From a credit rating perspective, there were no absolute detractors over the semi-annual period as all quality segments had positive performance. While the Fund’s tactical exposures contributed positively in aggregate, within this allocation holdings of convertible securities detracted.

Describe recent portfolio activity.

While the Fund’s stance on bank loans remained constructive, overall risk levels continued to reflect the expectation of a coupon-driven return environment, with limited potential for upside price movement. The Fund continued to focus on the higher-quality portions of the market in terms of loan structure, quality and liquidity. Investments were concentrated in companies believed to have stable cash flows, high quality collateral, and the ability to meet interest obligations and ultimately return principal. In the investment adviser’s view, this focus on quality remains critical as the strong bid for credit assets from the institutional community potentially gives rise to riskier issuance. The Fund reduced its sector exposure to airlines and retailers, while the allocations to technology and gaming were increased.

Describe portfolio positioning at period end.

At period end, the Fund held the great majority of its portfolio in floating rate bank loans. 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. The Fund had a meaningful position in high yield corporate bonds, which was used in part to maintain exposure to energy-related assets given better quality companies compared to the bank loan universe. At period-end, top issuer overweight positions included CenturyLink/Level 3 (wirelines), Altice (cable & satellite), and New Lightsquared (wireless).

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.

 

 

FUND SUMMARY      5  


Fund Summary  as of February 28, 2018 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

     02/28/18    

08/31/17

 

Floating Rate Loan Interests

    91     93

Corporate Bonds

    6       6  

Asset-Backed Securities

    2       1  

Investment Companies

    1       (a) 

Common Stocks(a)

           

Short-Term Securities(a)

           

Other

    (b)      (b) 

 

  (a)  Representing less than 1% of the Fund’s total investments.  
  (b)  Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests, Preferred Securities, Rights and Warrants.  

CREDIT QUALITY ALLOCATION (c)(d)

 

     02/28/18    

08/31/17

 

A(a)

           

BBB/Baa

    8     9

BB/Ba

    39       42  

B

    41       40  

CCC/Caa

    3       5  

N/R

    9       4  

 

  (c)  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.  
  (d)  Excludes Options Purchased and Short-Term Securities.  
 

 

 

6    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of February 28, 2018    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.

Fund Information

 

Symbol on NYSE

  BLW

Initial Offering Date

  July 30, 2003

Current Distribution Rate on Closing Market Price as of February 28, 2018 ($15.24)(a)

  6.26%

Current Monthly Distribution per Common Share(b)

  $0.0795

Current Annualized Distribution per Common Share(b)

  $0.9540

Economic Leverage as of February 28, 2018(c)

  30%

 

  (a)  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.  
  (b)  The distribution rate is not constant and is subject to change.  
  (c)  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

 

     02/28/18     

08/31/17

     Change      High      Low  

Market Price

  $ 15.24      $ 15.99        (4.69 )%     $ 16.30      $ 15.10  

Net Asset Value

    16.86        17.02        (0.94      17.14        16.77  

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

 

LOGO

 

 

FUND SUMMARY      7  


Fund Summary  as of February 28, 2018 (continued)    BlackRock Limited Duration Income Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2018 were as follows:

 

          Average Annual Total Returns  
     6-month     1 Year      3 Years      5 Years  

Fund at NAV(a)(b)

    2.07     5.95      6.74      6.82

Fund at Market Price(a)(b)

    (1.79     1.46        6.50        3.58  

Reference Benchmark(c)

    0.95       2.97        3.54        3.56  

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d)

    1.11       4.18        5.20        5.34  

S&P/LSTA Leveraged Loan Index(e)

    2.69       4.22        4.24        4.01  

BATS S Benchmark(f)

    (0.93     0.54        1.14        1.29  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.  
  (b)  The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods.  
  (d)  An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.  
  (e)  An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.  
  (f)  A composite index comprised of Bloomberg Barclays ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Barclays Corporate 1-5 year Index, Bloomberg Barclays CMBS Investment Grade 1-3.5 Yr. Index, Blomberg Barclays MBS 15 Yr Index and Bloomberg Barclays Credit Ex-Corporate 1-5 Yr Index.  

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

Past performance is not indicative of future results.

BLW is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Fund’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.

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

What factors influenced performance?

The largest contributors to the Fund’s performance over the period were its allocations to senior loans, high yield corporate issues and asset-backed securities (“ABS”). The Fund’s duration (sensitivity to interest rate movements) and yield curve positioning also contributed to returns.

The largest detractors from performance were the Fund’s exposures to investment grade corporate bonds and mortgage-backed securities (“MBS”).

The Fund held derivatives during the period, including Treasury futures, currency forwards, currency options, interest rate swaps and credit default swaps. Derivative positions were used primarily to adjust duration and yield curve exposure, as well as to manage credit and currency risk. Currency forwards were employed to provide the portfolio with active currency exposure. The Fund’s use of derivatives contributed to performance during the period.

Describe recent portfolio activity.

Given the investment adviser’s view that both the London Inter-Bank Offered Rate (“LIBOR”) (the reference rate applied to most loans) and longer-term interest rates would move higher, the Fund’s allocation was rotated to a more defensive posture. The Fund’s allocation within high yield corporate issues was reduced and rotated into senior loans in order to protect the Fund from higher funding costs associated with rising LIBOR rates. In addition, the Fund’s short duration stance was further reduced in order to mitigate the impact of rising interest rates.

Describe portfolio positioning at period end.

At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield corporate bonds, senior loans, investment grade corporate credit, commercial MBS, ABS, agency and non-agency residential MBS, emerging market debt and foreign sovereign debt.

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    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of February 28, 2018 (continued)    BlackRock Limited Duration Income Trust

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

     2/28/2018    

8/31/2017

 

Corporate Bonds

    43     45

Floating Rate Loan Interests

    27       27  

Asset-Backed Securities

    10       9  

Preferred Securities

    8       8  

Non-Agency Mortgage-Backed Securities

    5       6  

Foreign Agency Obligations

    3       4  

U.S. Government Sponsored Agency Securities

    3       1  

Short-Term Securities

    1       (a) 

U.S Treasury Obligations

          (a) 

Other

    (b)      (c) 

 

  (a)  Representing less than 1% of the Fund’s total investments.  
  (b)  Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Options Written, Other Interests, Rights and Warrants.  
  (c)  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.  
   

CREDIT QUALITY ALLOCATION (d)(e)

 

     2/28/2018     8/31/2017  

AAA/Aaa

    2     4

AA/Aa

    1       1  

A

    5       6  

BBB/Baa

    20       19  

BB/Ba

    35       33  

B

    28       29  

CCC/Caa

    5       4  

N/R(f)

    4       4  

 

  (d)  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.  
  (e)  Excludes Options Purchased, Options Written and Short-Term Securities.  
  (f)  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.  
 

 

 

FUND SUMMARY      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 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 Fund 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”), each Fund is permitted to issue debt up to 33 13% of its 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 a value not less than the value of a Fund’s obligations under the reverse repurchase agreements (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by 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    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 0.3%

 

Chemicals — 0.0%  

GEO Specialty Chemicals, Inc.(a)(b)

      167,777     $ 58,722  
     

 

 

 
Diversified Financial Services — 0.2%  

Kcad Holdings I Ltd.(a)(b)

      309,827,230       824,141  
     

 

 

 
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(b)

      14,906       701  
     

 

 

 
Hotels, Restaurants & Leisure — 0.0%  

Caesars Entertainment Corp.(b)

      19,011       241,440  
     

 

 

 
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.(b)

      1,860       13,187  
     

 

 

 
Software — 0.1%  

Avaya Holdings Corp.(b)

      35,077       736,266  
     

 

 

 
Specialty Retail — 0.0%  

Things Remembered, Inc.(a)(b)

      932,803       9  
     

 

 

 

Total Common Stocks — 0.3%
(Cost — $4,449,514)

 

    1,874,466  
     

 

 

 
    

Par

(000)

        

Asset-Backed Securities — 2.7%

 

ALM VII R Ltd., Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%), 4.42%, 10/15/28(c)(d)

    USD       250       255,471  

ALM XVII Ltd., Series 2015-17A, Class C1, (3 mo. LIBOR US + 4.15%), 5.87%, 01/15/28(c)(d)

      500       503,914  

AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.20%), 5.74%, 12/09/26(c)(d)

      250       254,185  

Ares CLO Ltd., Series 2016-40A, Class C, (3 mo. LIBOR US + 3.70%), 5.42%, 10/15/27(c)(d)

      250       253,057  

Ares XXXII CLO Ltd., Series 2014-32A, Class CR, (3 mo. LIBOR US + 3.45%), 5.29%, 11/15/25(c)(d)

      1,000       1,001,206  

Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.95%), 3.97%, 12/05/25(c)(d)

      450       454,837  

Atlas Senior Loan Fund X Ltd., Series 2018-10A(d)(e):

     

Class B, 3.21%, 01/15/31

      500       500,955  

Class C, 3.56%, 01/15/31

      500       501,380  

Atrium X, Series 10A, Class DR, (3 mo. LIBOR US + 3.00%), 4.72%, 07/16/25(c)(d)

      250       250,510  

Babson CLO, Ltd., Series 2015-IA, Class AR, 2.72%, 01/20/31(a)(d)(e)

      1,000       1,000,000  

Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R, (3 mo. LIBOR US + 2.05%), 3.79%, 01/20/29(c)(d)

      500       505,145  

Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class C, 4.40%, 10/15/30(d)(e)

      250       252,609  

Cedar Funding II CLO, Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.23%), 3.29%, 06/09/30(c)(d)

      500       503,351  

CIFC Funding Ltd.(d):

     

Series 2013-4A, Class DR, (3 mo. LIBOR US + 3.35%), 5.31%, 11/27/24(c)

      250       250,876  

Series 2014-2A, Class A3LRSeries 2018-1A, Class C, 1.00%, 04/18/31(e)(f)

      375       373,951  

Series 2014-2A, Class A3LR, (3 mo. LIBOR US + 2.25%), 4.19%, 05/24/26(c)

      280       280,845  

Series 2018-1A, Class B, 1.00%, 04/18/31(e)(f)

      375       375,659  
Security  

Par

(000)

    Value  
Asset-Backed Securities (continued)  

Galaxy CLO Ltd., Series 2015-21A, Class AR, 2.76%, 04/20/31(d)(e)(f)

    USD       250     $ 250,000  

Galaxy CLO, Ltd., Series 2015-21A, Class CR, 3.49%, 04/20/31(d)(e)(f)

      250       250,000  

GoldentTree Loan Management US CLO 1 Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.20%), 3.94%, 04/20/29(c)(d)

      250       250,563  

Highbridge Loan Management Ltd., Series 2013-2A, Class CR, 4.64%, 10/20/29(d)(e)

      250       256,113  

LCM XVIII LP, Series 18A, Class INC, 0.00%, 04/20/27(d)(e)

      1,000       610,886  

Madison Park Funding Ltd., Series 2018-27A, Class B, 1.00%, 04/20/30(d)(e)(f)

      1,000       1,000,000  

Octagon Investment Partners Ltd., Series 2013-1A(d)(e):

     

Class A1R2, 3.02%, 01/25/31

      250       250,000  

Class BR2, 3.42%, 01/25/31

      350       350,000  

Class CR2, 3.72%, 01/25/31

      350       350,000  

Class ER2, 7.17%, 01/25/31

      250       250,000  

OZLM XIX Ltd., Series 2017-19A, Class C, 4.47%, 11/22/30(d)(e)

      250       253,627  

Palmer Square CLO Ltd., Series 2018-1A(d)(e)(f):

     

Class A1, 1.00%, 04/18/31

      300       300,000  

Class A2, 1.00%, 04/18/31

      250       250,000  

Class B, 1.00%, 04/18/31

      250       250,000  

Class D, 1.00%, 04/18/31

      250       250,000  

Sound Point CLO III, Ltd., Series 2013-2A, Class DR, (3 mo. LIBOR US + 3.35%), 5.07%, 07/15/25(c)(d)

      250       250,477  

TCI-Cent CLO Ltd., Series 2016-1A, Class A2, (3 mo. LIBOR US + 2.20%), 3.96%, 12/21/29(c)(d)

      300       303,594  

Treman Park CLO Ltd., Series 2015-1A, Class D, (3 mo. LIBOR US + 3.86%), 5.60%, 04/20/27(c)(d)

      1,400       1,407,776  

Venture XIX CLO Ltd., Series 2014-19A, Class BR, (3 mo. LIBOR US + 2.00%), 3.72%, 01/15/27(c)(d)

      250       251,894  

Webster Park CLO Ltd., Series 2015-1A, Class C, (3 mo. LIBOR US + 4.05%), 5.79%, 01/20/27(c)(d)

      500       500,631  
     

 

 

 

Total Asset-Backed Securities — 2.7%
(Cost — $15,503,644)

 

    15,353,512  
     

 

 

 

Corporate Bonds — 9.1%

 

Aerospace & Defense — 0.5%  

Bombardier, Inc.(d):

     

7.75%, 03/15/20

      1,533       1,636,477  

7.50%, 03/15/25

      1,160       1,190,450  
     

 

 

 
    2,826,927  
Airlines — 0.5%  

US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 06/03/18

      2,605       2,624,277  
     

 

 

 
Banks — 0.0%  

CIT Group, Inc., 5.00%, 08/01/23

      135       138,713  
     

 

 

 
Capital Markets — 0.3%  

Blackstone CQP Holdco LP(d):

     

6.50%, 03/20/21

      1,536       1,549,440  

6.00%, 08/18/21

      249       250,183  
     

 

 

 
    1,799,623  
 

 

 

SCHEDULES OF INVESTMENTS      11  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Chemicals — 0.8%  

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(d)

    USD       856     $ 860,280  

GEO Specialty Chemicals, Inc., 15.24%, 10/18/25(a)

      1,853       2,627,744  

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

      1,083       1,126,320  
     

 

 

 
    4,614,344  
Construction Materials — 0.1%  

HD Supply, Inc., 5.75%, 04/15/24(d)

      609       638,689  
   

 

 

 
Containers & Packaging — 0.8%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.25%, 05/15/24(d)

      300       321,375  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(3 mo. LIBOR US + 3.50%), 5.22%, 07/15/21(c)(d)

      3,795       3,837,694  
     

 

 

 
    4,159,069  
Diversified Consumer Services — 0.2%  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(d)

      1,053       1,146,454  
     

 

 

 
Diversified Telecommunication Services — 0.4%  

Level 3 Financing, Inc., 5.25%, 03/15/26

      2,158       2,077,053  
     

 

 

 
Electric Utilities — 0.0%  

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

      1,061        
     

 

 

 
Environmental, Maintenance, & Security Service — 0.1%  

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

      540       542,700  
     

 

 

 
Health Care Providers & Services — 0.1%  

CHS/Community Health Systems, Inc., 5.13%, 08/01/21

      555       511,988  
     

 

 

 
Health Care Services — 0.0%  

Aveta Inc. Escrow, 7.00%, 04/01/19(a)(d)

      1,347        
     

 

 

 
Hotels, Restaurants & Leisure — 0.3%  

New Red Finance, Inc., 5.00%, 10/15/25(d)

      980       954,887  

Scientific Games International, Inc., 7.00%, 01/01/22(d)

      387       407,318  
     

 

 

 
    1,362,205  
IT Services — 0.2%  

First Data Corp., 7.00%, 12/01/23(d)

      1,160       1,219,450  
     

 

 

 
Media — 1.1%  

Altice Financing SA(d):

     

6.63%, 02/15/23

      550       549,313  

7.50%, 05/15/26

      875       881,562  

Altice US Finance I Corp., 5.50%, 05/15/26(d)

      350       346,500  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      1,218       1,248,450  

Series B, 7.63%, 03/15/20

      545       544,319  

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

      1,040       1,227,200  

SFR Group SA(d):

     

6.00%, 05/15/22

      842       817,792  

7.38%, 05/01/26

      616       594,625  
     

 

 

 
    6,209,761  
Metals & Mining — 1.2%  

Constellium NV, 6.63%, 03/01/25(d)

      300       310,500  

Freeport-McMoRan, Inc.:

     

2.38%, 03/15/18

      2,021       2,019,383  

3.88%, 03/15/23

      625       606,250  

Novelis Corp., 6.25%, 08/15/24(d)

      991       1,013,298  

Teck Resources Ltd., 3.75%, 02/01/23

      3,058       2,989,195  
     

 

 

 
    6,938,626  
Security  

Par

(000)

    Value  
Oil, Gas & Consumable Fuels — 1.2%  

Cheniere Corpus Christi Holdings LLC, 7.00%, 06/30/24

    USD       670     $ 749,730  

CONSOL Energy, Inc., 5.88%, 04/15/22

      3,552       3,571,980  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(d)

      995       1,037,288  

Halcon Resources Corp., Series WI, 6.75%, 02/15/25

      284       286,840  

NGPL PipeCo LLC(d):

     

4.38%, 08/15/22

      590       588,525  

4.88%, 08/15/27

      415       418,631  
     

 

 

 
    6,652,994  
Pharmaceuticals — 0.3%  

Valeant Pharmaceuticals International, Inc., 5.50%, 11/01/25(d)

      1,870       1,850,131  
   

 

 

 
Real Estate Investment Trusts (REITs) — 0.0%  

VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23

      46       51,497  
     

 

 

 
Software — 0.9%  

Infor US, Inc., 6.50%, 05/15/22

      1,176       1,202,460  

Informatica LLC, 7.13%, 07/15/23(d)

      658       670,831  

Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(d)

      2,163       2,428,616  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(d)

      866       878,990  
     

 

 

 
    5,180,897  
Wireless Telecommunication Services — 0.1%  

Sprint Communications, Inc., 7.00%, 08/15/20

      325       340,031  
     

 

 

 

Total Corporate Bonds — 9.1%
(Cost — $50,900,314)

 

    50,885,429  
     

 

 

 

Floating Rate Loan Interests(g) — 133.9%

 

Aerospace & Defense — 1.6%  

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 5.40%, 08/18/24

      3,481       3,499,169  

DAE Aviation Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 07/07/22

      509       512,835  

TransDigm, Inc., 2017 Extended Term Loan F, (3 mo. LIBOR + 2.75%), 4.44%, 06/09/23

      4,853       4,880,290  
     

 

 

 
    8,892,294  
Air Freight & Logistics — 0.8%  

Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, (1 mo. LIBOR + 2.25%), 3.84%, 04/03/22

      841       839,651  

CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.50%), 6.50%, 03/19/21(a)

      733       717,939  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

      745       730,973  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

      128       126,032  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

      992       973,581  

Livingston International, Inc., Term Loan B3, (3 mo. LIBOR + 5.75%), 7.44%, 03/20/20

      541       540,036  

XPO Logistics, Inc., 2018 Term Loan B, 3.85%, 02/23/25

      541       541,988  
   

 

 

 
    4,470,200  
 

 

 

12    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Airlines — 0.0%  

Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.23%), 2.68%, 09/10/18(a)

    USD       239     $ 237,772  
     

 

 

 
Auto Components — 0.9%  

Boing US Holdco, Inc., 2017 1st Lien Term Loan,
(3 mo. LIBOR + 3.50% 1.00% Floor), 5.29%, 10/03/24

      1,260       1,265,519  

Dayco Products LLC, 2017 Term Loan B,
(1 mo. LIBOR + 5.00%), 6.65%, 05/19/23(a)

      1,022       1,033,776  

FPC Holdings, Inc., 1st Lien Term Loan,
(3 mo. LIBOR + 4.00%), 5.69%, 11/19/19

      987       982,465  

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.59%, 04/30/19

      582       581,486  

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

     

12.25%, 03/30/12

      1,097        

PIK, 13.00%, 03/30/12(h)

      18        

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 4.69%, 05/16/24

      1,302       1,299,407  
     

 

 

 
    5,162,653  
Automobiles — 0.3%  

CH Hold Corp. :

     

1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 02/01/24

      1,278       1,284,010  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25% 1.00% Floor), 8.90%, 02/01/25(a)

      245       248,062  
     

 

 

 
    1,532,072  
Banks — 0.3%  

Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.02%, 11/01/24

      1,637       1,635,985  
     

 

 

 
Building Materials — 0.3%  

Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 07/28/22

      842       832,528  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (3 mo. LIBOR + 8.50% 1.00% Floor), 10.27%, 07/28/23

      645       638,550  
     

 

 

 
    1,471,078  
Building Products — 1.3%  

Continental Building Products LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 3.91%, 08/18/23

      390       393,394  

CPG International Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75% 1.00% Floor), 5.59%, 05/03/24

      1,942       1,955,175  

Jeld-Wen Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 3.69%, 12/14/24

      1,620       1,627,695  

Ply Gem Industries, Inc., Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 02/01/21

      766       767,882  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.95%, 12/19/23

      2,720       2,736,593  
     

 

 

 
    7,480,739  
Capital Markets — 1.3%  

Duff & Phelps Corp., 2017 Term Loan B, 02/13/25(k)

      535       538,863  

EIG Management Company LLC, 2018 Term Loan B, 01/30/25(k)

      1,703       1,715,049  

FinCo I LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 12/27/22

      1,460       1,473,140  

Greenhill & Co., Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.38%, 10/12/22

      1,577       1,586,856  

RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 3.69%, 03/27/23

      1,709       1,717,617  
     

 

 

 
    7,031,525  
Security  

Par

(000)

    Value  
Chemicals — 4.3%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 01/31/24

    USD       1,020     $ 1,026,504  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 3.69%, 06/01/24

      2,327       2,339,626  

CeramTec Acquisition Corp., Term Loan B2, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.73%, 08/30/20(a)

      113       112,308  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 05/16/24

      1,448       1,449,897  

Chemours Company, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 05/12/22

      903       907,289  

EaglePicher Technologies LLC, 1st Lien Term Loan B, 02/27/25(k)

      1,115       1,115,703  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 06/28/24

      620       626,591  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 11/07/24

      1,045       1,051,531  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 5.49%, 07/09/19

      444       424,333  

H.B. Fuller Co., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.84%, 10/20/24

      2,339       2,349,383  

Invictus(k):

     

1st Lien Term Loan, 01/24/25

      828       833,760  

2nd Lien Term Loan, 01/23/26

      430       432,958  

MacDermid, Inc. :

     

Term Loan B6, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 06/07/23

      1,319       1,326,439  

Term Loan B7, (1 mo. LIBOR + 2.50% 1.00% Floor), 4.15%, 06/07/20

      1,914       1,921,574  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (3 mo. LIBOR + 3.50%), 5.25%, 10/11/24(a)

      3,571       3,588,905  

PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.29%, 02/08/25

      2,856       2,869,233  

Solenis International LP, 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 5.23%, 07/31/21

      1,493       1,485,576  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.50%, 08/07/20

      422       422,518  
     

 

 

 
    24,284,128  
Commercial Services & Supplies — 7.3%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.72%, 11/10/23

      3,304       3,314,973  

Aramark Services, Inc., 2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.65%, 03/11/25

      294       295,402  

Asurion LLC :

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%),
7.65%, 08/04/25

      986       1,009,910  

2017 Term Loan B4, (1 mo. LIBOR + 2.75%),
4.40%, 08/04/22

      1,990       1,998,882  

2018 Term Loan B6, (1 mo. LIBOR + 2.75%),
4.65%, 11/03/23

      3,104       3,119,545  

Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 10/03/23

      3,865       3,890,102  

Casella Waste Systems, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.09%, 10/17/23

      931       932,926  

Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25% 1.00% Floor), 3.90%, 05/20/24

      3,591       3,603,311  

Clean Harbors, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.65%, 06/27/24

      657       659,984  

Convergint Technologies LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.66%, 02/03/25

      583       582,062  
 

 

 

SCHEDULES OF INVESTMENTS      13  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Commercial Services & Supplies (continued)  

Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.59%, 02/15/24

    USD       3,068     $ 3,091,111  

Dealer Tire LLC, 2017 Term Loan B, (OR + 3.25% 1.00% Floor), 5.00%, 12/22/21(a)

      1,194       1,210,976  

Employbridge LLC, Exit Term Loan, (3 mo. LIBOR + 6.50% 1.00% Floor), 8.19%, 05/16/20

      370       365,266  

Garda World Security Corp., 2017 Term Loan, (PRIME + 2.50%), 7.00%, 05/24/24

      918       925,883  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75% 1.00% Floor), 6.44%, 11/03/23

      936       944,458  

KAR Auction Services, Inc. :

     

Term Loan B4, (3 mo. LIBOR + 2.25%), 4.00%, 03/11/21

      864       868,811  

Term Loan B5, (3 mo. LIBOR + 2.50%), 4.25%, 03/09/23

      1,669       1,677,001  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 05/02/22

      2,788       2,810,349  

US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.69%, 07/14/23

      2,398       2,415,540  

West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.65%, 10/10/24

      3,379       3,406,283  

Wrangler Buyer Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 4.65%, 09/27/24

      3,608       3,625,213  
     

 

 

 
    40,747,988  
Communications Equipment — 1.0%  

Avaya, Inc., Exit Term Loan B, (1 mo. LIBOR + 4.75% 1.00% Floor), 6.34%, 12/15/24

      1,469       1,475,850  

Colorado Buyer, Inc., Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.78%, 05/01/24

      1,716       1,724,648  

CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 3.65%, 12/29/22

      649       651,979  

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 11/01/24

      1,759       1,777,698  
   

 

 

 
    5,630,175  
Construction & Engineering — 1.8%  

AECOM, Term Loan B, 02/22/25(k)

      795       795,660  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 6.00%, 06/21/24

      6,614       6,660,406  

CNT Holdings III Corp., 2017 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 01/22/23

      402       391,448  

Engility Corp. :

     

Term Loan B1, (1 mo. LIBOR + 2.75%), 4.40%, 08/12/20

      311       312,566  

Term Loan B2, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/12/23

      551       555,258  

Pike Corp., Replacement Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 09/20/24

      542       547,338  

USIC Holdings, Inc., 2017 Term Loan B, (6 mo. LIBOR + 3.50% 1.00% Floor), 5.00%, 12/08/23

      922       927,079  
   

 

 

 
    10,189,755  
Construction Materials — 1.7%  

Core & Main LP, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.57%, 08/01/24

      2,778       2,782,677  

Filtration Group Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.98%, 11/21/20

      4,191       4,230,935  

GYP Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%, 04/01/23

      2,214       2,224,806  
   

 

 

 
    9,238,418  
Security  

Par

(000)

    Value  
Containers & Packaging — 1.7%  

Berlin Packaging LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.89%, 10/01/21

    USD       582     $ 584,703  

Berry Global, Inc., Term Loan Q, (1 mo. LIBOR + 2.00%), 3.62%, 10/01/22

      5,560       5,576,633  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 4.96%, 04/03/24

      1,790       1,796,717  

Plastipak Holdings, Inc., Term Loan B, (3 mo. LIBOR + 2.75%), 4.45%, 10/14/24

      883       887,643  

Proampac PG Borrower LLC, 2016 1st Lien Term Loan, (PRIME + 2.50%), 5.07%, 11/18/23

      490       495,239  
   

 

 

 
    9,340,935  
Distributors — 1.1%  

American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 10/31/23

      2,661       2,674,211  

American Tire Distributors Holdings, Inc., 2015 Term Loan, (1 mo. LIBOR + 4.25% 1.00% Floor), 5.90%, 09/01/21

      925       935,981  

TriMark USA LLC :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 08/28/24

      2,206       2,218,324  

Delayed Draw Term Loan, 08/28/24(k)

      74       74,090  
   

 

 

 
    5,902,606  
Diversified Consumer Services — 4.1%  

AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 12/13/23

      2,090       2,094,109  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 07/12/24

      1,162       1,165,957  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.65%, 11/07/23

      2,933       2,951,030  

Equian LLC, Add on Term Loan B, (3 mo. LIBOR + 3.25%), 5.15%, 05/17/24

      2,234       2,244,349  

J.D. Power and Associates, 1st Lien Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 5.94%, 09/07/23

      1,403       1,412,216  

Nomad Foods Europe Midco Ltd. :

     

2017 Delayed Draw Term Loan B6, (3 mo. LIBOR + 2.25%), 3.86%, 05/15/24

      233       233,371  

2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 3.84%, 05/15/24

      1,149       1,152,231  

Serta Simmons Bedding LLC :

     

1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.22%, 11/08/23

      3,104       2,991,357  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00% 1.00% Floor), 9.58%, 11/08/24

      943       856,111  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 11/08/23

      2,442       2,453,398  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 5.08%, 11/14/22

      1,168       1,173,927  

Wand Intermediate I LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 09/17/21

      1,372       1,380,485  

Weight Watchers International, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.75%), 6.45%, 11/29/24

      2,836       2,867,583  
   

 

 

 
    22,976,124  
Diversified Financial Services — 1.6%  

AlixPartners LLP, 2017 Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 04/04/24

      3,054       3,070,585  
 

 

 

14    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Diversified Financial Services (continued)  

Clipper Acquisitions Corp., 2017 Term Loan B, (2 mo. LIBOR + 2.00% 1.00% Floor), 3.62%, 12/11/24(a)

    USD       670     $ 672,513  

CVS Holdings I LP, 2018 1st Lien Term Loan, (OR + 3.00% 1.00% Floor), 4.79%, 02/06/25(a)

      1,030       1,026,137  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 5.94%, 04/29/24

      1,348       1,343,792  

Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.25% 1.00% Floor), 5.73%, 06/28/24(a)

      1,562       1,587,535  

Oryx Southern Delaware Holdings LLC, Term Loan, 02/09/25(a)(k)

      1,210       1,203,950  
   

 

 

 
    8,904,512  
Diversified Telecommunication Services — 6.1%  

CenturyLink, Inc. :

     

2017 Term Loan A, (1 mo. LIBOR + 2.75%), 4.40%, 11/01/22

      1,100       1,096,150  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 01/31/25

      9,172       9,009,603  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 10/04/23

      418       410,262  

Frontier Communications Corp. :

     

2017 Term Loan B1, (1 mo. LIBOR + 3.75%), 5.40%, 06/15/24

      70       69,175  

Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 4.40%, 03/31/21(a)

      1,713       1,693,268  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 05/16/24

      1,507       1,510,063  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.85%, 02/22/24

      6,989       6,999,693  

MTN Infrastructure TopCo, Inc:

     

1st Lien Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 11/15/24

      976       982,871  

MTN Topco Term Loan, 11/17/24(k)

      955       959,023  

Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.19%, 02/02/24

      2,883       2,884,106  

Telenet Financing USD LLC, Term Loan AL, (1 mo. LIBOR + 2.50%), 4.09%, 03/01/26

      4,650       4,663,392  

Telesat Canada, Term Loan B4, (3 mo. LIBOR + 3.00%), 4.70%, 11/17/23

      838       841,184  

Virgin Media Investment Holdings Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.75%, 01/15/27

    GBP       1,000       1,378,420  

Zayo Group LLC :

     

2017 Incremental Term Loan, 3.87%, 01/19/24

    USD       290       291,218  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.65%, 01/19/21

      1,133       1,136,613  
   

 

 

 
    33,925,041  
Electric Utilities — 2.0%  

Dayton Power & Light Company (The), Term Loan B, 3.65%, 08/24/22

      519       520,954  

Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan, (1 Week LIBOR + 3.00% 1.00% Floor), 4.47%, 06/30/18

      6,640       6,639,204  

PrimeLine Utility Services LLC, Term Loan, (1 mo. LIBOR + 5.50% 1.00% Floor), 7.15%, 11/12/22

      1,356       1,359,072  

TEX Operations Co. LLC :

     

Exit Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 08/04/23

      2,041       2,051,617  

Exit Term Loan C, (1 mo. LIBOR + 2.50%), 4.15%, 08/04/23

      362       364,427  
Security  

Par

(000)

    Value  
Electric Utilities (continued)  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/18(a)(k)

    USD       1,710     $  

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 3.84%, 12/14/23

      369       370,423  
   

 

 

 
    11,305,697  
Electrical Equipment — 1.0%  

EXC Holdings III Corp., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50% 1.00% Floor), 5.16%, 12/02/24

      920       927,185  

Gates Global LLC, 2017 Repriced Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 04/01/24

      3,996       4,020,885  

Generac Power Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 2.00%), 3.69%, 05/31/23

      412       412,857  
   

 

 

 
    5,360,927  
Energy Equipment & Services — 1.4%  

Exgen Texas Power LLC, Term Loan B, (3 mo. LIBOR + 4.75% 1.00% Floor), 6.44%, 09/16/21

      850       517,305  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00% 1.00% Floor), 7.59%, 03/01/24

      2,550       2,558,492  

GrafTech Finance, Inc., 2018 Term Loan B, (OR + 3.50% 1.00% Floor), 5.08%, 02/12/25(a)

      1,820       1,817,725  

Ocean Rig UDW Inc., Term Loan, (Fixed + 8.00%), 8.00%, 09/20/24

      131       136,144  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75% 1.00% Floor), 9.33%, 11/08/22

      845       877,744  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 02/21/21

      652       564,485  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 3.95%, 07/13/20

      1,283       1,267,195  
   

 

 

 
    7,739,090  
Food & Staples Retailing — 1.3%  

Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.40%, 08/25/21

      847       835,080  

BJ’s Wholesale Club, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.08%, 02/03/24

      1,856       1,851,383  

Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 08/03/22

      2,754       2,761,658  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 06/27/23

      1,614       1,625,868  
   

 

 

 
    7,073,989  
Food Products — 2.8%  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 10/10/23

      2,723       2,741,305  

Dole Food Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.33%, 04/06/24

      1,047       1,050,487  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.10%, 10/30/22

      4,518       4,495,211  

Pinnacle Foods Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.58%, 02/02/24

      2,614       2,628,445  

Reddy Ice Corp. :

     

1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.26%, 05/01/19(a)

      1,575       1,574,638  

2nd Lien Term Loan, (3 mo. LIBOR + 9.50%), 11.20%, 11/01/19

      532       500,080  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 02/05/23

      2,771       2,783,627  
   

 

 

 
    15,773,793  
 

 

 

SCHEDULES OF INVESTMENTS      15  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Health Care Equipment & Supplies — 3.9%  

Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.65%, 11/21/24

    USD       2,797     $ 2,823,795  

Cotiviti Corp., Term Loan B, (3 mo. LIBOR + 2.25%), 4.20%, 09/28/23

      1,635       1,642,643  

CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.69%, 11/14/24(a)

      1,840       1,858,400  

DJO Finance LLC, 2015 Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.92%, 06/08/20

      6,217       6,155,982  

Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 06/15/21

      3,581       3,643,243  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 4.44%, 09/24/24

      1,462       1,457,604  

Ortho-Clinical Diagnostics SA, Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 06/30/21

      4,450       4,483,733  
     

 

 

 
    22,065,400  
Health Care Providers & Services — 6.7%  

Acadia Healthcare Co., Inc. :

     

Term Loan B1, (1 mo. LIBOR + 2.75%), 4.40%, 02/11/22

      448       450,425  

Tranche B-2 Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 02/16/23

      2,083       2,095,971  

Air Medical Group Holdings, Inc., 2017 Term Loan B2, 09/07/24(k)

      1,450       1,464,862  

Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 01/17/22

      2,420       2,438,916  

CHG Healthcare Services Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 06/07/23

      3,365       3,397,430  

Community Health Systems, Inc., Term Loan G, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.73%, 12/31/19

      475       470,695  

Concentra Inc., 2018 1st Lien Term Loan, (OR + 2.75% 1.00% Floor), 4.53%, 06/01/22

      1,895       1,906,844  

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.68%, 02/07/22

      820       816,693  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 06/24/21

      830       835,582  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.10%, 12/12/24

      906       911,285  

DuPage Medical Group, Ltd. :

     

2018 Term Loan, (1 mo. LIBOR + 2.75%), 4.35%, 08/15/24

      855       853,734  

2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.59%, 08/15/25

      395       395,988  

Envision Healthcare Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.00%), 4.65%, 12/01/23

      5,539       5,550,993  

Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.52%, 05/02/23

      1,075       1,082,605  

HC Group Holdings III, Inc., Term Loan B, (1 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 04/07/22(a)

      1,419       1,440,587  

HCA, Inc., Term Loan B9, (1 mo. LIBOR + 2.00%), 3.65%, 03/17/23

      2,168       2,179,466  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 06/07/23

      2,311       2,321,031  

National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 4.69%, 01/31/21

      480       483,634  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 10/20/22

      1,800       1,802,813  
Security  

Par

(000)

    Value  
Health Care Providers & Services (continued)  

NVA Holdings, Inc., Term Loan B3, (OR + 2.75% 1.00% Floor), 4.41%, 02/02/25

    USD       1,831     $ 1,830,138  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 02/06/24

      1,752       1,703,092  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 02/13/23

      648       651,892  

WP CityMD Bidco LLC, 1st Lien Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.69%, 06/07/24

      948       949,994  

Zotec Partners LLC, 2018 Term Loan, 1.00%, 02/06/25(a)

      1,240       1,227,600  
     

 

 

 
    37,262,270  
Health Care Technology — 1.2%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 03/01/24

      3,615       3,621,815  

Press Ganey Holdings, Inc. :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 10/21/23

      1,595       1,605,116  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50% 1.00% Floor), 8.15%, 10/21/24

      333       337,043  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.69%, 03/07/24

      1,109       1,116,054  
     

 

 

 
    6,680,028  
Hotels, Restaurants & Leisure — 7.5%  

Amaya Holdings BV :

     

2nd Lien Term Loan, (3 mo. LIBOR + 7.00% 1.00% Floor), 8.69%, 08/01/22

      469       470,506  

Repriced Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 08/01/21

      2,717       2,733,822  

Aristocrat Leisure Ltd., 2017 Incremental Term Loan, (3 mo. LIBOR + 2.00%), 3.74%, 10/19/24

      1,420       1,425,836  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.50%), 3.97%, 09/15/23

      1,869       1,877,505  

Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.87%, 08/15/20

      2,121       2,141,228  

Burger King Newco Unlimited Liability Co., Term Loan B3, (3 mo. LIBOR + 2.25% 1.00% Floor), 3.92%, 02/16/24

      7,255       7,264,028  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 12/22/24

      4,454       4,481,303  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 08/08/21

      1,279       1,287,717  

CEC Entertainment, Inc., Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 02/14/21

      581       561,541  

Cineworld Ltd., 2018 Term Loan, 02/18/25(k)

      2,240       2,236,640  

Cyan Blue Holdco 3 Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.19%, 08/23/24

      1,528       1,531,374  

ESH Hospitality, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.90%, 08/30/23

      3,055       3,069,381  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.50%), 4.15%, 11/30/23

      223       224,142  

Gateway Casinos & Entertainment Ltd., Term Loan B1, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 02/22/23

      303       306,130  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 2.00%), 3.62%, 10/25/23

      1,795       1,804,702  

IRB Holding Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.83%, 02/05/25

      1,602       1,616,936  

La Quinta Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.47%, 04/14/21

      819       822,481  
 

 

 

16    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Hotels, Restaurants & Leisure (continued)  

Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.59%, 12/15/24

    USD       924     $ 934,021  

Playa Resorts Holding BV, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.89%, 04/29/24

      1,584       1,593,504  

Scientific Games International, Inc., 2018 Term Loan B5, (3 mo. LIBOR + 2.75%), 4.45%, 08/14/24

      3,896       3,913,007  

Yum! Brands, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.00%), 3.59%, 06/16/23

      1,437       1,443,750  
     

 

 

 
    41,739,554  
Household Products — 0.7%  

Spectrum Brands, Inc., 2017 Term Loan B, (2 mo. LIBOR + 2.00%), 3.74%, 06/23/22

      3,825       3,838,148  
     

 

 

 
Independent Power and Renewable Electricity Producers — 3.1%  

AES Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.94%, 05/24/22

      1,062       1,062,506  

Aria Energy Operating LLC, Term Loan, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 05/27/22(a)

      1,102       1,110,898  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 01/15/25

      1,260       1,262,094  

Calpine Corp., Term Loan B6, (3 mo. LIBOR + 2.50% 1.00% Floor), 4.20%, 01/15/23

      1,838       1,845,497  

Compass Power Generation LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.39%, 12/20/24

      1,185       1,194,634  

Dynegy, Inc., 2017 Term Loan C2, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.35%, 02/07/24

      3,150       3,168,084  

Granite Acquisition, Inc. :

     

Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 12/19/21

      3,274       3,309,378  

Term Loan C, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 12/19/21

      543       549,231  

Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.25% 1.00% Floor), 5.90%, 05/16/24

      2,574       2,609,182  

Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.25% 1.00% Floor), 5.90%, 12/09/21(a)

      1,293       1,170,291  
     

 

 

 
    17,281,795  
Industrial Conglomerates — 1.0%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.58%, 11/30/23

      3,808       3,826,787  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00% 1.00% Floor), 6.55%, 11/28/21

      1,557       1,575,511  
   

 

 

 
    5,402,298  
Insurance — 3.0%  

Alliant Holdings I, Inc., 2015 Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/12/22

      2,771       2,782,171  

AmWINS Group, Inc. :

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75% 1.00% Floor), 8.40%, 01/25/25

      822       827,820  

2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.38%, 01/25/24

      1,861       1,870,506  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 10/22/24

      981       986,362  

Davis Vision Inc., 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.49%, 12/02/24

      1,851       1,841,745  
Security  

Par

(000)

    Value  
Insurance (continued)  

Genworth Financial, Inc., Term Loan, 1.00%, 02/22/23

    USD       125     $ 126,563  

Hub International Ltd., Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.70%, 10/02/20

      1,440       1,444,915  

Sedgwick Claims Management Services, Inc. :

     

1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 03/01/21

      3,234       3,232,284  

2nd Lien Term Loan, (1 mo. LIBOR + 5.75% 1.00% Floor), 7.40%, 02/28/22

      2,540       2,551,125  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 06/22/23(a)

      831       835,507  
     

 

 

 
    16,498,998  
Internet & Direct Marketing Retail — 0.3%  

Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 08/18/23

      1,473       1,474,968  
     

 

 

 
     
Internet Software & Services — 2.0%  

Go Daddy Operating Company LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 02/15/24

      3,758       3,764,565  

GTT Communications, Inc., 2017 Add on Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 01/09/24

      362       363,269  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 05/01/24

      1,035       1,039,001  

Intralinks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.00%), 5.70%, 11/11/24

      1,135       1,136,895  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00% 1.00% Floor),
4.79%, 11/03/23

      3,317       3,325,617  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 05/06/24

      1,542       1,542,728  
     

 

 

 
    11,172,075  
IT Services — 7.7%  

Access CIG LLC(k):

     

2018 1st Lien Term Loan, 5.58%, 02/02/25

      491       494,612  

2018 Delayed Draw Term Loan, 02/27/25

      103       103,223  

2018 2nd Lien Term Loan, 3.75%, 02/02/26

      202       201,889  

2018 2nd Lien Delayed Draw Term loan, 02/27/26

      37       37,456  

Altran Technologies SA, 1st Lien Term Loan, 01/17/25(k)

      680       684,250  

Cologix, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.60%, 03/20/24

      1,757       1,756,180  

First Data Corp. :

     

2024 Term Loan, (1 mo. LIBOR + 2.25%),
3.87%, 04/26/24

      10,241       10,257,997  

Term Loan A, (1 mo. LIBOR + 1.75%), 3.37%, 06/02/20

      619       618,951  

Optiv Security, Inc. :

     

1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.88%, 02/01/24

      3,668       3,489,615  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 8.88%, 02/01/25(a)

      1,141       1,058,135  

Peak 10 Holding Corp. :

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 08/01/24

      1,367       1,369,308  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 9.02%, 08/01/25

      1,620       1,625,670  

Sabre Global Inc., Incremental Term Loan B, (1 mo. LIBOR + 2.25% 1.00% Floor), 3.90%, 02/22/24

      2,559       2,565,136  
 

 

 

SCHEDULES OF INVESTMENTS      17  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
IT Services (continued)  

TKC Holdings, Inc. :

     

2017 1st Lien Term Loan, (2 mo. LIBOR + 4.25% 1.00% Floor), 5.91%, 02/01/23

    USD       2,313     $ 2,337,284  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 8.00% 1.00% Floor), 9.78%, 02/01/24

      1,603       1,612,618  

Trans Union LLC, Term Loan B3, (1 mo. LIBOR + 2.00%), 3.65%, 04/10/23

      4,905       4,919,431  

Vantiv LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.59%, 10/14/23

      1,095       1,101,752  

VF Holding Corp., Reprice Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 06/30/23

      4,740       4,781,475  

WEX, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.25%), 3.90%, 06/30/23

      3,933       3,957,883  
   

 

 

 
    42,972,865  
Leisure Products — 0.2%  

MND Holdings III Corp., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 06/19/24(a)

      1,031       1,044,012  
   

 

 

 
Life Sciences Tools & Services — 0.5%  

Albany Molecular Research, Inc. :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/30/24

      561       563,126  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00% 1.00% Floor), 8.65%, 08/30/25

      395       395,249  

Parexel International Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 09/27/24

      1,660       1,658,280  
   

 

 

 
    2,616,655  
Machinery — 2.3%  

Clark Equipment Co., 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.19%, 05/18/24

      1,120       1,122,014  

Columbus McKinnon Corp., 2018 Term Loan B, (OR + 2.50% 1.00% Floor), 4.12%, 01/31/24

      201       201,711  

Faenza Acquisition GmbH(a) :

     

Term Loan B1, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.73%, 08/30/20

      844       841,682  

Term Loan B3, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.73%, 08/30/20

      259       257,962  

Gardner Denver, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.44%, 07/30/24

      2,394       2,400,659  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 08/05/24

      1,635       1,640,721  

Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 05/27/22

      1,956       1,970,866  

Mueller Water Products, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 11/25/21(a)

      776       781,981  

Rexnord LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.85%, 08/21/24

      1,077       1,083,284  

Signode Industrial Group US, Inc., Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 05/04/21

      815       813,684  

Tecomet, Inc., 2017 Repriced Term Loan, (PRIME + 2.50%), 5.28%, 05/01/24

      1,954       1,968,740  
   

 

 

 
    13,083,304  
Media — 11.2%  

Altice Financing SA :

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 4.47%, 01/31/26

      720       710,135  

2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.47%, 07/15/25

      246       242,045  

Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 07/28/25

      5,608       5,598,903  
Security  

Par

(000)

    Value  
Media (continued)  

CBS Radio, Inc., 2017 Term Loan B, (PRIME + 1.75%), 4.62%, 11/17/24

    USD       859     $ 863,102  

Charter Communications Operating LLC:

     

2017 Term Loan A2, 03/31/23(k)

      2,868       2,864,272  

2017 Term Loan B, (1 mo. LIBOR + 2.00%),
3.65%, 04/30/25

      4,984       4,993,662  

CSC Holdings LLC :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%),
3.84%, 07/17/25

      4,674       4,660,369  

2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.14%, 01/25/26

      1,695       1,696,407  

DHX Media Ltd., Term Loan B, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 12/29/23(a)

      786       787,032  

Getty Images, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 5.19%, 10/18/19

      410       391,760  

Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 02/07/24

      648       651,828  

Hemisphere Media Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%), 5.15%, 02/08/24

      1,571       1,537,158  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 05/31/21

      452       424,592  

iHeartCommunications, Inc. :

     

Extended Term Loan E, (3 mo. LIBOR + 7.50%), 9.19%, 07/30/19

      515       408,591  

Term Loan D, (3 mo. LIBOR + 6.75%), 8.44%, 01/30/19

      4,696       3,727,504  

Intelsat Jackson Holdings SA, 2017 Term Loan B4, (3 mo. LIBOR + 4.50% 1.00% Floor), 6.46%, 01/14/24

      1,828       1,860,933  

Lamar Media Corp., 2018 Term Loan B, 3.85%, 02/16/25

      720       723,600  

Learfield Communications LLC(a) :

     

2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 12/01/23

      1,897       1,915,861  

2017 1st Lien Term Loan, 12/01/23(k)

      624       630,458  

Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 3.94%, 10/31/23

      479       481,801  

Mediacom Illinois LLC, Term Loan K, (1 Week LIBOR + 2.25%), 3.73%, 02/15/24

      1,081       1,084,415  

Mission Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.50%), 4.07%, 01/17/24

      168       168,310  

Nexstar Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.50%), 4.07%, 01/17/24

      1,318       1,321,973  

Numericable Group SA, Term Loan B12, (3 mo. LIBOR + 3.00%), 4.72%, 01/31/26

      544       521,892  

PSAV Holdings LLC :

     

2018 1st Lien Term Loan, 02/21/25(k)

      880       882,200  

Term Loan B, (2 mo. LIBOR + 3.50% 1.00% Floor), 4.97%, 04/27/24

      1,816       1,817,019  

Radiate Holdco LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.57%, 02/01/24

      1,365       1,362,204  

SBA Senior Finance II LLC, Term Loan B1, (1 mo. LIBOR + 2.25%), 3.90%, 03/24/21

      4,381       4,397,504  

Sinclair Television Group Inc., 2017 Term Loan B, 12/12/24(k)

      1,227       1,228,534  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 3.90%, 01/03/24

      194       194,219  

Trader Corp., 2017 Term Loan B, (OR + 3.00% 1.00% Floor), 4.69%, 09/28/23

      1,434       1,432,559  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 4.65%, 01/27/24

      3,696       3,697,030  

Unitymedia Finance LLC, Term Loan B, (1 mo. LIBOR + 2.25%), 3.84%, 09/30/25

      1,680       1,676,858  
 

 

 

18    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Media (continued)  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.09%, 01/15/26

    USD       5,593     $ 5,610,842  

William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 05/06/21

      243       244,066  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.09%, 04/15/25

      1,875       1,857,075  
   

 

 

 
    62,666,713  
Metals & Mining — 0.3%  

AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 01/29/25(k)

      1,220       1,226,869  

WireCo WorldGroup, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.48%, 09/30/23

      741       747,720  
   

 

 

 
    1,974,589  
Multiline Retail — 0.6%  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.63%, 08/04/24

      982       984,994  

Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 09/30/22

      2,208       2,125,111  
   

 

 

 
    3,110,105  
Oil, Gas & Consumable Fuels — 4.9%  

BCP Raptor LLC, Term Loan B, (2 mo. LIBOR + 4.25% 1.00% Floor), 6.04%, 06/24/24

      1,761       1,773,478  

BCP Renaissance Parent LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.77%, 10/31/24

      1,573       1,586,234  

California Resources Corp. :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 6.34%, 12/31/22

      2,434       2,461,194  

Second Out Term Loan, (1 mo. LIBOR + 10.37%), 11.97%, 12/31/21

      2,168       2,444,758  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.50% 1.00% Floor), 9.44%, 08/23/21

      2,706       2,880,659  

CONSOL Energy, Inc. :

     

1st Lien Term Loan A, (3 mo. LIBOR + 4.50%), 6.49%, 11/26/21(a)

      380       379,525  

1st Lien Term Loan B, (3 mo. LIBOR + 6.00% 1.00% Floor), 7.99%, 10/26/22

      855       873,521  

EG Group Ltd., 2018 Term Loan B, 01/19/25(k)

      805       804,598  

EWT Holdings III Corp., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 4.69%, 12/20/24

      589       594,301  

Lucid Energy Group II LLC, 2018 1st Lien Term Loan, 02/17/25(k)

      1,695       1,696,068  

Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 10/30/24(a)

      1,576       1,579,940  

MEG Energy Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.20%, 12/31/23

      2,275       2,273,535  

PowerTeam Services LLC :

     

1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 05/06/20

      497       497,458  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 8.94%, 11/06/20

      470       470,390  

Ultra Resources, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.59%, 04/12/24

      1,508       1,501,214  

Veresen Midstream LP, Reprice Term Loan B, (3 mo. LIBOR + 3.00%), 4.69%, 03/31/22

      2,701       2,716,233  

Vine Oil & Gas LP, Term Loan B, (1 mo. LIBOR + 6.87% 1.00% Floor), 8.52%, 12/12/21(a)

      1,205       1,205,000  

Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 01/17/25

      1,500       1,486,875  
   

 

 

 
    27,224,981  
Security  

Par

(000)

    Value  
Personal Products — 1.3%  

Clover Merger Sub, Inc. :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 09/26/24 (a)

    USD       3,845     $ 3,701,161  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75% 1.00% Floor), 9.40%, 09/26/25

      1,750       1,645,000  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.50%), 4.40%, 01/26/24

      1,815       1,824,955  
   

 

 

 
    7,171,116  
Pharmaceuticals — 2.4%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.94%, 04/16/21(a)

      2,636       2,603,338  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 3.72%, 01/31/25

      4,072       4,086,356  

Jaguar Holding Co. II, 2017 Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 08/18/22

      3,892       3,902,090  

Valeant Pharmaceuticals International, Inc., Series F4 Term Loan B, (1 mo. LIBOR + 3.50%), 5.08%, 04/01/22

      2,602       2,631,572  
   

 

 

 
    13,223,356  
Professional Services — 1.3%  

Cast and Crew Payroll LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%), 4.70%, 09/27/24

      2,354       2,367,833  

Information Resources, Inc., 1st Lien Term Loan, (OR + 4.25% 1.00% Floor), 6.19%, 01/18/24

      779       783,741  

ON Assignment, Inc., 2018 Term Loan B, 02/20/25(k)

      1,226       1,230,219  

SIRVA Worldwide, Inc., 2016 Term Loan, (3 mo. LIBOR + 6.50% 1.00% Floor), 8.20%, 11/14/22(a)

      787       791,413  

Sterling Infosystems, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 06/20/22(a)

      1,911       1,920,981  
   

 

 

 
    7,094,187  
Real Estate Investment Trusts (REITs) — 1.2%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50% 1.00% Floor), 4.15%, 03/24/24

      766       769,622  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.25%), 3.90%, 04/25/23

      4,644       4,663,313  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 4.07%, 05/11/24

      1,360       1,365,680  
   

 

 

 
    6,798,615  
Real Estate Management & Development — 1.2%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 04/18/24

      3,593       3,608,361  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 02/08/25

      2,381       2,391,833  

SMG Holdings Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.89%, 01/23/25

      965       972,237  
   

 

 

 
    6,972,431  
Road & Rail — 0.9%  

PODS LLC, Term Loan B3, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.58%, 12/06/24(a)

      3,736       3,758,985  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 06/13/23

      1,229       1,221,754  
   

 

 

 
    4,980,739  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Semiconductors & Semiconductor Equipment — 0.5%  

Cavium, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.90%, 08/16/22(a)

    USD       810     $ 810,362  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.09%, 05/12/24(a)

      349       349,059  

Microsemi Corp., 2017 1st Lien Term Loan B, (2 mo. LIBOR + 2.00%), 3.74%, 01/15/23

      395       396,072  

ON Semiconductor Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.65%, 03/31/23

      530       532,576  

Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 3.69%, 09/29/23

      943       948,561  
   

 

 

 
    3,036,630  
Software — 13.7%  

Almonde, Inc. :

     

1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.48%, 06/13/24

      1,995       1,993,519  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 9.23%, 06/13/25

      553       548,543  

Applied Systems, Inc. :

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 09/19/24

      2,083       2,093,582  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00% 1.00% Floor), 8.69%, 09/19/25

      491       506,325  

Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 5.95%, 12/20/22

      1,097       1,101,735  

Barracuda Networks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 5.06%, 02/12/25

      970       974,646  

BMC Software Finance, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.90%, 09/10/22

      4,503       4,513,551  

Cypress Intermediate Holdings III, Inc. :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 04/27/24

      916       918,101  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75% 1.00% Floor), 8.40%, 04/27/25

      814       826,617  

Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.65%, 09/07/23

      2,502       2,501,187  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.02%, 05/28/24

      2,182       2,185,176  

DTI Holdco, Inc., 2016 Term Loan B, (3 mo. LIBOR + 5.25% 1.00% Floor), 7.02%, 09/30/23

      1,445       1,455,287  

Flexera Software LLC, 2018 1st Lien Term Loan, 01/23/25(k)

      615       616,347  

Hyland Software, Inc. :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.90%, 07/01/22

      1,452       1,461,233  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.65%, 07/07/25

      420       427,875  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 02/01/22

      3,677       3,680,134  

Informatica Corp., 2018 Term Loan, (3 mo. LIBOR + 3.25%), 4.94%, 08/05/22

      2,852       2,866,605  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00% 1.00% Floor), 6.69%, 04/01/21

      1,287       1,287,478  

Kronos, Inc. :

     

2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.30%, 11/01/23

      4,564       4,592,009  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25% 1.00% Floor), 10.02%, 11/01/24

      1,695       1,738,782  

MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.75%), 4.40%, 06/21/24

      261       261,914  

McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 09/30/24

      1,865       1,873,980  
Security  

Par

(000)

    Value  
Software (continued)  

Mitchell International, Inc. :

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 11/29/24

    USD       3,967     $ 3,975,807  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.94%, 11/20/25

      1,275       1,282,650  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.04%, 04/26/24

      1,255       1,237,704  

Project Leopard Holdings, Inc., Term Loan B,(LIBOR + 5.50%, 1.00% Floor), 7.19%, 07/07/23

      868       870,810  

Seattle Spinco, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%), 4.40%, 06/21/24

      1,765       1,768,767  

SolarWinds Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 02/05/23

      3,197       3,204,479  

Solera LLC, Term Loan B, (1 Week LIBOR + 3.25% 1.00% Floor), 4.90%, 03/03/23

      3,983       3,990,743  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 09/30/22

      4,445       4,449,665  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, 07/08/22(k)

      1,859       1,861,718  

SS&C Technologies, Inc. :

     

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.90%, 07/08/22

      3,523       3,540,118  

2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 3.90%, 07/08/22

      56       56,528  

2018 Term Loan B3, 02/28/25(k)

      5,210       5,218,102  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 4.65%, 05/01/24

      3,313       3,320,242  

TIBCO Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 12/04/20

      2,408       2,413,236  

Veritas Bermuda Ltd., Repriced Term Loan B, (3 mo. LIBOR + 4.50% 1.00% Floor), 6.19%, 01/27/23

      836       830,984  
     

 

 

 
    76,446,179  
Specialty Retail — 2.0%  

Academy Ltd., 2015 Term Loan B, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.49%, 07/01/22

      1,385       1,103,889  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.29%, 11/07/24

      2,453       2,465,265  

Leslie’s Poolmart, Inc., 2016 Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.28%, 08/16/23

      797       798,251  

Michaels Stores, Inc., 2016 Term Loan B1, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 01/30/23

      1,389       1,395,254  

National Vision, Inc., 2017 Repriced Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 11/20/24

      391       392,451  

Party City Holdings Inc., 2018 Term Loan B, (3 mo. LIBOR + 2.75%), 4.53%, 08/19/22

      894       895,749  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%, 01/26/23

      842       583,830  

PetSmart, Inc., Term Loan B2, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.57%, 03/11/22

      182       148,306  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.13%, 12/20/24

      1,265       1,250,769  

Staples, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.79%, 09/12/24

      848       842,107  

Things Remembered, Inc., 2016 Term Loan, (1 mo. LIBOR + 1.00%), 1.00%, 02/29/20 (a)

      9        

TruGreen LP, 2017 Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.54%, 04/13/23

      1,137       1,148,370  
     

 

 

 
    11,024,241  
Technology Hardware, Storage & Peripherals — 0.7%  

Western Digital Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.60%, 04/29/23

      4,103       4,121,867  
     

 

 

 
 

 

 

20    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Textiles, Apparel & Luxury Goods — 0.5%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25% 1.00% Floor),
6.94%, 08/12/22(a)

    USD       2,397     $ 2,406,163  

Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 12/15/24

      535       540,687  
     

 

 

 
    2,946,850  
Thrifts & Mortgage Finance — 0.5%  

IG Investment Holdings LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 10/29/21

      2,721       2,748,924  
     

 

 

 
Trading Companies & Distributors — 1.4%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 01/02/25

      3,235       3,248,490  

HD Supply, Inc. :

     

Term Loan B3, (3 mo. LIBOR + 2.25%), 3.94%, 08/13/21

      2,359       2,369,877  

Term Loan B4, (3 mo. LIBOR + 2.50%), 4.19%, 10/17/23

      1,025       1,031,074  

Nexeo Solutions LLC, 2017 Repriced Term Loan, (3 mo. LIBOR + 3.25%), 4.94%, 06/09/23

      246       249,033  

Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 5.40%, 01/04/23(a)

      287       290,154  

Pro Mach Group, Inc., 2018 Term Loan B, 4.96%, 02/26/25

      760       761,900  
     

 

 

 
    7,950,528  
Transportation — 0.7%  

Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 06/15/23(a)

      700       710,500  

Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.19%, 08/18/22

      786       793,884  

Prometric Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%, 01/29/25

      390       392,438  

Safe Fleet Acquisition, Corp. :

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.78%, 01/22/25

      1,305       1,306,631  

2018 2nd Lien Term Loan, (3 mo. LIBOR + 6.75% 1.00% Floor), 8.53%, 01/22/26

      560       564,200  
     

 

 

 
    3,767,653  
Utilities — 0.1%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.47%, 11/28/24

      738       744,609  
     

 

 

 
Wireless Telecommunication Services — 2.4%  

GEO Group, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.95%, 03/22/24

      2,017       2,022,713  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 5.53%, 12/07/20

      6,764       6,223,518  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 3.60%, 12/20/24

      5,381       5,406,725  
     

 

 

 
    13,652,956  
     

 

 

 

Total Floating Rate Loan Interests — 133.9%
(Cost — $746,667,065)

 

    747,097,135  
     

 

 

 
     Share         

Investment Companies — 1.2%

 

United States — 1.2%  

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

      253,827       6,982,781  
     

 

 

 

Investment Companies — 1.2%
(Cost — $7,018,063)

 

    6,982,781  
     

 

 

 
    

Beneficial Interest

(000)

    Value  

Other Interests(i) — 0.0%

 

IT Services — 0.0%  

Millennium Corp.(a)(b)

    USD       1,607     $  

Millennium Lender Claims(a)(b)

      1,508        
     

 

 

 

Total Other Interests — 0.0%
(Cost — $—)

 

     
     

 

 

 
     Shares         

Trust Preferred — 0.03%

 

Diversified Financial Services — 0.3%  

GMAC Capital Trust I, Series 2 (3 mo. LIBOR US + 5.79%), 7.62, 02/15/40(l)

      60,894       1,571,065  
     

 

 

 

Total Trust Preferred — 0.3%
(Cost — $1,606,167)

 

    1,571,065  
     

 

 

 

Rights — 0.0%

 

Electric Utilities — 0.0%  

Vistra Energy(a)

      46,682       43,881  
     

 

 

 

Total Rights — 0.0%
(Cost — $—)

 

    43,881  
     

 

 

 

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)(a)

      2,406        
     

 

 

 

Total Warrants — 0.0%
(Cost — $24)

 

     
     

 

 

 

Total Long-Term Investments — 147.5%
(Cost — $826,144,791)

 

    823,808,269  
     

 

 

 

Short-Term Securities — 0.5%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.29%(j)(m)

      2,628,005       2,628,005  
     

 

 

 

Total Short-Term Securities — 0.5%
(Cost — $2,628,005)

 

    2,628,005  
     

 

 

 

Options Purchased — 0.1%
(Cost — $152,811)

 

    286,745  
     

 

 

 

Total Investments — 148.1%
(Cost — $828,925,607)

 

    826,723,019  
     

 

 

 

Liabilities in Excess of Other Assets — (48.1)%

 

    (268,681,731
     

 

 

 

Net Assets — 100.0%

 

  $ 558,041,288  
     

 

 

 

 

(a)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(b)  Non-income producing security.
(c)  Floating rate security. Rate shown is the rate in effect as of period end.
(d)  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.
(e)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.
 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

 

(f)  When-issued security.
(g)  Variable rate security. Rate shown is the rate in effect as of period end.
(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)  Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(j)  Annualized 7-day yield as of period end.
(k)  Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.
(l)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(m)  During the six months ended February 28, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

 

Affiliate   

Shares
Held at

08/31/17

    Shares
Purchased
    Shares
Sold
    Shares
Held at
02/28/18
    Value at
02/28/18
    Income     Net
Realized
Gain (Loss)
 (a)
    Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,819,454             (1,191,449 )(b)      2,628,005     $ 2,628,005     $ 16,981     $ 8     $  

iShares iBoxx USD High Yield Corporate Bond ETF

           146,000       (146,000                 111,693       (67,998      
          

 

 

   

 

 

   

 

 

   

 

 

 
  $ 2,628,005     $ 128,674     $ (67,990   $  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) Includes net capital gain distributions, if applicable  
  (b)  Represents net shares sold.  

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD      1,410,614        GBP      994,000        Barclays Bank PLC        03/05/18        $ 42,051  
USD      1,371,021        GBP      991,000        Toronto-Dominion Bank        04/04/18          4,553  
                         

 

 

 
Net Unrealized Appreciation        $ 46,604  
                         

 

 

 

OTC Interest Rate Swaptions Purchased

 

Description    Paid by the Fund   Received by the Fund   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
   Rate     Frequency   Rate     Frequency          

Put

  

10-Year Interest Rate Swap, 04/18/28

     2.75     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     04/16/18       2.75       USD       5,750     $ 94,924  

Put

                    

10-Year Interest Rate Swap, 04/27/28

     2.65     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     04/25/18       2.65       USD       1,650       39,867  

10-Year Interest Rate Swap, 05/20/28

     2.82     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     05/18/18       2.82       USD       10,000       151,954  
                    

 

 

 
                     $ 286,745  
                    

 

 

 

OTC Options Purchased

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount (000)
     Value  

Call

 

Marsico Parent Superholdco LLC

   Goldman Sachs & Co.      44        12/14/19        USD       942.86        USD            $  
                     

 

 

 

 

 

22    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Fund
    Payment
Frequency
     Termination
Date
     Credit
Rating
 (a)
     Notional
Amount (000)
 (b)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 

Dow Jones Markit CDX North America High Yield Index, Series 29, Version 1

     5.00     Quarterly        12/20/22        BB-        5,586      $ 433,128      $ 336,368      $ 96,760  
             

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Using S&P/Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.  

OTC Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing
Rate Paid
by the Fund
    Payment
Frequency
    Counterparty   Termination
Date
   

Notional
Amount

(000)

    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

CenturyLink, Inc.

     1.00     Quarterly     JPMorgan Chase Bank N.A.     12/20/22       USD       1,249       141,410     $ 158,100     $ (16,690

CenturyLink, Inc.

     1.00     Quarterly     Goldman Sachs International     12/20/22       USD       1,277       144,580       165,881       (21,301
              

 

 

   

 

 

   

 

 

 
               $ 285,990     $ 323,981     $ (37,991
              

 

 

   

 

 

   

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives

 

      Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

   $ 336,368        $        $ 96,760        $  

OTC Derivatives

     323,981                            (37,991

 

  (a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.  

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 as follows:

 

        Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

 

                    

Forward foreign currency exchange contracts

    

Unrealized appreciation on
forward foreign currency
exchange contracts
 
 
 
   $      $      $      $ 46,604      $      $      $ 46,604  

Options purchased

    
Investments at value —
unaffiliated(a)
 
 
                                 286,745               286,745  

Swaps — centrally cleared

    
Net unrealized
appreciation
 
 
            96,760                                    96,760  

Swaps — OTC

    

Unrealized appreciation on
OTC swaps; Swap
premiums paid
 
 
 
            323,981                                    323,981  
     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
             $ 420,741             $ 46,604      $ 286,745             $ 754,090  
     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                                   

Swaps — OTC

    

Unrealized appreciation on
OTC swaps; Swap
premiums received
 
 
 
            37,991                                  $ 37,991  
     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes options purchased at value as reported in the Schedule of Investments.  

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

 

For the six months ended February 28, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Forward foreign currency exchange contracts

   $      $      $      $ (62,966    $      $      $ (62,966

Options Purchased(a)

                                 45,021               45,021  

Swaps

            (79,416                                  (79,416
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (79,416    $      $ (62,966    $ 45,021      $      $ (97,361
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:  

Forward foreign currency exchange contracts

   $      $      $      $ (5,232    $      $      $ (5,232

Options Purchased(b)

                                 242,402               242,402  

Swaps

            58,769                                    58,769  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 58,769      $      $ (5,232    $ 242,402      $      $ 295,939  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Options purchased are included in net change in realized appreciation (depreciation) on investments.  
  (b)  Options purchased are included in net change in unrealized appreciation (depreciation) on investments.  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 4,500,007  

Average amounts sold — in USD

   $ 1,768,167  

Options:

 

Average notional value of swaption contracts purchased

   $ 16,200,000  

Credit default swaps:

 

Average notional amount — buy protection

   $ 2,526,000  

Average notional amount — sell protection

   $ 2,793,000  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Forward foreign currency exchange contracts

   $ 46,604        $  

Options(a)

     286,745           

Swaps — Centrally cleared

              12,424  

Swaps — OTC(b)

     323,981          37,991  
  

 

 

      

 

 

 

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

   $ 657,330        $ 50,415  
  

 

 

      

 

 

 

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

              (12,424
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 657,330        $ 37,991  
  

 

 

      

 

 

 

 

  (a)  Includes options purchased at value which is included in Investments at value—unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.  
  (b)  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 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
 (a)
       Non-cash
Collateral

Received
       Cash
Collateral
Received
       Net Amount
of
 Derivative
Assets  (b)
 

Barclays Bank PLC

   $ 42,051        $        $        $        $ 42,051  

Goldman Sachs International

     165,881          (21,301                          144,580  

JPMorgan Chase Bank N.A.

     444,845          (16,690                 (428,155         

Toronto-Dominion Bank

     4,553                                     4,553  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 657,330        $ (37,991      $        $ (428,155      $ 191,184  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

 

24    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
     Derivatives
Available
for Offset
 (a)
     Non-cash
Collateral
Pledged
     Cash
Collateral
Pledged
     Net Amount
of Derivative
Liabilities
 (b)
 

Goldman Sachs International

   $ 21,301      $ (21,301    $      $      $  

JPMorgan Chase Bank N.A.

     16,690        (16,690                     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 37,991      $ (37,991    $      $      $  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.  
  (b)  Net amount represents the net amount receivable from the counterparty in the event of default.  

Fair Value Hierarchy as of Period End

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

The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments:

                 

Asset-Backed Securities

   $        $ 14,353,512        $ 1,000,000        $ 15,353,512  

Common Stocks(a)

     990,893          701          882,872          1,874,466  

Corporate Bonds

              48,257,685          2,627,744          50,885,429  

Floating Rate Loan Interests

              694,904,644          52,192,491          747,097,135  

Investment Companies

     6,982,781                            6,982,781  

Rights

                       43,881          43,881  

Trust Preferred

     1,571,065                            1,571,065  

Options Purchased

                 

Interest Rate Contracts

              286,745                   286,745  

Unfunded Floating Rate Loan Interests(b)

              3,403                   3,403  

Short-Term Securities

     2,628,005                            2,628,005  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 12,172,744        $ 757,806,690        $ 56,746,988        $ 826,726,422  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(c)

                 

Assets:

                 

Credit contracts

   $        $ 96,760        $        $ 96,760  

Forward foreign currency contracts

              46,604                   46,604  

Liabilities:

                 

Credit contracts

              (37,991                 (37,991
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 105,373        $        $ 105,373  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  See above Schedule of Investments for values in each industry.  
  (b)  Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.  
  (c)  Derivative financial instruments are forward foreign currency exchange contracts, which 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 $237,000,000 is categorized as Level 2 within the disclosure hierarchy.

During the period ended February 28, 2018, there were no transfers between Level 1 and Level 2.

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

 

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 year 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, 2017

  $     $ 478,161     $ 2,513,176     $ 30,767,366     $ 3     $ 49,016     $ 168     $ 33,807,890  

Transfers into Level 3(a)

                      16,605,147                         16,605,147  

Transfers out of Level 3(b)

                      (7,714,540                       (7,714,540

Accrued discounts/premiums

                      82,711                         82,711  

Net realized gain (loss)

                874,494       (595,501     (61,488                 217,505  

Net change in unrealized appreciation (depreciation)(c),(d)

          404,711       (834,227     605,427       61,485       (5,135     (168     232,093  

Purchases

    1,000,000             2,761,752       24,175,790                         27,937,542  

Sales

                (2,687,451     (11,733,909                       (14,421,360
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing balance, as of February 28, 2018

  $ 1,000,000     $ 882,872     $ 2,627,744     $ 52,192,491     $     $ 43,881     $     $ 56,746,988  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018 (d)

  $     $ 404,711     $ (99,913   $ 686,924     $     $ (5,135   $ (168   $ 986,419  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) As of August 31, 2017 the Fund used observable inputs in determining the value of certain investments. As of February 28, 2018, 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.  
  (b) As of August 31, 2017, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2018, 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.  
  (c) Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (d) Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018 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.

 

 

26    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       
Shares
    Value  

Common Stocks — 0.3%

 

Chemicals — 0.0%  

LyondellBasell Industries NV, Class A

      37     $ 4,004  
     

 

 

 
Diversified Financial Services — 0.2%  

Kcad Holdings I Ltd.(a)(b)

      546,753,936       1,454,365  
     

 

 

 
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(b)

      8,511       400  
     

 

 

 
Hotels, Restaurants & Leisure — 0.0%  

Caesars Entertainment Corp.(b)

      8,330       105,791  
     

 

 

 
Household Durables — 0.0%  

Berkline Benchcraft Equity LLC(a)

      3,155        
     

 

 

 
Metals & Mining — 0.0%  

Ameriforge Group, Inc.

      801       36,045  
     

 

 

 
Software — 0.1%  

Avaya Holdings Corp.(b)

      10,345       217,142  
     

 

 

 

Total Common Stocks — 0.3%
(Cost — $6,418,460)

 

    1,817,747  
     

 

 

 
     Par
(000)
        

Asset-Backed Securities — 13.7%

 

Asset-Backed Securities — 13.6%  

AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US + 3.25%), 4.99%, 07/20/26(c)(d)

    USD       250       251,735  

Allegro CLO II Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.85%), 5.59%, 01/21/27(c)(d)

      1,000       1,002,030  

ALM VI Ltd., Series 2012-6A, Class B2RR, (3 mo. LIBOR US + 2.05%), 3.77%, 07/15/26(c)(d)

      1,000       1,007,693  

ALM XII Ltd., Series 2015-12A, Class C1R, (3 mo. LIBOR US + 3.20%), 4.92%, 04/16/27(c)(d)

      1,000       1,005,869  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class C2R, (3 mo. LIBOR US + 3.20%), 4.92%, 07/15/27(c)(d)

      270       274,014  

ALM XVII Ltd., Series 2015-17A, Class D, (3 mo. LIBOR US + 6.35%), 8.07%, 01/15/28(c)(d)

      1,000       1,015,108  

AmeriCredit Automobile Receivables, Series 2014-3, Class C, 2.58%, 09/08/20

      4,850       4,856,094  

AMMC CLO Ltd.(c)(d):

     

Series 2014-15A, Class D, (3 mo. LIBOR US + 4.20%), 5.74%, 12/09/26

      2,000       2,033,483  

Series 2016-18A, Class E1, (3 mo. LIBOR US + 6.67%), 8.61%, 05/26/28

      500       505,536  

Anchorage Capital CLO Ltd.(d):

     

Series 2014-3RA, Class E, 7.26%, 01/28/31(e)

      850       849,954  

Series 2014-4RA, Class D, 4.36%, 01/28/31(e)

      250       250,087  

Series 2014-5RA, Class E, 7.12%, 01/15/30(e)

      860       859,924  

Series 2015-7A, Class DR, 4.42%, 10/15/27(e)

      1,000       1,008,281  

Series 2016-8A, Class E, (3 mo. LIBOR US + 6.50%), 8.26%, 07/28/28(c)

      1,000       1,015,808  

Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%), 5.72%, 01/15/29(c)

      350       357,300  

Ares XL CLO Ltd., Series 2016-40A, Class D, (3 mo. LIBOR US + 6.60%), 8.32%, 10/15/27(c)(d)

      500       511,349  

Ares XXXII CLO Ltd., Series 2014-32A, Class BR, (3 mo. LIBOR US + 2.25%), 4.09%, 11/15/25(c)(d)

      1,250       1,258,602  

Ballyrock CLO LLC, Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.65%), 5.39%, 10/20/26(c)(d)

      280       280,084  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

Battalion CLO XI Ltd., Series 2017-11A, Class E, 7.72%, 10/24/29(d)(e)

    USD       325     $ 329,907  

Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, 7.76%, 10/15/30(d)(e)

      500       511,669  

BlueMountain CLO Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US + 4.15%), 6.03%, 11/20/28(c)(d)

      1,000       1,018,125  

Carlyle Global Market Strategies CLO Ltd.(c)(d):

     

Series 2014-3A, Class D1, (3 mo. LIBOR US + 5.10%), 6.86%, 07/27/26

      1,000       1,005,219  

Series 2014-4A, Class E, (3 mo. LIBOR US + 5.20%), 6.92%, 10/15/26

      500       501,755  

Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.00%), 3.74%, 04/20/27

      600       601,797  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30(d)

      632       581,782  

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44(d)

      3,073       3,135,909  

Dryden Senior Loan Fund, Series 2014-31A, Class DR, (3 mo. LIBOR US + 3.35%), 5.08%, 04/18/26(c)(d)

      250       250,838  

Galaxy CLO Ltd., Series 2015-21A, 1.00%, 04/20/31(d)(e)(f)

      500       500,000  

Highbridge Loan Management Ltd., Series 5A-2015, Class E, (3 mo. LIBOR US + 5.35%), 7.11%, 01/29/26(d)(e)

      1,000       1,001,311  

HPS Loan Management Ltd., Series 9A-2016, Class D2, (3 mo. LIBOR US + 6.45%), 8.19%, 07/19/27(c)(d)

      1,000       1,014,619  

Lendmark Funding Trust, Series 2017-2A, Class A, 2.80%, 05/20/26(d)

      2,240       2,228,112  

Litigation Fee Residual Funding, 4.00%, 10/30/27(a)

      1,487       1,481,782  

Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.62%), 9.36%, 01/20/29(c)(d)

      500       518,837  

Madison Park Funding XI Ltd., Series 2013-11A, Class ER, 8.19%, 07/23/29(d)(e)

      250       254,046  

Madison Park Funding XIII Ltd., Series 2014-13A, Class E, (3 mo. LIBOR US + 5.00%), 6.74%, 01/19/25(c)(d)

      1,250       1,250,989  

Madison Park Funding XIV Ltd., Series 2014-14A, Class E, (3 mo. LIBOR US + 4.75%), 6.49%, 07/20/26(c)(d)

      1,000       1,000,811  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 3.96%, 01/27/26(c)(d)

      1,500       1,504,396  

Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, 6.72%, 01/15/28(d)(e)

      1,250       1,250,399  

Oaktree CLO Ltd., 6.94%, 10/20/27(d)(e)

      500       500,069  

Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo. LIBOR US + 6.30%), 8.04%, 07/20/30(c)(d)

      500       514,820  

Octagon Investment Partners XVIII Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.48%), 5.33%, 12/16/24(c)(d)

      1,000       1,005,590  

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 07/18/25(d)

      4,000       3,997,216  

OZLM IX Ltd., Series 2014-9A Class CR, (3 mo. LIBOR US + 3.55%), 5.29%, 01/20/27(c)(d)

      1,000       1,004,514  

OZLM VII Ltd., Series 2014-7A, Class CR, (3 mo. LIBOR US + 3.50%), 5.23%, 07/17/26(c)(d)

      250       251,593  
 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

OZLM VIII Ltd., Series 2014-8A(c)(d):

     

Class BR, (3 mo. LIBOR US + 2.25%), 3.98%, 10/17/26

    USD       2,500     $ 2,506,774  

Class CR, (3 mo. LIBOR US + 3.40%), 5.13%, 10/17/26

      500       501,709  

OZLM XII Ltd., Series 2015-12A, Class C, (3 mo. LIBOR US + 3.70%), 5.47%, 04/30/27(c)(d)

      1,000       1,003,363  

OZLM XIX Ltd., Series 2017-19A, Class D, 7.97%, 11/22/30(d)(e)

      500       515,447  

OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR US + 4.00%), 5.74%, 01/20/29(c)(d)

      1,000       1,021,047  

OZLM XXI, Series 2017-21A, Class D, 7.29%, 01/20/31(d)(e)

      500       499,565  

Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, 7.63%, 11/14/29(d)(e)

      1,750       1,784,183  

Regatta V Funding Ltd., Series 2014-1A, Class BR, (3 mo. LIBOR US + 2.30%), 4.05%, 10/25/26(c)(d)

      2,000       2,006,977  

Rockford Tower CLO Ltd.(c)(d):

     

Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 4.97%, 04/15/29

      250       253,422  

Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%), 5.17%, 10/15/29

      500       511,306  

Santander Drive Auto Receivables Trust:

     

Series 2014-3, Class D, 2.65%, 08/17/20

      4,015       4,020,943  

Series 2014-4, Class C, 2.60%, 11/16/20

      1,521       1,523,060  

Series 2014-4, Class D, 3.10%, 11/16/20

      4,500       4,522,085  

Shackleton CLO Ltd., Series 2013-3A(d)(e):

     

Class DR, 4.74%, 07/15/30

      500       503,358  

Class ER, 7.60%, 07/15/30

      250       250,102  

Sound Point CLO IV Ltd., Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.40%), 5.14%, 01/21/26(c)(d)

      800       801,652  

Sound Point CLO VII Ltd., Series 2014-3A, Class D, (3 mo. LIBOR US + 3.60%), 5.34%, 01/23/27(c)(d)

      2,000       2,009,503  

Sound Point CLO XIV Ltd, Series 2016-3A, Class E, (3 mo. LIBOR US + 6.65%), 8.39%, 01/23/29(c)(d)

      1,000       1,023,712  

Symphony CLO XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 2.20%), 3.93%, 10/17/26(c)(d)

      1,250       1,255,607  

Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.00%), 5.36%, 01/23/28(c)(d)

      1,000       1,027,803  

Thayer Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.10%), 7.84%, 04/20/29(c)(d)

      500       511,987  

THL Credit Wind River CLO Ltd., Series 2014-3A, Class E, (3 mo. LIBOR US + 5.60%), 7.34%, 01/22/27(c)(d)

      1,000       1,003,952  

TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.51%), 8.23%, 07/15/29(c)(d)

      500       508,932  

Venture XXVI CLO Ltd., Series 2017-26A(c)(d):

     

Class D, (3 mo. LIBOR US + 4.25%), 5.99%, 01/20/29

      1,000       1,032,335  

Class E, (3 mo. LIBOR US + 6.80%), 8.54%, 01/20/29

      500       513,032  

Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US + 4.50%), 6.24%, 07/20/28(c)(d)

      1,000       1,023,559  

Voya CLO Ltd., Series 2014-4A, Class CR, (3 mo. LIBOR US + 3.00%), 4.72%, 10/14/26(c)(d)

      2,500       2,512,557  

Wellfleet CLO Ltd., Series 2017-3A, Class B, 1.95%, 01/17/31(d)(e)

      500       500,898  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 08/15/22

    USD       3,000     $ 3,020,640  

York CLO Ltd.(d):

     

Series 2015-1A, Class ER, 7.11%, 01/22/31(e)

      250       250,849  

Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 5.34%, 10/20/29(c)

      250       255,671  

Series 2016-2A, Class E, (3 mo. LIBOR US + 6.94%), 8.68%, 01/20/30(c)

      1,000       1,025,388  
     

 

 

 
    85,260,474  
Interest Only Asset-Backed Securities — 0.1%  

Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 03/30/30(a)(d)

      3,807       221,274  

Sterling Coofs Trust, Series 2004-1, Class A, 2.00%, 04/15/29(a)(d)(e)

      286       143,111  
     

 

 

 
    364,385  
     

 

 

 

Total Asset-Backed Securities — 13.7%
(Cost — $85,092,388)

 

    85,624,859  
     

 

 

 

Corporate Bonds — 61.5%

 

Aerospace & Defense — 1.4%  

Arconic, Inc.:

     

5.87%, 02/23/22(g)

      730       773,800  

5.13%, 10/01/24(g)

      742       768,897  

5.90%, 02/01/27

      105       112,875  

6.75%, 01/15/28

      54       61,560  

5.95%, 02/01/37

      50       53,380  

Bombardier, Inc.(d):

     

7.75%, 03/15/20

      660       704,550  

8.75%, 12/01/21(g)

      372       407,805  

6.00%, 10/15/22

      19       18,953  

6.13%, 01/15/23

      378       378,945  

7.50%, 12/01/24

      584       606,630  

7.50%, 03/15/25(g)

      1,249       1,281,786  

7.45%, 05/01/34

      188       191,760  

Engility Corp., 8.88%, 09/01/24

      216       228,960  

EnPro Industries, Inc., 5.88%, 09/15/22

      111       115,057  

KLX, Inc., 5.88%, 12/01/22(d)(g)

      788       811,640  

Koppers, Inc., 6.00%, 02/15/25(d)

      225       232,875  

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(d)

      160       166,800  

Moog, Inc., 5.25%, 12/01/22(d)

      270       278,100  

Pioneer Holdings LLC/Pioneer Finance Corp., 9.00%, 11/01/22(d)

      164       172,610  

TransDigm, Inc.:

     

6.00%, 07/15/22(g)

      1,070       1,095,412  

6.50%, 07/15/24(g)

      378       389,813  

6.50%, 05/15/25

      55       56,375  

6.38%, 06/15/26

      58       59,305  
     

 

 

 
    8,967,888  
Air Freight & Logistics — 0.2%  

XPO Logistics, Inc., 6.50%, 06/15/22(d)(g)

      1,043       1,083,416  
     

 

 

 
Airlines — 2.0%  

Air Canada Pass-Through Trust(d):

     

Series 2013-1, Class C, 6.63%, 05/15/18

      651       655,882  

Series 2015-1, Class B, 3.88%, 09/15/24(g)

      1,282       1,278,930  

American Airlines Pass-Through Trust:

     

Series 2013-2, Class A, 4.95%, 07/15/24(g)

      2,696       2,825,181  

Series 2013-2, Class B, 5.60%, 01/15/22(d)(g)

      372       382,452  

Series 2017-1, Class B, 4.95%, 08/15/26

      1,438       1,485,860  
 

 

 

28    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Airlines (continued)  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20

    USD       239     $ 243,780  

Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 04/29/18(g)

      230       231,437  

Latam Finance Ltd., 6.88%, 04/11/24(d)

      203       213,150  

United Airlines Pass-Through Trust:

     

Series 2014-2, Class B, 4.63%, 03/03/24(g)

      1,865       1,903,557  

Series 2015-1, Class A, 3.70%, 06/01/24(g)

      2,430       2,441,785  

US Airways Pass-Through Trust, Series 2011-1, Class B, 9.75%, 04/22/20

      321       334,286  

Virgin Australia Trust, Series 2013-1(d)(g):

     

Class A, 5.00%, 04/23/25

      327       337,672  

Class C, 7.13%, 10/23/18

      229       232,288  
     

 

 

 
        12,566,260  
Auto Components — 0.5%  

Allison Transmission, Inc., 5.00%, 10/01/24(d)

      28       28,385  

Aptiv PLC, 4.40%, 10/01/46

      240       232,929  

Gestamp Funding Luxembourg SA, 3.50%, 05/15/23

    EUR       100       127,032  

Goodyear Tire & Rubber Co., 5.00%, 05/31/26

    USD       67       67,000  

HP Pelzer Holding GmbH, 4.13%, 04/01/24

    EUR       100       124,257  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

6.00%, 08/01/20

    USD       28       28,546  

6.25%, 02/01/22

      299       303,485  

6.75%, 02/01/24

      279       284,580  

6.38%, 12/15/25

      149       149,559  

IHO Verwaltungs GmbH(h):

     

(2.75% Cash or 3.50% PIK), 2.75%, 09/15/21

    EUR       100       124,269  

(3.25% Cash or 4.00% PIK), 3.25%, 09/15/23

      100       126,026  

(3.75% Cash or 4.50% PIK), 3.75%, 09/15/26

      100       128,710  

(4.13% Cash or 4.88% PIK), 4.13%, 09/15/21(d)

    USD       200       199,500  

(4.50% Cash or 5.25% PIK), 4.50%, 09/15/23(d)

      200       196,000  

Tesla, Inc., 5.30%, 08/15/25(d)(g)

      496       470,729  

ZF North America Capital, Inc., 4.50%, 04/29/22(d)(g)

      252       258,300  
     

 

 

 
    2,849,307  
Automobiles — 0.4%  

General Motors Co., 3.50%, 10/02/18(g)

      2,478       2,491,009  
     

 

 

 
Banks — 1.6%  

Allied Irish Banks PLC(5 year EUR Swap + 3.95%), 4.13%, 11/26/25(i)

    EUR       100       131,707  

Alpha Bank AE, 2.50%, 02/05/23

      100       121,619  

Banco Espirito Santo SA, 4.00%, 01/21/19(b)(j)

      100       36,600  

Banco Popolare, 2.75%, 07/27/20

      100       127,316  

Bank of Ireland (5 year EUR Swap + 3.55%), 4.25%, 06/11/24(i)

      100       127,547  

Bankia SA(5 year EUR Swap + 3.35%), 3.38%, 03/15/27(i)

      100       129,371  

Barclays PLC, 3.65%, 03/16/25(g)

    USD       3,600       3,462,250  

CaixaBank SA(5 year EUR Swap + 3.35%), 3.50%, 02/15/27(i)

    EUR       100       130,169  

CIT Group, Inc., 5.00%, 08/01/23(g)

    USD       582       598,005  

HSBC Holdings PLC, 4.38%, 11/23/26(g)

      395       396,591  

IKB Deutsche Industriebank AG, 4.00%, 01/31/28(e)

    EUR       100       123,525  

Inversiones Atlantida SA, 8.25%, 07/28/22(d)

    USD       370       378,788  

National Bank of Greece SA, 2.75%, 10/19/50

    EUR       100       124,783  

Nordea Bank AB, 4.50%, 03/26/20

      1,020       1,356,458  

Santander Holdings USA, Inc., 4.50%, 07/17/25(g)

    USD       1,750       1,774,933  

Santander UK Group Holdings PLC, 2.88%, 08/05/21(g)

      950       930,211  
     

 

 

 
        9,949,873  
Security   Par
(000)
    Value  
Beverages — 0.5%  

Anheuser-Busch InBev Finance, Inc., 3.30%, 02/01/23(g)

    USD       3,000     $ 2,991,702  

Central American Bottling Corp., 5.75%, 01/31/27(d)

      176       181,280  

OI European Group BV, 4.00%, 03/15/23(d)

      223       215,753  
   

 

 

 
    3,388,735  
Biotechnology — 0.1%  

Illumina, Inc., 0.50%, 06/15/21

      303       363,145  

Senvion Holding GmbH, 3.88%, 10/25/22

    EUR       100       112,850  
   

 

 

 
    475,995  
Building Materials — 0.1%  

American Woodmark Corp., Co. GUAR 144A 03/26 4.875, 4.88%, 03/15/26(d)

    USD       97       96,272  

Jeld-Wen, Inc., 4.63%, 12/15/25(d)

      93       90,908  

Titan Global Finance PLC, 3.50%, 06/17/21

    EUR       100       129,015  
   

 

 

 
    316,195  
Building Products — 0.4%  

American Builders & Contractors Supply Co., Inc.(d):

     

5.63%, 04/15/21

    USD       76       76,950  

5.75%, 12/15/23

      210       218,925  

Beacon Escrow Corp., 4.88%, 11/01/25(d)

      362       353,059  

Building Materials Corp. of America, 6.00%, 10/15/25(d)(g)

      260       274,625  

CPG Merger Sub LLC, 8.00%, 10/01/21(d)(g)

      324       333,720  

Masonite International Corp., 5.63%, 03/15/23(d)(g)

      479       495,166  

Ply Gem Industries, Inc., 6.50%, 02/01/22

      219       227,011  

Standard Industries, Inc.(d):

     

5.50%, 02/15/23(g)

      147       151,042  

5.38%, 11/15/24

      45       46,013  

USG Corp.(d):

     

5.50%, 03/01/25

      11       11,440  

4.88%, 06/01/27

      198       195,030  
   

 

 

 
    2,382,981  
Cable Television Services — 0.0%  

CB Escrow Corp., 8.00%, 10/15/25(d)

      146       142,715  
   

 

 

 
Capital Markets — 0.6%  

Blackstone CQP Holdco LP(d):

     

6.50%, 03/20/21

      2,040       2,057,850  

6.00%, 08/18/21

      332       333,577  

Morgan Stanley, 4.00%, 07/23/25(g)

      965       977,410  

NFP Corp., 6.88%, 07/15/25(d)

      85       85,213  

SURA Asset Management SA, 4.38%, 04/11/27(d)

      205       202,437  
   

 

 

 
    3,656,487  
Chemicals — 1.8%  

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(d)(g)

      1,061       1,066,305  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25

    EUR       100       128,204  

Axalta Coating Systems LLC, 4.88%, 08/15/24(d)

    USD       239       240,195  

Blue Cube Spinco, Inc.:

     

9.75%, 10/15/23

      424       491,840  

10.00%, 10/15/25

      308       367,290  

CF Industries, Inc.:

     

7.13%, 05/01/20

      61       65,041  

5.15%, 03/15/34

      90       88,200  

4.95%, 06/01/43

      164       149,240  

Chemours Co.:

     

6.63%, 05/15/23

      248       260,710  

7.00%, 05/15/25

      112       120,680  

5.38%, 05/15/27

      134       134,335  
 

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Chemicals (continued)  

Cydsa SAB de C.V., 6.25%, 10/04/27(d)

    USD       252     $ 251,685  

Hexion, Inc., 10.38%, 02/01/22(d)

      184       179,400  

Huntsman International LLC:

     

4.88%, 11/15/20

      165       168,759  

5.13%, 11/15/22

      280       289,100  

Ineos Finance PLC, 4.00%, 05/01/23

    EUR       100       125,045  

INEOS Group Holdings SA, 5.38%, 08/01/24

      100       128,833  

Mexichem SAB de CV, 5.50%, 01/15/48(d)

    USD       200       190,300  

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

      1,578       1,641,120  

NOVA Chemicals Corp., 4.88%, 06/01/24(d)

      267       263,663  

Olin Corp., 5.00%, 02/01/30

      117       112,905  

Platform Specialty Products Corp.(d)(g):

     

6.50%, 02/01/22

      1,876       1,925,245  

5.88%, 12/01/25

      631       627,845  

PQ Corp.(d):

     

6.75%, 11/15/22(g)

      373       393,515  

5.75%, 12/15/25

      408       414,120  

PSPC Escrow Corp., 6.00%, 02/01/23

    EUR       100       127,185  

Sherwin-Williams Co., 2.75%, 06/01/22

    USD       180       175,522  

Tronox Finance PLC, 5.75%, 10/01/25(d)

      172       170,710  

Venator Finance Sarl/Venator Materials LLC, 5.75%, 07/15/25(d)

      150       152,625  

Versum Materials, Inc., 5.50%, 09/30/24(d)

      116       121,220  

WR Grace & Co-Conn(d):

     

5.13%, 10/01/21

      316       327,060  

5.63%, 10/01/24

      200       210,000  
   

 

 

 
    11,107,897  
Commercial Services & Supplies — 1.1%  

ADT Corp.:

     

6.25%, 10/15/21

      139       147,601  

3.50%, 07/15/22(g)

      163       155,665  

4.13%, 06/15/23

      310       301,475  

4.88%, 07/15/32(d)

      474       431,340  

Advanced Disposal Services, Inc., 5.63%, 11/15/24(d)

      225       229,500  

Booz Allen Hamilton, Inc., 5.13%, 05/01/25(d)(g)

      669       663,982  

CD&R Waterworks Merger Sub LLC, 6.13%, 08/15/25(d)

      410       405,900  

Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22(d)

      39       40,170  

Harland Clarke Holdings Corp., 8.38%, 08/15/22(d)

      414       428,490  

KAR Auction Services, Inc., 5.13%, 06/01/25(d)

      285       287,137  

La Financiere Atalian SAS, 4.00%, 05/15/24

    EUR       100       126,059  

Mobile Mini, Inc., 5.88%, 07/01/24(g)

    USD       499       518,960  

Paprec Holding SA, 5.25%, 04/01/22

    EUR       100       125,077  

Park Aerospace Holdings Ltd.(d):

     

3.63%, 03/15/21

    USD       226       217,525  

5.25%, 08/15/22

      369       369,461  

Pitney Bowes, Inc., 3.63%, 10/01/21(g)

      500       476,875  

Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(d)

      160       161,808  

S&P Global, Inc., 2.50%, 08/15/18(g)

      445       445,415  

United Rentals North America, Inc.:

     

4.63%, 07/15/23

      160       163,600  

5.75%, 11/15/24(g)

      609       628,792  

5.50%, 05/15/27

      246       251,781  

Verisure Holding AB, 6.00%, 11/01/22

    EUR       113       144,994  

Wrangler Buyer Corp., 6.00%, 10/01/25(d)

    USD       109       110,363  
   

 

 

 
    6,831,970  
Communications Equipment — 0.7%  

CommScope Technologies Finance LLC, 6.00%, 06/15/25(d)

      3       3,098  
Security   Par
(000)
    Value  
Communications Equipment (continued)  

CommScope Technologies LLC, 5.00%, 03/15/27(d)

    USD       207     $ 201,954  

CommScope, Inc.(d):

     

5.00%, 06/15/21

      465       471,394  

5.50%, 06/15/24

      102       103,913  

Motorola Solutions, Inc., 3.75%, 05/15/22(g)

      1,500       1,501,518  

Nokia OYJ:

     

3.38%, 06/12/22

      106       103,074  

4.38%, 06/12/27

      149       143,040  

6.63%, 05/15/39

      200       216,000  

Zayo Group LLC/Zayo Capital, Inc.(g):

     

6.00%, 04/01/23

      531       551,576  

6.38%, 05/15/25

      380       397,146  

5.75%, 01/15/27(d)

      707       710,535  
   

 

 

 
    4,403,248  
Construction & Engineering — 0.5%  

Aeropuertos Argentina 2000 SA, 6.88%, 02/01/27(d)

      293       305,558  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(d)

      293       320,102  

BlueLine Rental Finance Corp., 9.25%, 03/15/24(d)(g)

      1,124       1,215,325  

Brand Energy & Infrastructure Services, Inc., 8.50%, 07/15/25(d)

      528       545,160  

SPIE SA, 3.13%, 03/22/24

    EUR       100       125,975  

Tutor Perini Corp., 6.88%, 05/01/25(d)

    USD       219       229,950  

Weekley Homes LLC/Weekley Finance Corp., 6.63%, 08/15/25(d)

      61       60,982  
   

 

 

 
    2,803,052  
Construction Materials — 0.2%  

American Tire Distributors, Inc., 10.25%, 03/01/22(d)

      204       212,439  

Beacon Roofing Supply, Inc., 6.38%, 10/01/23

      137       146,076  

LKQ Italia Bondco SpA, 3.88%, 04/01/24

    EUR       100       130,693  

Navistar International Corp., 6.63%, 11/01/25(d)

    USD       271       279,130  

New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(d)

      160       173,400  

Rexel SA, 3.50%, 06/15/23

    EUR       116       148,306  

Williams Scotsman International, Inc., 7.88%, 12/15/22(d)

    USD       109       114,178  
   

 

 

 
    1,204,222  
Consumer Discretionary — 0.2%  

Arch Merger Sub, Inc., 8.50%, 09/15/25(d)

      189       181,440  

Elis SA, 1.88%, 02/15/23

    EUR       100       123,067  

Nielsen Co. Luxembourg SARL, 5.00%, 02/01/25(d)

    USD       79       78,877  

Viking Cruises Ltd.(d):

     

6.25%, 05/15/25

      141       143,115  

5.88%, 09/15/27

      528       514,800  
   

 

 

 
    1,041,299  
Consumer Finance — 0.8%  

Alliance Data Systems Corp.(d):

     

5.88%, 11/01/21(g)

      696       711,660  

5.38%, 08/01/22

      130       130,488  

Ally Financial, Inc., 8.00%, 11/01/31(g)

      911       1,129,640  

CDK Global, Inc., 4.88%, 06/01/27(d)

      278       275,832  

Credivalores-Crediservicios SAS, 9.75%, 07/27/22(d)

      200       205,000  

IHS Markit Ltd.(d):

     

4.75%, 02/15/25

      167       170,757  

4.00%, 03/01/26

      122       118,340  
 

 

 

30    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Consumer Finance (continued)  

Navient Corp.:

     

5.00%, 10/26/20(g)

    USD       310     $ 311,937  

6.63%, 07/26/21

      113       118,085  

6.50%, 06/15/22

      375       390,937  

5.50%, 01/25/23

      134       132,660  

7.25%, 09/25/23(g)

      257       273,062  

6.13%, 03/25/24

      43       43,430  

5.88%, 10/25/24

      125       123,750  

6.75%, 06/25/25

      181       185,806  

5.63%, 08/01/33

      95       84,550  

OneMain Financial Holdings LLC, 7.25%, 12/15/21(d)

      219       227,514  

Springleaf Finance Corp.:

     

6.13%, 05/15/22

      70       71,750  

5.63%, 03/15/23

      110       108,900  
   

 

 

 
    4,814,098  
Containers & Packaging — 1.4%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

     

4.25%, 09/15/22(d)

      239       238,104  

4.63%, 05/15/23(d)

      206       205,742  

6.75%, 05/15/24

    EUR       100       133,133  

7.25%, 05/15/24(d)(g)

    USD       1,668       1,786,845  

6.00%, 02/15/25(d)

      399       408,975  

4.75%, 07/15/27(d)

    GBP       100       133,870  

4.75%, 07/15/27

      100       133,870  

Ball Corp.:

     

5.00%, 03/15/22(g)

    USD       303       314,362  

4.00%, 11/15/23

      48       47,520  

BWAY Holding Co.(d):

     

5.50%, 04/15/24(g)

      681       696,322  

7.25%, 04/15/25

      113       116,673  

Horizon Holdings I SASU, 7.25%, 08/01/23

    EUR       100       127,996  

JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22(h)

      100       128,787  

Mercer International, Inc.:

     

6.50%, 02/01/24

    USD       113       118,367  

5.50%, 01/15/26(d)

      117       116,415  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:

     

5.75%, 10/15/20(g)

      1,029       1,044,630  

6.88%, 02/15/21

      73       73,683  

(3 mo. LIBOR US + 3.50%), 5.22%, 07/15/21(c)(d)

      810       819,112  

5.13%, 07/15/23(d)

      175       178,281  

7.00%, 07/15/24(d)(g)

      1,039       1,094,197  

Sealed Air Corp.(d):

     

4.88%, 12/01/22

      192       197,760  

6.88%, 07/15/33

      44       49,500  

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 05/01/22(d)(g)

      473       489,555  

Silgan Holdings, Inc., 3.25%, 03/15/25

    EUR       100       124,416  

Verallia Packaging SASU, 5.13%, 08/01/22

      100       126,280  
   

 

 

 
    8,904,395  
Diversified Consumer Services — 0.6%  

APX Group, Inc.:

     

6.38%, 12/01/19

    USD       30       30,450  

8.75%, 12/01/20(g)

      270       272,025  

7.88%, 12/01/22(g)

      182       191,782  

Ascend Learning LLC, 6.88%, 08/01/25(d)

      299       307,970  

GW Honos Security Corp., 8.75%, 05/15/25(d)

      87       93,634  

Laureate Education, Inc., 8.25%, 05/01/25(d)

      114       121,410  
Security   Par
(000)
    Value  
Diversified Consumer Services (continued)  

Matthews International Corp., 5.25%, 12/01/25(d)

    USD       62     $ 62,155  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(d)(g)

      2,009       2,187,299  

ServiceMaster Co. LLC, 5.13%, 11/15/24(d)

      244       240,340  
   

 

 

 
    3,507,065  
Diversified Financial Services — 1.1%  

Aircastle Ltd.:

     

6.25%, 12/01/19(g)

      367       382,139  

5.13%, 03/15/21

      16       16,440  

5.50%, 02/15/22

      267       277,680  

Arrow Global Finance PLC(3 mo. Euribor + 2.88%), 2.88%, 04/01/25(c)

    EUR       100       119,860  

Banca IFIS SpA, 4.50%, 10/17/27(e)

      100       123,983  

Docuformas SAPI de C.V., 9.25%, 10/11/22(d)

    USD       421       403,107  

FBM Finance, Inc., 8.25%, 08/15/21(d)

      130       137,150  

General Motors Financial Co., Inc., 4.38%, 09/25/21(g)

      530       545,295  

Intesa Sanpaolo SpA, 5.02%, 06/26/24(d)(g)

      2,442       2,436,672  

Intrum Justitia AB, 2.75%, 07/15/22

    EUR       100       119,867  

Jefferies Finance LLC/JFIN Co-Issuer Corp.(d)(g):

     

7.38%, 04/01/20

    USD       290       293,483  

6.88%, 04/15/22

      480       480,000  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(h)

    EUR       101       125,093  

Mercury Bondco PLC, (8.25% Cash or 9.00% PIK), 8.25%, 05/30/21(h)

      200       255,421  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(d)

    USD       504       507,780  

UniCredit SpA(5 year EUR Swap + 4.32%), 4.38%, 01/03/27(i)

    EUR       100       132,722  

Vantiv LLC/Vanity Issuer Corp.(d):

     

3.88%, 11/15/25

    GBP       100       136,314  

4.38%, 11/15/25

    USD       200       193,750  

WMG Acquisition Corp.:

     

4.13%, 11/01/24

    EUR       100       128,008  

5.50%, 04/15/26(d)

    USD       120       120,000  
   

 

 

 
    6,934,764  
Diversified Telecommunication Services — 1.3%  

CenturyLink, Inc.:

     

Series P, 7.60%, 09/15/39

      26       22,685  

Series S, 6.45%, 06/15/21(g)

      588       601,230  

Series T, 5.80%, 03/15/22

      255       251,494  

Series U, 7.65%, 03/15/42

      246       214,020  

Series W, 6.75%, 12/01/23(g)

      245       241,325  

Cincinnati Bell, Inc., 7.00%, 07/15/24(d)

      406       385,700  

Frontier Communications Corp.:

     

7.13%, 03/15/19

      190       193,325  

7.13%, 01/15/23

      144       95,940  

7.63%, 04/15/24(g)

      252       160,020  

6.88%, 01/15/25(g)

      1,024       624,640  

11.00%, 09/15/25

      216       169,290  

Level 3 Financing, Inc.:

     

5.38%, 08/15/22

      184       185,840  

5.63%, 02/01/23

      115       116,150  

5.13%, 05/01/23(g)

      295       295,000  

5.38%, 01/15/24

      325       323,375  

5.38%, 05/01/25(g)

      303       300,728  

5.25%, 03/15/26(g)

      1,614       1,553,459  

OTE PLC, 3.50%, 07/09/20

    EUR       100       129,015  

SoftBank Group Corp.:

     

(5 year USD ICE Swap + 4.85%), 6.88%(i)(k)

    USD       290       286,187  

4.75%, 09/19/24

      200       194,053  

4.75%, 07/30/25

    EUR       122       156,654  
 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Telecom Italia Capital SA:

     

6.38%, 11/15/33

    USD       233     $ 255,135  

6.00%, 09/30/34(g)

      671       702,872  

7.20%, 07/18/36

      202       236,340  

7.72%, 06/04/38

      21       25,725  

Telecom Italia Finance SA, 7.75%, 01/24/33

    EUR       37       67,167  

Telecom Italia SpA:

     

5.88%, 05/19/23

    GBP       100       157,221  

3.63%, 01/19/24

    EUR       100       134,252  

Verizon Communications, Inc., 3.38%, 02/15/25

      156       152,440  
   

 

 

 
    8,231,282  
Electric Utilities — 0.8%  

AES Corp., 5.50%, 04/15/25

    USD       89       91,225  

Black Hills Corp., 3.15%, 01/15/27(g)

      305       288,745  

Celeo Redes Operacion Chile SA, 5.20%, 06/22/47(d)(g)

      1,006       1,006,000  

DPL, Inc., 7.25%, 10/15/21

      30       32,700  

Enel Finance International NV, 3.63%, 05/25/27(d)(g)

      900       864,679  

Energuate Trust, 5.88%, 05/03/27(d)

      200       203,000  

Exelon Corp., 3.40%, 04/15/26(g)

      140       136,227  

NextEra Energy Operating Partners LP, 4.25%, 09/15/24(d)

      177       174,566  

Pampa Energia SA, 7.50%, 01/24/27(d)

      290       303,775  

Southern Co., 2.95%, 07/01/23(g)

      1,920       1,865,291  

Talen Energy Supply LLC, 6.50%, 06/01/25

      176       135,960  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.(a):

     

10.25%, 11/01/15

      47       141  

10.50%, 11/01/18

      31       93  

11.50%, 10/01/20(b)

      300        
   

 

 

 
    5,102,402  
Electrical Equipment — 0.0%  

Areva SA, 4.88%, 09/23/24

    EUR       100       135,061  
   

 

 

 
Electronic Equipment, Instruments & Components — 0.1%  

CDW LLC/CDW Finance Corp.:

     

5.00%, 09/01/23

    USD       72       73,080  

5.50%, 12/01/24(g)

      493       515,185  

5.00%, 09/01/25

      107       107,803  

Itron, Inc., 5.00%, 01/15/26(d)

      25       24,875  
   

 

 

 
    720,943  
Energy Equipment & Services — 0.8%  

Ensco PLC:

     

5.20%, 03/15/25

      40       33,200  

7.75%, 02/01/26

      313       295,785  

Gates Global LLC/Gates Global Co., 6.00%, 07/15/22(d)(g)

      640       651,200  

Halliburton Co., 3.80%, 11/15/25(g)

      100       100,056  

Oceaneering International, Inc., 6.00%, 02/01/28

      212       208,946  

Odebrecht Oil & Gas Finance Ltd., 0.00%(d)(k)(l)

    BRL       43       1,089  

Pattern Energy Group, Inc., 5.88%, 02/01/24(d)

    USD       223       229,645  

Pioneer Energy Services Corp., 6.13%, 03/15/22

      275       248,531  

Precision Drilling Corp.:

     

6.50%, 12/15/21

      68       69,190  

7.75%, 12/15/23

      75       79,125  

5.25%, 11/15/24

      134       127,635  

7.13%, 01/15/26(d)

      214       215,873  

Transocean, Inc.:

     

5.80%, 10/15/22

      246       238,657  

9.00%, 07/15/23(d)(g)

      636       686,880  

7.50%, 01/15/26(d)

      403       406,023  

6.80%, 03/15/38

      134       107,870  
Security   Par
(000)
    Value  
Energy Equipment & Services (continued)  

Trinidad Drilling Ltd., 6.63%, 02/15/25(d)

    USD       331     $ 319,829  

Weatherford International Ltd.:

     

7.75%, 06/15/21(g)

      465       463,256  

8.25%, 06/15/23

      168       162,960  

9.88%, 02/15/24

      326       322,740  

6.50%, 08/01/36

      110       83,600  

7.00%, 03/15/38

      8       6,360  

5.95%, 04/15/42

      310       223,200  
   

 

 

 
    5,281,650  
Environmental, Maintenance, & Security Service — 0.1%  

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

      642       645,210  

Waste Pro USA, Inc., 5.50%, 02/15/26(d)

      186       186,930  
   

 

 

 
    832,140  
Food & Staples Retailing — 0.4%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

     

6.63%, 06/15/24

      186       171,352  

5.75%, 03/15/25

      104       91,000  

B&M European Value Retail SA, 4.13%, 02/01/22

    GBP       100       141,774  

Casino Guichard Perrachon SA, 4.50%, 03/07/24

    EUR       200       264,463  

CVS Health Corp., 4.75%, 12/01/22(g)

    USD       165       173,073  

Dollar Tree, Inc.:

     

5.25%, 03/01/20

      58       58,725  

5.75%, 03/01/23(g)

      1,321       1,372,189  

Post Holdings, Inc., 5.63%, 01/15/28(d)

      73       71,084  

Rite Aid Corp., 6.13%, 04/01/23(d)

      254       255,270  
   

 

 

 
    2,598,930  
Food Products — 0.7%  

Acosta, Inc., 7.75%, 10/01/22(d)

      214       153,010  

Aramark Services, Inc.:

     

5.13%, 01/15/24(g)

      417       425,340  

5.00%, 04/01/25(d)

      46       46,345  

Arcor SAIC, 6.00%, 07/06/23(d)

      180       186,336  

B&G Foods, Inc., 5.25%, 04/01/25

      129       124,163  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(d)

      316       329,430  

JBS USA LLC/JBS USA Finance, Inc.(d):

     

5.88%, 07/15/24

      184       179,437  

5.75%, 06/15/25(g)

      589       562,495  

JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28(d)

      287       284,187  

MARB BondCo PLC, 7.00%, 03/15/24

      200       196,702  

Marfrig Holdings Europe BV, 8.00%, 06/08/23(d)(g)

      200       206,400  

Minerva Luxembourg SA, 6.50%, 09/20/26(d)

      200       198,500  

Pilgrim’s Pride Corp.(d):

     

5.75%, 03/15/25

      227       225,865  

5.88%, 09/30/27

      194       188,626  

Post Holdings, Inc.(d):

     

5.50%, 03/01/25

      90       90,563  

5.00%, 08/15/26

      305       289,750  

5.75%, 03/01/27

      407       401,912  
   

 

 

 
    4,089,061  
Health Care Equipment & Supplies — 0.9%  

Avantor, Inc.:

     

4.75%, 10/01/24

    EUR       100       121,123  

6.00%, 10/01/24(d)(g)

    USD       1,571       1,571,000  

9.00%, 10/01/25(d)

      398       398,995  

Crimson Merger Sub, Inc., 6.63%, 05/15/22(d)(g)

      1,126       1,117,555  

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 06/15/21(d)(g)

      1,093       1,060,210  
 

 

 

32    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health Care Equipment & Supplies (continued)  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC(d):

     

4.88%, 04/15/20(g)

    USD       284     $ 274,770  

5.75%, 08/01/22(g)

      402       355,770  

5.63%, 10/15/23

      162       134,055  

5.50%, 04/15/25

      57       45,030  

Teleflex, Inc.:

     

5.25%, 06/15/24

      250       256,250  

4.88%, 06/01/26

      56       55,440  

Thermo Fisher Scientific, Inc., 3.00%, 04/15/23(g)

      305       299,183  
   

 

 

 
    5,689,381  
Health Care Providers & Services — 2.6%  

Acadia Healthcare Co., Inc.:

     

5.13%, 07/01/22

      85       86,029  

5.63%, 02/15/23

      90       92,336  

6.50%, 03/01/24

      196       202,370  

Aetna, Inc., 2.80%, 06/15/23(g)

      340       325,983  

Air Medical Merger Sub Corp., 6.38%, 05/15/23(d)

      85       80,750  

Amsurg Corp., 5.63%, 07/15/22(g)

      367       372,964  

Centene Corp.:

     

5.63%, 02/15/21

      329       336,814  

4.75%, 05/15/22(g)

      314       319,299  

6.13%, 02/15/24

      37       38,850  

CHS/Community Health Systems, Inc.:

     

8.00%, 11/15/19

      230       216,317  

5.13%, 08/01/21

      276       254,610  

6.25%, 03/31/23

      64       58,240  

DaVita, Inc., 5.13%, 07/15/24(g)

      235       233,384  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(d)(h)

      258       258,003  

Envision Healthcare Corp.(d):

     

5.13%, 07/01/22

      73       73,548  

6.25%, 12/01/24

      225       236,812  

HCA, Inc.:

     

6.50%, 02/15/20(g)

      777       819,735  

7.50%, 02/15/22(g)

      225       248,906  

5.88%, 03/15/22(g)

      205       217,300  

4.75%, 05/01/23

      155       157,713  

5.88%, 05/01/23

      56       58,884  

5.00%, 03/15/24(g)

      1,194       1,216,387  

5.38%, 02/01/25(g)

      647       657,721  

5.25%, 04/15/25(g)

      995       1,022,362  

5.88%, 02/15/26(g)

      336       347,760  

5.25%, 06/15/26(g)

      84       86,100  

4.50%, 02/15/27

      86       83,958  

5.50%, 06/15/47(g)

      913       901,587  

HealthSouth Corp., 5.75%, 11/01/24(g)

      80       80,800  

MEDNAX, Inc., 5.25%, 12/01/23(d)(g)

      123       125,921  

Molina Healthcare, Inc., 4.88%, 06/15/25(d)

      108       103,410  

MPH Acquisition Holdings LLC, 7.13%, 06/01/24(d)(g)

      498       524,145  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(d)(g)(h)

      702       716,040  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23(d)

      137       143,850  

Sterigenics-Nordion Holdings LLC, 6.50%, 05/15/23(d)

      104       105,560  

Surgery Center Holdings, Inc.(d):

     

8.88%, 04/15/21

      139       144,213  

6.75%, 07/01/25(g)

      272       255,680  

Team Health Holdings, Inc., 6.38%, 02/01/25(d)(g)

      375       343,125  

Tenet Healthcare Corp.:

     

6.00%, 10/01/20(g)

      613       637,514  
Security   Par
(000)
    Value  
Health Care Providers & Services (continued)  

7.50%, 01/01/22(d)

    USD       176     $ 185,680  

8.13%, 04/01/22

      678       715,290  

6.75%, 06/15/23(g)

      726       726,000  

4.63%, 07/15/24(d)

      185       177,600  

THC Escrow Corp. III(d):

     

5.13%, 05/01/25

      161       156,170  

7.00%, 08/01/25

      229       228,427  

UnitedHealth Group, Inc., 3.75%, 07/15/25(g)

      1,470       1,489,902  

Vizient, Inc., 10.38%, 03/01/24(d)

      322       360,640  

WellCare Health Plans, Inc., 5.25%, 04/01/25

      85       86,030  
   

 

 

 
    16,310,719  
Health Care Services — 0.0%  

Aveta Inc. Escrow, 7.00%, 04/01/19(a)(d)

      183        
   

 

 

 
Health Care Technology — 0.1%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(d)

      207       207,000  

Quintiles IMS, Inc., 3.25%, 03/15/25(d)

    EUR       100       123,075  
   

 

 

 
    330,075  
Hotels, Restaurants & Leisure — 3.6%  

Burger King France SAS(3 mo. Euribor + 5.25%), 5.25%, 05/01/23(c)

      100       124,299  

Cirsa Funding Luxembourg SA, 5.88%, 05/15/23

      100       126,176  

Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21

      100       127,130  

CPUK Finance Ltd., 4.25%, 02/28/47

    GBP       100       139,059  

CRC Escrow Issuer LLC/CRC Finco, Inc., 5.25%, 10/15/25(d)(g)

    USD       348       340,170  

Eldorado Resorts, Inc., 6.00%, 04/01/25

      105       108,150  

ESH Hospitality, Inc., 5.25%, 05/01/25(d)(g)

      275       274,313  

GLP Capital LP/GLP Financing II, Inc.:

     

5.38%, 11/01/23

      126       131,355  

5.38%, 04/15/26

      60       61,950  

Golden Nugget, Inc., 6.75%, 10/15/24(d)

      396       405,900  

International Game Technology PLC, 4.75%, 02/15/23

    EUR       125       169,098  

IRB Holding Corp., 6.75%, 02/15/26(d)

    USD       190       189,706  

Jacobs Entertainment, Inc., 7.88%, 02/01/24(d)

      89       95,119  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(d):

     

5.00%, 06/01/24

      35       35,350  

5.25%, 06/01/26

      368       372,600  

McDonald’s Corp., 3.70%, 01/30/26(g)

      405       406,245  

Melco Resorts Finance Ltd., 4.88%, 06/06/25(d)

      375       366,851  

MGM Resorts International:

     

5.25%, 03/31/20(g)

      442       455,813  

6.75%, 10/01/20(g)

      226       241,255  

6.63%, 12/15/21(g)

      962       1,039,489  

7.75%, 03/15/22

      149       166,135  

New Red Finance, Inc.(d):

     

4.25%, 05/15/24

      245       233,975  

5.00%, 10/15/25(g)

      1,780       1,734,387  

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 04/15/21(g)

      630       632,363  

Sabre GLBL, Inc., 5.38%, 04/15/23(d)

      147       148,103  

Scientific Games International, Inc.:

     

7.00%, 01/01/22(d)(g)

      1,301       1,369,302  

10.00%, 12/01/22(g)

      988       1,071,980  

5.00%, 10/15/25(d)

      599       592,261  

Six Flags Entertainment Corp.(d)(g):

     

4.88%, 07/31/24

      795       793,084  

5.50%, 04/15/27

      61       61,229  
 

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Spirit Issuer PLC:

     

Series A2, (3 mo. LIBOR GBP + 2.70%), 3.22%, 12/28/31(c)

    GBP       1,800     $ 2,416,127  

Series A5, 5.47%, 12/28/34

      4,500       6,503,405  

Station Casinos LLC, 5.00%, 10/01/25(d)

    USD       303       295,425  

Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27

    GBP       62       95,644  

Wyndham Worldwide Corp., 4.15%, 04/01/24(g)

    USD       858       859,654  

Wynn Macau Ltd., 5.50%, 10/01/27(d)

      200       196,940  

Yum! Brands, Inc., 3.88%, 11/01/23

      98       95,060  
   

 

 

 
    22,475,102  
Household Durables — 0.8%  

Algeco Scotsman Global Finance 2 PLC, 10.00%, 08/15/23(d)

      200       199,000  

Algeco Scotsman Global Finance PLC, 8.00%, 02/15/23(d)

      200       201,450  

Berkline/Benchcraft LLC, 4.50%, 06/01/18(a)(b)(j)

      200        

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 07/01/22(d)

      259       267,417  

CalAtlantic Group, Inc., 6.25%, 12/15/21

      380       406,600  

K Hovnanian Enterprises, Inc., 10.00%, 07/15/22(d)

      204       222,615  

Lennar Corp.:

     

4.50%, 11/15/19

      370       375,087  

8.38%, 01/15/21(d)

      134       149,477  

4.75%, 04/01/21

      26       26,553  

4.13%, 01/15/22

      118       116,820  

5.38%, 10/01/22(d)

      6       6,255  

4.75%, 11/15/22

      151       151,755  

4.88%, 12/15/23

      122       123,677  

4.75%, 05/30/25

      260       258,700  

5.25%, 06/01/26(d)

      28       28,560  

4.75%, 11/29/27(d)

      360       348,300  

Mattamy Group Corp.(d):

     

6.88%, 12/15/23

      143       149,971  

6.50%, 10/01/25

      176       183,920  

MDC Holdings, Inc., 6.00%, 01/15/43

      182       172,900  

Meritage Homes Corp., 5.13%, 06/06/27

      77       76,038  

PulteGroup, Inc., 6.38%, 05/15/33(g)

      469       500,657  

Tempur Sealy International, Inc., 5.50%, 06/15/26(g)

      180       176,850  

TRI Pointe Group, Inc.:

     

4.38%, 06/15/19

      110       110,275  

4.88%, 07/01/21

      112       112,560  

5.25%, 06/01/27

      18       17,798  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24(g)

      248       255,440  

William Lyon Homes, Inc., 5.88%, 01/31/25

      95       94,763  
   

 

 

 
    4,733,438  
Household Products — 0.2%  

ACCO Brands Corp., 5.25%, 12/15/24(d)

      85       85,425  

Diamond (BC) BV, 5.63%, 08/15/25

    EUR       106       125,964  

Prestige Brands, Inc., 6.38%, 03/01/24(d)

    USD       58       59,450  

Spectrum Brands, Inc., 6.63%, 11/15/22(g)

      815       842,506  
   

 

 

 
    1,113,345  
Independent Power and Renewable Electricity Producers — 0.8%  

AES Corp.:

     

4.88%, 05/15/23(g)

      257       259,249  

5.50%, 03/15/24

      8       8,170  

6.00%, 05/15/26

      317       332,850  

5.13%, 09/01/27

      351       355,387  

Calpine Corp.(d):

     

5.88%, 01/15/24

      450       459,562  
Security   Par
(000)
    Value  
Independent Power and Renewable Electricity Producers (continued)  

5.25%, 06/01/26(g)

    USD       730     $ 708,100  

Dynegy, Inc.:

     

7.38%, 11/01/22

      324       341,415  

5.88%, 06/01/23

      71       72,775  

8.00%, 01/15/25(d)

      214       232,458  

8.13%, 01/30/26(d)

      171       187,245  

Genneia SA, 8.75%, 01/20/22(d)

      293       316,267  

NRG Energy, Inc.:

     

6.63%, 01/15/27(g)

      861       888,982  

5.75%, 01/15/28(d)

      236       233,003  

NRG Yield Operating LLC, 5.38%, 08/15/24(g)

      325       328,452  

QEP Resources, Inc., 5.38%, 10/01/22(g)

      109       110,635  

TerraForm Power Operating LLC(d):

     

4.25%, 01/31/23

      181       177,380  

6.63%, 06/15/25(m)

      30       32,475  

5.00%, 01/31/28

      181       175,172  
   

 

 

 
    5,219,577  
Industrial Conglomerates — 0.1%  

Vertiv Group Corp., 9.25%, 10/15/24(d)

      550       580,250  
   

 

 

 
Insurance — 1.8%  

Acrisure LLC/Acrisure Finance, Inc., 7.00%, 11/15/25(d)

      180       175,950  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(g)

      360       352,900  

American International Group, Inc., 3.75%, 07/10/25(g)

      2,705       2,691,933  

Aon PLC, 3.88%, 12/15/25(g)

      1,115       1,126,193  

Ardonagh Midco 3 PLC:

     

8.38%, 07/15/23

    GBP       100       140,833  

8.63%, 07/15/23(d)

    USD       436       450,170  

Assicurazioni Generali SpA(i):

     

(3 mo. Euribor + 7.11%), 7.75%, 12/12/42

    EUR       100       155,042  

(3 mo. Euribor + 5.35%), 5.50%, 10/27/47

      100       142,495  

AssuredPartners, Inc., 7.00%, 08/15/25(d)

    USD       53       54,193  

Fidelity National Financial, Inc., 4.25%, 08/15/18

      102       313,783  

Forethought Financial Group, Inc., 8.63%, 04/15/21(d)(g)

      750       852,638  

Groupama SA, 6.00%, 01/23/27

    EUR       100       150,164  

HUB International Ltd., 7.88%, 10/01/21(d)(g)

    USD       948       977,625  

Lincoln National Corp., 3.35%, 03/09/25(g)

      845       828,102  

Muenchener Rueckversicherungs AG(3 mo. Euribor + 3.50%), 6.00%, 05/26/41(i)

    EUR       400       570,376  

Nationwide Building Society, 4.13%, 10/18/32(d)(e)

    USD       595       573,238  

Radian Group, Inc.:

     

5.25%, 06/15/20

      53       54,855  

4.50%, 10/01/24

      277       276,391  

USIS Merger Sub, Inc., 6.88%, 05/01/25(d)

      63       63,787  

Wayne Merger Sub LLC, 8.25%, 08/01/23(d)(g)

      947       984,880  
   

 

 

 
    10,935,548  
Internet Software & Services — 0.3%  

Equinix, Inc.:

     

2.88%, 03/15/24

    EUR       100       122,000  

5.88%, 01/15/26(g)

    USD       623       652,592  

Netflix, Inc.:

     

4.38%, 11/15/26(g)

      163       156,480  

3.63%, 05/15/27

    EUR       100       122,569  

Rackspace Hosting, Inc., 8.63%, 11/15/24(d)

    USD       200       208,282  

Sabre GLBL, Inc., 5.25%, 11/15/23(d)

      180       181,350  

Symantec Corp., 5.00%, 04/15/25(d)

      158       160,303  

United Group BV, 4.38%, 07/01/22

    EUR       126       155,995  

ZPG PLC, 3.75%, 07/15/23

    GBP       100       136,228  
   

 

 

 
    1,895,799  
 

 

 

34    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
IT Services — 0.8%  

Ceridian HCM Holding, Inc., 11.00%, 03/15/21(d)(g)

    USD       404     $ 417,465  

First Data Corp.(d):

     

7.00%, 12/01/23(g)

      1,555       1,634,694  

5.00%, 01/15/24

      180       181,125  

5.75%, 01/15/24(g)

      2,100       2,136,750  

Gartner, Inc., 5.13%, 04/01/25(d)

      174       178,350  

WEX, Inc., 4.75%, 02/01/23(d)

      431       433,963  
   

 

 

 
    4,982,347  
Leisure Products — 0.1%  

Mattel, Inc.:

     

6.75%, 12/31/25(d)

      307       312,373  

6.20%, 10/01/40

      68       63,240  

5.45%, 11/01/41

      40       35,200  
   

 

 

 
    410,813  
Machinery — 0.2%  

Cleaver-Brooks, Inc., 7.88%, 03/01/23(d)

      92       97,060  

Platin 1426 GmbH, 5.38%, 06/15/23

    EUR       109       132,149  

RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(d)

    USD       215       211,775  

SPX FLOW, Inc.(d):

     

5.63%, 08/15/24

      292       297,110  

5.88%, 08/15/26

      139       142,822  

Terex Corp., 5.63%, 02/01/25(d)(g)

      354       357,540  

Wabash National Corp., 5.50%, 10/01/25(d)

      241       238,590  
   

 

 

 
    1,477,046  
Media — 5.7%  

Altice Financing SA(d):

     

6.63%, 02/15/23

      365       364,544  

7.50%, 05/15/26(g)

      1,084       1,092,130  

Altice Luxembourg SA:

     

7.75%, 05/15/22(d)(g)

      865       806,612  

6.25%, 02/15/25

    EUR       100       113,802  

Altice US Finance I Corp.(d):

     

5.38%, 07/15/23(g)

    USD       1,346       1,367,872  

5.50%, 05/15/26

      200       198,000  

AMC Networks, Inc.:

     

5.00%, 04/01/24(g)

      318       318,795  

4.75%, 08/01/25

      196       189,875  

Cablevision SA, 6.50%, 06/15/21(d)

      176       184,020  

Cablevision Systems Corp., 8.00%, 04/15/20

      125       132,838  

CBS Radio, Inc., 7.25%, 11/01/24(d)

      79       81,354  

CCO Holdings LLC/CCO Holdings Capital Corp.:

     

5.13%, 02/15/23(g)

      270       274,387  

4.00%, 03/01/23(d)(g)

      670       652,412  

5.13%, 05/01/23(d)(g)

      375       382,031  

5.13%, 05/01/27(d)(g)

      2,133       2,053,908  

5.00%, 02/01/28(d)

      30       28,322  

Cequel Communications Holdings I LLC/Cequel Capital Corp.(d):

     

6.38%, 09/15/20

      105       106,181  

5.13%, 12/15/21

      187       186,299  

5.13%, 12/15/21(g)

      640       636,205  

7.75%, 07/15/25(g)

      1,276       1,358,940  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25(g)

      2,425       2,492,901  

Clear Channel International BV, 8.75%, 12/15/20(d)(g)

      560       585,200  

Clear Channel Worldwide Holdings, Inc.(g):

     

6.50%, 11/15/22

      2,817       2,888,023  

Series B, 7.63%, 03/15/20

      1,199       1,197,501  

CSC Holdings LLC(g):

     

10.13%, 01/15/23(d)

      1,210       1,352,175  
Security   Par
(000)
    Value  
Media (continued)  

5.25%, 06/01/24

    USD       454     $ 436,975  

6.63%, 10/15/25(d)

      235       246,750  

10.88%, 10/15/25(d)

      1,750       2,065,000  

Discovery Communications LLC(g):

     

3.25%, 04/01/23

      1,490       1,448,346  

3.45%, 03/15/25

      170       162,617  

DISH DBS Corp.:

     

5.88%, 07/15/22(g)

      570       555,750  

5.00%, 03/15/23

      358       328,912  

5.88%, 11/15/24

      245       229,688  

7.75%, 07/01/26(g)

      822       809,670  

DISH Network Corp., 3.38%, 08/15/26(n)

      219       220,328  

eircom Finance DAC, 4.50%, 05/31/22

    EUR       100       124,989  

GTT Communications, Inc., 7.88%, 12/31/24(d)

    USD       224       232,820  

Hughes Satellite Systems Corp.:

     

7.63%, 06/15/21

      93       100,091  

5.25%, 08/01/26(g)

      413       402,675  

Intelsat Jackson Holdings SA:

     

7.25%, 10/15/20

      296       275,650  

5.50%, 08/01/23(g)

      471       389,164  

9.75%, 07/15/25(d)

      504       478,170  

LG Finance Co. Corp., 5.88%, 11/01/24(d)

      85       88,791  

Live Nation Entertainment, Inc., 4.88%, 11/01/24(d)

      29       28,819  

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 05/15/24(d)

      91       88,043  

MDC Partners, Inc., 6.50%, 05/01/24(d)

      341       340,147  

Meredith Corp., 6.88%, 02/01/26(d)

      154       158,813  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 08/15/23(d)

      233       246,106  

Numericable Group SA, 5.38%, 05/15/22

    EUR       110       137,009  

Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(d)

    USD       146       141,985  

Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(d)

      60       59,850  

SFR Group SA(d):

     

6.00%, 05/15/22(g)

      370       359,362  

6.25%, 05/15/24

      420       391,125  

7.38%, 05/01/26(g)

      1,482       1,430,575  

Sirius XM Radio, Inc., 5.00%, 08/01/27(d)

      85       82,663  

TEGNA, Inc.:

     

5.13%, 10/15/19

      105       106,444  

5.50%, 09/15/24(d)

      66       67,815  

Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(d)

      400       386,000  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24(d)

      241       264,498  

Tribune Media Co., 5.88%, 07/15/22

      22       22,440  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

     

5.63%, 04/15/23

    EUR       70       88,360  

5.00%, 01/15/25(d)

    USD       200       203,500  

Univision Communications, Inc.(d):

     

5.13%, 05/15/23(g)

      336       318,360  

5.13%, 02/15/25

      65       60,044  

UPCB Finance IV Ltd.:

     

5.38%, 01/15/25(d)

      201       198,739  

4.00%, 01/15/27

    EUR       100       126,841  

Videotron Ltd., 5.13%, 04/15/27(d)

    USD       326       328,895  

Virgin Media Finance PLC, 5.75%, 01/15/25(d)(g)

      655       643,537  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24

    GBP       100       139,771  

Virgin Media Secured Finance PLC:

     

5.13%, 01/15/25

      100       141,986  

5.50%, 01/15/25

      180       255,398  
 

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Media (continued)  

5.25%, 01/15/26(d)(g)

    USD       355     $ 347,900  

5.50%, 08/15/26(d)(g)

      200       197,980  

Ziggo Bond Finance BV:

     

4.63%, 01/15/25

    EUR       137       169,627  

5.88%, 01/15/25(d)(g)

    USD       470       452,375  

Ziggo Secured Finance BV, 5.50%, 01/15/27(d)

      150       143,813  
   

 

 

 
    35,769,533  
Metals & Mining — 3.1%  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(d)

      175       185,063  

Cleveland-Cliffs, Inc., 4.88%, 01/15/24(d)

      188       183,535  

Constellium NV(d):

     

5.75%, 05/15/24

      500       503,750  

6.63%, 03/01/25(g)

      523       541,305  

5.88%, 02/15/26

      250       252,500  

First Quantum Minerals Ltd.(d)(g):

     

7.00%, 02/15/21

      299       308,344  

7.25%, 05/15/22

      356       366,680  

FMG Resources August 2006 Property Ltd., 9.75%, 03/01/22(d)

      189       208,777  

Freeport-McMoRan, Inc.:

     

2.38%, 03/15/18

      2,133       2,131,294  

3.10%, 03/15/20

      1,537       1,521,630  

4.00%, 11/14/21

      240       238,800  

3.55%, 03/01/22

      855       831,744  

3.88%, 03/15/23

      1,338       1,297,860  

5.40%, 11/14/34

      126       122,850  

5.45%, 03/15/43

      1,061       1,023,865  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(d)

      479       506,542  

Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22(d)

      172       191,496  

Kaiser Aluminum Corp., 5.88%, 05/15/24

      112       117,354  

Kinross Gold Corp.:

     

4.50%, 07/15/27(d)

      122       118,340  

6.88%, 09/01/41

      76       87,590  

Novelis Corp.(d)(g):

     

6.25%, 08/15/24

      1,249       1,277,102  

5.88%, 09/30/26

      986       993,395  

Nyrstar Netherlands Holdings BV, 6.88%, 03/15/24

    EUR       100       125,033  

Ovako AB, 5.00%, 10/05/22

      100       124,206  

Steel Dynamics, Inc.:

     

5.13%, 10/01/21(g)

    USD       645       653,062  

5.25%, 04/15/23(g)

      200       204,250  

5.50%, 10/01/24

      56       57,960  

4.13%, 09/15/25

      195       188,663  

5.00%, 12/15/26

      15       15,300  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 06/15/25(d)

      278       289,815  

Teck Resources Ltd.:

     

4.50%, 01/15/21

      86       87,118  

3.75%, 02/01/23(g)

      1,709       1,670,547  

8.50%, 06/01/24(d)(g)

      1,191       1,324,987  

5.20%, 03/01/42(g)

      473       457,627  

5.40%, 02/01/43

      279       276,210  

thyssenKrupp AG, 1.38%, 03/03/22

    EUR       75       92,324  

United States Steel Corp.:

     

8.38%, 07/01/21(d)

    USD       254       272,415  

6.88%, 08/15/25

      262       275,100  

Vale Overseas Ltd., 6.25%, 08/10/26

      188       212,008  

VM Holdings SA, 5.38%, 05/04/27(d)

      237       244,584  
   

 

 

 
    19,581,025  
Security   Par
(000)
    Value  
Multi-Utilities — 0.3%  

Brooklyn Union Gas Co., 3.41%, 03/10/26(d)(g)

    USD       1,475     $ 1,453,307  

NGL Energy Partners LP/NGL Energy Finance Corp.:

     

5.13%, 07/15/19

      144       144,360  

6.88%, 10/15/21(g)

      553       557,147  
   

 

 

 
    2,154,814  
Multiline Retail — 0.0%  

Neiman Marcus Group Ltd., 8.00%, 10/15/21(d)(g)

      332       200,860  
   

 

 

 
Offshore Drilling & Other Services — 0.0%  

Entegris, Inc., 4.63%, 02/10/26(d)

      190       186,675  
   

 

 

 
Oil, Gas & Consumable Fuels — 6.6%  

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.88%, 12/15/24

      117       124,605  

Andeavor Logistics LP, Series A, 6.88%(e)(k)

      324       330,277  

Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25%, 12/01/27

      185       180,829  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24

      55       56,238  

Antero Resources Corp.:

     

5.13%, 12/01/22

      76       76,665  

5.63%, 06/01/23

      74       75,850  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(d)

      207       220,455  

Berry Petroleum Co. LLC, 7.00%, 02/15/26(d)

      272       276,760  

California Resources Corp., 8.00%, 12/15/22(d)(g)

      275       217,937  

Callon Petroleum Co., 6.13%, 10/01/24

      300       306,000  

Calumet Specialty Products Partners LP/Calumet Finance Corp.:

     

6.50%, 04/15/21

      24       23,400  

7.63%, 01/15/22

      128       127,360  

Carrizo Oil & Gas, Inc.:

     

6.25%, 04/15/23

      116       116,290  

8.25%, 07/15/25

      131       139,843  

Cheniere Corpus Christi Holdings LLC:

     

7.00%, 06/30/24(g)

      773       864,987  

5.88%, 03/31/25

      352       372,240  

5.13%, 06/30/27(g)

      622       628,997  

Cheniere Energy Partners LP, 5.25%, 10/01/25(d)

      170       171,700  

Chesapeake Energy Corp.(d):

     

8.00%, 12/15/22(g)

      888       944,610  

8.00%, 01/15/25

      94       92,825  

8.00%, 06/15/27(g)

      934       895,472  

Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 07/20/23(d)

      341       352,935  

Citgo Holding, Inc., 10.75%, 02/15/20(d)

      135       144,788  

CONSOL Energy, Inc.:

     

5.88%, 04/15/22(g)

      2,997       3,013,858  

8.00%, 04/01/23

      19       20,116  

11.00%, 11/15/25(d)

      474       507,180  

Continental Resources, Inc.:

     

3.80%, 06/01/24(g)

      275       267,094  

4.38%, 01/15/28(d)

      372       362,700  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(d)

      409       415,135  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 04/01/23

      35       36,050  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(d)(g)

      883       865,340  

DCP Midstream LLC(d):

     

4.75%, 09/30/21

      80       81,400  

6.45%, 11/03/36

      197       216,700  

6.75%, 09/15/37

      237       264,255  

DEA Finance SA, 7.50%, 10/15/22

    EUR       100       134,186  
 

 

 

36    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Denbury Resources, Inc., 9.25%, 03/31/22(d)

    USD       468     $ 479,700  

Diamond Offshore Drilling, Inc., 7.88%, 08/15/25

      92       93,380  

Diamondback Energy, Inc., 5.38%, 05/31/25

      243       243,000  

Eclipse Resources Corp., 8.88%, 07/15/23

      70       70,350  

Enbridge, Inc., 6.25%, 03/01/78(e)(f)

      1,565       1,577,887  

Endeavor Energy Resources LP/EER Finance, Inc.(d):

     

5.50%, 01/30/26

      123       122,078  

5.75%, 01/30/28

      224       224,000  

Energy Transfer Equity LP:

     

7.50%, 10/15/20(g)

      703       762,755  

4.25%, 03/15/23

      177       173,626  

5.88%, 01/15/24

      220       233,200  

5.50%, 06/01/27(g)

      120       124,200  

Ensco Jersey Finance Ltd., 3.00%, 01/31/24

      247       203,157  

EP Energy LLC/Everest Acquisition Finance, Inc.:

     

9.38%, 05/01/20

      8       7,440  

9.38%, 05/01/24(d)

      522       384,975  

8.00%, 11/29/24(d)(g)

      387       398,610  

Extraction Oil & Gas, Inc.(d):

     

7.38%, 05/15/24

      188       198,340  

5.63%, 02/01/26

      394       386,120  

Genesis Energy LP/Genesis Energy Finance Corp.:

     

6.50%, 10/01/25

      145       144,638  

6.25%, 05/15/26

      158       152,865  

Geopark Ltd., 6.50%, 09/21/24(d)

      200       200,926  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(d)(g)

      828       863,190  

Gulfport Energy Corp.:

     

6.63%, 05/01/23

      190       195,225  

6.00%, 10/15/24

      26       25,545  

6.38%, 05/15/25

      102       100,598  

6.38%, 01/15/26(d)

      201       198,116  

Halcon Resources Corp.:

     

6.75%, 02/15/25(d)

      149       150,117  

Series WI, 6.75%, 02/15/25

      597       602,970  

Hess Corp., 4.30%, 04/01/27

      50       48,944  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26(d)

      341       341,000  

Indigo Natural Resources LLC, 6.88%, 02/15/26(d)

      185       180,878  

Jones Energy Holdings LLC/Jones Energy Finance Corp., 9.25%, 03/15/23(d)

      98       96,285  

Matador Resources Co., 6.88%, 04/15/23(g)

      838       875,710  

MEG Energy Corp.(d):

     

6.38%, 01/30/23

      2       1,715  

7.00%, 03/31/24(g)

      448       381,920  

6.50%, 01/15/25(g)

      527       517,119  

Murphy Oil Corp.:

     

6.88%, 08/15/24(g)

      260       273,359  

5.75%, 08/15/25

      20       19,930  

5.88%, 12/01/42

      47       43,945  

Nabors Industries, Inc.(d):

     

0.75%, 01/15/24

      399       303,431  

5.75%, 02/01/25

      155       147,928  

Newfield Exploration Co., 5.63%, 07/01/24

      111       116,828  

NGPL PipeCo LLC(d):

     

4.38%, 08/15/22

      378       377,055  

4.88%, 08/15/27

      135       136,181  

7.77%, 12/15/37(g)

      533       652,925  

Noble Holding International Ltd.:

     

7.75%, 01/15/24(g)

      267       243,971  

7.70%, 04/01/25

      219       196,005  

7.88%, 02/01/26(d)

      756       759,780  
Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Oasis Petroleum, Inc.:

     

6.50%, 11/01/21

    USD       54     $ 55,080  

6.88%, 03/15/22

      98       100,389  

6.88%, 01/15/23

      94       95,880  

2.63%, 09/15/23

      704       725,364  

Odebrecht Offshore Drilling Finance,

     

7.72%, 12/01/26(d)(h)

    BRL       8       2,530  

6.72%, 12/01/22(d)

      94       90,273  

Paramount Resources Ltd., 6.88%, 06/30/23(d)

    USD       335       348,400  

Parker Drilling Co., 7.50%, 08/01/20

      123       113,468  

Parsley Energy LLC/Parsley Finance Corp.(d):

     

6.25%, 06/01/24

      73       75,555  

5.38%, 01/15/25

      316       312,840  

5.25%, 08/15/25

      77       75,845  

5.63%, 10/15/27

      249       246,977  

PBF Holding Co. LLC/ PBF Finance Corp., 7.25%, 06/15/25

      212       219,420  

PDC Energy, Inc.:

     

6.13%, 09/15/24

      24       24,540  

5.75%, 05/15/26(d)

      175       172,760  

Petrobras Global Finance BV:

     

6.13%, 01/17/22

      335       352,537  

8.75%, 05/23/26

      176       206,580  

6.00%, 01/27/28(d)

      189       186,165  

Petroleos Mexicanos(d):

     

5.38%, 03/13/22

      39       40,755  

6.50%, 03/13/27

      117       125,058  

5.35%, 02/12/28

      99       97,317  

Range Resources Corp.:

     

5.88%, 07/01/22(g)

      250       253,750  

5.00%, 03/15/23

      326       318,665  

4.88%, 05/15/25

      24       22,980  

Resolute Energy Corp., 8.50%, 05/01/20

      412       411,485  

Rockies Express Pipeline LLC(d):

     

6.85%, 07/15/18

      183       185,287  

6.00%, 01/15/19

      20       20,450  

5.63%, 04/15/20(g)

      550       571,312  

6.88%, 04/15/40(g)

      440       515,900  

Rowan Cos., Inc.:

     

4.88%, 06/01/22

      70       65,800  

4.75%, 01/15/24

      89       77,430  

7.38%, 06/15/25(g)

      443       437,462  

RSP Permian, Inc.:

     

6.63%, 10/01/22

      291       303,367  

5.25%, 01/15/25

      151       152,132  

Sanchez Energy Corp.:

     

7.75%, 06/15/21

      685       654,175  

6.13%, 01/15/23(g)

      360       270,000  

7.25%, 02/15/23(d)

      154       155,925  

SESI LLC:

     

7.13%, 12/15/21

      85       86,700  

7.75%, 09/15/24(d)

      208       216,320  

Seven Generations Energy Ltd., 5.38%, 09/30/25(d)

      486       475,065  

SM Energy Co.:

     

6.50%, 11/15/21

      100       101,500  

6.50%, 01/01/23

      60       60,000  

5.00%, 01/15/24

      44       41,360  

5.63%, 06/01/25(g)

      443       423,342  

6.75%, 09/15/26(g)

      136       136,680  

Southwestern Energy Co.:

     

6.70%, 01/23/25

      40       39,200  

7.50%, 04/01/26

      172       173,720  

7.75%, 10/01/27

      223       227,460  
 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Sunoco Logistics Partners Operations LP, 3.90%, 07/15/26(g)

    USD       235     $ 224,743  

Sunoco LP/Sunoco Finance Corp.(d):

     

4.88%, 01/15/23

      419       416,863  

5.88%, 03/15/28

      124       124,465  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(d):

     

5.50%, 09/15/24(g)

      414       426,412  

5.50%, 01/15/28

      290       290,725  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

     

5.25%, 05/01/23

      15       15,216  

5.13%, 02/01/25

      114       113,714  

5.38%, 02/01/27

      79       79,000  

5.00%, 01/15/28(d)

      356       345,765  

Whiting Petroleum Corp., 6.63%, 01/15/26(d)

      432       440,640  

WildHorse Resource Development Corp., 6.88%, 02/01/25

      136       139,400  

Williams Cos., Inc.:

     

4.55%, 06/24/24

      67       67,503  

5.75%, 06/24/44(g)

      819       870,187  

WPX Energy, Inc.:

     

7.50%, 08/01/20

      47       50,290  

6.00%, 01/15/22

      221       229,287  

8.25%, 08/01/23

      32       36,240  

5.25%, 09/15/24

      130       130,000  

YPF SA, 8.50%, 07/28/25

      293       325,318  
   

 

 

 
    41,347,962  
Oil: Crude Producers — 0.1%  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 01/15/28

      322       304,290  
   

 

 

 
Paper & Forest Products — 0.0%  

Norbord, Inc., 6.25%, 04/15/23(d)

      168       179,600  
   

 

 

 
Pharmaceuticals — 2.0%  

AbbVie, Inc., 3.60%, 05/14/25(g)

      695       687,342  

Actavis Funding SCS, 3.45%, 03/15/22(g)

      2,460       2,454,501  

Endo DAC/Endo Finance LLC/Endo Finco, Inc., 5.88%, 10/15/24(d)(g)

      205       206,538  

Endo Finance LLC/Endo Finco, Inc.(d):

     

7.25%, 01/15/22

      121       101,035  

5.38%, 01/15/23

      65       48,588  

6.00%, 07/15/23(g)

      233       174,750  

Ephios Bondco PLC, 6.25%, 07/01/22

    EUR       100       127,222  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24(d)

    USD       162       173,340  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(d)(g)

      1,179       1,184,895  

Nidda Healthcare Holding AG, 3.50%, 09/30/24

    EUR       100       122,238  

Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/23(g)

    USD       1,500       1,436,036  

Teva Pharmaceutical Finance Netherlands II BV, 1.25%, 03/31/23

    EUR       100       108,579  

Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 07/19/19

    USD       315       307,345  

Valeant Pharmaceuticals International, Inc.(d):

     

7.50%, 07/15/21

      155       155,775  

6.75%, 08/15/21(g)

      433       422,175  

5.63%, 12/01/21

      258       243,810  

6.50%, 03/15/22

      697       724,880  

5.50%, 03/01/23

      317       280,545  

5.88%, 05/15/23(g)

      1,143       1,015,841  

7.00%, 03/15/24

      476       500,990  
Security   Par
(000)
    Value  
Pharmaceuticals (continued)  

6.13%, 04/15/25(g)

    USD       964     $ 845,910  

5.50%, 11/01/25(g)

      1,166       1,153,611  
   

 

 

 
    12,475,946  
Real Estate — 0.0%  

Prologis LP, 3.75%, 11/01/25(g)

      255       259,308  
   

 

 

 
Real Estate Investment Trusts (REITs) — 1.4%  

AvalonBay Communities, Inc., 3.45%, 06/01/25(g)

      1,245       1,239,554  

ERP Operating LP, 3.38%, 06/01/25(g)

      1,015       1,005,729  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(d)

      145       147,175  

GEO Group, Inc.:

     

5.13%, 04/01/23

      407       404,965  

6.00%, 04/15/26

      22       21,924  

Hilton Domestic Operating Co., Inc., 4.25%, 09/01/24

      179       175,867  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25

      72       72,270  

iStar, Inc.:

     

4.63%, 09/15/20

      33       33,165  

6.00%, 04/01/22

      140       140,700  

5.25%, 09/15/22

      153       150,323  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:

     

5.63%, 05/01/24(g)

      1,628       1,684,166  

4.50%, 09/01/26

      432       411,480  

NH Hotel Group SA, 3.75%, 10/01/23

    EUR       129       164,659  

Starwood Property Trust, Inc.:

     

5.00%, 12/15/21

    USD       234       239,265  

4.75%, 03/15/25(d)

      96       93,120  

Trust F/1401, 6.95%, 01/30/44

      706       740,417  

Ventas Realty LP, 4.13%, 01/15/26(g)

      650       656,187  

Ventas Realty LP/Ventas Capital Corp., 4.75%, 06/01/21(g)

      1,300       1,357,236  

VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23

      244       270,161  
   

 

 

 
    9,008,363  
Real Estate Management & Development — 0.2%  

ADLER Real Estate AG, 2.13%, 02/06/24

    EUR       100       121,292  

Greystar Real Estate Partners LLC, 5.75%, 12/01/25(d)

    USD       174       176,175  

Howard Hughes Corp., 5.38%, 03/15/25(d)

      218       215,003  

Realogy Group LLC/Realogy Co-Issuer Corp.(d):

     

4.50%, 04/15/19(g)

      301       305,139  

5.25%, 12/01/21

      58       58,725  

4.88%, 06/01/23(g)

      141       136,418  

RESIDOMO Sro, 3.38%, 10/15/24

    EUR       100       122,610  

Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18(d)

    USD       157       157,031  
   

 

 

 
    1,292,393  
Road & Rail — 0.8%  

Avis Budget Finance PLC, 4.13%, 11/15/24

    EUR       100       124,197  

EC Finance PLC, 2.38%, 11/15/22

      100       123,661  

Flexi-Van Leasing, Inc., 10.00%, 02/15/23(d)

    USD       203       201,985  

Herc Rentals, Inc.(d):

     

7.50%, 06/01/22

      128       136,960  

7.75%, 06/01/24

      121       131,854  

Hertz Corp., 7.63%, 06/01/22(d)

      404       415,110  

Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(d)(g)

      3,000       3,167,700  

Loxam SAS:

     

3.50%, 05/03/23

    EUR       100       125,667  

6.00%, 04/15/25

      100       131,129  
 

 

 

38    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Road & Rail (continued)  

United Rentals North America, Inc., 4.63%, 10/15/25

    USD       383     $ 373,425  

Watco Cos. LLC/Watco Finance Corp., 6.38%, 04/01/23(d)

      319       326,975  
   

 

 

 
    5,258,663  
Semiconductors & Semiconductor Equipment — 1.5%  

Advanced Micro Devices, Inc., 7.50%, 08/15/22

      73       80,117  

Analog Devices, Inc.(g):

     

3.90%, 12/15/25

      375       379,738  

3.50%, 12/05/26

      275       268,524  

Applied Materials, Inc., 3.90%, 10/01/25(g)

      285       293,107  

Broadcom Corp. / Broadcom Cayman Finance, Ltd.(g):

     

3.00%, 01/15/22

      1,250       1,221,587  

3.63%, 01/15/24

      1,515       1,476,586  

Microchip Technology, Inc., 1.63%, 02/15/25

      506       880,631  

Micron Technology, Inc.:

     

5.25%, 01/15/24(d)

      39       39,975  

5.50%, 02/01/25

      10       10,375  

Series G, 3.00%, 11/15/43(n)

      177       298,996  

Microsemi Corp., 9.13%, 04/15/23(d)

      20       22,150  

NXP BV/NXP Funding LLC(d):

     

4.13%, 06/15/20(g)

      834       848,595  

4.13%, 06/01/21

      200       203,540  

4.63%, 06/01/23(g)

      425       437,325  

ON Semiconductor Corp., 1.00%, 12/01/20

      498       696,620  

QUALCOMM, Inc., 3.45%, 05/20/25(g)

      1,570       1,521,157  

Sensata Technologies BV(d):

     

5.63%, 11/01/24

      179       191,360  

5.00%, 10/01/25(g)

      278       280,085  
   

 

 

 
    9,150,468  
Software — 1.9%  

ACI Worldwide, Inc., 6.38%, 08/15/20(d)(g)

      360       363,600  

BMC Software Finance, Inc., 8.13%, 07/15/21(d)

      426       427,598  

CA, Inc., 3.60%, 08/15/22(g)

      555       554,950  

Citrix Systems, Inc., 0.50%, 04/15/19

      140       186,118  

Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24(d)

      611       675,919  

Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 08/01/22(d)

      46       46,115  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 05/01/21(d)(g)(h)

      545       554,537  

Infor US, Inc., 6.50%, 05/15/22(g)

      1,803       1,843,567  

Informatica LLC, 7.13%, 07/15/23(d)(g)

      900       917,550  

Nuance Communications, Inc.:

     

5.38%, 08/15/20(d)(g)

      36       36,315  

6.00%, 07/01/24

      174       182,100  

5.63%, 12/15/26

      143       144,788  

PTC, Inc., 6.00%, 05/15/24

      202       212,353  

RP Crown Parent LLC, 7.38%, 10/15/24(d)

      392       408,660  

Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(d)(g)

      2,182       2,449,950  

Sophia LP/Sophia Finance, Inc., 9.00%, 09/30/23(d)(g)

      303       319,286  

TIBCO Software, Inc., 11.38%, 12/01/21(d)(g)

      784       854,701  

Veritas US, Inc./Veritas Bermuda Ltd.(d)(g):

     

7.50%, 02/01/23

      925       938,875  

10.50%, 02/01/24

      600       573,000  
   

 

 

 
    11,689,982  
Specialty Retail — 0.3%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24(g)

      334       346,525  
Security   Par
(000)
    Value  
Specialty Retail (continued)  

Catalent Pharma Solutions, Inc., 4.88%, 01/15/26(d)

    USD       324     $ 320,760  

Group 1 Automotive, Inc.:

     

5.00%, 06/01/22(g)

      155       158,100  

5.25%, 12/15/23(d)

      18       18,450  

Hexion US Finance Corp., 6.63%, 04/15/20

      98       91,140  

JC Penney Corp., Inc.:

     

8.13%, 10/01/19(g)

      42       44,047  

6.38%, 10/15/36

      21       14,175  

7.40%, 04/01/37

      64       46,080  

L Brands, Inc.:

     

6.88%, 11/01/35(g)

      401       397,992  

6.75%, 07/01/36

      71       69,580  

Masaria Investments SAU, 5.00%, 09/15/24

    EUR       100       123,678  

Penske Automotive Group, Inc., 5.50%, 05/15/26

    USD       32       31,920  

PetSmart, Inc., 5.88%, 06/01/25(d)

      133       103,740  

PVH Corp., 3.13%, 12/15/27

    EUR       100       121,339  

Shop Direct Funding PLC, 7.75%, 11/15/22

    GBP       100       128,071  
   

 

 

 
    2,015,597  
Technology Hardware, Storage & Peripherals — 0.5%  

Dell International LLC/EMC Corp.(d)(g):

     

4.42%, 06/15/21

    USD       40       40,840  

7.13%, 06/15/24

      651       700,639  

6.02%, 06/15/26

      135       144,134  

8.35%, 07/15/46

      80       101,351  

Hewlett Packard Enterprise Co., 4.90%, 10/15/25(g)

      375       388,716  

Riverbed Technology, Inc., 8.88%, 03/01/23(d)

      165       154,687  

Western Digital Corp.:

     

7.38%, 04/01/23(d)

      459       498,933  

4.75%, 02/15/26

      868       874,510  
   

 

 

 
    2,903,810  
Textiles, Apparel & Luxury Goods — 0.0%  

BiSoho SAS, 5.88%, 05/01/23

    EUR       54       70,419  

Levi Strauss & Co., 3.38%, 03/15/27

      100       125,769  
   

 

 

 
    196,188  
Thrifts & Mortgage Finance — 0.1%  

Jerrold Finco PLC, 6.25%, 09/15/21

    GBP       100       140,492  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(d):

     

5.25%, 03/15/22

    USD       31       31,233  

5.25%, 10/01/25

      284       276,190  
   

 

 

 
    447,915  
Tobacco — 0.1%  

Reynolds American, Inc., 3.25%, 06/12/20(g)

      396       397,145  
   

 

 

 
Trading Companies & Distributors — 0.4%  

HD Supply, Inc., 5.75%, 04/15/24(d)(g)

      2,099       2,201,326  
   

 

 

 
Transportation Infrastructure — 1.2%  

CEVA Group PLC, 7.00%, 03/01/21(d)

      460       453,100  

Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 03/15/18(d)(g)

      6,155       6,156,966  

Rumo Luxembourg Sarl, 7.38%, 02/09/24(d)

      293       314,067  

Swissport Financing Sarl, 9.75%, 12/15/22

    EUR       100       127,799  

Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(d)(g)

    USD       435       438,770  

WFS Global Holding SAS, 9.50%, 07/15/22

    EUR       100       130,036  
   

 

 

 
    7,620,738  
Utilities — 0.3%  

AES Argentina Generacion SA, 7.75%, 02/02/24(d)

    USD       293       309,894  

AES Panama SRL, 6.00%, 06/25/22(d)

      200       207,500  
 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Utilities (continued)  

ContourGlobal Power Holdings SA, 5.13%, 06/15/21

    EUR       100     $ 124,245  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(d)

    USD       293       320,835  

Inkia Energy Ltd., 5.88%, 11/09/27(d)

      377       373,117  

Stoneway Capital Corp., 10.00%, 03/01/27(d)(g)

      293       323,399  
   

 

 

 
    1,658,990  
Wireless Telecommunication Services — 2.3%  

CoreCivic, Inc., 4.75%, 10/15/27

      169       161,395  

CyrusOne LP/CyrusOne Finance Corp.:

     

5.00%, 03/15/24(g)

      510       513,825  

5.38%, 03/15/27

      50       50,125  

Digicel Group Ltd., 8.25%, 09/30/20(d)

      200       187,500  

Digicel Ltd., 6.00%, 04/15/21(d)(g)

      2,073       1,992,671  

Equinix, Inc., 2.88%, 10/01/25

    EUR       100       120,856  

Matterhorn Telecom SA:

     

3.88%, 05/01/22

      100       123,830  

4.00%, 11/15/27

      100       119,404  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(d)

    USD       215       205,863  

Rogers Communications, Inc., 5.00%, 03/15/44(g)

      545       596,546  

SBA Communications Corp.:

     

4.00%, 10/01/22(d)

      401       392,980  

4.88%, 09/01/24

      263       259,713  

Sprint Capital Corp.:

     

6.90%, 05/01/19

      135       139,771  

8.75%, 03/15/32(g)

      750       813,750  

Sprint Communications, Inc.:

     

7.00%, 03/01/20(d)(g)

      904       954,850  

7.00%, 08/15/20

      125       130,781  

Sprint Corp.:

     

7.88%, 09/15/23(g)

      847       876,645  

7.13%, 06/15/24(g)

      2,045       2,030,889  

7.63%, 02/15/25(g)

      893       893,000  

7.63%, 03/01/26

      303       301,894  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23(d)(g)

      488       488,719  

T-Mobile USA, Inc.:

     

4.00%, 04/15/22

      197       197,000  

6.00%, 03/01/23(g)

      304       316,160  

6.63%, 04/01/23

      547       566,364  

6.84%, 04/28/23

      55       57,063  

6.50%, 01/15/24(g)

      535       560,412  

6.38%, 03/01/25

      14       14,770  

4.50%, 02/01/26

      355       348,344  

4.75%, 02/01/28

      559       545,237  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23(g)

      445       414,962  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 06/01/22(d)(h)

      121       125,989  
   

 

 

 
    14,501,308  
   

 

 

 

Total Corporate Bonds — 61.5%
(Cost — $381,383,425)

 

    383,770,679  
   

 

 

 

Floating Rate Loan Interests(o) — 38.6%

 

Aerospace & Defense — 0.5%  

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 5.40%, 08/18/24

      1,082       1,087,851  

DAE Aviation Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 07/07/22(p)

      160       160,889  
Security   Par
(000)
    Value  
Aerospace & Defense (continued)  

Engility Corp.:

     

Term Loan B1, (1 mo. LIBOR + 2.75%), 4.40%, 08/12/20

    USD       101     $ 101,254  

Term Loan B2, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/12/23

      178       179,872  

TransDigm, Inc.:

     

2017 Extended Term Loan F, (1 mo. LIBOR + 2.75%), 4.44%, 06/09/23

      928       933,251  

2017 Term Loan E, (1 mo. LIBOR + 2.75%), 4.40%, 05/14/22

      628       632,029  
   

 

 

 
    3,095,146  
Air Freight & Logistics — 0.2%  

Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, (1 mo. LIBOR + 2.25%), 3.84%, 04/03/22

      259       258,832  

CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.50%), 6.50%, 03/19/21(a)

      213       208,918  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

      217       212,584  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

      42       40,991  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

      286       280,663  

Livingston International, Inc., Term Loan B3, (3 mo. LIBOR + 5.75%), 7.44%, 03/20/20

      136       135,254  

XPO Logistics, Inc., 2018 Term Loan B, 3.85%, 02/23/25

      251       251,892  
   

 

 

 
    1,389,134  
Airlines — 0.0%  

Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.23%), 2.68%, 09/10/18(a)

      138       137,100  
   

 

 

 
Auto Components — 0.1%  

Dayco Products LLC, 2017 Term Loan B, (1 mo. LIBOR + 5.00%), 6.65%, 05/19/23(a)

      313       316,155  

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 4.69%, 05/16/24

      543       542,664  
   

 

 

 
    858,819  
Automobiles — 0.1%  

CH Hold Corp.:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 02/01/24

      404       406,394  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25% 1.00% Floor), 8.90%, 02/01/25(a)

      110       111,375  

FCA US LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.60%, 12/31/18

      373       373,431  
   

 

 

 
    891,200  
Banks — 0.1%  

Banco Espirito Santo SA, - 4.75%, 01/15/19

    EUR       100       35,685  

Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.02%, 11/01/24

    USD       645       644,600  
   

 

 

 
    680,285  
Building Materials — 0.1%  

Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 07/28/22

      228       225,740  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (3 mo. LIBOR + 8.50%, 1.00% Floor), 10.27%, 07/28/23

      290       287,100  
   

 

 

 
    512,840  
 

 

 

40    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Building Products — 0.4%  

Continental Building Products LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 3.91%, 08/18/23

    USD       127     $ 128,323  

CPG International Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75% 1.00% Floor), 5.59%, 05/03/24

      630       634,333  

Jeld-Wen Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 3.69%, 12/14/24

      510       512,422  

Ply Gem Industries, Inc., Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 02/01/21

      320       321,086  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.95%, 12/19/23

      654       657,593  
   

 

 

 
    2,253,757  
Capital Markets — 0.3%  

Duff & Phelps Corp., 2017 Term Loan B, 02/13/25(p)

      165       166,191  

FinCo I LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 12/27/22

      445       449,005  

Greenhill & Co., Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.38%, 10/12/22

      427       429,669  

RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 3.69%, 03/27/23

      859       862,945  
   

 

 

 
    1,907,810  
Chemicals — 1.3%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 01/31/24

      607       610,895  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 3.69%, 06/01/24

      701       704,351  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 05/16/24

      443       443,439  

Chemours Company, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 05/12/22

      290       290,974  

EaglePicher Technologies LLC, 1st Lien Term Loan B, 02/27/25(p)

      375       375,236  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 06/28/24

      215       217,285  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 11/07/24

      335       337,094  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 5.49%, 07/09/19

      101       96,243  

H.B. Fuller Co., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.84%, 10/20/24

      738       741,383  

Invictus(p):

     

1st Lien Term Loan, 01/24/25

      265       267,064  

2nd Lien Term Loan, 01/23/26

      135       135,929  

MacDermid, Inc.:

     

Term Loan B6, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 06/07/23

      468       471,158  

Term Loan B7, (1 mo. LIBOR + 2.50% 1.00% Floor), 4.15%, 06/07/20

      571       573,278  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (3 mo. LIBOR + 3.50%), 5.25%, 10/11/24(a)

      1,125       1,130,806  

PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.29%, 02/08/25

      916       920,583  

Solenis International LP, 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 5.23%, 07/31/21

      502       500,000  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.50%, 08/07/20

      476       476,227  
   

 

 

 
    8,291,945  
Security   Par
(000)
    Value  
Commercial Services & Supplies — 2.0%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.72%, 11/10/23

    USD       1,030     $ 1,033,625  

Aramark Services, Inc., 2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.65%, 03/11/25

      90       90,893  

Asurion LLC:

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.65%, 08/04/25

      298       305,226  

2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.40%, 08/04/22

      224       225,079  

2018 Term Loan B6, (1 mo. LIBOR + 2.75%), 4.65%, 11/03/23

      1,427       1,434,298  

Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 10/03/23

      657       661,062  

Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25% 1.00% Floor), 3.90%, 05/20/24

      1,180       1,183,825  

Clean Harbors, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.65%, 06/27/24

      214       214,995  

Convergint Technologies LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.66%, 02/03/25

      187       186,202  

Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.59%, 02/15/24

      956       963,019  

Dealer Tire LLC, 2017 Term Loan B, (OR + 3.25% 1.00% Floor), 5.00%, 12/22/21(a)

      302       306,381  

Employbridge LLC, Exit Term Loan, (3 mo. LIBOR + 6.50% 1.00% Floor), 8.19%, 05/16/20

      160       157,811  

Garda World Security Corp., 2017 Term Loan, (PRIME + 2.50%), 7.00%, 05/24/24

      281       282,909  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75% 1.00% Floor), 6.44%, 11/03/23

      275       277,525  

KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.50%), 4.25%, 03/09/23

      500       502,126  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 05/02/22

      1,486       1,497,480  

US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.69%, 07/14/23

      712       717,004  

West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.65%, 10/10/24

      1,105       1,114,426  

Wrangler Buyer Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 4.65%, 09/27/24

      1,140       1,145,952  
   

 

 

 
    12,299,838  
Communications Equipment — 0.3%  

Avaya, Inc., Exit Term Loan B, (1 mo. LIBOR + 4.75% 1.00% Floor), 6.34%, 12/15/24(p)

      519       521,439  

Colorado Buyer, Inc., Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.78%, 05/01/24

      542       544,889  

CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 3.65%, 12/29/22

      258       259,107  

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 11/01/24

      573       579,091  
   

 

 

 
    1,904,526  
Construction & Engineering — 0.5%  

AECOM, Term Loan B, 02/22/25(p)

      255       255,212  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 6.00%, 06/21/24

      2,145       2,160,194  

CNT Holdings III Corp., 2017 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 01/22/23

      144       140,073  
 

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Construction & Engineering (continued)  

Pike Corp., Replacement Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 09/20/24

    USD       229     $ 230,954  

USIC Holdings, Inc., 2017 Term Loan B, (6 mo. LIBOR + 3.50% 1.00% Floor), 5.00%, 12/08/23

      409       411,306  
   

 

 

 
    3,197,739  
Construction Materials — 0.5%  

Core & Main LP, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.57%, 08/01/24

      883       884,262  

Filtration Group Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.98%, 11/21/20

      1,507       1,521,210  

GYP Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%, 04/01/23

      699       702,798  
   

 

 

 
    3,108,270  
Containers & Packaging — 0.4%  

Berlin Packaging LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.89%, 10/01/21

      258       259,454  

Berry Global, Inc., Term Loan Q, (1 mo. LIBOR + 2.00%), 3.62%, 10/01/22

      1,147       1,150,134  

Berry Plastics Group, Inc., Term Loan O, (1 mo. LIBOR + 2.00%), 3.58%, 02/08/20

      250       250,937  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 4.96%, 04/03/24

      564       566,281  

Plastipak Holdings, Inc., Term Loan B, (3 mo. LIBOR + 2.75%), 4.45%, 10/14/24

      289       290,866  
   

 

 

 
    2,517,672  
Distributors — 0.3%  

American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 10/31/23

      930       935,060  

American Tire Distributors Holdings, Inc., 2015 Term Loan, (1 mo. LIBOR + 4.25% 1.00% Floor), 5.90%, 09/01/21

      219       221,366  

TriMark USA LLC:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 08/28/24

      679       682,449  

Delayed Draw Term Loan, 08/28/24(p)

      31       31,445  
   

 

 

 
    1,870,320  
Diversified Consumer Services — 1.0%  

AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 12/13/23

      184       184,709  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 07/12/24

      379       380,312  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.65%, 11/07/23

      719       723,918  

Equian LLC, Add on Term Loan B, (3 mo. LIBOR + 3.25%), 5.15%, 05/17/24

      550       552,409  

Nomad Foods Europe Midco Ltd.:

     

2017 Delayed Draw Term Loan B6, (3 mo. LIBOR + 2.25%), 3.86%, 05/15/24

      38       38,120  

2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 3.84%, 05/15/24

      489       490,221  

Serta Simmons Bedding LLC:

     

1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.22%, 11/08/23

      985       948,822  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00% 1.00% Floor), 9.58%, 11/08/24

      296       268,949  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 11/08/23

      733       735,897  
Security   Par
(000)
    Value  
Diversified Consumer Services (continued)  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 5.08%, 11/14/22

    USD       428     $ 430,006  

Weight Watchers International, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.75%), 6.45%, 11/29/24

      1,390       1,405,709  
   

 

 

 
    6,159,072  
Diversified Financial Services — 0.5%  

AlixPartners LLP, 2017 Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 04/04/24

      963       968,645  

Clipper Acquisitions Corp., 2017 Term Loan B, (2 mo. LIBOR + 2.00% 1.00% Floor), 3.62%, 12/11/24(a)

      210       210,787  

CVS Holdings I LP, 2018 1st Lien Term Loan, (OR + 3.00% 1.00% Floor), 4.79%, 02/06/25(a)

      335       333,744  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 5.94%, 04/29/24

      499       497,321  

Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.25% 1.00% Floor), 5.73%, 06/28/24(a)

      498       505,584  

Oryx Southern Delaware Holdings LLC, Term Loan, 03/01/25(a)(p)

      390       388,050  
   

 

 

 
    2,904,131  
Diversified Telecommunication Services — 2.0%  

CenturyLink, Inc.:

     

2017 Term Loan A, (1 mo. LIBOR + 2.75%), 4.40%, 11/01/22

      900       896,850  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 01/31/25

      3,932       3,862,132  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 10/04/23

      139       136,323  

Frontier Communications Corp.:

     

2017 Term Loan B1, (1 mo. LIBOR + 3.75%), 5.40%, 06/15/24

      26       25,905  

Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 4.40%, 03/31/21(a)

      653       645,824  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 05/16/24(p)

      559       559,773  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.85%, 02/22/24

      2,497       2,500,821  

MTN Infrastructure TopCo, Inc:

     

1st Lien Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 11/15/24

      308       310,539  

MTN Topco Term Loan, 11/17/24(p)

      302       303,004  

Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.19%, 02/02/24

      1,028       1,028,544  

Telenet Financing USD LLC, Term Loan AL, (1 mo. LIBOR + 2.50%), 4.09%, 03/01/26

      1,475       1,479,248  

Zayo Group LLC:

     

2017 Incremental Term Loan, 3.87%, 01/19/24

      95       95,399  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.65%, 01/19/21

      344       345,186  
   

 

 

 
    12,189,548  
Electric Utilities — 0.8%  

Dayton Power & Light Company (The), Term Loan B, 3.65%, 08/24/22

      241       242,142  

Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan, (1 Week LIBOR + 3.00% 1.00% Floor), 4.47%, 06/30/18

      3,855       3,854,537  
 

 

 

42    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Electric Utilities (continued)  

TEX Operations Co. LLC:

     

Exit Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 08/04/23

    USD       652     $ 655,598  

Exit Term Loan C, (1 mo. LIBOR + 2.50%), 4.15%, 08/04/23

      117       117,451  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/18(a)(p)

      780        

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 3.84%, 12/14/23

      152       153,068  
   

 

 

 
    5,022,796  
Electrical Equipment — 0.3%  

EXC Holdings III Corp., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50% 1.00% Floor), 5.16%, 12/02/24

      300       302,343  

Gates Global LLC, 2017 Repriced Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 04/01/24

      1,180       1,187,788  

Generac Power Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 2.00%), 3.69%, 05/31/23

      253       253,025  
   

 

 

 
    1,743,156  
Electronic Equipment, Instruments & Components — 0.1%  

Zebra Technologies Corporation, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.75%, 10/27/21

      315       316,731  
   

 

 

 
Energy Equipment & Services — 0.4%  

Exgen Texas Power LLC, Term Loan B, (3 mo. LIBOR + 4.75% 1.00% Floor), 6.44%, 09/16/21

      370       224,920  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00% 1.00% Floor), 7.59%, 03/01/24

      778       780,591  

GrafTech Finance, Inc., 2018 Term Loan B, (OR + 3.50% 1.00% Floor), 5.08%, 02/12/25(a)

      580       579,275  

Ocean Rig UDW Inc., Term Loan, (Fixed + 8.00%), 8.00%, 09/20/24

      57       59,051  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75% 1.00% Floor), 9.33%, 11/08/22

      260       270,075  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 02/21/21

      283       244,981  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 3.95%, 07/13/20

      440       435,005  
   

 

 

 
    2,593,898  
Food & Staples Retailing — 0.5%  

BJ’s Wholesale Club, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.08%, 02/03/24

      696       694,299  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.10%, 12/12/24

      277       278,291  

Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 08/03/22

      1,198       1,201,694  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 06/27/23

      655       659,587  
   

 

 

 
    2,833,871  
Food Products — 1.0%  

Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.40%, 08/25/21

      262       258,083  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 10/10/23

      851       856,871  

Dole Food Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.33%, 04/06/24

      336       336,949  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.10%, 10/30/22

      1,438       1,430,914  
Security   Par
(000)
    Value  
Food Products (continued)  

Pinnacle Foods Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.58%, 02/02/24

    USD       638     $ 642,177  

Post Holdings Inc., 2017 Series A Incremental Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 05/24/24

      609       609,273  

Reddy Ice Corp.:

     

1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.26%, 05/01/19(a)

      638       638,471  

2nd Lien Term Loan, (3 mo. LIBOR + 9.50%), 11.20%, 11/01/19

      233       219,020  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 02/05/23

      1,260       1,265,414  
     

 

 

 
    6,257,172  
Health Care Equipment & Supplies — 1.2%  

Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.65%, 11/21/24(p)

      891       899,536  

Cotiviti Corp., Term Loan B, (3 mo. LIBOR + 2.25%), 4.20%, 09/28/23

      620       622,392  

CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.69%, 11/14/24(a)

      585       590,850  

DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.92%, 06/08/20

      1,988       1,968,667  

Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 06/15/21

      1,131       1,150,626  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 4.44%, 09/24/24

      448       447,234  

Ortho-Clinical Diagnostics SA, Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 06/30/21

      1,647       1,659,191  
     

 

 

 
    7,338,496  
Health Care Providers & Services — 1.9%  

Acadia Healthcare Co., Inc.:

     

Term Loan A, (1 mo. LIBOR + 2.75%),
4.40%, 02/13/19

      252       253,216  

Term Loan B1, (1 mo. LIBOR + 2.75%), 4.40%, 02/11/22

      227       228,574  

Tranche B-2 Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 02/16/23

      627       630,732  

Air Medical Group Holdings, Inc., 2017 Term Loan B2, 09/07/24(p)

      457       461,684  

Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 01/17/22

      851       858,235  

CHG Healthcare Services Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 06/07/23

      968       977,071  

Community Health Systems, Inc., Term Loan G, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.73%, 12/31/19

      110       108,823  

Concentra Inc., 2018 1st Lien Term Loan, (OR + 2.75% 1.00% Floor), 4.53%, 06/01/22

      605       608,781  

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.68%, 02/07/22

      318       316,648  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 06/24/21

      251       253,115  

Envision Healthcare Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.00%), 4.65%, 12/01/23

      2,366       2,371,282  

HC Group Holdings III, Inc., Term Loan B, (1 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 04/07/22(a)

      816       828,161  

HCA, Inc., Term Loan B9, (1 mo. LIBOR + 2.00%), 3.65%, 03/17/23

      1,080       1,085,834  
 

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health Care Providers & Services (continued)  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 06/07/23

    USD       1,034     $ 1,039,129  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 10/20/22

      607       607,598  

NVA Holdings, Inc., Term Loan B3, (OR + 2.75% 1.00% Floor), 4.41%, 02/02/25

      647       646,517  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 02/06/24

      618       600,482  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 02/13/23

      204       205,196  
     

 

 

 
    12,081,078  
Health Care Technology — 0.3%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 03/01/24

      1,141       1,143,013  

Press Ganey Holdings, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 10/21/23

      489       492,376  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50% 1.00% Floor), 8.15%, 10/21/24

      145       146,392  
     

 

 

 
    1,781,781  
Hotels, Restaurants & Leisure — 2.0%  

Amaya Holdings BV:

     

2nd Lien Term Loan, (3 mo. LIBOR + 7.00% 1.00% Floor), 8.69%, 08/01/22

      111       111,562  

Repriced Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 08/01/21

      971       977,564  

Aristocrat Leisure Ltd., 2017 Incremental Term Loan, (3 mo. LIBOR + 2.00%), 3.74%, 10/19/24

      450       451,850  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.50%), 3.97%, 09/15/23

      503       505,304  

Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.87%, 08/15/20

      938       947,141  

Burger King Newco Unlimited Liability Co., Term Loan B3, (3 mo. LIBOR + 2.25% 1.00% Floor), 3.92%, 02/16/24

      2,035       2,037,766  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 12/22/24

      1,496       1,505,017  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 08/08/21

      530       533,416  

CEC Entertainment, Inc., Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 02/14/21

      378       365,395  

Cineworld Ltd., 2018 Term Loan, 02/18/25(p)

      725       723,913  

Cyan Blue Holdco 3 Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.19%, 08/23/24

      509       509,676  

ESH Hospitality, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.90%, 08/30/23

      824       827,645  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.50%), 4.15%, 11/30/23

      99       99,619  

Gateway Casinos & Entertainment Ltd., Term Loan B1, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 02/22/23

      134       135,500  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 2.00%), 3.62%, 10/25/23

      32       31,959  

IRB Holding Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.83%, 02/05/25

      509       513,799  

La Quinta Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.47%, 04/14/21

      237       238,047  
Security   Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.59%, 12/15/24

    USD       308     $ 311,103  

Playa Resorts Holding BV, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.89%, 04/29/24(p)

      508       511,022  

Scientific Games International, Inc., 2018 Term Loan B5, (3 mo. LIBOR + 2.75%), 4.45%, 08/14/24

      1,140       1,144,406  
     

 

 

 
    12,481,704  
Household Products — 0.2%  

Spectrum Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.74%, 06/23/22

      928       931,244  
     

 

 

 
Independent Power and Renewable Electricity Producers — 0.9%  

AES Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.94%, 05/24/22

      476       476,638  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 01/15/25

      816       817,783  

Calpine Corp.:

     

Term Loan B6, (3 mo. LIBOR + 2.50% 1.00% Floor), 4.20%, 01/15/23

      270       270,646  

Term Loan B7, (3 mo. LIBOR + 2.50%), 4.20%, 05/31/23

      257       257,337  

Compass Power Generation LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.39%, 12/20/24

      395       398,211  

Dynegy, Inc., 2017 Term Loan C2, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.35%, 02/07/24

      1,064       1,070,286  

Granite Acquisition, Inc.:

     

Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 12/19/21

      1,084       1,095,620  

Term Loan C, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 12/19/21

      174       175,998  

Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.25% 1.00% Floor), 5.90%, 05/16/24

      804       815,059  

Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.25% 1.00% Floor), 5.90%, 12/09/21(a)

      501       453,163  
     

 

 

 
    5,830,741  
Industrial Conglomerates — 0.3%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.58%, 11/30/23

      1,441       1,447,809  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00% 1.00% Floor), 6.55%, 11/28/21

      527       533,630  
     

 

 

 
        1,981,439  
Insurance — 0.9%  

Alliant Holdings I, Inc., 2015 Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/12/22

      739       742,280  

AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.38%, 01/25/24

      619       621,844  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 10/22/24

      448       450,690  

Davis Vision Inc., 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.49%, 12/02/24

      605       601,975  

Hub International Ltd., Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.70%, 10/02/20

      659       661,365  

Sedgwick Claims Management Services, Inc.:

     

1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 03/01/21

      1,131       1,129,974  
 

 

 

44    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Insurance (continued)  

2nd Lien Term Loan, (1 mo. LIBOR + 5.75% 1.00% Floor), 7.40%, 02/28/22

    USD       765     $ 768,351  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 06/22/23(a)

      384       385,744  
     

 

 

 
        5,362,223  
Internet & Direct Marketing Retail — 0.1%  

Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 08/18/23

      538       539,252  
     

 

 

 
Internet Software & Services — 0.5%  

Go Daddy Operating Company LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 02/15/24

      1,183       1,185,316  

GTT Communications, Inc., 2017 Add on Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 01/09/24

      160       161,232  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 05/01/24

      294       295,455  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00% 1.00% Floor), 4.79%, 11/03/23

      1,047       1,049,544  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 05/06/24

      468       467,795  
     

 

 

 
        3,159,342  
IT Services — 2.1%  

Access CIG LLC(p):

     

2018 1st Lien Term Loan, 02/15/25

      159       159,734  

2018 Delayed Draw Term Loan, 02/27/25

      33       33,249  

2018 2nd Lien Term Loan, 02/02/26

      63       63,354  

2018 2nd Lien Delayed Draw Term loan, 02/27/26

      12       11,787  

Altran Technologies SA, 1st Lien Term Loan, 01/17/25(p)

      215       216,344  

First Data Corp.:

     

2024 Term Loan, (1 mo. LIBOR + 2.25%), 3.87%, 04/26/24

      3,345       3,350,831  

Term Loan A, (1 mo. LIBOR + 1.75%), 3.37%, 06/02/20

      129       129,548  

Optiv Security, Inc.:

   

1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.88%, 02/01/24

      1,226       1,166,223  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 8.88%, 02/01/25(a)

      335       310,355  

Peak 10 Holding Corp.:

   

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 08/01/24

      694       695,740  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 9.02%, 08/01/25

      513       514,795  

Sabre Global Inc., Incremental Term Loan B, (1 mo. LIBOR + 2.25% 1.00% Floor), 3.90%, 02/22/24

      894       895,997  

TKC Holdings, Inc.:

   

2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 5.91%, 02/01/23

      725       733,285  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 8.00% 1.00% Floor), 9.78%, 02/01/24

      510       513,060  

Trans Union LLC, Term Loan B3, (1 mo. LIBOR + 2.00%), 3.65%, 04/10/23

      1,137       1,139,930  

Vantiv LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.59%, 10/14/23

      514       516,871  

VF Holding Corp., Reprice Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 06/30/23

      1,442       1,454,365  
Security   Par
(000)
    Value  
IT Services (continued)  

WEX, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.25%), 3.90%, 06/30/23

    USD       1,252     $ 1,259,599  
     

 

 

 
        13,165,067  
Life Sciences Tools & Services — 0.1%  

Albany Molecular Research, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/30/24

      180       180,911  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00% 1.00% Floor), 8.65%, 08/30/25

      130       130,082  

Parexel International Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 09/27/24

      389       388,234  
     

 

 

 
        699,227  
Machinery — 0.6%  

Clark Equipment Co., 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.19%, 05/18/24

      355       355,663  

Columbus McKinnon Corp., 2018 Term Loan B, (OR + 2.50% 1.00% Floor), 4.12%, 01/31/24

      89       89,486  

Gardner Denver, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.44%, 07/30/24

      887       889,143  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 08/05/24

      493       494,455  

Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 05/27/22

      754       760,204  

Mueller Water Products, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.15%, 11/25/21(a)

      296       298,130  

Rexnord LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.85%, 08/21/24

      381       382,919  

Signode Industrial Group US, Inc., Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 05/04/21

      75       75,245  

Tecomet, Inc., 2017 Repriced Term Loan, (PRIME + 2.50%), 5.28%, 05/01/24

      630       634,850  
     

 

 

 
        3,980,095  
Media — 3.1%  

Altice Financing SA, 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 4.47%, 01/31/26

      83       82,104  

Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 07/28/25

      2,188       2,183,901  

Cable One, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.95%, 05/01/24(a)

      259       259,347  

CBS Radio, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.62%, 11/17/24

      375       376,626  

Charter Communications Operating LLC:

     

2017 Term Loan A2, 03/31/23 (p)

      1,043       1,041,553  

2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.65%, 04/30/25

      1,795       1,798,896  

CSC Holdings LLC:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 3.84%, 07/17/25

      1,492       1,488,007  

2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.14%, 01/25/26

      460       460,382  

DHX Media Ltd., Term Loan B, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 12/29/23(a)

      279       278,948  

Getty Images, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 5.19%, 10/18/19

      102       97,260  

Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 02/07/24

      500       503,091  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 05/31/21

      202       189,870  
 

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Media (continued)  

iHeartCommunications, Inc.:

     

Extended Term Loan E, (3 mo. LIBOR + 7.50%), 9.19%, 07/30/19

    USD       215     $ 170,577  

Term Loan D, (3 mo. LIBOR + 6.75%), 8.44%, 01/30/19

      1,552       1,231,901  

Intelsat Jackson Holdings SA, 2017 Term Loan B4, (3 mo. LIBOR + 4.50% 1.00% Floor), 6.46%, 01/14/24

      583       593,868  

Lamar Media Corp., 2018 Term Loan B, 3.85%, 02/16/25

      240       241,200  

Learfield Communications LLC(a):

     

2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 12/01/23

      593       598,598  

2017 1st Lien Term Loan, 12/01/23 (p)

      202       204,233  

Mission Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.50%), 4.07%, 01/17/24

      64       64,508  

Nexstar Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.50%), 4.07%, 01/17/24

      505       506,670  

Numericable Group SA, Term Loan B12, (3 mo. LIBOR + 3.00%), 4.72%, 01/31/26

      257       247,061  

PSAV Holdings LLC, 2018 1st Lien Term Loan, 02/21/25 (p)

      315       315,787  

Radiate Holdco LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.57%, 02/01/24

      447       445,812  

SBA Senior Finance II LLC, Term Loan B1, (1 mo. LIBOR + 2.25%), 3.90%, 03/24/21

      672       674,286  

Sinclair Television Group Inc., 2017 Term Loan B, 12/12/24(p)

      387       387,484  

Trader Corp., 2017 Term Loan B, (OR + 3.00% 1.00% Floor), 4.69%, 09/28/23

      517       516,370  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 4.65%, 01/27/24

      1,222       1,222,195  

Unitymedia Finance LLC, Term Loan B, (1 mo. LIBOR + 2.25%), 3.84%, 09/30/25

      691       689,708  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.09%, 01/15/26(p)

      1,795       1,800,726  

William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 05/06/21

      109       109,581  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.09%, 04/15/25

      435       430,841  
   

 

 

 
    19,211,391  
Metals & Mining — 0.1%  

AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 01/29/25(p)

      295       296,661  

WireCo WorldGroup, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.48%, 09/30/23

      232       234,285  
   

 

 

 
    530,946  
Multiline Retail — 0.1%  

Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 09/30/22

      966       929,367  
   

 

 

 
Oil, Gas & Consumable Fuels — 1.4%  

BCP Raptor LLC, Term Loan B, (1 mo. LIBOR + 4.25% 1.00% Floor), 6.04%, 06/24/24

      567       571,120  

BCP Renaissance Parent LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.77%, 10/31/24

      499       503,079  

California Resources Corp.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 6.34%, 12/31/22(p)

      651       658,324  

Second Out Term Loan, (1 mo. LIBOR + 10.37%), 11.97%, 12/31/21

      745       840,062  
Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.50% 1.00% Floor), 9.44%, 08/23/21

    USD       962     $ 1,024,052  

CONSOL Energy, Inc.:

     

1st Lien Term Loan A, (3 mo. LIBOR + 4.50%), 6.49%, 11/26/21(a)

      125       124,844  

1st Lien Term Loan B, (3 mo. LIBOR + 6.00% 1.00% Floor), 7.99%, 10/26/22

      260       265,632  

EG Group Ltd., 2018 Term Loan B, 01/19/25(p)

      255       254,873  

EWT Holdings III Corp., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 4.69%, 12/20/24

      272       274,577  

Lucid Energy Group II LLC, 2018 1st Lien Term Loan, 02/17/25(p)

      540       540,340  

Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 10/30/24(a)

      545       546,363  

MEG Energy Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.20%, 12/31/23

      744       743,098  

PowerTeam Services LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 8.94%, 11/06/20

      275       275,228  

Ultra Resources, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.59%, 04/12/24

      476       473,858  

Veresen Midstream LP, Reprice Term Loan B, (3 mo. LIBOR + 3.00%), 4.69%, 03/31/22

      810       814,906  

Vine Oil & Gas LP, Term Loan B, (1 mo. LIBOR + 6.87% 1.00% Floor), 8.52%, 12/12/21(a)

      383       383,000  

Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 01/17/25

      360       356,850  
   

 

 

 
    8,650,206  
Personal Products — 0.4%  

Clover Merger Sub, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 09/26/24(a)

      1,197       1,152,113  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75% 1.00% Floor), 9.40%, 09/26/25

      544       511,360  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.50%), 4.40%, 01/26/24

      801       805,835  
   

 

 

 
    2,469,308  
Pharmaceuticals — 0.7%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.94%, 04/16/21(a)

      759       749,643  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 3.72%, 01/31/25

      1,230       1,235,020  

Jaguar Holding Co. II, 2017 Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 08/18/22

      1,527       1,530,700  

Valeant Pharmaceuticals International, Inc., Series F4 Term Loan B, (1 mo. LIBOR + 3.50%), 5.08%, 04/01/22

      928       938,443  
   

 

 

 
    4,453,806  
Professional Services — 0.4%  

Cast and Crew Payroll LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%), 4.70%, 09/27/24

      745       749,685  

Information Resources, Inc., 1st Lien Term Loan, (OR + 4.25% 1.00% Floor), 6.19%, 01/18/24

      343       344,447  

ON Assignment, Inc., 2018 Term Loan B, 02/20/25(p)

      367       368,664  

SIRVA Worldwide, Inc., 2016 Term Loan, (1 Week LIBOR + 6.50% 1.00% Floor), 8.20%, 11/14/22(a)

      230       231,351  
 

 

 

46    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Professional Services (continued)  

Sterling Infosystems, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 06/20/22(a)

    USD       735     $ 738,899  
     

 

 

 
    2,433,046  
Real Estate Investment Trusts (REITs) — 0.3%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50% 1.00% Floor), 4.15%, 03/24/24

      247       248,265  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.25%), 3.90%, 04/25/23

      1,375       1,380,718  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 4.07%, 05/11/24

      407       408,707  
     

 

 

 
    2,037,690  
Real Estate Management & Development — 0.4%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 04/18/24

      1,120       1,124,438  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 02/08/25

      812       815,476  

SMG Holdings Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.89%, 01/23/25

      305       307,287  
     

 

 

 
    2,247,201  
Road & Rail — 0.3%  

PODS LLC, Term Loan B3, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.58%, 12/06/24(a)

      1,189       1,196,451  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 06/13/23

      443       440,030  
     

 

 

 
    1,636,481  
Semiconductors & Semiconductor Equipment — 0.1%  

Cavium, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.90%, 08/16/22(a)

      235       235,267  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.09%, 05/12/24(a)

      138       138,000  

Microsemi Corp., 2017 1st Lien Term Loan B, (2 mo. LIBOR + 2.00%), 3.74%, 01/15/23

      145       145,921  

ON Semiconductor Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.65%, 03/31/23

      167       167,381  
     

 

 

 
    686,569  
Software — 4.1%  

Almonde, Inc.:

     

1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.48%, 06/13/24

      632       631,364  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 9.23%, 06/13/25

      178       176,565  

Applied Systems, Inc.:

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 09/19/24

      643       646,764  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00% 1.00% Floor), 8.69%, 09/19/25

      160       164,674  

Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 5.95%, 12/20/22

      377       378,877  

Barracuda Networks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 5.06%, 02/12/25

      310       311,485  

BMC Software Finance, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.90%, 09/10/22

      1,402       1,405,395  

Cypress Intermediate Holdings III, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 04/27/24

      292       293,140  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75% 1.00% Floor), 8.40%, 04/27/25

      248       251,844  
Security   Par
(000)
    Value  
Software (continued)  

Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.65%, 09/07/23

    USD       878     $ 877,529  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.02%, 05/28/24

      874       875,269  

DTI Holdco, Inc., 2016 Term Loan B, (3 mo. LIBOR + 5.25% 1.00% Floor), 7.02%, 09/30/23

      505       508,356  

Flexera Software LLC, 2018 1st Lien Term Loan, 01/23/25(p)

      195       195,427  

Hyland Software, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.90%, 07/01/22

      441       443,745  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.65%, 07/07/25

      190       193,563  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 02/01/22

      1,362       1,362,851  

Informatica Corp., 2018 Term Loan, (3 mo. LIBOR + 3.25%), 4.94%, 08/05/22

      1,063       1,068,193  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00% 1.00% Floor), 6.69%, 04/01/21

      374       373,901  

Kronos, Inc.:

     

2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.30%, 11/01/23

      1,278       1,286,171  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25% 1.00% Floor), 10.02%, 11/01/24

      615       630,885  

MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.75%), 4.40%, 06/21/24

      90       90,477  

McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 09/30/24

      628       631,341  

Mitchell International, Inc.(p):

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 11/29/24

      1,258       1,260,899  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.94%, 11/20/25

      400       402,400  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.04%, 04/26/24

      398       392,166  

Project Leopard Holdings, Inc., Term Loan B, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.19%, 07/07/23

      279       280,261  

Seattle Spinco, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%), 4.40%, 06/21/24

      610       611,013  

SolarWinds Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 02/05/23

      906       908,512  

Solera LLC, Term Loan B, (1 Week LIBOR + 3.25% 1.00% Floor), 4.90%, 03/03/23

      1,412       1,414,866  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 09/30/22

      1,601       1,602,790  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, 07/08/22(p)

      595       595,855  

SS&C Technologies Inc., 2018 Term Loan B3, 3.94%, 07/08/22

      1,669       1,671,260  

SS&C Technologies, Inc.:

     

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.90%, 07/08/22

      1,179       1,184,253  

2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 3.90%, 07/08/22

      20       19,972  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 4.65%, 05/01/24

      1,184       1,186,650  

TIBCO Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 12/04/20

      1,031       1,033,404  

Veritas Bermuda Ltd., Repriced Term Loan B, (3 mo. LIBOR + 4.50% 1.00% Floor), 6.19%, 01/27/23

      256       254,447  
     

 

 

 
    25,616,564  
 

 

 

SCHEDULES OF INVESTMENTS      47  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Specialty Retail — 0.6%  

Academy Ltd., 2015 Term Loan B, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.49%, 07/01/22

    USD       639     $ 509,628  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.29%, 11/07/24

      762       765,810  

Leslie’s Poolmart, Inc., 2016 Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.28%, 08/16/23

      246       246,154  

Michaels Stores, Inc., 2016 Term Loan B1, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 01/30/23

      401       402,598  

National Vision, Inc., 2017 Repriced Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 11/20/24

      107       107,399  

Party City Holdings Inc., 2018 Term Loan B, (3 mo. LIBOR + 2.75%), 4.53%, 08/19/22

      200       200,272  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%, 01/26/23

      279       193,526  

PetSmart, Inc., Term Loan B2, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.57%, 03/11/22

      58       47,735  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.13%, 12/20/24

      395       390,556  

Staples, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.79%, 09/12/24

      260       257,938  

TruGreen LP, 2017 Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.54%, 04/13/23

      381       384,453  
   

 

 

 
    3,506,069  
Technology Hardware, Storage & Peripherals — 0.2%  

Western Digital Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.60%, 04/29/23

      1,343       1,348,869  
   

 

 

 
Textiles, Apparel & Luxury Goods — 0.1%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25% 1.00% Floor), 6.94%, 08/12/22(a)

      708       710,658  

Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 12/15/24

      165       166,754  
   

 

 

 
    877,412  
Thrifts & Mortgage Finance — 0.1%  

IG Investment Holdings LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 10/29/21

      829       837,497  
   

 

 

 
Trading Companies & Distributors — 0.4%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 01/02/25(p)

      1,018       1,022,245  

HD Supply, Inc.:

     

Term Loan B3, (3 mo. LIBOR + 2.25%), 3.94%, 08/13/21

      817       820,217  

Term Loan B4, (3 mo. LIBOR + 2.50%), 4.19%, 10/17/23

      223       224,146  

Nexeo Solutions LLC, 2017 Repriced Term Loan, (3 mo. LIBOR + 3.25%), 4.94%, 06/09/23

      108       109,575  

Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 5.40%, 01/04/23(a)

      150       151,500  

Pro Mach Group, Inc., 2018 Term Loan B, 4.96%, 02/26/25

      355       355,888  
   

 

 

 
    2,683,571  
Transportation — 0.2%  

Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 06/15/23(a)

      220       223,300  

Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.19%, 08/18/22

      256       258,282  

Prometric Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%, 01/29/25

      125       125,781  
Security   Par
(000)
    Value  
Transportation (continued)  

Safe Fleet Acquisition, Corp.:

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.78%, 01/22/25

    USD       475     $ 475,594  

2018 2nd Lien Term Loan, (3 mo. LIBOR + 6.75% 1.00% Floor), 8.53%, 01/22/26

      215       216,612  
   

 

 

 
    1,299,569  
Utilities — 0.0%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.47%, 11/28/24

      224       226,401  
   

 

 

 
Wireless Telecommunication Services — 0.8%  

GEO Group, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.95%, 03/22/24

      646       648,449  

Ligado Networks LLC:

     

2015 2nd Lien Term Loan, 13.82%, 12/07/20

      35       19,152  

PIK Exit Term Loan (9.75% PIK), 5.53%, 12/07/20

      2,322       2,137,051  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 3.60%, 12/20/24

      1,873       1,881,506  
   

 

 

 
    4,686,158  
   

 

 

 

Total Floating Rate Loan Interests — 38.6%
(Cost — $240,372,763)

 

    240,636,586  
   

 

 

 

Foreign Agency Obligations — 4.4%

 

Argentine Republic Government International Bond:

     

5.63%, 01/26/22(g)

      326       332,031  

7.50%, 04/22/26(g)

      3,008       3,212,544  

6.88%, 01/26/27(g)

      765       777,248  

5.88%, 01/11/28

      124       115,878  

7.63%, 04/22/46(g)

      2,422       2,402,624  

Bahrain Government International Bond, 6.75%, 09/20/29(d)

      200       190,250  

Brazil Letras do Tesouro Nacional, 0.00%, 07/01/18(l)

    BRL       1,000       301,542  

Cyprus Government International Bond, 4.63%, 02/03/20(d)

    EUR       2,600       3,446,283  

Egypt Government International Bond:

     

5.75%, 04/29/20

    USD       882       909,448  

8.50%, 01/31/47(d)

      227       254,135  

Iceland Government International Bond, 5.88%, 05/11/22

      3,030       3,376,746  

Indonesia Government International Bond, 4.75%, 01/08/26

      395       411,810  

Lebanon Government International Bond, 6.85%, 03/23/27

      455       428,838  

Mexican Bonos:

     

8.00%, 06/11/20

    MXN       24       128,448  

7.50%, 06/03/27

      40       210,064  

Portugal Government International Bond, 5.13%, 10/15/24(d)

    USD       3,190       3,384,526  

Republic of South Africa Government International Bond:

     

5.50%, 03/09/20

      407       422,466  

5.88%, 05/30/22

      600       646,506  

4.88%, 04/14/26

      227       227,540  

5.65%, 09/27/47

      200       197,020  

Russian Federal Bond - OFZ:

     

6.40%, 05/27/20

    RUB       19,750       351,064  

7.05%, 01/19/28

      40,600       727,569  

Russian Foreign Bond - Eurobond:

     

4.75%, 05/27/26

    USD       200       209,744  

4.75%, 05/27/26(d)

      400       419,488  

4.25%, 06/23/27

      800       807,562  
 

 

 

48    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Foreign Agency Obligations (continued)  

Saudi Government International Bond, 3.63%, 03/04/28

    USD       546     $ 519,519  

Turkey Government Bond:

     

8.50%, 07/10/19

    TRY       714       178,523  

10.50%, 01/15/20

      837       212,800  

11.00%, 03/02/22

      896       227,683  

Turkey Government International Bond:

     

7.00%, 06/05/20(g)

    USD       530       563,676  

5.63%, 03/30/21

      469       487,498  

5.13%, 03/25/22(g)

      584       598,016  

6.25%, 09/26/22

      200       213,350  

7.38%, 02/05/25

      166       186,086  

6.00%, 03/25/27

      222       227,417  
     

 

 

 

Total Foreign Agency Obligations — 4.4%
(Cost — $26,730,262)

 

    27,305,942  
     

 

 

 
     Shares         

Investment Companies — 0.4%

 

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

      81,305       2,236,701  
     

 

 

 

Total Investment Companies — 0.4%
(Cost — $2,248,002)

 

    2,236,701  
     

 

 

 
     Par
(000)
        

Non-Agency Mortgage-Backed Securities — 7.1%

 

Collateralized Mortgage Obligations — 0.9%  

Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

    USD       2,418       2,135,390  

Countrywide Home Loan Mortgage Pass-Through Trust:

     

Series 2005-17, Class 1A6, 5.50%, 09/25/35

      471       469,253  

Series 2006-17, Class A2, 6.00%, 12/25/36

      1,303       1,111,268  

Series 2007-HY5, Class 3A1, 3.40%, 09/25/37(e)

      995       946,577  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.62%, 10/25/35(e)

      739       637,860  
     

 

 

 
    5,300,348  
Commercial Mortgage-Backed Securities — 6.0%  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(d)(e)

      4,830       4,782,926  

Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class D, (1 mo. LIBOR + 3.05%), 4.64%, 09/15/27(c)(d)

      2,825       2,834,513  

Commercial Mortgage Pass-Through Certificates, Series 2014-PAT(c)(d):

     

Class E, (1 mo. LIBOR + 3.15%), 4.73%, 08/13/27

      1,000       1,012,260  

Class F, (1 mo. LIBOR + 2.44%), 4.02%, 08/13/27

      2,000       2,000,011  

Commercial Mortgage Trust:

     

Series 2013-LC6, Class B, 3.74%, 01/10/46

      1,110       1,099,249  

Series 2015-3BP, Class A, 3.18%, 02/10/35(d)

      5,930       5,831,542  

Series 2015-CR22, Class B, 3.93%, 03/10/48(e)

      5,000       4,919,755  

Core Industrial Trust, Series 2015-TEXW, Class D, 3.85%, 02/10/34(d)(e)

      3,615       3,628,368  

CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B, 4.04%, 04/15/50(e)

      890       894,995  

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.38%, 12/15/34(d)(e)

      4,830       4,813,980  
Security   Par
(000)
    Value  
Commercial Mortgage-Backed Securities (continued)  

Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.79%, 07/10/38(e)

    USD       559     $ 559,335  

GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 02/10/46(d)

      1,995       1,987,125  

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A, 2.85%, 10/06/38(d)(e)

      800       758,451  

WF-RBS Commercial Mortgage Trust, Series 2012-C8:

     

Class B, 4.31%, 08/15/45

      1,085       1,112,893  

Class C, 4.89%, 08/15/45(e)

      1,395       1,418,852  
     

 

 

 
    37,654,255  
Interest Only Commercial Mortgage-Backed Securities — 0.2%  

Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 0.84%, 07/10/48(e)

      15,864       619,582  

WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class XA, 1.09%, 05/15/47(e)

      14,004       611,440  
     

 

 

 
    1,231,022  
     

 

 

 

Total Non-Agency Mortgage-Backed Securities — 7.1%
(Cost — $44,382,574)

 

    44,185,625  
     

 

 

 
     Beneficial
Interest
(000)
        

Other Interests(q) — 0.0%

 

Auto Components — 0.0%  

Lear Corp. Escrow(a)

      1,000       10  
     

 

 

 
IT Services — 0.0%  

Millennium Lender Claims(a)(b)

      1,779        
     

 

 

 

Total Other Interests — 0.0%
(Cost — $—)

        10  
     

 

 

 
     Par
(000)
        

Preferred Securities — 11.0%

 

Capital Trusts — 8.8%  
Auto Components — 0.1%  

General Motors Financial Co., Inc., Series A, 5.75%(e)(k)

    USD       352       356,893  
   

 

 

 
Banks — 2.6%  

Banco Santander SA, 6.25%(i)(k)

      100       127,795  

Capital One Financial Corp., Series E, 5.55%(g)(i)(k)

      3,000       3,090,900  

CIT Group, Inc., Series A, 5.80%(i)(k)

      235       237,350  

Citigroup, Inc.:

     

5.90%(g)(i)(k)

      5,000       5,162,500  

5.95%(g)(i)(k)

      1,370       1,421,375  

Series P, 5.95%(i)(k)

      140       145,530  

Series R, 6.13%(g)(i)(k)

      950       1,004,036  

Cooperatieve Rabobank UA, 6.63%(i)(k)

      200       281,286  

Hongkong & Shanghai Banking Corp. Ltd.,
Series 3H, 2.00%(c)(k)

      100       92,236  

Intesa Sanpaolo SpA, 7.00%(i)(k)

      200       271,094  

Wells Fargo & Co.(g)(i)(k) :

     

Series S, 5.90%

      3,085       3,219,969  

Series U, 5.88%

      785       834,557  
     

 

 

 
    15,888,628  
 

 

 

SCHEDULES OF INVESTMENTS      49  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Capital Markets — 1.1%  

Goldman Sachs Group, Inc.:

     

Series M, 5.38%(g)(i)(k)

    USD       1,730     $ 1,768,700  

Series P, 5.00%(e)(g)(k)

      765       744,054  

Morgan Stanley, Series H, 5.45%(g)(i)(k)

      2,546       2,603,285  

State Street Corp., Series F, 5.25%(g)(i)(k)

      1,625       1,685,938  

UBS Group AG, 5.75%(i)(k)

      200       274,167  
     

 

 

 
    7,076,144  
Chemicals — 0.0%  

Solvay Finance SA, 5.12%(i)(k)

      100       136,335  
     

 

 

 
Diversified Financial Services — 3.4%  

ATF Netherlands BV, 3.75%(i)(k)

      100       128,389  

Bank of America Corp.(g)(i)(k):

     

Series AA, 6.10%

      1,661       1,760,660  

Series U, 5.20%

      1,250       1,259,375  

Series V, 5.13%

      510       515,737  

Series X, 6.25%

      1,929       2,074,061  

Credit Agricole SA, 6.50%(i)(k)

      100       138,560  

Credit Suisse Group AG, 6.25%(i)(k)

      200       210,440  

HBOS Capital Funding LP, 6.85%(k)

      100       102,016  

HSBC Holdings PLC, 6.00%(i)(k)

      415       423,922  

JPMorgan Chase & Co.,:

     

Series U, 6.13%(g)(i)(k)

      6,690       7,071,330  

Series V, 5.00%(g)(i)(k)

      4,060       4,080,300  

Series X, 6.10%(i)(k)

      225       238,838  

Royal Bank of Scotland Group PLC, 8.63%(i)(k)

      400       442,000  

Societe Generale SA, 6.00%(d)(g)(i)(k)

      2,000       2,043,800  

UBS Group Funding Switzerland AG, 5.00%(e)(k)

      200       192,897  

UniCredit SpA, 6.75%(i)(k)

      200       268,581  
   

 

 

 
    20,950,906  
Diversified Telecommunication Services — 0.1%  

Telefonica Europe BV.(i)(k):

     

3.75%

      100       128,466  

4.20%

      200       257,405  

5.00%

      100       131,370  
   

 

 

 
    517,241  
Electric Utilities — 0.0%  

Enel SpA, 7.75%(i)

      100       156,744  

Origin Energy Finance Ltd., 4.00%(i)

      100       127,795  
   

 

 

 
    284,539  
Insurance — 1.5%  

Hartford Financial Services Group, Inc., 8.13%(g)(i)

      2,500       2,525,000  

Prudential Financial, Inc., 5.63%(g)(i)

      3,250       3,428,750  

Voya Financial, Inc., 5.65%(g)(i)

      3,500       3,605,000  
   

 

 

 
    9,558,750  
Oil, Gas & Consumable Fuels — 0.0%  

Gas Natural Fenosa Finance BV, 3.38%(e)(k)

      100       124,398  

Repsol International Finance BV, 4.50%(i)

      100       134,710  
   

 

 

 
    259,108  
   

 

 

 

Total Capital Trusts — 8.8%
(Cost — $53,549,384)

 

    55,028,544  
   

 

 

 
     Shares         

Preferred Stocks — 1.8%

 

Capital Markets — 1.7%  

Goldman Sachs Group, Inc., Series J, 5.50%(i)(k)

      202,526       5,360,863  

Morgan Stanley(i)(k).:

     

Series F, 6.88%

      120,000       3,384,000  

Series K, 5.85%

      53,253       1,415,998  

SCE Trust III, Series H, 5.75%(i)(k)

      21,200       561,588  
   

 

 

 
    10,722,449  
Security   Shares     Value  
Machinery — 0.1%  

Stanley Black & Decker, Inc., 5.38%(i)(k)

    USD       3,520     $ 414,832  
   

 

 

 
Wireless Telecommunication Services — 0.0%  

CF-B L2 (D) LLC, (Acquired 04/08/15, cost $11,497)(r)

      131,224       112,761  
   

 

 

 

Total Preferred Stocks — 1.8%
(Cost — $10,606,837)

 

    11,250,042  
   

 

 

 

Trust Preferred — 0.4%

 

Diversified Financial Services — 0.4%  

GMAC Capital Trust I, Series 2 (3 mo. LIBOR US + 5.79%), 7.62, 02/15/40(e)(i)

 

    105,753       2,728,427  
   

 

 

 

Total Trust Preferred — 0.4%
(Cost — $2,686,547)

 

    2,728,427  
   

 

 

 

Total Preferred Securities — 11.0%

 

    69,007,013  
   

 

 

 
     Par
(000)
        

U.S. Government Sponsored Agency Securities — 4.5%

 

Collateralized Mortgage Obligations — 1.0%  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 4.62%, 10/25/29(c)

    USD       1,600       1,708,873  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44(g)

      4,449       4,441,577  
   

 

 

 
    6,150,450  
Interest Only Collateralized Mortgage Obligations — 0.4%  

Freddie Mac Mortgage-Backed Securities, Class X1(e):

     

Series K042, 1.05%, 12/25/24

      34,535       2,027,101  

Series K707, 1.51%, 12/25/18

      39,781       305,743  
   

 

 

 
    2,332,844  
Mortgage-Backed Securities — 3.1%  

Fannie Mae Mortgage-Backed Securities(g):

     

3.00%, 5/01/30

      18,737       18,713,896  

5.00%, 07/01/20 - 08/01/23

      781       790,433  
   

 

 

 
    19,504,329  
   

 

 

 

Total U.S. Government Sponsored Agency Securities — 4.5%
(Cost — $29,024,027)

 

    27,987,623  
   

 

 

 
     Shares         

Rights — 0.0%

 

Electric Utilities — 0.0%  

Vistra Energy(a)(b)

      18,143       17,054  
     

 

 

 

Total Rights — 0.0%
(Cost — $—)

        17,054  
   

 

 

 

Warrants — 0.0%

 

Metals & Mining — 0.0%  

AFGlobal Corp. (Expires 12/20/20)(a)

      2,542        
     

 

 

 

Software — 0.0%

 

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

      3,100        
     

 

 

 

Total Warrants — 0.0%
(Cost — $31)

         
   

 

 

 

Total Long-Term Investments — 141.5%
(Cost — $882,494,700)

        882,589,839  
   

 

 

 
 

 

 

50    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Short-Term Securities — 0.9%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.29%(s)(t)

      5,451,661     $ 5,451,661  
     

 

 

 

Total Short-Term Securities — 0.9%
(Cost — $5,451,661)

 

    5,451,661  
   

 

 

 

Options Purchased — 0.4%
(Cost — $1,724,379)

 

    2,535,812  
   

 

 

 

Total Investments Before Options Written — 142.8%
(Cost — $889,670,740)

 

    890,577,312  
   

 

 

 

Options Written — (0.4)%
(Premiums Received — $1,665,932)

 

    (2,448,618
   

 

 

 

Total Investments, Net of Options Written — 142.4%
(Cost — $888,004,808)

 

    888,128,694  

Liabilities in Excess of Other Assets — (42.4)%

 

    (264,299,921
   

 

 

 

Net Assets — 100.0%

 

  $ 623,828,773  
   

 

 

 

 

(a)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(b)  Non-income producing security.
(c)  Floating rate security. Rate shown is the rate in effect as of period end.
(d)  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.

 

(e)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.
(f)  When-issued security.
(g)  All or a portion of the 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)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(j)  Issuer filed for bankruptcy and/or is in default.
(k)  Perpetual security with no stated maturity date.
(l)  Zero-coupon bond.
(m)  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.
(n)  Convertible security.
(o)  Variable rate security. Rate shown is the rate in effect as of period end.
(p)  Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.
(q)  Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(r)  Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $112,761 and an original cost of $11,497, which was less than 0.05% of its net assets.
(s)  Annualized 7-day yield as of period end.
 
(t)  During the period ended February 28, 2018, 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, and/or related parties of the Fund were as follows:

 

Affiliate    Shares
Held at

08/31/17
     Shares
Purchased
    Shares
Sold
     Shares
Held at

02/28/18
     Value at
02/28/18
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     1,298,832        4,152,829 (b)             5,451,661      $ 5,451,661      $ 43,081      $ 28      $  

iShares iBoxx $ High Yield Corporate Bond ETF

            55,000       (55,000                    34,789        (26,356       
             

 

 

    

 

 

    

 

 

    

 

 

 
              $ 5,451,661      $ 77,870      $ (26,328    $  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b) Represents net shares purchased.  

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
  (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

Deutsche Bank Securities, Inc.

     2.20     03/30/17        Open      $ 152,000      $ 154,706      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       03/31/17        Open        351,000        357,232      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       04/07/17        Open        127,000        129,213      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       04/07/17        Open        97,008        98,384      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       04/07/17        Open        39,856        40,421      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       04/13/17        Open        219,664        223,419      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       04/19/17        Open        1,565,000        1,591,605      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       04/19/17        Open        673,000        684,441      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       04/19/17        Open        2,983,000        3,021,965      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       04/19/17        Open        57,000        57,966      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       04/20/17        Open        165,000        167,774      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       04/20/17        Open        339,000        344,699      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       05/01/17        Open        468,000        475,669      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       05/12/17        Open        867,000        880,675      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       05/17/17        Open        213,000        216,349      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       05/17/17        Open        283,650        287,293      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       05/17/17        Open        392,038        397,073      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       05/17/17        Open        263,313        266,695      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      51  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
  (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets LLC

     1.84 %       05/17/17        Open      $ 423,863      $ 429,307      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       05/17/17        Open        539,738        546,670      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       05/17/17        Open        320,243        325,278      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       05/17/17        Open        257,550        261,600      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       05/17/17        Open        242,150        245,958      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       05/17/17        Open        190,500        193,496      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       05/17/17        Open        703,010        713,998      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       05/22/17        Open        811,000        823,561      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       05/22/17        Open        1,194,000        1,212,494      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       05/22/17        Open        1,028,000        1,043,923      Capital Trusts    Open/Demand

RBC Capital Markets LLC

     1.84       05/22/17        Open        497,900        504,184      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       05/24/17        Open        69,000        70,056      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       05/24/17        Open        1,065,050        1,081,345      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       05/31/17        Open        98,685        100,162      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       06/09/17        Open        519,715        527,286      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.86       06/15/17        Open        390,000        394,616      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.86       06/15/17        Open        576,000        582,817      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       06/15/17        Open        370,000        374,862      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       06/15/17        Open        437,000        443,255      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       06/15/17        Open        238,000        241,407      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       06/15/17        Open        643,000        652,204      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       06/15/17        Open        578,000        586,273      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       06/15/17        Open        865,000        877,382      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       06/15/17        Open        1,088,000        1,103,574      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     (1.00     06/15/17        Open        405,000        402,098      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     1.75       06/15/17        Open        1,298,376        1,312,893      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     1.75       06/15/17        Open        931,263        941,675      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     1.80       06/15/17        Open        5,808,781        5,875,808      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.25       06/15/17        Open        2,710,960        2,750,984      Foreign Agency Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

     2.25       06/15/17        Open        2,128,333        2,159,755      Foreign Agency Obligations    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        808,000        816,899      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        2,504,000        2,531,579      Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        3,412,000        3,449,579      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        2,389,000        2,415,312      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        3,510,000        3,548,659      Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        424,000        428,670      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        908,000        918,001      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        1,464,000        1,480,124      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        466,000        471,132      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        341,000        344,756      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        1,437,000        1,452,827      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.00       06/19/17        Open        495,000        501,325      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.00       06/19/17        Open        6,379,000        6,460,509      Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     2.00       06/19/17        Open        209,000        211,671      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.00       06/19/17        Open        159,000        161,032      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.00       06/19/17        Open        897,000        908,462      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.00       06/19/17        Open        607,000        614,756      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/19/17        Open        326,375        330,988      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/19/17        Open        415,438        421,332      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/19/17        Open        223,808        226,983      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/19/17        Open        363,375        368,531      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/19/17        Open        383,303        388,741      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/19/17        Open        790,215        801,427      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/21/17        Open        674,150        681,944      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/21/17        Open        253,725        256,658      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/21/17        Open        646,750        654,421      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/21/17        Open        1,488,375        1,505,581      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/21/17        Open        1,741,250        1,761,380      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/21/17        Open        437,175        442,229      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/21/17        Open        1,204,538        1,218,463      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/21/17        Open        2,167,000        2,192,052      Corporate Bonds    Open/Demand

 

 

52    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
  (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets LLC

     1.84 %       06/21/17        Open      $ 348,300      $ 352,428      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/21/17        Open        231,240        234,483      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/21/17        Open        2,425,000        2,459,145      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/21/17        Open        570,825        578,863      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/21/17        Open        505,575        512,694      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/21/17        Open        221,520        224,639      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/21/17        Open        294,018        298,157      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/22/17        Open        78,725        78,425      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/22/17        Open        300,900        305,015      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/29/17        Open        370,313        374,406      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/29/17        Open        290,700        293,913      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/29/17        Open        97,250        98,325      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/29/17        Open        1,095,488        1,107,597      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/29/17        Open        494,900        500,370      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/29/17        Open        375,938        380,093      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/29/17        Open        1,396,875        1,412,316      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       06/29/17        Open        970,000        980,722      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/29/17        Open        390,000        395,250      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/29/17        Open        125,625        127,316      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/29/17        Open        688,675        697,945      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/29/17        Open        522,900        529,938      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       06/29/17        Open        394,800        400,114      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       07/10/17        Open        857,000        868,231      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       07/10/17        Open        160,000        161,950      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       07/10/17        Open        194,000        196,364      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       07/24/17        Open        85,000        86,045      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       07/27/17        Open        898,580        909,529      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       07/28/17        Open        216,460        219,039      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       08/01/17        Open        896,610        907,292      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       08/01/17        Open        745,420        754,301      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       08/01/17        Open        625,485        632,937      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       08/01/17        Open        729,000        737,685      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       08/03/17        Open        323,190        326,988      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       08/04/17        Open        1,501,200        1,518,597      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       08/10/17        Open        193,000        195,163      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       08/14/17        Open        475,000        479,337      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       08/15/17        Open        199,000        201,198      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       08/15/17        Open        473,000        478,225      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       08/18/17        Open        858,220        867,469      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       08/23/17        Open        120,840        122,123      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       09/12/17        Open        385,950        389,670      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       09/12/17        Open        589,155        594,834      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       09/12/17        Open        428,750        432,883      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       09/22/17        Open        625,799        631,631      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       09/22/17        Open        704,063        710,595      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       09/26/17        Open        408,030        411,742      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       09/26/17        Open        462,075        466,279      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       09/26/17        Open        362,000        365,293      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       09/26/17        Open        312,900        315,747      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       09/27/17        Open        709,520        715,744      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       09/28/17        Open        600,066        605,425      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.45       10/03/17        Open        244,000        246,312      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       10/04/17        Open        417,000        420,500      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       10/04/17        Open        896,000        903,520      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       10/04/17        Open        340,425        343,282      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.00       10/05/17        Open        683,000        688,175      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.05       10/05/17        Open        1,389,000        1,399,807      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.07       10/05/17        Open        472,000        475,711      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.07       10/05/17        Open        476,000        479,742      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     (0.50     10/05/17        Open        277,000        276,438      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       10/06/17        Open        205,303        206,960      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       10/06/17        Open        171,000        172,389      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      53  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
  (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

Deutsche Bank Securities, Inc.

     2.20 %       10/06/17        Open      $ 749,000      $ 755,084      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       10/10/17        Open        151,200        152,420      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       10/12/17        Open        320,625        323,177      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     0.00       10/13/17        Open        131,535        131,535      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       10/13/17        Open        525,113        529,306      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       10/13/17        Open        195,722        197,248      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       10/13/17        Open        93,000        93,740      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       10/16/17        Open        899,000        905,995      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       10/20/17        Open        405,000        408,004      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.00       10/30/17        Open        36,225        36,196      Corporate Bonds    Open/Demand

Citigroup Global Markets, Inc.

     0.00       11/01/17        Open        317,188        317,062      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/02/17        Open        1,662,015        1,673,354      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     0.50       11/03/17        Open        199,240        199,489      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/06/17        Open        283,920        285,795      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       11/08/17        Open        594,750        598,707      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       11/08/17        Open        1,427,000        1,436,316      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.00       11/08/17        Open        261,398        261,398      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/08/17        Open        712,300        716,928      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/08/17        Open        863,470        869,080      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/08/17        Open        491,620        494,814      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/09/17        Open        448,695        451,586      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/09/17        Open        537,010        540,470      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       11/10/17        Open        566,156        569,797      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.00       11/10/17        Open        548,000        551,113      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/10/17        Open        101,783        102,422      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       11/13/17        Open        392,000        394,441      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/14/17        Open        220,000        221,358      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/17/17        Open        433,260        435,817      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       11/28/17        Open        716,250        719,469      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/29/17        Open        89,380        89,859      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/29/17        Open        656,880        660,401      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       11/30/17        Open        250,000        251,326      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       11/30/17        Open        143,640        144,402      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        185,850        186,766      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        173,470        174,325      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        431,955        434,083      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        259,500        260,778      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        253,590        254,839      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        176,580        177,450      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        167,500        168,325      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        269,765        271,094      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        362,180        363,964      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        389,550        391,469      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        228,150        229,274      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        491,250        493,670      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        277,530        278,897      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        445,050        447,242      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        160,500        161,291      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        192,585        193,534      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/07/17        Open        578,795        581,646      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/08/17        Open        214,200        215,209      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.05       12/14/17        Open        2,990,000        3,002,940      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/14/17        Open        345,000        346,602      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/14/17        Open        379,000        380,760      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/14/17        Open        349,000        350,621      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/14/17        Open        335,000        336,556      Corporate Bonds    Open/Demand

UBS Ltd.

     1.75       12/14/17        Open        2,970,000        2,980,973      Capital Trusts    Open/Demand

UBS Ltd.

     1.75       12/14/17        Open        2,647,500        2,657,281      Capital Trusts    Open/Demand

UBS Ltd.

     1.75       12/14/17        Open        4,800,000        4,817,733      Capital Trusts    Open/Demand

UBS Securities LLC

     1.80       12/14/17        Open        3,243,009        3,255,332      Foreign Agency Obligations    Open/Demand

UBS Securities LLC

     1.85       12/14/17        Open        3,114,078        3,126,240      Foreign Agency Obligations    Open/Demand

UBS Securities LLC

     2.00       12/14/17        Open        270,293        271,434      Corporate Bonds    Open/Demand

 

 

54    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
  (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

UBS Securities LLC

     2.00 %       12/14/17        Open      $ 2,057,385      $ 2,066,072      Corporate Bonds    Open/Demand

UBS Ltd.

     2.00       12/14/17        Open        265,633        266,754      Corporate Bonds    Open/Demand

UBS Ltd.

     2.00       12/14/17        Open        942,938        946,919      Corporate Bonds    Open/Demand

UBS Ltd.

     2.00       12/14/17        Open        160,650        161,328      Corporate Bonds    Open/Demand

UBS Ltd.

     2.00       12/14/17        Open        770,625        773,879      Corporate Bonds    Open/Demand

UBS Ltd.

     2.00       12/14/17        Open        1,665,000        1,672,030      Capital Trusts    Open/Demand

UBS Ltd.

     2.00       12/14/17        Open        373,450        375,027      Corporate Bonds    Open/Demand

UBS Ltd.

     2.00       12/14/17        Open        307,860        309,160      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.05       12/15/17        Open        2,712,000        2,723,737      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       12/18/17        Open        290,385        291,692      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.00       12/19/17        Open        867,000        870,420      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.00       12/19/17        Open        1,237,000        1,241,879      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/19/17        Open        1,119,195        1,124,051      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/19/17        Open        716,625        719,734      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/19/17        Open        240,425        241,468      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/19/17        Open        262,975        264,116      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/20/17        Open        66,200        66,483      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/20/17        Open        275,120        276,297      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/20/17        Open        489,880        492,006      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/20/17        Open        500,067        502,237      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/20/17        Open        463,937        465,950      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/20/17        Open        505,500        507,693      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/20/17        Open        476,000        478,065      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       12/20/17        Open        106,275        106,730      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        668,000        670,613      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        329,000        330,287      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        128,000        128,501      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        587,000        589,296      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        1,504,000        1,509,882      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        219,000        219,857      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        195,000        195,763      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        1,485,000        1,490,808      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        1,697,000        1,703,637      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        2,111,000        2,119,256      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        441,000        442,725      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        295,000        296,154      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        1,287,000        1,292,034      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        1,310,000        1,315,124      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        1,724,000        1,730,743      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        2,122,000        2,130,299      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        1,096,000        1,100,287      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/26/17        Open        2,496,000        2,505,762      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        562,000        564,164      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        286,000        287,101      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        549,000        551,114      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        539,000        541,075      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        814,000        817,134      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        945,000        948,638      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        922,000        925,550      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        307,000        308,182      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        33,000        33,127      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        1,007,000        1,010,877      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        593,000        595,283      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        636,215        638,664      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        250,000        250,963      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        397,000        398,528      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        466,000        467,794      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        416,000        417,602      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        466,000        467,794      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        161,000        161,620      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        921,000        924,546      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        781,000        784,007      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      55  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
  (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

Deutsche Bank Securities, Inc.

     2.20 %       12/27/17        Open      $ 298,000      $ 299,147      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        421,000        422,621      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        162,000        162,624      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        316,000        317,217      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        992,000        995,819      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        363,000        364,398      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        333,000        334,282      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        440,000        441,694      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        1,145,000        1,149,408      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        646,000        648,487      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        854,000        857,288      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        214,000        214,824      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       12/27/17        Open        222,000        222,855      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.00       12/28/17        Open        3,351,563        3,363,107      Capital Trusts    Open/Demand

Barclays Capital, Inc.

     2.25       12/28/17        Open        1,274,488        1,279,426      Capital Trusts    Open/Demand

UBS Ltd.

     2.00       01/04/18        Open        254,023        254,799      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     0.15       01/08/18        Open        286,425        286,486      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     (0.15     01/08/18        Open        94,105        94,085      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     (0.30     01/08/18        Open        223,650        223,555      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/08/18        Open        304,610        305,559      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/08/18        Open        530,245        531,898      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/08/18        Open        263,984        264,823      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       01/09/18        Open        622,000        623,909      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       01/09/18        Open        513,000        514,575      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       01/09/18        Open        654,000        656,007      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       01/09/18        Open        549,000        550,685      Foreign Agency Obligations    Open/Demand

BNP Paribas S.A.

     2.21       01/09/18        Open        593,000        594,820      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.25       01/09/18        Open        524,000        525,638      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.25       01/09/18        Open        608,000        609,900      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.25       01/09/18        Open        547,000        548,709      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.25       01/09/18        Open        585,000        586,828      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.25       01/09/18        Open        589,000        590,841      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.25       01/09/18        Open        675,000        677,152      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     2.25       01/09/18        Open        610,000        611,944      Capital Trusts    Open/Demand

J.P. Morgan Securities LLC

     1.00       01/09/18        Open        248,369        248,714      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.00       01/11/18        Open        54,366        54,511      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.25       01/11/18        Open        603,915        605,727      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.05       01/11/18        Open        655,000        656,790      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.05       01/11/18        Open        809,000        811,211      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       01/11/18        Open        75,000        75,221      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       01/11/18        Open        400,000        401,179      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/11/18        Open        357,525        358,574      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/11/18        Open        504,885        506,366      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       01/19/18        Open        147,580        147,844      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       01/19/18        Open        216,788        217,209      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       01/19/18        Open        532,950        533,985      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       01/19/18        Open        131,950        132,206      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       01/19/18        Open        316,200        316,814      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/19/18        Open        125,685        125,977      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     (0.50     01/25/18        Open        128,000        127,940      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     (0.75     01/25/18        Open        88,000        87,938      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.82       01/26/18        Open        385,000        385,603      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       01/29/18        Open        147,000        147,271      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       01/29/18        Open        1,398,837        1,401,488      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       01/29/18        Open        200,041        200,420      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       01/29/18        Open        1,783,359        1,786,629      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       01/29/18        Open        355,380        356,032      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       01/29/18        Open        814,348        815,841      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/29/18        Open        80,010        80,157      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/29/18        Open        281,880        282,397      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/29/18        Open        491,612        492,513      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       01/30/18        Open        141,075        141,284      Corporate Bonds    Open/Demand

 

 

56    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
  (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets LLC

     1.84 %       01/30/18        Open      $ 1,785,600      $ 1,788,247      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       01/30/18        Open        288,225        288,652      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        470,250        471,083      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        549,400        550,374      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        425,100        425,853      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        529,360        530,298      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        163,350        163,639      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        1,361,160        1,363,572      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        260,580        261,042      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        878,805        880,362      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        343,400        344,009      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        167,500        167,797      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        914,760        916,381      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       01/30/18        Open        113,738        113,939      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     (1.50     02/01/18        Open        195,911        195,805      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.21       02/02/18        Open        522,000        522,769      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       02/02/18        Open        872,160        873,440      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       02/05/18        Open        112,095        112,253      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     (1.00     02/08/18        Open        259,200        259,056      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.54       02/12/18        3/13/18        133,000        133,091      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18        3/13/18        630,000        630,431      U.S. Government Sponsored Agency Securities    Up to 30 Days

J.P. Morgan Securities LLC

     0.30       02/13/18        Open        92,263        92,274      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     0.45       02/13/18        Open        168,613        168,644      Corporate Bonds    Open/Demand

Citigroup Global Markets, Inc.

     1.56       02/14/18        3/15/18        18,265,000        18,283,857      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

     2.00       02/16/18        Open        219,000        219,110      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       02/16/18        Open        157,000        157,086      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       02/20/18        Open        343,224        343,371      Corporate Bonds    Open/Demand

Citigroup Global Markets, Inc.

     1.10       02/21/18        Open        720,521        720,675      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       02/21/18        Open        1,203,692        1,204,061      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.84       02/21/18        Open        1,478,071        1,478,524      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     1.87       02/22/18        3/08/18        4,203,001        4,204,529      U.S. Government Sponsored Agency Securities    Up to 30 Days

RBC Capital Markets LLC

     2.20       02/23/18        Open        112,200        112,200      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.25       02/27/18        Open        418,000        418,000      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.20       02/28/18        Open        320,306        320,310      Corporate Bonds    Open/Demand
          

 

 

    

 

 

       
   $ 266,056,659      $ 267,872,769        
  

 

 

    

 

 

       

 

  (a)  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

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts:

                 

Euro Stoxx 50 Index

     1          03/16/18        $ 42        $ 267  

Euro Stoxx 600 Index

     1          03/16/18          11          228  

Ultra Long U.S. Treasury Bond

     7          06/20/18          1,091          3,270  
                 

 

 

 
                    3,765  
                 

 

 

 

Short Contracts:

                 

10-Year U.S. Treasury Note

     306          06/20/18          36,734          63,798  

10-Year U.S. Ultra Long Treasury Note

     73          06/20/18          9,349          (6,268

Long Gilt Future

     1          06/27/18          167          (43

2-Year U.S. Treasury Note

     86          06/29/18          18,272          12,481  

5-Year U.S. Treasury Note

     178          06/29/18          20,279          36,177  
                 

 

 

 
                    106,145  
                 

 

 

 
                  $ 109,910  
                 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      57  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold      Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD      40,354        EUR      32,500      HSBC Bank PLC        03/05/18        $ 697  
USD      40,583        EUR      32,500      HSBC Bank PLC        03/05/18          926  
USD      2,802,427        EUR      2,257,000      HSBC Bank PLC        03/05/18          48,374  
USD      2,818,350        EUR      2,257,000      HSBC Bank PLC        03/05/18          64,297  
USD      7,339,452        EUR      5,911,000      HSBC Bank PLC        03/05/18          126,689  
USD      7,381,154        EUR      5,911,000      HSBC Bank PLC        03/05/18          168,391  
USD      2,430,968        GBP      1,713,000      Barclays Bank PLC        03/05/18          72,469  
USD      8,319,640        GBP      5,862,498      Barclays Bank PLC        03/05/18          248,015  
USD      62,325        GBP      44,000      Nomura International PLC        03/05/18          1,745  
USD      554,472        MXN      10,453,000      HSBC Bank PLC        03/05/18          229  
USD      108,889        NZD      147,000      Australia and New Zealand Bank Group        03/05/18          2,877  
USD      148,401        EUR      119,143      Citibank N.A.        03/19/18          2,863  
USD      29,538        EUR      23,929      HSBC Bank PLC        03/19/18          308  
CHF      2,321,661        EUR      1,970,000      Citibank N.A.        03/21/18          55,652  
EUR      1,930,000        NZD      3,245,516      Goldman Sachs International        03/21/18          17,719  
EUR      3,820,000        SEK      38,234,471      Citibank N.A.        03/21/18          46,680  
NOK      18,175,418        GBP      1,670,000      Citibank N.A.        03/21/18          1,870  
NOK      17,400,000        SEK      17,682,385      Citibank N.A.        03/21/18          67,870  
NOK      18,700,000        SEK      18,965,035      Citibank N.A.        03/21/18          77,587  
NOK      38,400,000        SEK      38,779,430      Citibank N.A.        03/21/18          179,240  
NZD      3,301,205        AUD      3,010,000      Citibank N.A.        03/21/18          42,481  
NZD      6,494,969        AUD      5,930,000      Citibank N.A.        03/21/18          77,394  
NZD      3,310,000        USD      2,378,301      Australia and New Zealand Bank Group        03/21/18          8,432  
USD      7,120,000        CAD      8,939,587      Morgan Stanley & Co. International PLC        03/21/18          150,761  
USD      2,380,000        NOK      18,359,106      Bank of America N.A.        03/21/18          53,817  
USD      2,380,000        NOK      18,246,810      Citibank N.A.        03/21/18          68,046  
USD      2,419,749        NZD      3,310,000      Citibank N.A.        03/21/18          33,016  
USD      2,380,000        SEK      19,124,252      Bank of America N.A.        03/21/18          68,972  
USD      2,380,000        SEK      19,198,844      Citibank N.A.        03/21/18          59,958  
JPY      259,897,734        NZD      3,320,000      Goldman Sachs International        03/22/18          45,399  
EUR      1,940,000        CHF      2,231,762      Morgan Stanley & Co. International PLC        03/23/18          2,981  
USD      79,664        EUR      65,000      Bank of America N.A.        04/04/18          160  
USD      5,373,044        EUR      4,384,000      Bank of America N.A.        04/04/18          10,802  
USD      14,809,301        EUR      11,822,000      Citibank N.A.        04/04/18          349,352  
USD      2,412,944        GBP      1,713,000      Citibank N.A.        04/04/18          50,926  
USD      8,054,574        GBP      5,822,000      Toronto-Dominion Bank        04/04/18          26,747  
USD      106,059        NZD      147,000      Westpac Banking Corp.        04/04/18          73  
JPY      634,550,000        AUD      7,400,000      Goldman Sachs International        04/23/18          220,981  
USD      181,000        ARS      3,710,500      Deutsche Bank AG        05/02/18          2,482  
USD      4,720,000        SEK      37,885,080      Goldman Sachs International        07/25/18          97,028  
                       

 

 

 
                          2,554,306  
                       

 

 

 
EUR      143,072        USD      179,452      Barclays Bank PLC        03/19/18          (4,685
AUD      5,920,000        CAD      5,901,281      Morgan Stanley & Co. International PLC        03/21/18          (2,446
AUD      2,960,000        NZD      3,221,906      Citibank N.A.        03/21/18          (24,136
AUD      2,970,000        NZD      3,230,698      Citibank N.A.        03/21/18          (22,709
AUD      3,010,000        NZD      3,277,977      Citibank N.A.        03/21/18          (25,732
CAD      2,858,569        AUD      2,910,000      Citibank N.A.        03/21/18          (31,720
CAD      2,929,796        AUD      3,010,000      JPMorgan Chase Bank N.A.        03/21/18          (53,863
CAD      2,945,693        NZD      3,320,000      BNP Paribas S.A.        03/21/18          (97,503
CAD      2,964,774        NZD      3,310,000      BNP Paribas S.A.        03/21/18          (75,417
CAD      2,921,237        USD      2,370,000      Citibank N.A.        03/21/18          (92,625
CAD      5,934,104        USD      4,750,000      Citibank N.A.        03/21/18          (123,815
CHF      2,249,570        EUR      1,960,000      Citibank N.A.        03/21/18          (8,594
CHF      4,442,096        EUR      3,860,000      State Street Bank and Trust Co.        03/21/18          (4,389
EUR      1,990,000        CHF      2,325,072      BNP Paribas S.A.        03/21/18          (34,835
EUR      3,920,000        CHF      4,600,053      BNP Paribas S.A.        03/21/18          (89,845
EUR      1,880,000        CHF      2,208,779      Citibank N.A.        03/21/18          (45,879
EUR      1,920,000        GBP      1,704,342      Bank of America N.A.        03/21/18          (2,619
GBP      1,696,296        EUR      1,920,000      State Street Bank and Trust Co.        03/21/18          (8,468
GBP      1,670,000        NOK      18,323,413      Citibank N.A.        03/21/18          (20,622
GBP      1,750,000        USD      2,444,030      State Street Bank and Trust Co.        03/21/18          (32,762

 

 

58    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency Purchased        Currency Sold      Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
NOK      18,443,374        USD      2,380,000      Bank of America N.A.        03/21/18        $ (43,140
NOK      18,665,845        USD      2,380,000      Bank of America N.A.        03/21/18          (14,952
NZD      6,630,000        CAD      6,185,411      Goldman Sachs International        03/21/18          (41,425
NZD      3,240,307        EUR      1,930,000      HSBC Bank PLC        03/21/18          (21,475
SEK      18,391,414        EUR      1,860,000      Bank of America N.A.        03/21/18          (49,964
SEK      19,198,705        EUR      1,960,000      Barclays Bank PLC        03/21/18          (74,582
SEK      18,717,615        NOK      18,295,000      Bank of America N.A.        03/21/18          (56,171
SEK      19,182,956        NOK      18,800,000      Bank of America N.A.        03/21/18          (63,924
SEK      19,217,082        NOK      18,990,000      Bank of America N.A.        03/21/18          (83,873
SEK      19,011,204        NOK      18,415,000      Goldman Sachs International        03/21/18          (35,897
SEK      19,425,305        USD      2,380,000      Citibank N.A.        03/21/18          (32,592
SEK      19,283,310        USD      2,380,000      Deutsche Bank AG        03/21/18          (49,751
USD      2,375,266        GBP      1,750,000      Nomura International PLC        03/21/18          (36,001
NZD      3,320,000        JPY      268,263,669      BNP Paribas S.A.        03/22/18          (123,919
CHF      2,226,571        EUR      1,940,000      Citibank N.A.        03/23/18          (8,488
AUD      140,000        JPY      11,682,417      Citibank N.A.        04/23/18          (1,146
AUD      2,965,000        JPY      259,738,447      Citibank N.A.        04/23/18          (140,183
AUD      1,910,000        JPY      163,358,155      Goldman Sachs International        04/23/18          (53,045
AUD      2,385,000        JPY      204,797,803      Morgan Stanley & Co. International PLC        04/23/18          (73,894
ARS      3,724,980        USD      181,000      Citibank N.A.        05/02/18          (1,785
SEK      14,986,611        USD      1,875,000      Barclays Bank PLC        07/25/18          (46,241
SEK      22,563,411        USD      2,845,000      Goldman Sachs International        07/25/18          (91,673
                       

 

 

 
                          (1,946,785
                       

 

 

 
     $ 607,521  
                       

 

 

 

OTC Interest Rate Swaptions Purchased

 

Description   Paid by the Fund   Received by the Fund   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
  Rate     Frequency   Rate     Frequency          
Put                    

10-Year Interest Rate Swap, 04/18/28

    2.75     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     04/16/18       2.75     USD     1,925     $ 31,779  

10-Year Interest Rate Swap, 04/18/28

    2.75     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     04/16/18       2.75     USD     600       9,905  

10-Year Interest Rate Swap, 05/20/28

    2.82     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     05/18/18       2.82     USD     3,000       45,586  
                   

 

 

 
  $ 87,270  
 

 

 

 

OTC Options Purchased

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
          Exercise
Price
     Notional
Amount (000)
     Value  

Put

 

CHF Currency

   UBS AG             03/20/18      CHF     8.08      CHF     36,450      $ 14,744  

CHF Currency

   UBS AG             03/20/18      CHF     7.98      CHF     54,670        5,152  

USD Currency

   Barclays Bank PLC             03/20/18      USD     7.90      USD     37,980        4,558  

USD Currency

   Goldman Sachs International             03/20/18      USD     7.75      USD     56,970        399  

AUD Currency

   Goldman Sachs International             04/19/18      AUD     85.50      AUD     47,480        1,301,415  

AUD Currency

   Goldman Sachs International             04/19/18      AUD     84.00      AUD     47,480        801,869  

AUD Currency

   Morgan Stanley & Co. International PLC             04/23/18      AUD     1.09      AUD     21,980        216,676  

AUD Currency

   UBS AG             04/23/18      AUD     1.07      AUD     21,980        103,729  

Call

 

Marsico Parent Superholdco LLC

   Goldman Sachs & Co.      46        12/14/19      USD     942.86      USD             
                     

 

 

 
   $ 2,448,542  
                     

 

 

 

 

 

SCHEDULES OF INVESTMENTS      59  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Options Written

 

Description    Counterparty    Expiration
Date
          Exercise
Price
     Notional
Amount (000)
     Value  

Put

 

CHF Currency

   UBS AG      03/20/18      CHF     7.98      CHF     54,670      $ (5,152

CHF Currency

   UBS AG      03/20/18      CHF     8.08      CHF     36,450        (14,782

USD Currency

   Barclays Bank PLC      03/20/18      USD     7.75      USD     56,970        (399

USD Currency

   Goldman Sachs International      03/20/18      USD     7.90      USD     37,980        (4,596

AUD Currency

   Goldman Sachs International      04/19/18      AUD     84.00      AUD     47,480        (801,869

AUD Currency

   Goldman Sachs International      04/19/18      AUD     85.50      AUD     47,480        (1,301,415

AUD Currency

   Morgan Stanley & Co. International PLC      04/23/18      AUD     1.07      AUD     21,980        (103,729

AUD Currency

   UBS AG      04/23/18      AUD     1.09      AUD     21,980        (216,676
                  

 

 

 
   $ (2,448,618
                  

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing
Rate Received
by the Fund
    Payment
Frequency
     Termination
Date
     Credit
Rating
 (a)
     Notional
Amount (000) (b)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 

Chesapeake Energy Corp.

    5.00     Quarterly        12/20/21        CCC+        USD        75      $ (478    $ (2,389    $ 1,911  

Dow Jones Markit CDX North America High Yield Index, Series 29, Version 1

    5.00       Quarterly        12/20/22        B        USD        2,587        200,592        158,321        42,271  

Markit iTraxx XO, Series 28, Version 1

    5.00       Quarterly        12/20/22        BB-        EUR        200        27,582        25,260        2,322  
                  

 

 

    

 

 

    

 

 

 
                   $ 227,696      $ $181,192      $ 46,504  
                  

 

 

    

 

 

    

 

 

 

 

  (a)  Using S&P/Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  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

 

Paid by the Fund   

Received by the Fund

   Effective
Date
     Termination
Date
     Notional
Amount (000)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate    Frequency                  
3-Month LIBOR    Quarterly    2.54%    Semi-annual      N/A        09/04/24      USD     18,700      $ (122,018    $ 205      $ (122,223
Quarterly    Semi-annual    2.6    3-Month LIBOR      N/A        09/04/24      USD     18,700        52,605        (63,731      116,336  
Quarterly    Semi-annual    2.24    3-Month LIBOR      N/A        08/09/27      USD     17,400        907,073        261        906,812  
Quarterly    Semi-annual    3.01    3-Month LIBOR      N/A        02/14/48      USD     6,000        (88,156      181        (88,337
                      

 

 

    

 

 

    

 

 

 
   $ 749,504      $ (63,084    $ 812,588  
     

 

 

    

 

 

    

 

 

 

OTC Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing
Rate Paid
by the Fund
    Payment
Frequency
    Counterparty   Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium

Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

CenturyLink, Inc.

     1     Quarterly     JPMorgan Chase Bank N.A.     12/20/22     USD     388     $ 43,932     $ 49,113     $ (5,181

CenturyLink, Inc.

     1       Quarterly     Goldman Sachs Bank USA     12/20/22     USD     397       44,948       51,570       (6,622
              

 

 

   

 

 

   

 

 

 
  $ 88,880     $ 100,683     $ (11,803
    

 

 

   

 

 

   

 

 

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing
Rate Received
by the Fund
    Payment
Frequency
    Counterparty   Termination
Date
    Credit
Rating
 (a)
  Notional
Amount
(000)
 (b)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Jaguar Land Rover Automotive PLC

    5.00     Quarterly     Credit Suisse International     06/20/22     BB+     EUR       20     $ 3,847     $ 3,408     $ 439  

Jaguar Land Rover Automotive PLC

    5.00       Quarterly     Barclays Bank PLC     12/20/22     BB+     EUR       20       4,025       3,882       143  

Telecom Italia SpA/Milano

    1.00       Quarterly     Citibank N.A.     12/20/22     BB+     EUR       30       (420     (597     177  

Markit CMBX North America, Series 8

    3.00       Monthly     Barclays Bank PLC     10/17/57     BBB-     USD       5,000       (767,581     (517,902     (249,679

Markit CMBX North America, Series 8

    3.00       Monthly     Credit Suisse International     10/17/57     BBB-     USD       2,500       (383,791     (255,900     (127,891

 

 

60    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Credit Default Swaps — Sell Protection (continued)

 

Reference Obligation/Index   Financing
Rate Received
by the Fund
    Payment
Frequency
    Counterparty   Termination
Date
    Credit
Rating
 (a)
  Notional
Amount
(000)
 (b)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Markit CMBX North America, Series 8

    3.00 %       Monthly     Morgan Stanley & Co.
International PLC
    10/17/57     BBB-     USD       4,450     $ (682,776   $ (606,647   $ (76,129

Markit CMBX North America, Series 9

    3.00       Monthly     Morgan Stanley & Co.
International PLC
    09/17/58     BBB-     USD       7,550       (894,494     (951,307     56,813  

Markit CMBX North America, Series 9

    3.00       Monthly     Credit Suisse International     09/17/58     BBB-     USD       5,000       (592,380     (553,247     (39,133

Markit CMBX North America, Series 9

    3.00       Monthly     Credit Suisse International     09/17/58     BBB-     USD       5,000       (592,380     (553,247     (39,133

Markit CMBX North America, Series 9

    3.00       Monthly     Credit Suisse International     09/17/58     BBB-     USD       5,000       (592,380     (547,204     (45,176
               

 

 

   

 

 

   

 

 

 
  $ (4,498,330   $ (3,978,761   $ (519,569
             

 

 

   

 

 

   

 

 

 

 

  (a)  Using S&P/Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.  

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Derivatives and Options Written

 

      Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
       Value  

Centrally Cleared Swaps(a)

   $ 184,228        $ (66,120      $ 1,069,652        $ (210,560      $  

OTC Derivatives

     107,973          (3,986,051        57,572          (588,944         

Options Written

                                         (2,448,618
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.  

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 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 appreciation(a)

   $      $      $ 495      $      $ 115,726      $      $ 116,221  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          2,554,306                      2,554,306  

Options purchased

                    

Investments at value — unaffiliated;(b)

                          2,448,542        87,270               2,535,812  

Swaps — centrally cleared

                    

Net unrealized appreciation(a)

            46,504                      1,023,148               1,069,652  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            165,545                                    165,545  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 212,049      $ 495      $ 5,002,848      $ 1,226,144      $      $ 6,441,536  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

                                 6,311               6,311  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          1,946,785                      1,946,785  

Options written

                    

Options written at value; Structured options at value

                          2,448,618                      2,448,618  

Swaps — centrally cleared

                    

Net unrealized depreciation(a)

                                 210,560               210,560  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            4,574,995                                    4,574,995  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 4,574,995      $      $ 4,395,403      $ 216,871      $      $ 9,187,269  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 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 Statement of Assets and Liabilities.  
  (b) Includes options purchased at value as reported in the Schedule of Investments.  

 

 

SCHEDULES OF INVESTMENTS      61  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

For the period ended February 28, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 3,481,817      $      $ 3,481,817  

Forward foreign currency exchange contracts

                          (1,606,677                    (1,606,677

Options purchased(a)

                          (2,835,296      19,311               (2,815,985

Options written

                          2,706,895                      2,706,895  

Swaps

            517,095                      101,168               618,263  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 517,095      $      $ (1,735,078    $ 3,602,296      $      $ 2,384,313  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $ 495      $      $ 390,499      $        390,994  

Forward foreign currency exchange contracts

                          443,555                      443,555  

Options purchased(b)

                          (103,133      82,698               (20,435

Options written

                          (29,446                    (29,446

Swaps

            89,109                      953,392               1,042,501  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 89,109      $ 495      $ 310,976      $ 1,426,589      $      $ 1,827,169  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Options purchased are included in net realized gain (loss) from investments.  
  (b)  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

   $ 1,149,252  

Average notional value of contracts — short

   $ 82,601,919  

Forward foreign currency exchange contracts:

  

Average amounts purchased — in USD

   $ 183,768,670  

Average amounts sold — in USD

   $ 116,843,119  

Options:

  

Average value of option contracts purchased

   $ 1,444,402  

Average value of option contracts written

   $ 1,442,258  

Average notional value of swaption contracts purchased

   $ 5,562,500  

Credit default swaps:

  

Average notional amount — buy protection

   $ 785,000  

Average notional amount — sell protection

   $ 36,057,005  

Interest rate swaps:

  

Average notional amount — pays fixed rate

   $ 39,100,000  

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.

Derivative Financial Instruments — Offsetting as of Period End

 

      Assets      Liabilities  

Futures contracts

   $      $ 118,364  

Forward foreign currency exchange contracts

     2,554,306        1,946,785  

Options

     2,535,812 (a)       2,448,618  

Swaps — Centrally cleared

            123,063  

Swaps — OTC(b)

     165,545        4,574,995  
  

 

 

    

 

 

 

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

   $ 5,255,663      $ 9,211,825  

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

            (241,427
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 5,255,663      $ 8,970,398  
  

 

 

    

 

 

 

 

  (a)  Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.  
  (b)  Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.  

 

 

62    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

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 (a)
       Non-cash
Collateral
Received
       Cash
Collateral
Received
       Net Amount
of Derivative
Assets (b)(e)
 

Australia and New Zealand Bank Group

   $ 11,309        $        $        $        $ 11,309  

Bank of America N.A.

     133,751          (133,751                           

Barclays Bank PLC

     329,067          (329,067                           

Citibank N.A.

     1,113,112          (580,623                 (340,000        192,489  

Credit Suisse International

     3,847          (3,847                           

Deutsche Bank AG

     2,482          (2,482                           

Goldman Sachs Bank USA

     51,570          (6,622                          44,948  

Goldman Sachs International

     2,484,810          (2,329,920                          154,890  

HSBC Bank PLC

     409,911          (21,475                          388,436  

JPMorgan Chase Bank N.A.

     136,383          (59,044                          77,339  

Morgan Stanley & Co. International PLC

     427,231          (427,231                           

Nomura International PLC

     1,745          (1,745                           

Toronto-Dominion Bank

     26,747                                     26,747  

UBS AG

     123,625          (123,625                           

Westpac Banking Corp.

     73                                     73  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 5,255,663        $ (4,019,432      $        $ (340,000      $ 896,231  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      
Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset (a)
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged (c)
       Net Amount
of Derivative
Liabilities (d)(e)
 

Bank of America N.A.

   $ 314,643        $ (133,751      $        $        $ 180,892  

Barclays Bank PLC

     893,488          (329,067                 (564,421         

BNP Paribas S.A.

     421,519                                     421,519  

Citibank N.A.

     580,623          (580,623                           

Credit Suisse International

     2,160,931          (3,847                 (2,130,000        27,084  

Deutsche Bank AG

     49,751          (2,482                          47,269  

Goldman Sachs Bank USA

     6,622          (6,622                           

Goldman Sachs International

     2,329,920          (2,329,920                           

HSBC Bank PLC

     21,475          (21,475                           

JPMorgan Chase Bank N.A.

     59,044          (59,044                           

Morgan Stanley & Co. International PLC

     1,814,152          (427,231                 (1,200,000        186,921  

Nomura International PLC

     36,001          (1,745                          34,256  

State Street Bank and Trust Co.

     45,619                                     45,619  

UBS AG

     236,610          (123,625                          112,985  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 8,970,398        $ (4,019,432      $        $ (3,894,421      $ 1,056,545  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.  
  (b)  Net amount represents the net amount receivable from the counterparty in the event of default.  
  (c)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (d)  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.  
  (e)  Net amount may also include forward foreign currency exchange contracts and currency options 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

   $        $ 83,778,692        $ 1,846,167        $ 85,624,859  

Common Stocks(a)

     326,937          36,445          1,454,365          1,817,747  

Corporate Bonds

     725,364          383,045,081          234          383,770,679  

Floating Rate Loan Interests

              224,335,198          16,301,388          240,636,586  

Foreign Agency Obligations

              27,305,942                   27,305,942  

Investment Companies

     2,236,701                            2,236,701  

 

 

SCHEDULES OF INVESTMENTS      63  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

      Level 1        Level 2        Level 3        Total  

Non-Agency Mortgage-Backed Securities

   $        $ 44,185,625        $        $ 44,185,625  

Other Interests

                       10          10  

Preferred Securities

     13,865,708          55,028,544                   68,894,252  

Rights

                       17,054          17,054  

U.S. Government Sponsored Agency Securities

              27,987,623                   27,987,623  

Unfunded Floating Rate Loan Interests(b)

              1,097                   1,097  

Short-Term Securities

     5,451,661                            5,451,661  

Options Purchased:

                 

Foreign Currency Exchange Contracts

              2,448,542                   2,448,542  

Interest Rate Contracts

              87,270                   87,270  
  

 

 

      

 

 

      

 

 

      

 

 

 

Subtotal

   $ 22,606,371        $ 848,240,059        $ 19,619,218        $ 890,465,648  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(c)

                    112,761  
                 

 

 

 

Total Investments

                  $ 890,578,409  
                 

 

 

 

Derivative Financial Instruments(d)

                 

Assets:

                 

Credit contracts

   $        $ 104,076        $        $ 104,076  

Equity contracts

     495                            495  

Forward foreign currency contracts

              2,554,306                   2,554,306  

Interest rate contracts

     115,726          1,023,148                   1,138,874  

Liabilities:

                 

Credit contracts

              (588,944                 (588,944

Forward foreign currency contracts

              (4,395,403                 (4,395,403

Interest rate contracts

     (6,311        (210,560                 (216,871
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 109,910        $ (1,513,377      $        $ (1,403,467
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  See above Schedule of Investments for values in each industry.  
  (b)  Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.  
  (c)  As of February 28, 2018, certain of the Fund’s investments were fair valued using net asset value (“NAV”) per share as no quoted market value is available and have been excluded from the fair value hierarchy.  
  (d)  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: or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $267,864,993 are categorized within the disclosure hierarchy.

During the period ended February 28, 2018, there were no transfers between levels.

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 year 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     Unfunded
Floating
Rate Loan
Interests
    Grand Total  

Assets:

               

Opening balance, as of August 31, 2017

  $ 2,211,493     $ 749,053     $ 1,163,602     $ 9,460,693     $ 10     $ 19,050     $ 217     $ 755     $ 13,604,873  

Transfers into Level 3(a)

                      4,783,363                               4,783,363  

Transfers out of Level 3(b)

    (250,000                 (2,070,763                             (2,320,763

Accrued discounts/premiums

    (29,834                 11,220                               (18,614

Net realized gain (loss)

                28,647       49,412                               78,059  

Net change in unrealized appreciation (depreciation)(c)

    23,166       705,312       11,633       9,702             (1,996     (217     (755     746,845  

Purchases

                      7,309,387                               7,309,387  

Sales

    (108,658           (1,203,648     (3,251,626                             (4,563,932
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing balance, as of February 28, 2018

  $ 1,846,167     $ 1,454,365     $ 234     $ 16,301,388     $ 10     $ 17,054     $     $     $ 19,619,218  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018(c)

  $ 23,166     $ 705,313     $ (117   $ 30,586     $     $ (1,996   $ (217   $     $ 756,735  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) As of August 31, 2017, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2018, 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.  
  (b)  As of August 31, 2017, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2018, 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 1 in the disclosure hierarchy.  
  (c)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018 is generally due to investments no longer held or categorized as Level 3 at period end.  

 

 

64    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities  (unaudited)

February 28, 2018

 

     FRA     BLW  

ASSETS

 

Investments at value — unaffiliated(a)

  $ 824,095,014     $ 885,125,651  

Investments at value — affiliated(b)

    2,628,005       5,451,661  

Cash

    3,506,416       1,210,438  

Due from Broker

          340,000  

Cash pledge:

 

Collateral — reverse repurchase agreements

          5,199,000  

Collateral — OTC derivatives

          3,970,000  

Centrally cleared swaps

    276,000       1,163,170  

Futures contracts

          510,480  

Foreign currency at value(c)

    5,889       2,672,426  

Receivables:

 

Investments sold

    10,511,451       5,564,133  

Interest — unaffiliated

    2,866,880       8,317,196  

Dividends — affiliated

    2,913       10,112  

Swaps

          11,435  

Swap premiums paid

    323,981       107,973  

Unrealized appreciation on:

 

Forward foreign currency exchange contracts

    46,604       2,554,306  

OTC swaps

          57,572  

Unfunded floating rate loan interests

    3,403       1,097  

Deferred offering costs

    30,883        

Prepaid expenses

    13,900       16,499  
 

 

 

   

 

 

 

Total assets

    844,311,339       922,283,149  
 

 

 

   

 

 

 

LIABILITIES

 

Cash received:

 

Collateral — OTC derivatives

    610,000       340,000  

Collateral — reverse repurchase agreements

          10,000  

Options written at value(d)

          2,448,618  

Reverse repurchase agreements at value

          267,872,769  

Payables:

 

Bank borrowings

    234,000,000        

Investments purchased

    50,385,384       18,165,080  

Investment advisory fees

    457,640       372,741  

Interest expense

    427,560        

Income dividends

    75,353       88,546  

Offering costs

    24,000        

Variation margin on centrally cleared swaps

    12,424       123,063  

Directors’ and Officer’s fees

    10,828       399,190  

Swaps

          11,438  

Variation margin on futures contracts

          118,364  

Reverse repurchase agreements

          1,666,203  

Other accrued expenses

    228,871       316,584  

Swap premiums received

          3,986,051  

Unrealized depreciation on:

 

Forward foreign currency exchange contracts

          1,946,785  

OTC swaps

    37,991       588,944  

Contingencies(h)

           
 

 

 

   

 

 

 

Total liabilities

    286,270,051       298,454,376  
 

 

 

   

 

 

 

NET ASSETS

  $ 558,041,288     $ 623,828,773  
 

 

 

   

 

 

 

NET ASSETS CONSIST OF

 

Paid-in capital(e)(f)(g)

  $ 629,504,081     $ 691,017,347  

Undistributed (distributions in excess of) net investment income

    2,309,904       (309,550

Accumulated net realized loss

    (71,674,329     (67,601,198

Net unrealized appreciation (depreciation)

    (2,098,368     722,174  
 

 

 

   

 

 

 

NET ASSETS

  $ 558,041,288     $ 623,828,773  
 

 

 

   

 

 

 

Netasset value, offering and redemption price per share

  $ 14.99     $ 16.86  
 

 

 

   

 

 

 

(a) Investments at cost — unaffiliated

  $ 826,297,602     $ 884,219,079  

(b) Investments at cost — affiliated

  $ 2,628,005     $ 5,451,661  

(c) Foreign currency at cost

  $ 5,787     $ 2,682,507  

(d) Premiums received

  $     $ 1,665,932  

(e) Par value per share

  $ 0.100     $ 0.001  

(f)  Shares outstanding

  $ 37,232,488     $ 37,003,854  

(g) Shares authorized

    200 million       unlimited  

 

(h)  See Note 12 of the Notes to Financial Statements for details of contingencies.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      65  


Statements of Operations  (unaudited)

Six Months Ended February 28, 2018

 

     FRA (a)     BLW  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 19,600,492     $ 21,829,493  

Dividends — unaffiliated

    48,671       374,536  

Dividends — affiliated

    128,674       77,870  

Foreign taxes withheld

          (947
 

 

 

   

 

 

 

Total investment income

    19,777,837       22,280,952  
 

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    2,953,233       2,411,563  

Custodian

    123,638       102,414  

Professional

    83,612       82,352  

Accounting services

    52,988       44,694  

Transfer agent

    31,150       34,376  

Directors and Officer

    28,202       33,634  

Offering costs

    24,000        

Printing

    10,328       12,158  

Registration

    4,917       4,887  

Miscellaneous

    20,277       58,913  
 

 

 

   

 

 

 

Total expenses excluding interest expense and fees

    3,332,345       2,784,991  

Interest expense and fees

    2,531,075       2,393,421  
 

 

 

   

 

 

 

Total expenses

    5,863,420       5,178,412  

Less fees waived and/or reimbursed by the Manager

    (16,993     (6,700
 

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    5,846,427       5,171,712  
 

 

 

   

 

 

 

Net investment income

    13,931,410       17,109,240  
 

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    709,694       1,133,730  

Investments — affiliated

    (67,998     (26,356

Futures contracts

          3,481,817  

Forward foreign currency exchange contracts

    (62,966     (1,606,677

Foreign currency transactions

    (30,300     9,147  

Options written

          2,706,895  

Capital gain distributions from investment companies — affiliated

    8       28  

Swaps

    (79,416     618,263  
 

 

 

   

 

 

 
    469,022       6,316,847  
 

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

   

Investments

    1,249,208       (13,002,380

Futures contracts

          390,994  

Forward foreign currency exchange contracts

    (5,232     443,555  

Foreign currency translations

    (7,654     (520,238

Options written

          (29,446

Swaps

    58,769       1,042,501  

Unfunded floating rate loan interests

    648       342  
 

 

 

   

 

 

 
    1,295,739       (11,674,672
 

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    1,764,761       (5,357,825
 

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 15,696,171     $ 11,751,415  
 

 

 

   

 

 

 

 

(a)  Consolidated Statement of Operations through November 30, 2017.

See notes to financial statements.

 

 

66    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets  

 

    FRA (a)           BLW  
     Six Months Ended
02/28/18
(unaudited)
   

Year Ended

08/31/17

           Six Months Ended
02/28/18
(unaudited)
   

Year Ended

08/31/17

 

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

 

     

Net investment income

  $ 13,931,410     $ 28,272,606       $ 17,109,240     $ 37,454,376  

Net realized gain

    469,022       3,659,778         6,316,847       7,378,260  

Net change in unrealized appreciation (depreciation)

    1,295,739       4,076,256         (11,674,672     8,782,722  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    15,696,171       36,008,640         11,751,415       53,615,358  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

 

     

From net investment income

    (13,627,091     (30,307,245       (17,650,838     (47,105,906
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

 

     

Total increase (decrease) in net assets

    2,069,080       5,701,395         (5,899,423     6,509,452  

Beginning of period

    555,972,208       550,270,813         629,728,196       623,218,744  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 558,041,288     $ 555,972,208       $ 623,828,773     $ 629,728,196  
 

 

 

   

 

 

     

 

 

   

 

 

 

Undistributed (distribution in excess of) net investment income, end of period

  $ 2,309,904     $ 2,005,585       $ (309,550   $ 232,048  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) Consolidated Statements of Changes in Net Assets through November 30, 2017.
(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      67  


Statements of Cash Flows  (unaudited)

Six Months Ended February 28, 2018

 

     FRA (a)     BLW  

CASH PROVIDED BY OPERATING ACTIVITIES

   

Net increase in net assets resulting from operations

  $ 15,696,171     $ 11,751,415  

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities:

   

Proceeds from sales of long-term investments and principal paydowns

    259,359,999       249,031,844  

Purchases of long-term investments

    (258,465,849     (263,588,688

Net proceeds from sales of short-term securities

    1,191,449       (4,152,829

Amortization of premium and accretion of discount on investments

    (281,176     990,310  

Paid-in-kind-income

    (503,882     (145,740

Premiums received from options written

          4,860,352  

Premiums paid on closing options written

          (865,686

Net realized gain on investments and options written

    (644,993     (3,814,269

Net unrealized loss on investments, options written, swaps, unfunded floating rate loan interests and foreign currency translations

    (1,206,633     12,659,343  
(Increase) Decrease in Assets:            

Cash pledged:

   

Futures contracts

          264,775  

Collateral — OTC derivatives

          980,000  

Collateral — reverse repurchase agreements

          (5,199,000

Centrally cleared swaps

    (276,000     (537,000

Receivables:

   

Interest — unaffiliated

    (75,392     319,222  

Swaps

          (11,435

Dividends — affiliated

    (1,261     (6,267

Variation margin on futures contracts

          220  

Due from broker

          (340,000

Swap premiums paid

    (323,981     (88,276

Prepaid expenses

    (3,989     (6,078
Increase (Decrease) in Liabilities:            

Cash received:

   

Collateral — OTC derivatives

    610,000       340,000  

Collateral — reverse repurchase agreements

          (770,000

Payables:

   

Investment advisory fees

    (42,837     (40,788

Interest expense and fees

    23,513       496,779  

Directors’ and Officer’s

    1,530       (8,402

Variation margin on futures contracts

          11,863  

Variation margin on centrally cleared swaps

    12,424       87,796  

Swaps

          11,438  

Offering costs

    24,000        

Other accrued expenses

    (86,322     9,838  

Swap premiums received

          (27,582
 

 

 

   

 

 

 

Net cash provided by operating activities

    15,006,771       2,213,155  
 

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

   

Cash dividends paid to Common Shareholders

    (13,640,364     (17,651,372

Payments on bank borrowings

    (169,000,000      

Proceeds from bank borrowings

    166,000,000        

Net borrowing of reverse repurchase agreements

          16,187,252  
 

 

 

   

 

 

 

Net cash (provided by) used for financing activities

    (16,640,364     (1,464,120
 

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

   

Cash impact from foreign exchange fluctuations

  $ (41   $ (7,320
 

 

 

   

 

 

 

CASH AND FOREIGN CURRENCY

   

Net increase (decrease) in cash and foreign currency at value

    (1,633,634     741,715  

Cash and foreign currency at value at beginning of period

    5,145,939       3,141,149  
 

 

 

   

 

 

 

Cash and foreign currency at value at end of period

  $ 3,512,305     $ 3,882,864  
 

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

   

Cash paid during the period for interest expense

  $ 2,507,562     $ 1,896,642  
 

 

 

   

 

 

 

 

(a)  Consolidated Statement of Cash Flow through November 30, 2017.

See notes to financial statements.

 

 

68    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  

(For a share outstanding throughout each period)

 

    FRA (a)  
    Six Months Ended
02/28/18
(Unaudited)
          Year Ended August 31,  
        2017      2016      2015     2014      2013  

Net asset value, beginning of period

  $ 14.93             $ 14.78      $ 14.91      $ 15.38     $ 15.36      $ 14.98  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income(b)

    0.37         0.76        0.76        0.81       0.87        0.99  

Net realized and unrealized gain (loss)

    0.06         0.20        (0.14      (0.47     0.04        0.42  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net increase from investment operations

    0.43         0.96        0.62        0.34       0.91        1.41  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Distributions from net investment income(c)

    (0.37       (0.81      (0.75      (0.81     (0.89      (1.03
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 14.99       $ 14.93      $ 14.78      $ 14.91 (d)    $ 15.38      $ 15.36  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 14.50       $ 14.10      $ 13.70      $ 12.94     $ 14.26      $ 14.96  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(e)

 

Based on net asset value

    3.03 %(f)        6.93      5.00      2.88 %(d)      6.45      9.68
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Based on market price

    5.52 %(f)        8.95      12.14      (3.71 )%      1.33      5.28
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets

 

Total expenses

    2.12 %(g)(h)        1.88      1.54      1.56     1.48      1.54 %(i) 
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.12 %(g)(h)        1.88      1.54      1.56     1.48      1.52 %(i) 
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense

    1.20 %(g)(h)        1.21      1.14      1.19     1.15      1.15 %(i)(j) 
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income

    5.04 %(g)(h)        5.08      5.27      5.39     5.65      6.49
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Supplemental Data

 

Net assets, end of period (000)

  $ 558,041       $ 555,972      $ 550,271      $ 555,104     $ 572,463      $ 571,802  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 234,000       $ 237,000      $ 225,000      $ 196,000     $ 235,000      $ 214,000  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Asset coverage, end of period per $1,000 of bank borrowings

  $ 3,386       $ 3,346      $ 3,446      $ 3,832     $ 3,436      $ 3,672  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    32       64      48      43     58      88
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

 

(a)  Consolidated Financial Highlights through November 30, 2017.
(b)  Based on average shares outstanding.
(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)  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.
(e)  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 at actual reinvestment prices.
(f)  Aggregate total return.
(g)  Annualized.
(h)  Excludes 0.01% of expenses incurred indirectly as a result of investments in underlying funds.
(i)  Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.
(j)  The total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.14%.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      69  


Financial Highlights  

(For a share outstanding throughout each period)

 

    BLW  
    Six Months Ended
02/28/18
(Unaudited)
          Year Ended August 31,  
            2017      2016      2015 (a)     2014 (a)      2013 (a)  

Net asset value, beginning of period

  $ 17.02             $ 16.84      $ 17.04      $ 18.09     $ 17.54      $ 17.38  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income(b)

    0.46         1.01        1.32        1.16       1.26        1.30  

Net realized and unrealized gain (loss)

    (0.14       0.44        (0.22      (0.92     0.51        0.25  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net increase from investment operations

    0.32         1.45        1.10        0.24       1.77        1.55  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Distributions from net investment income(c)

    (0.48       (1.27      (1.30      (1.29     (1.22      (1.39
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 16.86       $ 17.02      $ 16.84      $ 17.04 (d)    $ 18.09      $ 17.54  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 15.24       $ 15.99      $ 15.74      $ 14.60     $ 16.81      $ 16.89  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(e)

 

Based on net asset value

    2.07 %(f)        9.62      7.78      2.23 %(d)      10.77      9.13
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Based on market price

    (1.79 )%(f)        10.18      17.59      (5.74 )%      6.89      1.47
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets

 

Total expenses

    1.66 %(g)(h)        1.45      1.21      1.15     1.14      1.12
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    1.66 %(g)(h)        1.45      1.21      1.15     1.14      1.12
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and fees

    0.89 %(g)(h)        0.89      0.89      0.92     0.92      0.90
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income

    5.48 %(g)(h)        6.00      8.04      6.65     7.00      7.34
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Supplemental Data

 

Net assets, end of period (000)

  $ 623,829       $ 629,728      $ 623,219      $ 630,388     $ 669,382      $ 649,120  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 267,873       $ 252,280      $ 263,445      $ 264,036     $ 293,890      $ 273,347  
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    28       55      54      47     57      71
 

 

 

     

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

 

(a)  Consolidated Financial Highlights.
(b)  Based on average shares outstanding.
(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)  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.
(e)  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 at actual reinvestment prices.
(f)  Aggregate total return.
(g)  Annualized.
(h)  Excludes 0.01% of expenses incurred indirectly as a result of investments in underlying funds.

See notes to financial statements.

 

 

70    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements

 

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 as a “Fund”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Floating Rate Income Strategies Fund, Inc.

  FRA    Maryland    Diversified

BlackRock Limited Duration Income Trust

  BLW    Delaware    Diversified

The Boards of Directors and Board 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 account of FRA Subsidiary, LLC (the “Taxable Subsidiary”). As of period end, the Taxable Subsidiary, which was wholly-owned by FRA, was dissolved. The Taxable Subsidiary enabled 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 were taxable to such subsidiary. There was no tax provision required for income or realized gains during the period.

 

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:

Investment Transactions and Income Recognition: 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 an accrual basis. Payment-in-kind interest income is accrued as interest income and is reclassified as payment-in-kind interest income when the additional securities are received.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. 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 New York Stock Exchange (“NYSE”). 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 U.S. 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.

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 U.S. 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.

 

 

NOTES TO FINANCIAL STATEMENTS      71  


Notes to Financial Statements  (continued)

 

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 the Directors’ and Officer’s 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.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.

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.

 

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 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 a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may 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.

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 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.

 

    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.

 

 

72    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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 are 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.

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.

 

 

NOTES TO FINANCIAL STATEMENTS      73  


Notes to Financial Statements  (continued)

 

As of February 28, 2018, certain investments of BLW were valued using NAV 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.

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. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

 

 

74    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

Preferred Stocks: 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 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 in proceeds from the sale not being 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 interests. 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, certain 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, a fund had the following unfunded floating rate loan interests:

 

Fund   Borrower    Par     

Commitment

Amount

     Value     

Unrealized
Appreciation

 

FRA

  Convergint Technologies LLC    $ 62,518      $ 62,362      $ 62,401      $ 39  
  Lakeland Tours, LLC      76,087        75,897        76,919        1,022  
  Mitchell International, Inc.      319,759        318,160        320,502        2,342  

BLW

  Convergint Technologies LLC      19,869        19,819        19,832        13  
  Lakeland Tours, LLC      25,343        25,280        25,620        340  
    Mitchell International, Inc.      101,640        101,132        101,876        744  

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.

 

 

NOTES TO FINANCIAL STATEMENTS      75  


Notes to Financial Statements  (continued)

 

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 the use of the security by the counterparty, which may result in interest income to a fund.

For the six months ended February 28, 2018, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the BLW were $254,351,828 and 1.90%, 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 and cash 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 the 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 Interest
 (a)

    Cash Collateral
Pledged/Received
     Net Amount  

Barclays Capital, Inc.

  $ 11,362,010      $ (11,362,010   $      $  

BNP Paribas S.A.

    17,379,601        (17,379,601             

Citigroup Global Markets, Inc.

    19,321,594        (19,321,594             

Credit Suisse Securities (USA) LLC

    13,443,213        (13,443,213             

Deutsche Bank Securities, Inc.

    70,734,868        (70,734,868             

HSBC Securities (USA), Inc.

    32,832,189        (32,832,189             

J.P. Morgan Securities LLC

    5,318,287        (5,318,287             

RBC Capital Markets LLC

    73,546,046        (73,546,046             

UBS Ltd.

    15,215,883        (15,215,883             

UBS Securities LLC

    8,719,078        (8,719,078             
 

 

 

    

 

 

   

 

 

    

 

 

 
  $ 267,872,769      $ (267,872,769   $      $  
 

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a)  Net collateral, including accrued interest, with a value of $304,291,153 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.  

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.

Futures Contracts: Futures contracts are purchased or sold 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.

 

 

76    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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 notional amount of the contract at the time it was opened and the notional amount 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: Forward foreign currency exchange contracts are entered into 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.

Swaps: Swap contracts are entered into 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

 

 

NOTES TO FINANCIAL STATEMENTS      77  


Notes to Financial Statements  (continued)

 

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 — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is 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 — Total return swaps are entered into 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 — Interest rate swaps are entered into 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 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.

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 a 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.

 

 

78    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative 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” mean 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” mean the total assets of the Fund minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

Distribution Fees: FRA has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to FRA’s Distribution Agreement, FRA will 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’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL.

Expense 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 and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2018, the amounts waived were as follows:

 

     FRA      BLW  

Amounts waived

  $ 1,067      $ 2,909  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2018 for BLW and through December 31, 2018 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, 2018, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

     FRA      BLW  

Amounts waived

  $ 15,926      $ 3,791  

Directors and Officers: Certain Directors and/or officers of the Funds are directors and/or officers 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 Directors and Officer 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, 2018, 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  

BLW

  $ 39,625      $ 815,271      $ 9,228  

 

7. PURCHASES AND SALES

For the six months ended February 28, 2018, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases  
     FRA      BLW  

Non-U.S. Government Securities

  $ 268,653,202      $ 261,468,289  

U.S. Government Securities

            
 

 

 

    

 

 

 
  $ 268,653,202      $ 261,468,289  
 

 

 

    

 

 

 
Sales  
     FRA      BLW  

Non-U.S. Government Securities (includes paydowns)

  $ 260,144,823      $ 244,797,762  

U.S. Government Securities

           2,831,619  
 

 

 

    

 

 

 
  $ 260,144,823      $ 247,629,381  
 

 

 

    

 

 

 

 

8. INCOME TAX INFORMATION

It is each Fund’s 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 its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiary.

 

 

NOTES TO FINANCIAL STATEMENTS      79  


Notes to Financial Statements  (continued)

 

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, 2017. 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, 2018, 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.

As of August 31, 2017, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires   FRA      BLW  

No expiration date(a)

  $ 18,810,432      $ 36,457,609  

2018

    51,144,703        37,509,275  

2019

    2,206,081         
 

 

 

    

 

 

 
  $ 72,161,216      $ 73,966,884  
 

 

 

    

 

 

 

 

  (a)  Must be utilized prior to losses subject to expiration.  

As of February 28, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     FRA     BLW  

Tax cost

  $ 828,816,995     $ 889,720,866  
 

 

 

   

 

 

 

Gross unrealized appreciation

  $ 5,909,758     $ 20,301,410  

Gross unrealized depreciation

    (7,898,361     (19,182,499
 

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ (1,988,603   $ 1,118,911  
 

 

 

   

 

 

 

 

9. BANK BORROWINGS

FRA is 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 FRA. As of period end, FRA has not received any notice to terminate. FRA has granted a security interest in substantially all of its assets to SSB. The SSB Agreement allows for a maximum commitment of $274,000,000.

Advances will be made by SSB to FRA, at FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, 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 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.

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, 2018, the average amount of bank borrowings and the daily weighted average interest rates for FRA for loans under the revolving credit agreement were $237,386,740 and 2.15%, respectively.

 

10. PRINCIPAL RISKS

In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

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.

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 it believes 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.

 

 

80    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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: 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 each Fund deposits collateral with its counterparty to a written option.

With exchange-traded options purchased and 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 Funds.

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.

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

BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Fund’s shares is $0.001 and $0.10, respectively. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

The Board previously approved each Fund’s participation in an open market share repurchase program that allowed each Fund to purchase, at prevailing market prices, up to 5% of its common shares outstanding as of the close of business on October 28, 2016 through November 30, 2017, subject to certain conditions. On September 6, 2017, the Board approved a renewal of this program. Commencing December 1, 2017, each Fund may purchase through November 30, 2018, up to 5% of its common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. For the six months ended February 28, 2018, the Funds did not repurchase any shares.

For the six months ended February 28, 2018 and for the year ended August 31, 2017, shares issued and outstanding remained constant for both Funds.

FRA filed a final prospectus with the SEC allowing it to issue an additional 3,050,000 Common Shares, through 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.

 

 

NOTES TO FINANCIAL STATEMENTS      81  


Notes to Financial Statements  (continued)

 

Initial costs incurred by FRA in connection with its shelf offering are recorded as “Deferred offering cost” on the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the shelf offering period will be charged to expense. Any subsequent costs incurred to keep the filing active will be charged to expense as incurred.

 

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 the 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 NAV. 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 for FRA.

 

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      
     Paid (a)      Declared (b)  

FRA

    $0.0610        $0.0610  

BLW

    0.0795        0.0795  

 

  (a) Net investment income dividend paid on March 29, 2018 to Common Shareholders of record on March 15, 2018.  
  (b) Net investment income dividend declared on April 2, 2018, payable to Common Shareholders of record on April 16, 2018.  

 

 

82    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Director and Officer Information

 

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

R. Glenn Hubbard, Director

W. Carl Kester, Director

Catherine A. Lynch, Director

Robert Fairbairn, 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

 

Effective December 31, 2017, Jerrold B. Harris retired as a Director of the Funds.

Effective February 16, 2018, Barbara G. Novick resigned, and Robert Fairbairn was appointed, as an interested Director of the Funds.

 

Investment Adviser   Transfer Agent
BlackRock Advisors, LLC   Computershare Trust Company, N.A.
Wilmington, DE 19809   Canton, MA 02021
 
Distributor   Independent Registered Public Accounting Firm
BlackRock Investments, LLC   Deloitte & Touche LLP
New York, NY 10022   Boston, MA 02116
 
Accounting Agent and Custodian   Legal Counsel
State Street Bank and Trust Company   Skadden, Arps, Slate, Meagher & Flom LLP
Boston, MA 02111   Boston, MA 02116
 
  Address of the Funds
  100 Bellevue Parkway
  Wilmington, DE 19809
 
 
 
 

 

 

DIRECTOR AND OFFICER INFORMATION      83  


Additional Information

 

Fund Certification

The 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

BLW does not make available copies of its Statement of Additional Information because the Fund’s shares are not continuously offered, which means that the Statement of Additional Information has not been updated after completion of the Fund’s offerings and the information contained in its Statement 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.

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.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, the Funds from time to time may purchase their common shares in the open market or in private transactions.

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.

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 (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.

 

 

84    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

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 U.S. federal income tax purposes.

February 28, 2018

 

     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

  $ 0.4770     $     $     $     $ 0.4770       100     0     0     0     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.

Shelf Offering Program

From time-to-time, FRA may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, FRA 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 Fund’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow FRA 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.

FRA has filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of FRA are not offers to sell FRA Common Shares or solicitation of an offer to buy FRA Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of FRA contains important information about FRA, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of FRA carefully and in its entirety before investing. Copies of the final prospectus for FRA can be obtained from BlackRock at http://www.blackrock.com.

 

 

ADDITIONAL INFORMATION      85  


Additional Information  (continued)

 

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.

 

 

86    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Glossary of Terms Used in this Report

 

Currency Abbreviations
ARS    Argentine Peso
AUD    Australian Dollar
CAD    Canadian Dollar
CHF    Swiss Franc
CRC    Costa Rican Colon
EUR    Euro
GBP    British Pound
JPY    Japanese Yen
MXN    Mexican Peso
NOK    Norwegian Krone
NZD    New Zealand Dollar
SEK    Swedish Krona
USD    U.S. Dollar
Portfolio Abbreviations
ABS    Asset-Backed Security
ARS    Auction Rate Securities
CLO    Collateralized Loan Obligation
CR    Custodian Receipt
DIP    Debtor-In-Possession
ETF    Exchange-Traded Fund
FHLMC    Federal Home Loan Mortgage Corp.
FNMA    Federal National Mortgage Association
LIBOR    London Interbank Offered Rate
MTN    Medium-Term Note
OTC    Over-the-Counter
PIK    Payment-In-Kind
Radian    Radian Guaranty, Inc.
S&P    S&P Global Ratings
SO    Special Obligation
SPDR    Standard & Poor’s Depository Receipts
 

 

 

GLOSSARY OF TERMS USED IN THIS REPORT      87  


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-BK3-2/18-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

 

Period   (a) Total
Number of    
Shares
Purchased
  (b) Average
Price Paid per    
Share
 

(c) Total Number of

Shares Purchased as Part    

of Publicly Announced

Plans or Programs

  (d) Maximum Number of    
Shares that May Yet Be
Purchased Under the
Plans
or Programs1

September 1-30, 2017

  N/A   N/A   N/A   1,850,912

October 1-31, 2017

  N/A   N/A   N/A   1,850,912

November 1-30, 2017

  N/A   N/A   N/A   1,850,912

December 1-31, 2017

  N/A   N/A   N/A   1,850.912

January 1-31, 2018

  N/A   N/A   N/A   1,850,912

February 1-28, 2018

  N/A   N/A   N/A   1,850,912

Total:

  N/A   N/A   N/A   1,850912

1The Fund announced an open market share repurchase program on October 28, 2016 pursuant to which the Fund was authorized to repurchase, through November 30, 2017, up to 5% of its outstanding common shares based on common shares outstanding on October 28, 2016 (1,850,912 common shares), in open market transactions. On September 6, 2017, the Fund announced a continuation of the open market share repurchase program, which commenced on December 1, 2017. The Fund may repurchase up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions, subject to certain conditions.

 

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

 

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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  – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

 

     (a) The following table shows the dollar amounts of income, and dollar amounts of fees and/or compensation paid, relating to the Fund’s securities lending activities during the semi-annual period ended February 28, 2018. The Fund did not engage in any securities lending activity during the semi-annual period ended February 28, 2018.

 

     BlackRock Limited Duration Income Trust
  (1)   Gross income from securities lending activities         $0      
  (2)   Fees and/or compensation for securities lending activities and related services      
  (a)   Securities lending income paid to BIM for services as securities lending agent    $0   
  (b)   Collateral management expenses (including fees deducted from a polled cash collateral vehicle) not included in (a)    $0   
  (c)   Administrative fees not included in (a)    $0   
  (d)   Indemnification fees not included in (a)    $0   
  (e)   Rebate (paid to borrowers)    $0   
  (f)   Other fees not included in (a)    $0   
  (3)   Aggregate fees/compensation for securities lending activities         $0
  (4)   Net income from securities lending activities         $0

 

     (b) BlackRock Investment Management, LLC (“BIM”) serves as securities lending agent for the Fund and in that role administers the Fund’s securities lending program pursuant to the terms of a securities lending agency agreement entered into between the Fund and BIM.

 

Item 13  – Exhibits attached hereto

 

     (a)(1) – Code of Ethics – Not Applicable to this semi-annual report

 

     (a)(2) – Certifications – Attached hereto

 

     (a)(3) – Not Applicable

 

     (a)(4) – Not Applicable

 

     (b) – Certifications – Attached hereto

 

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

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 4, 2018

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 4, 2018

 

By:         /s/ Neal J. Andrews                            
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Limited Duration Income Trust

Date: May 4, 2018

 

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