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: 08/31/2019

Date of reporting period: 02/28/2019


Item 1 – Report to Stockholders


FEBRUARY 28, 2019

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

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

BlackRock Limited Duration Income Trust (BLW)

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended February 28, 2019, concerns about a variety of political risks and a modest slowdown in global growth led to modest positive returns for the U.S. equity and bond markets. Though the market’s appetite for risk remained healthy for most of the reporting period, risk taking declined sharply in late 2018.

Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe also led to negative performance for European equities.

Volatility in the U.S. equity market spiked in October, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad based sell-off in December, leading to the worst December performance on record since 1931.

By comparison, fixed income securities delivered modest positive returns with relatively low volatility. In fixed income markets, short-term U.S. Treasury interest rates rose the fastest, while longer-term rates declined slightly. This led to positive returns for U.S. Treasuries and a substantial flattening of the yield curve. Investment-grade and high-yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.

The U.S. Federal Reserve (the “Fed”) increased short-term interest rates four times during the reporting period. At its most recent meeting in late January, the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation and modest economic growth give the Fed room to maintain support for the economy until the economic data builds the case for changing interest rates.

Although fears of recession drove equity volatility higher at the end of 2018, we continue to believe the probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 because the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019. We expect profit margins to continue to contract, which tends to happen late in the business cycle.

In addition, trade frictions look more baked into asset prices than a year ago, but markets may be overlooking European political risks. As Brexit moves forward, the U.K. and the European Union may face significant obstacles. Most recently, Britain’s Parliament voted to extend the deadline for the separation, as policy makers continue to seek the least disruptive ways to disentangle Europe’s second-largest economy from the European Union. Consequently, we are cautious on European equities, as European unity remains tenuous with a history of flare-ups. We continue to prefer to take risk in U.S. and emerging market equities. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off.

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, 2019
     6-month   12-month

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

  (3.04)%   4.68%

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

  (8.86)   5.58

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

  (3.58)   (6.04)

Emerging market equities
(MSCI Emerging Markets Index)

  0.33   (9.89)

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

  1.10   2.04

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

  2.57   4.02

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

  1.99   3.17

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

  2.21   4.03

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

  2.00   4.31
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

    58  

Statements of Operations

    59  

Statements of Changes in Net Assets

    60  

Statements of Cash Flows

    61  

Financial Highlights

    63  

Notes to Financial Statements

    65  

Director and Officer Information

    77  

Additional Information

    78  

Glossary of Terms Used in this Report

    79  

 

 

          3  


Fund Summary  as of February 28, 2019    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, 2019 ($12.93)(a)

  5.99%

Current Monthly Distribution per Common Share(b)

  $0.0645

Current Annualized Distribution per Common Share(b)

  $0.7740

Economic Leverage as of February 28, 2019(c)

  28%

 

  (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 monthly distribution per Common Share, declared on March 1, 2019, was increased to $0.0695 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 
  (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

 

     02/28/19     

08/31/18

     Change      High      Low  

Market Price

  $ 12.93      $ 13.80        (6.30 )%     $ 13.85      $ 11.63  

Net Asset Value

    14.55        14.92        (2.48      14.98        13.75  

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

 

LOGO

 

 

4    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of February 28, 2019 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2019 were as follows:

 

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

Fund at NAV(a)(b)

    1.03     3.24      7.29      4.63

Fund at Market Price(a)(b)

    (2.93     (5.16      7.87        3.29  

S&P/LSTA Leveraged Loan Index(c)

    1.27       3.44        6.69        3.73  

 

  (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) 

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.

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

What factors influenced performance?

During the period, the largest sector contributors to Fund performance included the technology, health care and consumer cyclical services sectors. By credit rating, the Fund’s B-rated and BB-rated positions were the largest contributors. In terms of asset allocation, the strategy’s core floating rate loan interest (“bank loan”) positions were the largest driver of positive return.

Conversely, on a sector basis, oil field services, chemicals and independent energy were the largest detractors. The Fund’s other positions detracted from a credit rating perspective, largely represented by bank loan liquid products. Finally, the Fund’s strategy for tactical allocations to common equity, high yield corporate bonds and collateralized loan obligations (“CLOs”) detracted from an asset allocation perspective.

Describe recent portfolio activity.

The Fund maintained its tactical positioning throughout the period, most notably with exposure to high yield cash bonds and CLOs. Similarly, the Fund maintained an allocation to liquid bank loan index products throughout the period, adding to and reducing this exposure as market conditions warranted. Over the period, the Fund trimmed exposure to cable & satellite, wirelines and consumer products while adding to aerospace & defense and pharmaceuticals. From a credit quality standpoint, the portfolio remained concentrated on the B- and BB-rated segments of the bank loan market, while maintaining a much smaller allocation to CCC-rated risk. However, the Fund’s strategy reduced this CCC-rated exposure throughout the period.

Derivative usage was modest over the period and included loan index total return swaps, high yield index total return swaps, and options on select equity and credit exchange traded funds. Loan index exposure detracted from performance over the period, while other derivative exposures did not have a meaningful impact on performance.

Describe portfolio positioning at period end.

At period end, the Fund held the majority of its assets in floating rate bank loans. From a sector perspective, the Fund’s largest overweight positions at period end included technology, consumer cyclical services and gaming. By contrast, the portfolio remained underweight to retailers, leisure and automotive names on the view that these sectors face fundamental headwinds. In terms of credit rating, the Fund was largely allocated to B- and BB-rated issues. The portfolio had a much smaller allocation to CCC and below-rated issuers with greater downside potential. Largest issuer overweight positions included Infor (US), Inc. (technology), Sedgewick Claims Management Services, Inc. (financial other) and SS&C Technologies (technology). Tactical positioning remains focused on high yield bonds and CLOs as well as bank loan liquid products.

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, 2019 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

     02/28/19    

08/31/18

 

Floating Rate Loan Interests

    93     94

Investment Companies

    3       (a) 

Corporate Bonds

    2       3  

Short-Term Securities

    1       (a) 

Asset-Backed Securities

    1       3  

Common Stocks(a)

           

Other(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)

 

     02/28/19    

08/31/18

 

A(a)

           

BBB/Baa

    9     8

BB/Ba

    35       41  

B

    50       45  

CCC/Caa

    2       4  

N/R

    4       2  

 

  (c) 

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

 
  (d) 

Excludes Options Purchased and Short-Term Securities.

 
 

 

 

6    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of February 28, 2019    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, 2019 ($14.84)(a)

  6.43%

Current Monthly Distribution per Common Share(b)

  $0.0795

Current Annualized Distribution per Common Share(b)

  $0.9540

Economic Leverage as of February 28, 2019(c)

  25%

 

  (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

 

     02/28/19     

08/31/18

     Change      High      Low  

Market Price

  $ 14.84      $ 15.06        (1.46 )%     $ 15.09      $ 13.00  

Net Asset Value

    16.54        16.71        (1.02      16.77        15.57  

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

 

LOGO

 

 

FUND SUMMARY      7  


Fund Summary  as of February 28, 2019 (continued)    BlackRock Limited Duration Income Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2019 were as follows:

 

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

Fund at NAV(a)(b)

      2.35     4.72      9.42      5.89

Fund at Market Price(a)(b)

      1.89       3.93        10.00        4.62  

Reference Benchmark(c)

      1.79       3.67        6.08        3.32  

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

      2.00       4.31        9.80        4.54  

S&P/LSTA Leveraged Loan Index(e)

      1.27       3.44        6.69        3.73  

BATS S Benchmark(f)

            2.01       3.17        1.81        1.62  

 

  (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, Bloomberg 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.

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 floating rate loan interests (“bank loans”), high yield corporate bonds and asset-backed securities (“ABS”). The Fund’s duration (sensitivity to interest rate changes) and yield curve positioning also contributed to returns.

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

Describe recent portfolio activity.

Given the investment adviser’s view that both interest rates and the London Inter-bank Offering Rate (“LIBOR”) (a common reference rate for bank loans) would move higher, the Fund’s allocation was rotated to a more defensive posture during the period. The allocation to high yield corporates was reduced by more than 30% during the period, with the proceeds rotated into floating rate bank loans in an effort to protect the Fund from higher funding costs associated with rising LIBOR rates. Consistent with the investment adviser’s expectations for rising interest rates, the Fund maintained a relatively short duration profile.

Describe portfolio positioning at period end.

At period end, the Fund maintained a diversified allocation to non-government spread sectors such as high yield corporate bonds, bank loans, investment grade corporate bonds, commercial mortgage-backed securities, ABS, agency and non-agency residential MBS. Additionally, the Fund held 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    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of February 28, 2019 (continued)    BlackRock Limited Duration Income Trust

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

     02/28/19    

08/31/18

 

Corporate Bonds

    46     45

Floating Rate Loan Interests

    30       29  

Preferred Securities

    7       7  

Asset-Backed Securities

    5       8  

U.S. Government Sponsored Agency Securities

    4       3  

Foreign Agency Obligations

    2       3  

U.S. Treasury Obligations

    2        

Non-Agency Mortgage-Backed Securities

    2       5  

Investment Companies

    1        

Short-Term Securities

    1       (a)  

Other(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: Common Stocks, Other Interests, and Warrants.

 

CREDIT QUALITY ALLOCATION (c)(d)

 

     02/28/19    

08/31/18

 

AAA/Aaa

    6     4

AA/Aa

    1       1  

A

    5       5  

BBB/Baa

    16       21  

BB/Ba

    34       31  

B

    29       27  

CCC/Caa

    5       6  

N/R(e)

    4       5  

 

  (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, Options Written and Short-Term Securities.

 
  (e) 

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, there is no guarantee that these objectives can 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 (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) 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 amount 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 3313% 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 assets 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    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security         
Shares
    Value  

Common Stocks — 0.2%

 

Chemicals — 0.0%

 

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

      1,108,709     $ 210,654  
   

 

 

 
Diversified Financial Services — 0.1%  

Kcad Holdings I Ltd.(a)(b)

      309,827,230       594,868  
   

 

 

 
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(b)

      14,906       641  
   

 

 

 
Metals & Mining — 0.0%  

Preferred Proppants LLC(a)

      12,198       30,495  
   

 

 

 
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.(b)

      1,860       11,997  
   

 

 

 
Software — 0.0%  

Avaya Holdings Corp.(b)

      62       960  
   

 

 

 
Utilities — 0.1%  

Texgen LLC(a)(b)

      8,431       324,594  
   

 

 

 

Total Common Stocks — 0.2%
(Cost — $4,368,392)

 

    1,174,209  
 

 

 

 
            Par
(000)
        

Asset-Backed Securities — 1.0%

 

Allegro CLO II-S Ltd., Series 2014-1RA, Class B, 4.91%, 10/21/28(c)(d)

    USD       250       246,668  

Ares XXXVR CLO Ltd., Series 2015-35RA, Class C, 4.69%, 07/15/30(c)(d)

      350       337,227  

Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.23%), 3.83%, 06/09/30(c)(e)

      500       498,546  

CIFC Funding Ltd., Series 2018-4A, Class B, 4.53%, 10/17/31(c)(d)

      425       413,796  

Golden Tree Loan Management US CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.20%), 4.96%, 04/20/29(c)(e)

      250       247,032  

Harbor Park CLO Ltd., Series 2018-1A, Class B1, 4.54%, 01/20/31(c)(d)

      500       498,256  

LCM XVIII LP, Series 18A, Class INC, 0.00%, 04/20/31(c)(d)

      1,250       722,962  

LCM XXIV Ltd., Series 24A, Class C, (3 mo. LIBOR US + 2.25%), 5.01%, 03/20/30(c)(e)

      500       490,002  

OZLM XIX Ltd., Series 2017-19A, Class C, 5.89%, 11/22/30(c)(d)

      250       247,083  

Palmer Square CLO Ltd., Series 2018-1A, Class A2, 4.23%, 04/18/31(c)(d)

      250       244,192  

RR 5 Ltd., Series 2018-5A, Class B, 5.04%, 10/15/31(c)(d)

      750       734,118  

TICP CLO XII Ltd., Series 2018-12A, Class C, 4.81%, 01/15/31(c)(d)

      250       244,063  

Voya CLO Ltd., Series 2014-4A, Class BR2, 4.89%, 07/14/31(c)(d)

      400       389,682  
   

 

 

 

Total Asset-Backed Securities — 1.0%
(Cost — $5,690,443)

 

    5,313,627  
 

 

 

 

Corporate Bonds — 3.3%

 

Aerospace & Defense — 0.5%

 

TransDigm, Inc., 6.25%, 03/15/26(c)

      2,502       2,558,295  
   

 

 

 
Banks — 0.0%  

CIT Group, Inc., 5.00%, 08/01/23

      135       140,117  
   

 

 

 
Security          Par
(000)
    Value  
Capital Markets — 0.3%  

Blackstone CQP Holdco LP(c):

     

6.50%, 03/20/21

    USD       1,536     $ 1,534,080  

6.00%, 08/18/21

      249       246,510  
   

 

 

 
    1,780,590  
Chemicals — 0.6%  

Chemours Co., 6.63%, 05/15/23

      800       830,040  

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

      1,984       2,103,891  
   

 

 

 
    2,933,931  
Diversified Consumer Services — 0.1%  

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

      421       443,945  
   

 

 

 
Electric Utilities — 0.0%  

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

      1,061        
   

 

 

 
Health Care Providers & Services — 0.0%  

NVA Holdings, Inc., 6.88%, 04/01/26(c)

      188       181,420  
   

 

 

 
Health Care Services — 0.0%  

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

      1,347        
   

 

 

 
Machinery — 0.0%  

Colfax Corp., 6.00%, 02/15/24(c)

      203       209,598  
   

 

 

 
Media — 0.3%  

Clear Channel Worldwide Holdings, Inc.:

     

7.63%, 03/15/20

      545       545,273  

6.50%, 11/15/22

      968       989,780  

CSC Holdings LLC, 10.88%, 10/15/25(c)

      79       91,640  
   

 

 

 
    1,626,693  
Metals & Mining — 0.3%  

Freeport-McMoRan, Inc.:

     

3.55%, 03/01/22

      1,070       1,057,962  

3.88%, 03/15/23

      625       615,925  
   

 

 

 
    1,673,887  
Oil, Gas & Consumable Fuels — 0.8%  

CNX Resources Corp., 5.88%, 04/15/22

      2,252       2,274,520  

CONSOL Energy, Inc., 11.00%, 11/15/25(c)

      985       1,120,437  

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

      852       732,720  
   

 

 

 
    4,127,677  
Pharmaceuticals — 0.0%  

Bausch Health Cos., Inc., 5.75%, 08/15/27(c)(f)

      91       91,796  
   

 

 

 
Software — 0.4%  

Infor US, Inc., 6.50%, 05/15/22

      1,176       1,199,249  

Informatica LLC, 7.13%, 07/15/23(c)

      658       666,304  
   

 

 

 
    1,865,553  
   

 

 

 

Total Corporate Bonds — 3.3%
(Cost — $18,373,169)

 

    17,633,502  
 

 

 

 

Floating Rate Loan Interests(e) — 131.6%

 

Aerospace & Defense — 2.8%

 

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 08/18/24

      3,710       3,706,285  

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.27%, 11/29/25(a)

      1,172       1,179,325  

DAE Aviation Holdings, Inc.:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 07/07/22

      504       504,124  

2019 Term Loan B, 01/23/26(g)

      3,070       3,077,021  

Term Loan, 01/23/26(g)

      1,650       1,654,312  
 

 

 

SCHEDULES OF INVESTMENTS      11  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Aerospace & Defense (continued)  

TransDigm, Inc., 2018 Term Loan F, 06/09/23(g)

    USD       4,371     $ 4,316,128  

WP CPP Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.51%, 04/30/25

      401       399,323  
   

 

 

 
    14,836,518  
Air Freight & Logistics — 0.3%  

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 01/15/25(g)

      1,197       1,262,420  

XPO Logistics, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 02/24/25

      266       263,238  
   

 

 

 
    1,525,658  
Airlines — 0.6%  

Allegiant Travel Co., Term Loan B, (3 mo. LIBOR + 4.50%), 7.23%, 01/15/24(a)

      1,497       1,493,257  

American Airlines, Inc.(g):

     

2017 1st Lien Term Loan, 10/12/21

      1,230       1,224,479  

Repriced TL B due 2023, 04/28/23

      513       505,565  
   

 

 

 
    3,223,301  
Auto Components — 0.7%  

USI, Inc., 2017 Repriced Term Loan, 05/16/24(g)

      2,196       2,174,462  

Wand NewCo 3, Inc., 2019 1st Lien Term Loan, 02/05/26(g)

      1,423       1,426,202  
   

 

 

 
    3,600,664  
Banks — 0.3%  

Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.99%, 11/01/24

      1,621       1,594,981  
   

 

 

 
Beverages — 0.2%  

Jacobs Douwe Egberts International BV, 2018 USD Term Loan B, (1 mo. LIBOR + 2.00%), 4.56%, 11/01/25

      817       811,319  
   

 

 

 
Building Materials — 0.2%  

Allied Universal HoldCo LLC, 2015 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 07/28/22

      834       818,310  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (1 mo. LIBOR + 8.50%, 1.00% Floor), 10.99%, 07/28/23

      456       439,517  
   

 

 

 
    1,257,827  
Building Products — 1.0%  

CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 6.63%, 05/05/24(a)

      1,427       1,416,259  

Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 4.80%, 12/14/24

      1,205       1,184,229  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.06%, 12/19/23

      2,693       2,672,735  
   

 

 

 
    5,273,223  
Capital Markets — 1.6%  

Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 02/13/25

      854       837,017  

EIG Management Co. LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 02/22/25

      1,691       1,680,699  

Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 12/27/22

      1,337       1,326,740  

Greenhill & Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.46%, 10/12/22

      1,478       1,482,134  

GreenSky Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.75%, 03/31/25

      1,067       1,056,940  

RPI Finance Trust, Term Loan B6, 03/27/23(g)

      2,403       2,398,279  
   

 

 

 
    8,781,809  
Security          Par
(000)
    Value  
Chemicals — 5.6%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.80%, 01/31/24

    USD       4,767     $ 4,679,831  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 4.55%, 06/01/24

      3,551       3,512,180  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 05/16/24

      1,433       1,399,438  

Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.25%, 04/03/25

      1,443       1,427,042  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 06/28/24

      614       608,239  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 11/07/24

      1,037       1,022,466  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 6.53%, 07/09/19

      439       416,035  

Invictus US LLC:

     

1st Lien Term Loan, (2 mo. LIBOR + 3.00%), 5.58%, 03/28/25

      1,636       1,629,672  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.24%, 03/25/26(a)

      430       425,700  

Messer Industries LLC, 2018 USD Term Loan, 10/01/25(g)

      4,371       4,338,217  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 6.06%, 10/14/24

      3,646       3,630,913  

Plaskolite LLC, 1st Lien Term Loan, 12/12/25(g)

      1,029       1,031,713  

PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 5.24%, 02/08/25

      2,719       2,698,137  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 5.76%, 10/01/25

      1,598       1,587,022  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.56%, 08/07/20

      422       419,353  

Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 03/08/25

      942       900,655  
   

 

 

 
    29,726,613  
Commercial Services & Supplies — 7.9%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 4.67%, 11/10/23

      3,140       3,135,129  

Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 4.24%, 03/11/25

      274       272,514  

Asurion LLC:

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.99%, 08/04/25

      2,292       2,325,899  

2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.49%, 08/04/22

      1,748       1,746,214  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.49%, 11/03/23

      2,983       2,980,066  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 5.49%, 11/03/24

      1,174       1,173,372  

BrightView Landscapes LLC, 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 5.00%, 08/15/25

      1,875       1,869,150  

Camelot UK Holdco Ltd., 2017 Repriced Term Loan, 10/03/23(g)

      5,085       5,064,330  

Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.74%, 05/20/24

      1,913       1,904,871  

Creative Artists Agency LLC, 2018 Term Loan B, (PRIME + 2.00%), 5.48%, 02/15/24

      3,037       3,012,755  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.55%, 05/09/25

      581       510,380  
 

 

 

12    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Commercial Services & Supplies (continued)  

GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 05/30/25

    USD       3,274     $ 3,216,514  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.55%, 11/03/23

      883       834,464  

KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.50%), 5.31%, 03/09/23(a)

      2,511       2,504,267  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 05/02/22

      2,760       2,750,969  

Verisure Holding AB, EUR Term Loan B1E, (EURIBOR + 3.00%), 3.00%, 10/20/22

    EUR       1,000       1,123,550  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.99%, 08/27/25(a)

    USD       4,996       5,002,511  

West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 10/10/24

      3,271       3,089,353  
   

 

 

 
    42,516,308  
Communications Equipment — 1.2%  

Avantor, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.57%, 11/21/24

      3,865       3,871,607  

Avaya, Inc., 2018 Term Loan B, (2 mo. LIBOR + 4.25%), 6.78%, 12/15/24

      1,454       1,451,293  

Ciena Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.48%, 09/26/25

      1,064       1,062,241  
   

 

 

 
    6,385,141  
Construction & Engineering — 1.4%  

AECOM, Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 03/13/25

      723       712,849  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, 06/21/24(g)

      3,194       3,115,137  

Pike Corp., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.00%, 03/23/25

      777       776,245  

Ply Gem Midco, Inc., 2018 Term Loan, (3 mo. LIBOR + 3.75%), 6.55%, 04/12/25

      454       440,811  

SRS Distribution, Inc., 2018 1st Lien Term Loan, 05/23/25(g)

      1,387       1,358,212  

USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 12/08/23

      913       900,093  
   

 

 

 
    7,303,347  
Construction Materials — 1.9%  

Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.72%, 08/01/24

      3,130       3,101,484  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 03/29/25

      4,893       4,872,230  

Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.49%, 08/13/25(a)

      812       795,787  

GYP Holdings III Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.74%, 06/01/25

      430       416,762  

Xella International GmbH, 2017 EUR Term Loan B, (Euribor + 4.00%), 4.00%, 04/11/24

    EUR       1,000       1,119,205  
   

 

 

 
    10,305,468  
Containers & Packaging — 1.6%  

Berry Global, Inc., Term Loan Q, 10/01/22(g)

    USD       4,540       4,524,360  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 6.03%, 04/03/24

      1,912       1,871,748  

Flex Acquisition Co., Inc.:

     

1st Lien Term Loan, 12/29/23(g)

      746       732,087  

2018 Incremental Term Loan, (1 mo. LIBOR + 3.25%), 5.76%, 06/29/25

      1,514       1,489,528  
   

 

 

 
    8,617,723  
Security          Par
(000)
    Value  
Distributors — 1.1%  

American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, 10/31/23(g)

    USD       3,126     $ 3,104,386  

TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 6.00%, 08/28/24

      3,284       2,837,681  
   

 

 

 
    5,942,067  
Diversified Consumer Services — 3.4%  

Ascend Learning LLC, 2017 Term Loan B, 07/12/24(a)(g)

      1,360       1,346,833  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 11/07/23

      2,903       2,875,950  

CHG PPC Parent LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 03/31/25(a)

      692       684,610  

Equian LLC, Add on Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 05/20/24

      1,863       1,835,622  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.55%, 07/12/25

      1,398       1,391,502  

J.D. Power and Associates, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 09/07/23

      1,389       1,380,553  

Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.74%, 05/15/24

      1,177       1,153,437  

Serta Simmons Bedding LLC:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.01%, 11/08/23

      953       791,274  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.49%, 11/08/24

      126       84,188  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 11/08/23

      962       956,978  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.03%, 11/14/22

      2,985       2,951,960  

Uber Technologies, 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.52%, 04/04/25

      1,294       1,293,500  

Weight Watchers International, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.75%), 7.56%, 11/29/24

      1,544       1,495,380  
   

 

 

 
    18,241,787  
Diversified Financial Services — 1.9%  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 04/04/24

      4,032       4,022,175  

CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 6.02%, 08/08/25

      731       716,544  

Edelman Financial Center LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 6.04%, 07/21/25

      785       783,367  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.81%, 02/07/25

      1,193       1,160,694  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 07/03/24

      1,935       1,921,211  

LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.99%, 09/06/25

      1,033       1,008,866  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 4.25%), 6.90%, 07/30/25

      730       721,043  
   

 

 

 
    10,333,900  
Diversified Telecommunication Services — 4.2%  

CenturyLink, Inc.:

     

2017 Term Loan A, (1 mo. LIBOR + 2.75%), 5.24%, 11/01/22

      607       604,009  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 01/31/25

      2,850       2,804,321  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.50%, 10/04/23

      413       401,855  
 

 

 

SCHEDULES OF INVESTMENTS      13  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 5.25%, 03/31/21

    USD       837     $ 824,772  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 05/16/24

      1,492       1,474,561  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.73%, 02/22/24

      2,862       2,848,694  

MTN Infrastructure TopCo, Inc, 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 11/15/24

      1,917       1,903,939  

Sprint Communications, Inc.:

     

1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 5.00%, 02/02/24

      1,634       1,611,693  

2018 Term Loan B, 02/02/24(g)

      1,539       1,519,762  

TDC A/S, Term Loan, (EURIBOR + 2.75%), 2.75%, 06/04/25

    EUR       820       931,646  

Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.74%, 08/15/26

    USD       2,982       2,938,302  

Telesat Canada, Term Loan B4, (3 mo. LIBOR + 2.50%), 5.31%, 11/17/23

      812       807,585  

Virgin Media Investment Holdings Ltd., Term Loan L, (LIBOR GBP + 3.25%), 3.98%, 01/15/27

    GBP       1,000       1,309,439  

Zayo Group LLC:

     

2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.74%, 01/19/24

    USD       290       288,318  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.49%, 01/19/21

      2,359       2,348,973  
   

 

 

 
    22,617,869  
Electric Utilities — 0.9%  

Dayton Power & Light Co., Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 08/24/22(a)

      514       512,159  

TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 08/04/23

      2,020       2,013,578  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/19(a)

      1,710        

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.48%, 12/31/25

      1,969       1,959,833  

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.74%, 12/14/23

      365       364,299  
   

 

 

 
    4,849,869  
Electrical Equipment — 0.8%  

Gates Global LLC, 2017 Repriced Term Loan B, 04/01/24(g)

      4,306       4,289,477  
   

 

 

 
Energy Equipment & Services — 1.2%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.49%, 03/01/24

      985       781,445  

GrafTech Finance, Inc., 2018 Term Loan B, 02/12/25(g)

      1,923       1,916,176  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 10.23%, 11/08/22

      845       840,775  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 8.80%, 02/21/21

      617       514,691  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 4.80%, 07/13/20

      1,061       1,036,940  

Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.49%, 01/17/25

      1,202       1,159,003  
   

 

 

 
    6,249,030  
Security          Par
(000)
    Value  
Equity Real Estate Investment Trusts (REITs) — 2.5%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 5.00%, 03/24/24

    USD       759     $ 746,519  

Iron Mountain, Inc., 2018 Term Loan B, 01/02/26(a)(g)

      1,085       1,063,271  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 03/21/25(g)

      5,097       5,066,244  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.78%, 05/11/24

      1,346       1,338,878  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 4.48%, 12/20/24

      5,381       5,347,206  
   

 

 

 
    13,562,118  
Food & Staples Retailing — 1.6%  

Albertsons LLC, Term Loan B7, 11/17/25(g)

      1,887       1,872,449  

Hearthside Food Solutions LLC:

     

2018 Incremental Term Loan, 05/23/25(g)

      1,892       1,881,594  

2018 Term Loan B, (1 mo. LIBOR + 3.68%), 6.18%, 05/23/25

      582       574,206  

Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.89%, 08/03/22

      2,533       2,493,722  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 06/27/23

      1,598       1,587,361  
   

 

 

 
    8,409,332  
Food Products — 2.7%  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.26%, 10/01/25

      574       574,718  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 10/10/23

      2,213       2,146,135  

JBS USA LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 5.26%, 10/30/22

      5,015       4,999,596  

Post Holdings, Inc., 2017 Series A Incremental Term Loan, (1 mo. LIBOR + 2.00%), 4.49%, 05/24/24

      1,579       1,572,631  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 5.24%, 02/05/23

      5,074       5,048,125  
   

 

 

 
    14,341,205  
Gas Utilities — 0.3%  

AL Midcoast Holdings LLC, 2018 Term Loan B, 07/31/25(g)

      1,582       1,567,306  
   

 

 

 
Health Care Equipment & Supplies — 2.1%  

Agiliti Health, Inc., Term Loan, (UNFND + 3.00%), 5.56%, 01/04/26(a)

      737       736,079  

CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.05%, 11/14/24(a)

      1,822       1,821,600  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.80%, 06/15/21

      3,544       3,540,166  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.55%, 09/24/24

      835       798,786  

Orchid Orthopedic Solutions LLC, 1st Lien Term Loan, 02/26/26(a)(g)

      611       607,945  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.75%, 06/30/25

      3,892       3,849,535  
   

 

 

 
    11,354,111  
Health Care Providers & Services — 7.2%  

Acadia Healthcare Co., Inc., 2018 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.99%, 02/16/23

      597       595,070  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.99%, 06/30/25

      824       824,544  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, 06/07/23(g)

      4,020       3,999,133  
 

 

 

14    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Health Care Providers & Services (continued)  

Concentra, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.27%, 06/01/22

    USD       1,840     $ 1,828,822  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 9.02%, 06/01/23

      1,870       1,870,000  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 06/24/21

      822       818,575  

DentalCorp Perfect Smile ULC:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 06/06/25

      865       855,390  

Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.58%, 06/06/25

      159       157,573  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 7.00%, 12/20/24(a)

      998       908,416  

DuPage Medical Group Ltd.:

     

2018 Term Loan, (1 mo. LIBOR + 2.75%), 5.24%, 08/15/24

      853       836,490  

2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.49%, 08/15/25

      395       379,200  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/10/25

      2,468       2,370,218  

Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.55%, 05/02/23

      1,064       1,063,636  

Gentiva Health Services, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.25%, 07/02/25(a)

      1,589       1,591,093  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.50%, 07/02/26

      787       799,831  

HC Group Holdings III, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 04/07/22

      2,019       1,993,813  

HCA, Inc.:

     

2018 Term Loan B10, (1 mo. LIBOR + 2.00%), 4.49%, 03/13/25

      1,360       1,359,249  

Term Loan B11, (1 mo. LIBOR + 1.75%), 4.24%, 03/18/23

      1,796       1,794,881  

LGC Science Holdings Ltd., USD Term Loan B3, (1 mo. LIBOR + 3.50%), 5.99%, 03/08/23

      1,000       967,500  

Lifescan Global Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 6.00%), 8.80%, 09/27/24

      361       346,260  

MPH Acquisition Holdings LLC, 2016 Term Loan B, 06/07/23(g)

      3,894       3,850,770  

National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 5.80%, 01/31/21

      475       474,545  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.99%, 10/20/22

      1,782       1,744,425  

NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/02/25

      2,046       1,998,917  

ScribeAmerica Intermediate Holdco LLC, 2018 Term Loan, (1 mo. LIBOR + 4.50%), 7.01%, 04/03/25(a)

      1,122       1,116,563  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/06/24

      1,556       1,402,571  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/13/23

      613       610,928  

WP CityMD Bidco LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 06/07/24

      1,047       1,026,350  

Zotec Partners LLC, 2018 Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.49%, 02/14/24(a)

      1,217       1,213,708  
   

 

 

 
    38,798,471  
Security          Par
(000)
    Value  
Health Care Services — 0.2%  

Sound Inpatient Physicians:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.24%, 06/27/25

    USD       700     $ 696,978  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.24%, 06/26/26

      382       379,135  
   

 

 

 
    1,076,113  
Health Care Technology — 2.1%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 03/01/24

      2,688       2,666,310  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 10/10/25

      1,082       1,074,221  

Press Ganey Holdings, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 10/23/23

      1,907       1,893,768  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 8.99%, 10/21/24

      580       576,860  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.80%, 03/07/24

      499       498,731  

VVC Holding Corp., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 7.20%, 02/11/26

      4,469       4,441,069  
   

 

 

 
    11,150,959  
Hotels, Restaurants & Leisure — 10.2%  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 4.53%, 10/19/24

      1,315       1,304,811  

Boyd Gaming Corp., Term Loan B3, 09/15/23(g)

      3,861       3,837,623  

Bronco Midstream Funding LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 5.99%, 08/14/23

      596       593,301  

Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.74%, 02/16/24

      6,806       6,747,689  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 12/22/24(g)

      4,650       4,632,025  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 08/08/21

      1,554       1,545,589  

CEC Entertainment, Inc., Term Loan B, 02/14/21(g)

      1,565       1,525,289  

ESH Hospitality, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 08/30/23

      2,837       2,816,283  

Four Seasons Hotels Ltd., 1st Lien Term Loan, 11/30/23(g)

      801       796,161  

Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.80%, 12/01/23

      149       148,364  

GVC Holdings PLC:

     

2018 EUR Term Loan, (EURIBOR + 2.75%), 2.75%, 03/29/24

    EUR       991       1,124,638  

2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.99%, 03/29/24

    USD       938       935,859  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 1.75%), 4.24%, 10/25/23

      1,955       1,953,442  

IRB Holding Corp., 1st Lien Term Loan, 02/05/25(g)

      3,782       3,750,093  

KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.23%, 04/03/25

      1,423       1,413,963  

Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.79%, 12/15/24

      1,050       1,040,201  

Marriott Ownership Resorts, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 08/29/25

      1,225       1,220,406  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (3 mo. LIBOR + 2.25%), 4.84%, 10/15/25

      605       601,975  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 04/29/24

      1,266       1,235,994  
 

 

 

SCHEDULES OF INVESTMENTS      15  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Sabre GLBL, Inc., 2018 Term Loan B, 02/22/24(g)

    USD       2,843     $ 2,832,945  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 5.31%, 08/14/24

      3,010       2,981,814  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 6.30%, 07/10/25

      5,965       5,963,320  

Station Casinos LLC, 2016 Term Loan B, 06/08/23(g)

      2,813       2,798,510  

Tackle S.A.R.L, 2017 EUR Term Loan, 1.00%, 08/08/22

    EUR       1,000       1,131,580  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 05/30/25

    USD       1,581       1,572,468  
   

 

 

 
    54,504,343  
Household Products — 0.4%  

Energizer Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 12/17/25

      709       708,114  

Mastronardi Produce Ltd., Term Loan B, (1 mo. LIBOR + 3.25%), 5.76%, 05/01/25

      587       582,647  

SIWF Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.73%, 06/15/25

      876       871,222  
   

 

 

 
    2,161,983  
Independent Power and Renewable Electricity Producers — 1.7%  

AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 4.38%, 05/31/22

      746       744,336  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 01/15/25

      1,247       1,234,120  

Calpine Corp., Term Loan B6, (3 mo. LIBOR + 2.50%), 5.31%, 01/15/23

      1,819       1,809,186  

Compass Power Generation LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 12/20/24

      1,145       1,142,048  

EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.75%, 05/03/25

      437       437,987  

Granite Acquisition, Inc.:

     

Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 12/19/21

      2,042       2,040,358  

Term Loan C, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 12/19/21

      273       272,753  

NRG Energy, Inc., 2016 Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 06/30/23

      1,600       1,591,712  
   

 

 

 
    9,272,500  
Industrial Conglomerates — 1.0%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 11/30/23(a)

      4,055       3,923,747  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.78%, 11/28/21

      1,542       1,513,426  
   

 

 

 
    5,437,173  
Insurance — 3.9%  

Achilles Acquisition LLC, 2018 Term Loan, (1 mo. LIBOR + 4.00%), 6.50%, 10/03/25

      823       817,856  

Alliant Holdings I, Inc., 2018 Term Loan B, 05/09/25(g)

      3,529       3,485,395  

AmWINS Group, Inc., 2017 Term Loan B, 01/25/24(g)

      3,508       3,487,675  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 10/22/24

      1,564       1,548,305  

Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 12/02/24

      1,833       1,803,170  
Security          Par
(000)
    Value  
Insurance (continued)  

Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 2.75%), 5.51%, 04/25/25

    USD       1,970     $ 1,949,541  

Sedgwick Claims Management Services, Inc., Term Loan B, 12/31/25(g)

      7,035       6,997,363  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 06/22/23

      823       816,139  
   

 

 

 
    20,905,444  
Interactive Media & Services — 1.3%  

Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.74%, 02/15/24

      2,975       2,967,741  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 05/01/24

      1,024       994,180  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.74%, 11/03/23

      1,817       1,728,142  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 05/06/24

      1,240       1,180,188  
   

 

 

 
    6,870,251  
Internet & Direct Marketing Retail — 0.3%  

Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 08/18/23

      1,450       1,429,139  
   

 

 

 
IT Services — 5.6%  

Access CIG LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 02/27/25

      663       655,495  

Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.25%), 5.04%, 03/20/25

      675       661,739  

Epicor Software Corp., 1st Lien Term Loan, 06/01/22(g)

      1,190       1,179,100  

Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 4.74%, 11/27/24

      923       920,120  

First Data Corp., 2024 Term Loan, (1 mo. LIBOR + 2.00%), 4.49%, 04/26/24

      8,069       8,056,530  

Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.30%, 08/01/24

      1,353       1,278,467  

Global Payments, Inc.:

     

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 4.24%, 04/21/23

      823       817,080  

2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 4.24%, 10/17/25

      275       272,594  

Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 12/01/23

      2,028       2,004,586  

Optiv Security, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 02/01/24(a)

      858       821,252  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.99%, 08/01/25

      1,295       1,130,962  

TKC Holdings, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.25%, 02/01/23

      1,093       1,079,619  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.50%, 02/01/24

      823       799,166  

Trans Union LLC:

     

2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.49%, 06/19/25

      18       17,798  

Term Loan B3, (1 mo. LIBOR + 2.00%), 4.49%, 04/10/23

      4,956       4,929,435  

WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.74%, 06/30/23

      3,893       3,871,487  

Worldpay LLC, 2018 1st Lien Term Loan B4, 08/09/24(g)

      1,710       1,697,242  
   

 

 

 
    30,192,672  
 

 

 

16    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Leisure Products — 0.2%  

MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 06/19/24(a)

    USD       1,021     $ 1,008,001  
   

 

 

 
Life Sciences Tools & Services — 0.2%  

Albany Molecular Research, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 08/30/24

      555       551,582  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.49%, 08/30/25

      395       387,594  
   

 

 

 
    939,176  
Machinery — 1.9%  

Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.80%, 05/18/24

      881       869,723  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 5.30%, 01/31/24

      167       166,769  

Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 07/30/24

      2,339       2,336,366  

Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.80%, 05/27/22(a)

      1,942       1,932,300  

Titan Acquisition Ltd., 2018 Term Loan B, 03/28/25(g)

      3,946       3,788,028  

Welbilt, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 10/23/25(a)

      993       987,786  
     

 

 

 
    10,080,972  
Media — 9.3%  

Altice Financing SA:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.23%, 01/31/26(a)

      713       691,783  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 07/15/25

      243       234,790  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.49%, 08/14/26

      4,360       4,234,720  

Charter Communications Operating LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 04/30/25

      4,441       4,426,041  

CSC Holdings LLC:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.74%, 07/17/25

      1,355       1,336,675  

2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 01/25/26

      1,682       1,671,773  

Gray Television, Inc.:

     

2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.76%, 02/07/24

      607       603,421  

2018 Term Loan C, (1 mo. LIBOR + 2.50%), 5.01%, 01/02/26

      1,457       1,452,265  

Hubbard Radio LLC, 2015 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.00%, 03/28/25

      220       218,126  

iHeartCommunications, Inc.(b)(h):

     

Extended Term Loan E, 0.00%, 07/30/19

      515       358,569  

Term Loan D, 0.00%, 07/30/19

      4,071       2,837,611  

Intelsat Jackson Holdings SA, 2017 Term Loan B4, 01/02/24(g)

      1,921       1,947,048  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.75%, 12/01/23(a)

      2,502       2,495,693  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, 03/24/25(g)

      1,613       1,603,825  

Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 1.75%), 4.25%, 10/31/23

      474       471,167  
Security          Par
(000)
    Value  
Media (continued)  

MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 4.17%, 02/15/24

    USD       1,073     $ 1,060,853  

Meredith Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 01/31/25

      849       848,664  

MH Sub I LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 09/13/24

      837       830,958  

Numericable Group SA, Term Loan B12, (1 mo. LIBOR + 3.68%), 6.18%, 01/31/26

      538       520,024  

PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.86%, 03/01/25

      1,027       1,006,948  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 02/01/24

      1,351       1,342,710  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 4.75%, 01/03/24

      192       191,156  

Trader Corp., 2017 Term Loan B, 09/28/23(a)(g)

      3,501       3,474,774  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.49%, 01/27/24

      3,696       3,691,264  

Unitymedia Finance LLC:

     

Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 09/30/25

      1,680       1,670,894  

USD Term Loan D, (1 mo. LIBOR + 2.25%), 4.74%, 01/15/26

      360       357,815  

Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, (1 mo. LIBOR + 2.00%), 4.49%, 06/01/23

      981       973,177  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 03/15/24

      1,151       1,067,977  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.99%, 01/15/26

      2,693       2,672,829  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.25%, 05/18/25

      3,291       3,188,184  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.99%, 04/15/25

      2,392       2,362,037  
     

 

 

 
    49,843,771  
Metals & Mining — 0.2%  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, 07/24/25(g)

      804       801,393  
     

 

 

 
Multiline Retail — 0.7%  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.50%, 08/04/24

      973       960,529  

Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.75%, 09/30/22

      1,435       1,406,437  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.76%, 10/25/20

      1,207       1,107,038  
     

 

 

 
    3,474,004  
Oil & Gas Equipment & Services — 0.3%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.49%, 05/10/25

      1,599       1,536,436  
     

 

 

 
Oil, Gas & Consumable Fuels — 1.9%  

BCP Raptor II LLC, 1st Lien Term Loan, (2 mo. LIBOR + 4.75%), 7.37%, 11/03/25

      837       808,751  

BCP Raptor LLC, Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.88%, 06/24/24

      552       526,201  

California Resources Corp.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 7.24%, 12/31/22

      2,434       2,393,242  

Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.87%, 12/31/21

      2,168       2,272,660  
 

 

 

SCHEDULES OF INVESTMENTS      17  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

CONSOL Energy, Inc.:

     

1st Lien Term Loan A, (1 mo. LIBOR + 4.25%), 6.75%, 11/26/21(a)

    USD       280     $ 280,250  

1st Lien Term Loan B, (PRIME + 5.00%), 8.50%, 11/28/22

      1,537       1,550,445  

Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 12/13/25

      800       797,000  

EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 6.81%, 02/07/25

      799       777,495  

Keane Group Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.25%, 05/25/25

      471       449,682  

MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.00%, 12/31/23

      418       416,462  
     

 

 

 
    10,272,188  
Personal Products — 0.4%  

Clover Merger Sub, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 10.24%, 09/26/25

      1,015       850,063  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.00%), 4.49%, 01/26/24

      1,524       1,515,700  
     

 

 

 
    2,365,763  
Pharmaceuticals — 4.4%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 8.00%, 04/16/21

      458       364,927  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, 05/04/25(g)

      3,837       3,832,026  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.75%, 04/29/24

      3,087       3,088,711  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 4.67%, 01/31/25

      3,626       3,610,805  

Jaguar Holding Co. II, 2018 Term Loan, 08/18/22(g)

      4,582       4,554,896  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, 5.51%, 06/02/25(g)

      7,847       7,851,546  
     

 

 

 
    23,302,911  
Professional Services — 2.0%  

Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, 02/09/26(g)

      2,842       2,851,947  

Dun & Bradstreet Corp., Term Loan, 02/01/26(g)

      4,464       4,465,116  

Guidehouse LLP, 2018 Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 05/01/25(a)

      328       323,871  

Information Resources, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 7.13%, 12/01/25

      1,008       992,880  

ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 04/02/25

      1,173       1,167,277  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 8.07%, 08/04/25(a)

      1,140       1,117,200  
     

 

 

 
    10,918,291  
Real Estate Management & Development — 2.2%  

CityCenter Holdings LLC, 2017 Term Loan B, 04/18/24(g)

      4,697       4,660,759  

DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 08/21/25

      3,142       3,115,682  

Forest City Enterprises LP, Term Loan B, (1 mo. LIBOR + 4.00%), 6.51%, 12/07/25

      2,112       2,119,920  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 02/08/25

      788       766,859  

SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 01/23/25

      1,205       1,190,463  
     

 

 

 
    11,853,683  
Security          Par
(000)
    Value  
Road & Rail — 0.3%  

Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 09/29/25

    USD       741     $ 739,377  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.25%, 06/13/23

      1,217       1,019,227  
     

 

 

 
    1,758,604  
Semiconductors & Semiconductor Equipment — 0.9%  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 05/12/24(a)

      250       249,281  

Microchip Technology, Inc., 2018 Term Loan B, 05/29/25(g)

      3,377       3,374,507  

ON Semiconductor Corp., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 03/31/23

      499       497,742  

Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 4.80%, 09/29/23

      934       932,346  
     

 

 

 
    5,053,876  
Software — 16.1%  

Applied Systems, Inc.:

     

2017 1st Lien Term Loan, 09/19/24(g)

      2,697       2,672,945  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.49%, 09/19/25

      491       494,664  

BMC Software Finance, Inc., 2017 Term Loan, 10/02/25(g)

      3,888       3,862,223  

Cypress Intermediate Holdings III, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.50%, 04/26/24

      907       895,466  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.24%, 04/27/25

      814       808,913  

Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.50%, 09/07/23

      2,676       2,665,717  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.88%, 05/28/24

      1,649       1,456,478  

DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.49%, 09/30/23

      1,431       1,340,132  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/01/25

      6,558       6,453,414  

Help/Systems Holdings, Inc, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 03/28/25

      1,184       1,161,115  

Infor (US), Inc., Term Loan B6, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/01/22

      6,654       6,647,176  

Informatica Corp., 2018 Term Loan, 08/05/22(g)

      3,184       3,183,741  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.80%, 04/01/21

      1,063       989,663  

Kronos, Inc.:

     

2017 Term Loan B, 11/01/23(g)

      5,136       5,112,430  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.99%, 11/01/24

      2,135       2,171,210  

McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 09/30/24

      3,719       3,725,002  

Mitchell International, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 11/29/24

      3,884       3,784,447  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.74%, 12/01/25

      850       830,170  

PowerSchool, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.99%, 08/01/25

      1,009       996,388  

Renaissance Learning, Inc., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 05/30/25

      701       684,233  

RP Crown Parent LLC, 2016 Term Loan B, 10/12/23(g)

      1,190       1,177,362  

SolarWinds Holdings, Inc., 2018 Term Loan B, 02/05/24(g)

      4,688       4,670,484  
 

 

 

18    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Software (continued)  

Solera LLC, Term Loan B, 03/03/23(g)

    USD       5,390     $ 5,350,061  

SonicWALL, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.18%, 05/16/25

      569       553,297  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.05%, 09/30/22

      5,120       5,102,237  

SS&C Technologies Holdings Europe, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

      1,788       1,779,815  

SS&C Technologies, Inc.:

     

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.74%, 07/08/22

      3,457       3,444,249  

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

      4,667       4,645,445  

2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

      1,785       1,777,125  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 05/01/24

      2,540       2,536,367  

Tibco Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.01%, 12/04/20

      4,259       4,251,078  

Vertafore, Inc., 2018 1st Lien Term Loan, 07/02/25(g)

      1,090       1,076,375  
   

 

 

 
    86,299,422  
Specialty Retail — 2.0%  

Academy Ltd., 2015 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.51%, 07/01/22

      1,370       948,336  

Belron Finance US LLC(a):

     

Term Loan B, (3 mo. LIBOR + 2.25%), 4.99%, 11/07/24

      2,959       2,943,678  

Term Loan B, (3 mo. LIBOR + 2.50%), 5.19%, 11/13/25

      453       451,868  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (3 mo. LIBOR + 4.50%), 5.41%, 06/23/25

    GBP       1,000       1,303,974  

Leslie’s Poolmart, Inc., 2018 Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 6.08%, 08/16/23

    USD       1,229       1,193,978  

National Vision, Inc., 2017 Repriced Term Loan, (1 mo. LIBOR + 2.50%), 4.99%, 11/20/24

      250       249,392  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.99%, 01/26/23

      833       648,791  

Research Now Group, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 5.50%, 1.00% Floor), 7.99%, 12/20/24

      1,252       1,243,997  

Staples, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.51%, 09/12/24

      839       832,817  

TruGreen LP, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.50%, 04/13/23(a)

      1,126       1,128,416  
   

 

 

 
    10,945,247  
Technology Hardware, Storage & Peripherals — 0.8%  

Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 4.23%, 04/29/23

      4,343       4,259,031  
   

 

 

 
Textiles, Apparel & Luxury Goods — 0.5%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 8.05%, 08/12/22

      2,373       2,366,905  

Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 12/15/24

      529       525,129  
   

 

 

 
    2,892,034  
Thrifts & Mortgage Finance — 0.6%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, 05/23/25(g)

      3,268       3,258,129  
   

 

 

 
Security          Par
(000)
    Value  
Trading Companies & Distributors — 1.0%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.77%, 01/02/25

    USD       1,208     $ 1,196,319  

HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 4.24%, 10/17/23

      3,858       3,838,864  

Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.50%), 5.99%, 01/04/23

      273       272,066  

United Rentals, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 10/31/25

      226       225,714  
   

 

 

 
    5,532,963  
Transportation — 0.3%  

Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 8.30%, 08/18/22

      492       483,680  

Safe Fleet Holdings LLC:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.52%, 02/01/25

      825       801,488  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.27%, 02/01/26

      560       529,200  
   

 

 

 
    1,814,368  
Utilities — 0.1%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.63%, 11/28/24

      726       674,467  
   

 

 

 
Wireless Telecommunication Services — 1.4%  

Geo Group, Inc. (The), 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 03/22/24

      1,996       1,948,930  

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

      1,737       1,354,959  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 04/11/25

      4,348       4,303,398  
   

 

 

 
    7,607,287  
 

 

 

 

Total Floating Rate Loan Interests — 131.6%
(Cost — $713,996,914)

 

    705,809,036  
 

 

 

 
       Shares         

Investment Companies — 3.6%

 

United States — 3.6%

 

Invesco Senior Loan ETF

      840,000       19,152,000  
   

 

 

 

Total Investment Companies — 3.6%
(Cost — $19,015,644)

 

    19,152,000  
 

 

 

 
       Beneficial
Interest
(000)
        

Other Interests(j) — 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 Preferreds — 0.3%

 

Diversified Financial Services — 0.3%

 

GMAC Capital Trust I, Series 2, 8.47%(k)

      60,894       1,582,635  
   

 

 

 

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

 

    1,582,635  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security         
Shares
    Value  

Warrants — 0.0%

 

Software — 0.0%

 

HMH Holdings/EduMedia (Issued/exercisable 03/09/10, 19 Shares for 1 Warrant, Expires 06/22/19, Strike Price $42.27)(a)

    USD       2,406     $  
   

 

 

 

Total Warrants — 0.0%
(Cost — $24)

 

     
 

 

 

 

Total Long-Term Investments — 140.0%
(Cost — $763,050,753)

 

    750,665,009  
 

 

 

 

Short-Term Securities — 2.1%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.29%(l)(m)

      11,368,747       11,368,747  
     

 

 

 

Total Short-Term Securities — 2.1%
(Cost — $11,368,747)

 

    11,368,747  
 

 

 

 

Options Purchased — 0.0%
(Cost — $68,461)

 

    23,023  
 

 

 

 

Total Investments — 142.1%
(Cost — $774,487,961)

 

    762,056,779  

Liabilities in Excess of Other Assets — (42.1)%

 

    (225,694,532
 

 

 

 

Net Assets — 100.0%

 

  $ 536,362,247  
 

 

 

 

 

(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) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) 

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.

(e) 

Variable rate security. Rate shown is the rate in effect as of period end.

(f) 

When-issued security.

(g) 

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.

(h) 

Issuer filed for bankruptcy and/or is in default.

(i) 

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.

(j) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(k) 

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.

(l) 

Annualized 7-day yield as of period end.

 
(m) 

During the six months ended February 28, 2019, 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, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     155,382        11,213,365        11,368,747      $ 11,368,747      $ 20,980      $ (815    $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
     Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD     5,362,827        EUR     4,654,000      UBS AG        03/05/19        $ 68,700  
USD     5,317,687        EUR     4,644,000      HSBC Bank PLC        04/04/19          21,532  
USD     2,555,567        GBP     1,919,000      Barclays Bank PLC        04/04/19          6,214  
                     

 

 

 
                        96,446  
                     

 

 

 
EUR     4,644,000        USD     5,304,330      HSBC Bank PLC        03/05/19          (21,578
GBP     1,919,000        USD     2,551,635      Barclays Bank PLC        03/05/19          (6,241
USD     2,524,891        GBP     1,922,000      State Street Bank and Trust Co.        03/05/19          (24,482
                     

 

 

 
                        (52,301
                     

 

 

 
                    $ 44,145  
                   

 

 

 

 

 

20    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

 

Exchange-Traded Options Purchased

 

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

SPDR S&P 500 ETF Trust

     245          04/18/19        USD     289.00        USD     683        $ 18,498  

Marsico Parent Superholdco LLC

     44          12/14/19        USD     942.86        USD               
                          

 

 

 
                             18,498  
                          

 

 

 
Put  

Invesco Senior Loan ETF

     575          04/18/19        USD     22.00        USD     131        $ 2,875  

Invesco Senior Loan ETF

     165          05/17/19        USD     22.00        USD     38          1,650  
                          

 

 

 
                             4,525  
                          

 

 

 
     $ 23,023  
    

 

 

 

OTC Total Return Swaps

 

Paid by the Fund

  Received by the Fund   Counterparty   Effective
Date
    Termination
Date
    Notional
Amount (000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
Reference   Frequency   Rate   Frequency
Markit iboxx USDLiquid Leveraged Loans Total Return Index   Quarterly   3-Month LIBOR, 2.62%   Quarterly   JPMorgan Chase Bank N.A.     N/A       03/20/19     USD     3,809     $ 99,304     $     $ 99,304  
                 

 

 

   

 

 

   

 

 

 

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

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Swaps

   $      $      $ 99,304      $  

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets andLiabilities were 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

   $      $      $      $ 96,446      $      $      $ 96,446  

Options purchased

                    

Investments at value — unaffiliated(a)

                   23,023                             23,023  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

                                 99,304               99,304  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 23,023      $ 96,446      $ 99,304      $      $ 218,773  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 52,301      $      $      $ 52,301  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

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

 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

 

For the six months ended February 28, 2019, 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

   $      $      $      $ 146,068      $      $      $ 146,068  

Swaps

                                 (704,179             (704,179
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $ 146,068      $ (704,179    $      $ (558,111
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Forward foreign currency exchange contracts

   $      $      $      $ (10,057    $      $      $ (10,057

Options purchased(a)

                   (2,416                           (2,416

Swaps

                                 99,304               99,304  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (2,416    $ (10,057    $ 99,304      $      $ 86,831  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

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

   $ 14,675,130  

Average amounts sold — in USD

   $ 7,366,710  

Options:

 

Average value of option contracts purchased

   $ 11,511  

Total return swaps:

 

Average notional amount

   $ 10,087,000  

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

   $ 96,446      $ 52,301  

Options

     23,023 (a)         

Swaps — OTC(b)

     99,304         
  

 

 

    

 

 

 

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

   $ 218,773      $ 52,301  

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

     (23,023       
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 195,750      $ 52,301  
  

 

 

    

 

 

 

 

  (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

   $ 6,214        $ (6,214      $        $        $  

HSBC Bank PLC

     21,532          (21,532                           

JPMorgan Chase Bank N.A.

     99,304                                     99,304  

UBS AG

     68,700                                     68,700  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 195,750        $ (27,746      $        $        $ 168,004  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      

 

 

22    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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
  (c)
 

Barclays Bank PLC

   $ 6,241        $ (6,214      $        $        $ 27  

HSBC Bank PLC

     21,578          (21,532                          46  

State Street Bank and Trust Co.

     24,482                                     24,482  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 52,301        $ (27,746      $        $        $ 24,555  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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) 

Net amount represents the net amount payable due to 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

   $        $ 5,313,627        $        $ 5,313,627  

Common Stocks(a)

     12,957          641          1,160,611          1,174,209  

Corporate Bonds

              15,529,611          2,103,891          17,633,502  

Floating Rate Loan Interests

              659,559,753          46,249,283          705,809,036  

Investment Companies

     19,152,000                            19,152,000  

Trust Preferred

     1,582,635                            1,582,635  

Short-Term Securities

     11,368,747                            11,368,747  

Options Purchased:

 

Equity contracts

     23,023                            23,023  

Liabilities:

                 

Investments:

                 

Unfunded Floating Rate Loan Interests(b)

              (702                 (702
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 32,139,362        $ 680,402,930        $ 49,513,785        $ 762,056,077  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments

 

Assets:

 

Interest rate contracts

   $        $ 99,304        $        $ 99,304  

Forward foreign currency contracts

              96,446                   96,446  

Liabilities:

 

Forward foreign currency contracts

              (52,301                 (52,301
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 143,449        $        $ 143,449  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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 swaps and 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 $205,000,000 is categorized as Level 2 within the disclosure hierarchy.

During the six months ended February 28, 2019, there were no transfers between Level 1 and Level 2.

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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
       Total  

Assets:

                      

Opening balance, as of August 31, 2018

   $ 2,698,550        $ 2,048,238        $ 2,892,436        $ 36,749,545        $ 44,388,769  

Transfers into Level 3(a)

                                34,040,874          34,040,874  

Transfers out of Level 3(b)

                                (15,245,474        (15,245,474

Accrued discounts/premiums

                                (5,117        (5,117

Net realized gain (loss)

     (39,405        63,041          91          (1,382,263        (1,358,536

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

              (939,073        (868,114        755,615          (1,051,572

Purchases

          317,169          79,568          10,710,044          11,106,781  

Sales

     (2,659,145        (328,764        (90        (19,373,941        (22,361,940
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Closing balance, as of February 28, 2019

   $        $ 1,160,611        $ 2,103,891        $ 46,249,283        $ 49,513,785  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2019(d)

   $        $ (939,073      $ (868,114      $ (320,998      $ (2,128,185
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

As of August 31, 2018 the Fund used observable inputs in determining the value of certain investments. As of February 28, 2019, 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, 2018, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2019, 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, 2019 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.

 

 

24    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security         
Shares
    Value  

Common Stocks — 0.2%

 

Chemicals — 0.0%

 

LyondellBasell Industries NV, Class A

      37     $ 3,164  
   

 

 

 
Diversified Financial Services — 0.2%  

Kcad Holdings I Ltd.(a)(b)

      546,753,936       1,049,768  
   

 

 

 
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(b)

      8,511       366  
   

 

 

 
Household Durables — 0.0%  

Berkline Benchcraft Equity LLC(a)

      3,155        
   

 

 

 
Metals & Mining — 0.0%  

Ameriforge Group, Inc.

      801       44,055  

Preferred Proppants LLC(a)

      5,738       14,345  
   

 

 

 
    58,400  
Software — 0.0%  

Avaya Holdings Corp.(b)

      18       279  
   

 

 

 
Utilities — 0.0%  

Texgen LLC(a)(b)

      3,661       140,948  
   

 

 

 

Total Common Stocks — 0.2%
(Cost — $6,360,071)

 

    1,252,925  
 

 

 

 
       Par
(000)
        

Asset-Backed Securities — 6.4%

 

AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US + 3.55%), 6.01%, 07/20/26(c)(d)

    USD       250       248,507  

Allegro CLO II-S Ltd., Series 2014-1RA, Class C, 5.76%, 10/21/28(c)(e)

      1,000       977,236  

ALM VI Ltd., Series 2012-6A, Class BR3, 4.54%, 07/15/26(c)(e)

      1,000       981,313  

ALM XII Ltd., Series 2015-12A, Class C1R2, 5.43%, 04/16/27(c)(e)

      1,000       966,324  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, 5.49%, 07/15/27(c)(e)

      270       264,655  

Anchorage Capital CLO Ltd.(c):

     

Series 2014-3RA, Class E, 8.26%, 01/28/31(e)

      850       788,549  

Series 2014-4RA, Class D, 5.36%, 01/28/31(e)

      250       238,022  

Series 2015-7A, Class DR, 5.49%, 10/15/27(e)

      1,000       977,826  

Series 2016-8A, Class ER, 8.51%, 07/28/28(e)

      1,000       987,972  

Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%), 6.79%, 01/15/29(d)

      350       348,295  

Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, 9.20%, 10/15/30(c)(e)

      500       481,275  

Carlyle Global Market Strategies CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.00%), 4.76%, 04/20/27(c)(d)

      600       599,906  

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

      488       459,977  

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

      3,024       3,098,288  

Dryden 64 CLO Ltd., Series 2018-64A, Class D, 5.43%, 04/18/31(c)(e)

      250       237,638  

Highbridge Loan Management Ltd., Series 5A-2015, Class ERR, 8.79%, 10/15/30(c)(e)

      450       427,082  

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

      1,131       1,215,430  

Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.62%), 10.38%, 01/20/29(c)(d)

      500       498,444  

Madison Park Funding XI Ltd., Series 2013-11A, Class ER, 9.22%, 07/23/29(c)(e)

      250       242,264  
Security     Par
(000)
    Value  
Asset-Backed Securities (continued)  

Madison Park Funding XIII Ltd., Series 2014-13A, Class ER, 8.51%, 04/19/30(c)(e)

    USD       1,250     $ 1,199,722  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.96%, 01/27/26(c)(d)

      1,500       1,502,894  

Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, 7.79%, 01/15/28(c)(e)

      790       751,861  

Oaktree CLO Ltd., Series 2015-1A, Class DR, 7.96%, 10/20/27(c)(e)

      500       480,712  

Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo. LIBOR US + 6.30%), 9.06%, 07/20/30(c)(d)

      500       487,428  

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

      4,000       4,004,174  

OZLM VIII Ltd., Series 2014-8A(c)(e):

     

Class BRR, 4.66%, 10/17/29

      2,500       2,497,759  

Class CRR, 5.61%, 10/17/29

      500       498,018  

OZLM XIX Ltd., Series 2017-19A, Class D, 9.39%, 11/22/30(c)(e)

      500       485,996  

OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR US + 4.00%), 6.76%, 01/20/29(c)(d)

      1,000       999,740  

OZLM XXI Ltd., Series 2017-21A, Class D, 8.30%, 01/20/31(c)(e)

      250       234,576  

Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, 8.91%, 11/14/29(c)(e)

      1,750       1,680,824  

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

     

Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 6.04%, 04/15/29

      250       247,512  

Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%), 6.24%, 10/15/29

      500       499,810  

Santander Drive Auto Receivables Trust, Series 2014-4, Class D, 3.10%, 11/16/20

      2,280       2,280,986  

Shackleton CLO Ltd., Series 2013-3A, Class DR, 5.81%, 07/15/30(c)(e)

      500       484,337  

Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.00%), 6.77%, 01/23/28(c)(d)

      1,000       975,473  

Thayer Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.10%), 8.86%, 04/20/29(c)(d)

      500       481,628  

TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.51%), 9.30%, 07/15/29(c)(d)

      500       487,837  

Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.25%), 7.01%, 01/20/29(c)(d)

      1,000       999,894  

Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US + 4.50%), 7.26%, 07/20/28(c)(d)

      1,000       1,004,449  

Wellfleet CLO Ltd., Series 2017-3A, Class B, 4.72%, 01/17/31(c)(e)

      500       475,459  

York CLO Ltd.(c)(d):

     

Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 6.36%, 10/20/29

      250       250,071  

Series 2016-2A, Class E, (3 mo. LIBOR US + 6.94%), 9.70%, 01/20/30

      1,000       993,220  
   

 

 

 
    38,043,383  
Interest Only Asset-Backed Securities — 0.0%  

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

      2,819       133,882  

Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 04/15/29(a)

      2,024       90,582  
   

 

 

 
    224,464  
 

 

 

 

Total Asset-Backed Securities — 6.4%
(Cost — $38,942,273)

 

    38,267,847  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

Corporate Bonds — 61.3%

 

Aerospace & Defense — 2.4%

 

Arconic, Inc.:

     

5.40%, 04/15/21

    USD       10     $ 10,286  

5.87%, 02/23/22

      730       761,938  

5.13%, 10/01/24

      808       799,920  

BBA US Holdings, Inc., 5.38%, 05/01/26(c)

      271       276,081  

Bombardier, Inc.(c):

     

7.75%, 03/15/20

      172       179,542  

8.75%, 12/01/21(f)

      827       909,700  

5.75%, 03/15/22

      102       102,204  

6.00%, 10/15/22

      8       8,040  

6.13%, 01/15/23(f)

      810       816,075  

7.50%, 12/01/24(f)

      965       981,888  

7.50%, 03/15/25

      621       626,434  

7.88%, 04/15/27(g)

      1,094       1,094,456  

Koppers, Inc., 6.00%, 02/15/25(c)

      51       44,625  

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

      336       348,180  

Moog, Inc., 5.25%, 12/01/22(c)

      270       274,274  

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

      165       167,475  

TransDigm UK Holdings PLC, 6.88%, 05/15/26(c)(f)

      264       257,400  

TransDigm, Inc.:

     

6.00%, 07/15/22(f)

      304       309,624  

6.50%, 07/15/24

      54       54,540  

6.25%, 03/15/26(c)(f)

      6,008       6,143,180  

7.50%, 03/15/27(c)

      46       46,225  
   

 

 

 
    14,212,087  
Air Freight & Logistics — 0.0%  

XPO Logistics, Inc., 6.75%, 08/15/24(c)

      18       18,115  
   

 

 

 
Airlines — 1.6%  

Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 09/15/24(c)

      1,167       1,147,581  

American Airlines Pass-Through Trust:

     

Series 2013-2, Class A, 4.95%, 01/15/23(f)

      1,972       2,027,917  

Series 2013-2, Class B, 5.60%, 07/15/20(c)

      252       255,475  

Series 2017-1, Class B, 4.95%, 02/15/25

      1,282       1,302,282  

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

      239       232,427  

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

      203       205,495  

United Airlines Pass-Through Trust:

     

Series 2014-2, Class B, 4.63%, 09/03/22(f)

      1,653       1,664,017  

Series 2015-1, Class A, 3.70%, 12/01/22

      2,430       2,404,728  

Virgin Australia Trust, Series 2013-1, Class A, 5.00%, 04/23/25(c)(f)

      182       185,385  
   

 

 

 
    9,425,307  
Auto Components — 0.3%  

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

      28       28,175  

Aptiv PLC, 4.40%, 10/01/46

      240       206,642  

GKN Holdings PLC, 3.38%, 05/12/32

    GBP       100       128,051  

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

    USD       67       63,482  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

6.00%, 08/01/20

      28       28,280  

6.25%, 02/01/22

      299       307,910  

6.75%, 02/01/24

      246       257,685  

6.38%, 12/15/25

      149       153,284  

Tesla, Inc., 5.30%, 08/15/25(c)(f)

      407       362,230  
   

 

 

 
    1,535,739  
Security     Par
(000)
    Value  
Banks — 2.0%  

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

    EUR       100     $ 117,414  

Banco Espirito Santo SA(b)(i):

     

4.75%, 01/15/19

      100       32,702  

4.00%, 01/21/19

      100       31,849  

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

      100       114,493  

Barclays PLC:

     

4.38%, 09/11/24

    USD       580       569,454  

3.65%, 03/16/25(f)

      3,600       3,461,357  

5.20%, 05/12/26

      200       201,231  

BBVA Bancomer SA, 6.75%, 09/30/22(c)

      192       205,872  

CIT Group, Inc.:

     

5.00%, 08/01/23

      582       604,058  

5.25%, 03/07/25

      599       627,453  

6.13%, 03/09/28

      98       106,330  

HSBC Holdings PLC, 4.38%, 11/23/26(f)

      395       397,510  

Nordea Bank AB, 4.50%, 03/26/20

    EUR       1,020       1,212,441  

Promerica Financial Corp., 9.70%, 05/14/24(c)

    USD       200       203,525  

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

      1,750       1,777,449  

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

      950       934,599  

Standard Chartered PLC, 3.89%, 03/15/24(c)(e)(f)

      1,500       1,482,788  

Unione di Banche Italiane SpA, 5.88%, 03/04/29(e)(g)

    EUR       100       114,029  
   

 

 

 
    12,194,554  
Beverages — 0.1%  

BWAY Holding Co., 4.75%, 04/15/24

      100       114,835  

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

    USD       176       178,564  

Crown European Holdings SA, 2.25%, 02/01/23(c)

    EUR       100       117,565  

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

    USD       176       172,040  
   

 

 

 
    583,004  
Building Materials — 0.0%  

Jeld-Wen, Inc., 4.63%, 12/15/25(c)

      138       129,893  
   

 

 

 
Building Products — 0.4%  

American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23(c)

      184       188,600  

Beacon Roofing Supply, Inc., 4.88%, 11/01/25(c)

      18       16,757  

CPG Merger Sub LLC, 8.00%, 10/01/21(c)

      324       319,140  

Jeld-Wen, Inc., 4.88%, 12/15/27(c)

      19       17,599  

Masonite International Corp.(c):

     

5.63%, 03/15/23(f)

      384       390,720  

5.75%, 09/15/26

      160       160,000  

PGT Escrow Issuer, Inc., 6.75%, 08/01/26(c)

      107       110,210  

Standard Industries, Inc.(c):

     

5.50%, 02/15/23

      66       67,485  

5.38%, 11/15/24

      404       410,060  

6.00%, 10/15/25

      600       626,250  

5.00%, 02/15/27

      36       34,290  

4.75%, 01/15/28

      46       43,010  

USG Corp.(c):

     

5.50%, 03/01/25

      11       11,110  

4.88%, 06/01/27

      198       199,914  
   

 

 

 
    2,595,145  
Cable Television Services — 0.0%  

Cincinnati Bell, Inc., 8.00%, 10/15/25(c)

      146       132,130  
   

 

 

 
Capital Markets — 0.6%  

Blackstone CQP Holdco LP(c):

     

6.50%, 03/20/21

      2,040       2,037,450  

6.00%, 08/18/21

      332       328,680  
 

 

 

26    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Capital Markets (continued)  

Intertrust Group BV, 3.38%, 11/15/25

    EUR       100     $ 116,186  

Lions Gate Capital Holdings LLC(c):

     

6.38%, 02/01/24

    USD       25       25,625  

5.88%, 11/01/24

      171       173,137  

Morgan Stanley, 4.00%, 07/23/25(f)

      965       980,823  

Stevens Holding Co., Inc., 6.13%, 10/01/26(c)

      167       170,340  
   

 

 

 
    3,832,241  
Chemicals — 1.5%  

Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(c)(j)

      256       245,120  

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

      1,246       1,193,045  

Axalta Coating Systems LLC, 4.88%, 08/15/24(c)

      608       603,440  

Blue Cube Spinco LLC:

     

9.75%, 10/15/23

      596       667,669  

10.00%, 10/15/25

      341       390,445  

Chemours Co.:

     

6.63%, 05/15/23

      228       236,561  

7.00%, 05/15/25

      112       116,760  

4.00%, 05/15/26

    EUR       186       210,319  

5.38%, 05/15/27

    USD       99       96,030  

Cydsa SAB de CV, 6.25%, 10/04/27(c)

      252       239,400  

Element Solutions, Inc., 5.88%, 12/01/25(c)(f)

      1,052       1,064,498  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(c)

      248       249,860  

Huntsman International LLC:

     

5.13%, 11/15/22

      280       292,600  

4.50%, 05/01/29(g)

      135       133,109  

INEOS Finance PLC, 4.00%, 05/01/23

    EUR       100       115,304  

Mexichem SAB de CV, 5.50%, 01/15/48(c)

    USD       200       183,480  

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

      303       326,483  

NOVA Chemicals Corp., 4.88%, 06/01/24(c)

      267       258,509  

Olin Corp., 5.00%, 02/01/30

      117       113,636  

PQ Corp.(c):

     

6.75%, 11/15/22(f)

      444       461,627  

5.75%, 12/15/25

      497       481,161  

Versum Materials, Inc., 5.50%, 09/30/24(c)

      158       164,320  

WR Grace & Co-Conn(c):

     

5.13%, 10/01/21(f)

      741       762,408  

5.63%, 10/01/24

      200       208,000  
   

 

 

 
    8,813,784  
Commercial Services & Supplies — 1.2%  

ADT Security Corp.:

     

6.25%, 10/15/21

      139       146,298  

3.50%, 07/15/22

      313       307,914  

4.13%, 06/15/23

      226       221,762  

4.88%, 07/15/32(c)

      371       312,567  

Advanced Disposal Services, Inc., 5.63%, 11/15/24(c)

      147       148,470  

Avolon Holdings Funding Ltd.(c):

     

5.13%, 10/01/23

      323       326,230  

5.25%, 05/15/24(g)

      302       309,550  

Booz Allen Hamilton, Inc., 5.13%, 05/01/25(c)

      270       270,675  

Core & Main LP, 6.13%, 08/15/25(c)

      446       429,275  

Fortress Transportation & Infrastructure Investors LLC(c):

     

6.75%, 03/15/22

      71       72,385  

6.50%, 10/01/25

      78       76,245  

GFL Environmental, Inc., 5.38%, 03/01/23(c)

      131       123,386  

Harland Clarke Holdings Corp., 8.38%, 08/15/22(c)

      414       386,572  

KAR Auction Services, Inc., 5.13%, 06/01/25(c)

      380       369,550  

Mobile Mini, Inc., 5.88%, 07/01/24(f)

      499       505,237  
Security     Par
(000)
    Value  
Commercial Services & Supplies (continued)  

Paprec Holding SA, 4.00%, 03/31/25

    EUR       100     $ 96,612  

Park Aerospace Holdings Ltd.(c):

     

3.63%, 03/15/21

    USD       226       223,175  

5.25%, 08/15/22

      369       377,749  

5.50%, 02/15/24

      6       6,203  

Pitney Bowes, Inc., 3.88%, 10/01/21(f)

      500       485,000  

Resideo Funding, Inc., 6.13%, 11/01/26(c)

      148       151,700  

Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(c)

      472       480,260  

United Rentals North America, Inc.:

     

5.75%, 11/15/24(f)

      609       627,270  

5.50%, 05/15/27

      397       397,000  
   

 

 

 
    6,851,085  
Communications Equipment — 1.1%  

CommScope Finance LLC(c):

     

5.50%, 03/01/24

      887       902,922  

6.00%, 03/01/26

      771       788,347  

8.25%, 03/01/27

      243       252,113  

CommScope Technologies LLC(c):

     

6.00%, 06/15/25

      3       2,828  

5.00%, 03/15/27

      367       328,575  

CommScope, Inc., 5.00%, 06/15/21(c)

      465       465,581  

Motorola Solutions, Inc., 3.75%, 05/15/22(f)

      1,500       1,506,718  

Nokia OYJ:

     

3.38%, 06/12/22

      106       103,848  

4.38%, 06/12/27

      149       146,410  

6.63%, 05/15/39

      200       210,000  

Zayo Group LLC/Zayo Capital, Inc.(f):

     

6.00%, 04/01/23

      531       537,637  

6.38%, 05/15/25

      535       530,988  

5.75%, 01/15/27(c)

      1,103       1,069,910  
   

 

 

 
    6,845,877  
Construction & Engineering — 0.1%  

Brand Industrial Services, Inc., 8.50%, 07/15/25(c)

      227       204,868  

frontdoor, Inc., 6.75%, 08/15/26(c)

      241       244,916  

SPIE SA, 3.13%, 03/22/24

    EUR       100       116,214  
   

 

 

 
    565,998  
Construction Materials — 0.5%  

American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26(c)

    USD       219       222,559  

HD Supply, Inc., 5.38%, 10/15/26(c)

      1,806       1,833,090  

LKQ Italia Bondco SpA, 3.88%, 04/01/24

    EUR       100       120,177  

Navistar International Corp., 6.63%, 11/01/25(c)

    USD       318       327,868  

New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(c)

      136       136,680  

Williams Scotsman International, Inc.(c):

     

7.88%, 12/15/22

      109       110,635  

6.88%, 08/15/23

      155       152,287  
   

 

 

 
    2,903,296  
Consumer Discretionary — 0.4%  

AA Bond Co. Ltd., 4.88%, 07/31/24

    GBP       100       127,916  

Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(c)

    USD       162       159,975  

Silversea Cruise Finance Ltd., 7.25%, 02/01/25(c)

      56       60,662  

Staples, Inc., 8.50%, 09/15/25(c)

      457       447,860  

Star Merger Sub, Inc., 6.88%, 08/15/26(c)

      610       612,111  

Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26

    EUR       100       116,440  

Viking Cruises Ltd.(c):

     

6.25%, 05/15/25

    USD       315       317,363  

5.88%, 09/15/27(f)

      828       797,985  
   

 

 

 
    2,640,312  
 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Consumer Finance — 1.6%  

Alliance Data Systems Corp.(c):

     

5.88%, 11/01/21

    USD       696     $ 708,180  

5.38%, 08/01/22

      64       64,960  

Ally Financial, Inc., 8.00%, 11/01/31(f)

      1,889       2,332,915  

Credivalores-Crediservicios SAS, 9.75%, 07/27/22(c)

      200       177,519  

Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(j)

    EUR       119       135,194  

Navient Corp.:

     

5.00%, 10/26/20(f)

    USD       310       313,965  

6.63%, 07/26/21

      113       116,814  

6.50%, 06/15/22

      85       87,337  

5.50%, 01/25/23

      327       322,912  

7.25%, 09/25/23(f)

      257       265,031  

5.88%, 10/25/24

      65       62,319  

6.75%, 06/25/25

      105       102,769  

6.75%, 06/15/26

      108       103,680  

5.63%, 08/01/33

      95       73,388  

Nexi Capital SpA, 3.63%, 05/01/23(e)

    EUR       100       114,462  

Refinitiv US Holdings, Inc.:

     

4.50%, 05/15/26

      100       112,942  

4.50%, 05/15/26(c)

      400       451,768  

6.25%, 05/15/26(c)

    USD       1,450       1,462,687  

8.25%, 11/15/26(c)

      587       574,343  

Springleaf Finance Corp.:

     

6.13%, 05/15/22

      70       72,625  

5.63%, 03/15/23

      8       8,130  

6.13%, 03/15/24

      453       458,096  

6.88%, 03/15/25

      281       287,674  

7.13%, 03/15/26

      147       148,837  

Verscend Escrow Corp., 9.75%, 08/15/26(c)

      1,202       1,229,045  
   

 

 

 
    9,787,592  
Containers & Packaging — 1.4%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

     

4.63%, 05/15/23(c)

      990       997,425  

7.25%, 05/15/24(c)

      1,554       1,613,751  

4.75%, 07/15/27(c)

    GBP       100       122,455  

4.75%, 07/15/27

      100       122,455  

BWAY Holding Co., 5.50%, 04/15/24(c)(f)

    USD       1,024       1,007,053  

Crown Americas LLC/Crown Americas Capital Corp. VI:

     

4.75%, 02/01/26(f)

      480       481,500  

4.25%, 09/30/26

      196       188,650  

Greif, Inc., 6.50%, 03/01/27(c)

      91       92,718  

Intertape Polymer Group, Inc., 7.00%, 10/15/26(c)

      136       137,020  

Mercer International, Inc.:

     

6.50%, 02/01/24

      113       115,260  

5.50%, 01/15/26

      117       111,735  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:

     

5.75%, 10/15/20(f)

      1,029       1,031,251  

(3 mo. LIBOR US + 3.50%), 6.29%, 07/15/21(c)(d)

      433       435,706  

5.13%, 07/15/23(c)

      42       42,000  

7.00%, 07/15/24(c)(f)

      699       714,728  

Sealed Air Corp.(c):

     

4.88%, 12/01/22

      192       195,600  

5.13%, 12/01/24

      46       47,314  

6.88%, 07/15/33

      44       45,980  

Suzano Austria GmbH, 6.00%, 01/15/29(c)

      517       547,309  
   

 

 

 
    8,049,910  
Security     Par
(000)
    Value  
Diversified Consumer Services — 0.6%  

APX Group, Inc.(f):

     

8.75%, 12/01/20

    USD       262     $ 260,362  

7.88%, 12/01/22

      336       333,480  

Ascend Learning LLC, 6.88%, 08/01/25(c)

      587       573,679  

Graham Holdings Co., 5.75%, 06/01/26(c)

      211       217,330  

Laureate Education, Inc., 8.25%, 05/01/25(c)

      114       123,120  

Matthews International Corp., 5.25%, 12/01/25(c)

      108       104,490  

Pinnacle Bidco PLC, 6.38%, 02/15/25

    GBP       100       133,990  

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

    USD       1,100       1,159,950  

ServiceMaster Co. LLC, 5.13%, 11/15/24(c)

      797       800,985  

Verisure Holding AB, 3.50%, 05/15/23

    EUR       100       116,589  
   

 

 

 
    3,823,975  
Diversified Financial Services — 1.0%  

Arrow Global Finance PLC (3 mo. EURIBOR + 2.88%), 2.88%, 04/01/25(d)

      100       108,783  

Controladora Mabe SA de CV, 5.60%, 10/23/28(c)

    USD       200       198,645  

Docuformas SAPI de CV, 9.25%, 10/11/22(c)

      421       367,323  

FS Energy & Power Fund, 7.50%, 08/15/23(c)

      79       79,933  

General Motors Financial Co., Inc., 4.38%, 09/25/21(f)

      530       538,705  

Gilex Holding Sarl, 8.50%, 05/02/23(c)

      182       191,100  

Intesa Sanpaolo SpA, 5.02%, 06/26/24(c)(f)

      2,442       2,262,631  

Jefferies Finance LLC/JFIN Co-Issuer Corp.(c)(f):

     

7.38%, 04/01/20

      290       290,580  

6.88%, 04/15/22

      480       478,800  

MSCI, Inc., 5.25%, 11/15/24(c)

      105       107,625  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(c)(f)

      438       442,380  

Travelport Corporate Finance PLC, 6.00%, 03/15/26(c)

      171       181,260  

UniCredit SpA (5 year EUR Swap + 4.32%), 4.38%, 01/03/27(h)

    EUR       100       116,689  

Vantiv LLC/Vanity Issuer Corp.(c):

     

3.88%, 11/15/25

    GBP       100       128,954  

4.38%, 11/15/25

    USD       200       193,000  

WMG Acquisition Corp., 5.50%, 04/15/26(c)

      166       167,038  
   

 

 

 
    5,853,446  
Diversified Telecommunication Services — 1.1%  

CenturyLink, Inc.:

     

5.63%, 04/01/25(f)

      526       501,520  

Series P, 7.60%, 09/15/39

      26       22,685  

Series S, 6.45%, 06/15/21(f)

      412       427,944  

Series U, 7.65%, 03/15/42

      185       161,412  

Series W, 6.75%, 12/01/23(f)

      236       245,072  

Series Y, 7.50%, 04/01/24(f)

      630       666,422  

Cincinnati Bell, Inc., 7.00%, 07/15/24(c)

      340       307,700  

Embarq Corp., 8.00%, 06/01/36

      428       413,020  

Frontier Communications Corp.:

     

7.13%, 03/15/19

      156       155,805  

10.50%, 09/15/22

      163       116,545  

11.00%, 09/15/25(f)

      1,205       769,694  

8.50%, 04/01/26(c)

      377       350,610  

Level 3 Financing, Inc.:

     

5.38%, 08/15/22

      184       185,150  

5.63%, 02/01/23

      61       61,458  

5.13%, 05/01/23(f)

      295       296,870  

5.38%, 05/01/25

      90       89,775  

5.25%, 03/15/26(f)

      909       890,820  

Telecom Italia Capital SA:

     

6.38%, 11/15/33

      126       118,440  

6.00%, 09/30/34

      191       171,900  
 

 

 

28    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Telecom Italia SpA, 5.30%, 05/30/24(c)

    USD       200     $ 195,500  

Verizon Communications, Inc., 3.38%, 02/15/25(f)

      156       156,107  
   

 

 

 
    6,304,449  
Electric Utilities — 0.4%  

AES Corp., 5.50%, 04/15/25

      152       156,750  

Black Hills Corp., 3.15%, 01/15/27(f)

      305       285,185  

DPL, Inc., 7.25%, 10/15/21

      30       32,175  

Enel Finance International NV, 3.63%, 05/25/27(c)(f)

      900       830,079  

Energuate Trust, 5.88%, 05/03/27(c)

      200       190,285  

Eskom Holdings SOC Ltd., 6.35%, 08/10/28(c)

      325       332,719  

Exelon Corp., 3.40%, 04/15/26(f)

      140       135,830  

Inkia Energy Ltd., 5.88%, 11/09/27(c)

      377       362,391  

NextEra Energy Operating Partners LP(c):

     

4.25%, 09/15/24

      101       99,232  

4.50%, 09/15/27

      128       121,920  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.(a):

     

10.25%, 11/01/15(b)

      47        

10.50%, 11/01/19

      31       112  

11.50%, 10/01/20

      300        
   

 

 

 
    2,546,678  
Electronic Equipment, Instruments & Components — 0.1%  

CDW LLC/CDW Finance Corp.:

     

5.00%, 09/01/23

      72       72,720  

5.50%, 12/01/24(f)

      521       543,142  

5.00%, 09/01/25

      107       107,669  

Energizer Gamma Acquisition BV, 4.63%, 07/15/26

    EUR       100       115,661  

Itron, Inc., 5.00%, 01/15/26(c)

    USD       25       24,313  
   

 

 

 
    863,505  
Energy Equipment & Services — 0.7%  

Apergy Corp., 6.38%, 05/01/26

      101       100,874  

Calfrac Holdings LP, 8.50%, 06/15/26(c)

      113       83,620  

CSI Compressco LP/CSI Compressco Finance, Inc., 7.50%, 04/01/25(c)

      273       264,810  

Ensco PLC:

     

4.50%, 10/01/24

      26       20,116  

5.20%, 03/15/25

      313       240,227  

7.75%, 02/01/26

      141       118,440  

Gates Global LLC/Gates Global Co., 6.00%, 07/15/22(c)(f)

      715       717,796  

Halliburton Co., 3.80%, 11/15/25(f)

      100       100,474  

McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.63%, 05/01/24(c)

      331       274,730  

Oceaneering International, Inc., 4.65%, 11/15/24

      46       42,492  

Odebrecht Oil & Gas Finance Ltd., 0.00%(c)(k)(l)

    BRL       43       334  

Pattern Energy Group, Inc., 5.88%, 02/01/24(c)

    USD       299       304,496  

Pioneer Energy Services Corp., 6.13%, 03/15/22

      241       148,215  

SESI LLC, 7.75%, 09/15/24

      198       168,300  

Transocean, Inc.:

     

8.38%, 12/15/21

      51       53,550  

9.00%, 07/15/23(c)

      583       615,065  

7.50%, 01/15/26(c)

      218       210,370  

USA Compression Partners LP/USA Compression Finance Corp.:

     

6.88%, 04/01/26

      277       281,847  

6.88%, 09/01/27(c)(g)

      231       235,620  

Weatherford International Ltd.:

     

6.50%, 08/01/36

      110       65,450  

5.95%, 04/15/42(f)

      220       130,350  
   

 

 

 
    4,177,176  
Security     Par
(000)
    Value  
Environmental, Maintenance, & Security Service — 0.1%  

Hulk Finance Corp., 7.00%, 06/01/26(c)

    USD       131     $ 124,450  

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

      343       342,142  

Waste Pro USA, Inc., 5.50%, 02/15/26(c)

      115       111,550  
   

 

 

 
    578,142  
Equity Real Estate Investment Trusts (REITs) — 1.5%  

AvalonBay Communities, Inc., 3.45%, 06/01/25(f)

      1,245       1,241,950  

ERP Operating LP, 3.38%, 06/01/25(f)

      1,015       1,014,629  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(c)

      145       140,469  

GEO Group, Inc.:

     

5.13%, 04/01/23

      249       236,550  

5.88%, 10/15/24

      170       161,075  

6.00%, 04/15/26

      10       9,275  

Hilton Domestic Operating Co., Inc.:

     

4.25%, 09/01/24

      337       332,366  

5.13%, 05/01/26(c)

      697       700,485  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25

      30       29,850  

iStar, Inc.:

     

4.63%, 09/15/20

      33       33,165  

6.00%, 04/01/22

      62       61,923  

5.25%, 09/15/22

      67       65,660  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:

     

5.63%, 05/01/24(f)

      1,361       1,405,232  

4.50%, 09/01/26(f)

      678       649,748  

4.50%, 01/15/28

      236       220,660  

MPT Operating Partnership LP/MPT Finance Corp.:

     

6.38%, 03/01/24

      42       43,995  

5.50%, 05/01/24

      73       74,734  

5.00%, 10/15/27

      959       951,807  

Starwood Property Trust, Inc., 5.00%, 12/15/21

      234       238,972  

Trust F/1401, 6.95%, 01/30/44

      706       712,972  

Ventas Realty LP, 4.13%, 01/15/26(f)

      650       652,791  

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

      224       244,243  
   

 

 

 
    9,222,551  
Food & Staples Retailing — 0.1%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

     

6.63%, 06/15/24

      186       186,000  

5.75%, 03/15/25

      70       66,500  

Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/Albertson’s LLC, 7.50%, 03/15/26(c)

      107       110,210  

B&M European Value Retail SA, 4.13%, 02/01/22

    GBP       100       132,917  

Post Holdings, Inc., 5.63%, 01/15/28(c)

    USD       73       70,536  

Rite Aid Corp., 6.13%, 04/01/23(c)

      110       93,775  
   

 

 

 
    659,938  
Food Products — 0.7%  

Aramark Services, Inc.:

     

5.13%, 01/15/24(f)

      417       426,382  

5.00%, 04/01/25(c)

      79       80,383  

5.00%, 02/01/28(c)

      345       340,688  

Arcor SAIC, 6.00%, 07/06/23(c)

      180       175,119  

B&G Foods, Inc., 5.25%, 04/01/25

      51       48,705  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(c)

      149       134,100  

JBS USA LUX SA/JBS USA Finance, Inc.(c):

     

5.88%, 07/15/24

      381       391,668  

5.75%, 06/15/25(f)

      942       953,775  

6.75%, 02/15/28

      319       329,943  
 

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Food Products (continued)  

MARB BondCo PLC:

     

7.00%, 03/15/24

    USD       200     $ 196,940  

6.88%, 01/19/25(c)

      200       194,468  

Post Holdings, Inc.(c):

     

5.50%, 03/01/25

      246       246,615  

5.75%, 03/01/27

      253       248,889  

Simmons Foods, Inc., 7.75%, 01/15/24(c)

      270       282,150  
   

 

 

 
    4,049,825  
Health Care Equipment & Supplies — 0.9%  

Avantor, Inc.(c):

     

6.00%, 10/01/24(f)

      1,750       1,786,094  

9.00%, 10/01/25

      999       1,070,179  

Hologic, Inc.(c):

     

4.38%, 10/15/25

      45       44,213  

4.63%, 02/01/28

      174       167,910  

Immucor, Inc., 11.13%, 02/15/22(c)

      100       101,250  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC(c):

     

4.88%, 04/15/20

      284       282,608  

5.75%, 08/01/22(f)

      233       219,020  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(c)(f)

      1,591       1,531,337  

Teleflex, Inc.:

     

5.25%, 06/15/24

      250       255,312  

4.88%, 06/01/26

      87       88,088  

4.63%, 11/15/27

      58       57,569  
   

 

 

 
    5,603,580  
Health Care Providers & Services — 3.1%  

Acadia Healthcare Co., Inc.:

     

5.13%, 07/01/22

      146       143,810  

5.63%, 02/15/23

      160       158,800  

6.50%, 03/01/24

      235       233,825  

AHP Health Partners, Inc., 9.75%, 07/15/26(c)

      140       147,000  

Centene Corp.:

     

4.75%, 05/15/22

      314       319,888  

6.13%, 02/15/24

      37       38,711  

4.75%, 01/15/25

      200       201,500  

5.38%, 06/01/26(c)(f)

      1,829       1,897,587  

CHS/Community Health Systems, Inc.(c):

     

8.63%, 01/15/24

      675       695,250  

8.00%, 03/15/26

      298       294,075  

DaVita, Inc., 5.13%, 07/15/24(f)

      235       232,650  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(c)(j)

      205       205,513  

Encompass Health Corp., 5.75%, 11/01/24(f)

      80       80,824  

HCA, Inc.:

     

4.75%, 05/01/23

      9       9,328  

5.00%, 03/15/24(f)

      567       592,332  

5.38%, 02/01/25

      522       541,413  

5.88%, 02/15/26

      13       13,731  

5.25%, 06/15/26

      47       49,570  

5.38%, 09/01/26

      379       388,475  

5.63%, 09/01/28

      1,000       1,033,750  

5.88%, 02/01/29

      1,154       1,210,257  

5.50%, 06/15/47(f)

      765       794,743  

MEDNAX, Inc., 5.25%, 12/01/23(c)(f)

      168       169,890  

Molina Healthcare, Inc.:

     

5.38%, 11/15/22

      172       177,321  

4.88%, 06/15/25(c)

      108       106,380  

MPH Acquisition Holdings LLC, 7.13%, 06/01/24(c)(f)

      424       425,853  

NVA Holdings, Inc., 6.88%, 04/01/26(c)

      243       234,495  
Security     Par
(000)
    Value  
Health Care Providers & Services (continued)  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(c)(f)(j)

    USD       878     $ 866,770  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23(c)

      772       825,075  

Sotera Health Holdings LLC, 6.50%, 05/15/23(c)

      366       368,745  

Surgery Center Holdings, Inc.(c):

     

8.88%, 04/15/21

      139       141,433  

6.75%, 07/01/25(f)

      272       247,520  

Team Health Holdings, Inc., 6.38%, 02/01/25(c)(f)

      419       334,153  

Tenet Healthcare Corp.:

     

6.00%, 10/01/20(f)

      580       599,575  

8.13%, 04/01/22

      502       535,885  

4.63%, 07/15/24(f)

      530       528,675  

6.25%, 02/01/27(c)

      1,113       1,145,694  

UnitedHealth Group, Inc., 3.75%, 07/15/25(f)

      1,470       1,509,052  

Vizient, Inc., 10.38%, 03/01/24(c)

      322       348,565  

WellCare Health Plans, Inc.:

     

5.25%, 04/01/25

      310       316,495  

5.38%, 08/15/26(c)

      343       352,861  
   

 

 

 
    18,517,469  
Health Care Services — 0.0%  

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

      183        
   

 

 

 
Health Care Technology — 0.2%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(c)

      308       300,593  

IQVIA, Inc.:

     

3.25%, 03/15/25

    EUR       148       171,922  

3.25%, 03/15/25(c)

      100       116,164  

5.00%, 10/15/26(c)

    USD       463       471,102  
   

 

 

 
    1,059,781  
Hotels, Restaurants & Leisure — 3.4%  

New Red Finance, Inc.(c):

     

4.25%, 05/15/24

      273       265,834  

5.00%, 10/15/25(f)

      1,848       1,789,095  

Boyd Gaming Corp., 6.00%, 08/15/26

      112       114,870  

Boyne USA, Inc., 7.25%, 05/01/25(c)

      184       196,880  

Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(c)

      297       281,779  

Churchill Downs, Inc., 4.75%, 01/15/28(c)

      119       113,669  

CPUK Finance Ltd., 4.25%, 08/28/22

    GBP       100       131,269  

Eldorado Resorts, Inc.:

     

6.00%, 04/01/25

    USD       91       92,602  

6.00%, 09/15/26(c)

      117       119,047  

ESH Hospitality, Inc., 5.25%, 05/01/25(c)(f)

      285       283,575  

GLP Capital LP/GLP Financing II, Inc.:

     

5.38%, 11/01/23

      126       130,843  

5.25%, 06/01/25

      108       111,833  

5.38%, 04/15/26

      164       168,979  

Golden Nugget, Inc., 6.75%, 10/15/24(c)

      552       554,760  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27

      49       48,755  

IRB Holding Corp., 6.75%, 02/15/26(c)

      52       49,140  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(c):

     

5.00%, 06/01/24

      35       35,376  

5.25%, 06/01/26

      368       374,440  

4.75%, 06/01/27

      5       4,925  

Marriott Ownership Resorts, Inc., 6.50%, 09/15/26(c)

      40       41,300  

McDonald’s Corp., 3.70%, 01/30/26(f)

      405       407,561  

Melco Resorts Finance Ltd., 4.88%, 06/06/25(c)(f)

      375       359,062  
 

 

 

30    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

MGM Resorts International:

     

6.63%, 12/15/21(f)

    USD       992     $ 1,056,480  

7.75%, 03/15/22

      453       497,167  

4.63%, 09/01/26

      11       10,450  

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 04/15/21(f)

      494       495,235  

Sabre GLBL, Inc.(c):

     

5.38%, 04/15/23

      147       149,940  

5.25%, 11/15/23

      210       214,200  

Scientific Games International, Inc.:

     

10.00%, 12/01/22(f)

      761       800,001  

5.00%, 10/15/25(c)(f)

      783       758,531  

3.38%, 02/15/26

    EUR       100       108,770  

Six Flags Entertainment Corp.(c)(f):

     

4.88%, 07/31/24

    USD       908       894,380  

5.50%, 04/15/27

      228       224,010  

Spirit Issuer PLC:

     

Series A2, (3 mo. LIBOR GBP + 2.70%), 3.61%, 12/28/31(d)

    GBP       1,800       2,316,005  

Series A5, 5.47%, 12/28/28

      4,500       6,209,949  

Station Casinos LLC, 5.00%, 10/01/25(c)

    USD       123       119,464  

Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27

    GBP       58       83,095  

Wyndham Destinations, Inc.:

     

5.40%, 04/01/24

    USD       13       13,065  

5.75%, 04/01/27

      64       63,520  

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(c)

      121       122,410  

Wynn Macau Ltd., 5.50%, 10/01/27(c)(f)

      600       568,875  

Yum! Brands, Inc.:

     

3.88%, 11/01/23

      98       96,040  

5.35%, 11/01/43

      6       5,130  
     

 

 

 
    20,482,311  
Household Durables — 0.6%  

Algeco Global Finance PLC, 8.00%, 02/15/23(c)

      600       598,500  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 07/01/22(c)

      207       206,224  

Lennar Corp.:

     

8.38%, 01/15/21

      134       144,552  

6.25%, 12/15/21(f)

      380       397,575  

4.88%, 12/15/23

      122       123,830  

4.75%, 05/30/25

      260       260,731  

5.25%, 06/01/26

      28       28,105  

4.75%, 11/29/27

      360       349,650  

Mattamy Group Corp.(c):

     

6.88%, 12/15/23

      113       112,152  

6.50%, 10/01/25

      172       165,281  

MDC Holdings, Inc., 6.00%, 01/15/43

      122       103,700  

Meritage Homes Corp., 5.13%, 06/06/27

      77       71,803  

PulteGroup, Inc., 6.38%, 05/15/33(f)

      469       444,377  

Tempur Sealy International, Inc., 5.50%, 06/15/26(f)

      180       179,550  

TRI Pointe Group, Inc.:

     

4.88%, 07/01/21

      112       111,720  

5.25%, 06/01/27

      15       13,500  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc.:

     

4.38%, 06/15/19

      110       109,863  

5.88%, 06/15/24

      11       10,770  
     

 

 

 
    3,431,883  
Household Products — 0.2%  

ACCO Brands Corp., 5.25%, 12/15/24(c)

      85       83,513  

Berkline Benchcraft LLC, 4.50%, 06/01/19(a)(b)(i)

      200        
Security     Par
(000)
    Value  
Household Products (continued)  

Energizer Holdings, Inc.(c):

     

6.38%, 07/15/26

    USD       46     $ 46,460  

7.75%, 01/15/27

      336       357,840  

Spectrum Brands, Inc., 6.63%, 11/15/22(f)

      815       833,337  
     

 

 

 
    1,321,150  
Independent Power and Renewable Electricity Producers — 1.1%  

AES Corp.:

     

4.50%, 03/15/23

      187       188,402  

4.88%, 05/15/23

      193       194,870  

6.00%, 05/15/26

      230       242,075  

5.13%, 09/01/27

      121       124,327  

Calpine Corp.:

     

5.38%, 01/15/23

      1,294       1,281,060  

5.88%, 01/15/24(c)

      320       326,400  

5.75%, 01/15/25

      120       114,900  

5.25%, 06/01/26(c)

      730       715,400  

Clearway Energy Operating LLC:

     

5.38%, 08/15/24

      443       434,140  

5.75%, 10/15/25(c)

      267       262,327  

5.00%, 09/15/26

      129       120,293  

Genneia SA, 8.75%, 01/20/22(c)

      293       272,490  

NRG Energy, Inc.:

     

6.63%, 01/15/27(f)

      975       1,036,852  

5.75%, 01/15/28

      536       550,070  

TerraForm Power Operating LLC(c):

     

4.25%, 01/31/23

      181       179,319  

6.63%, 06/15/25(m)

      30       31,500  

5.00%, 01/31/28

      181       171,950  

Vistra Energy Corp., 7.63%, 11/01/24

      124       131,750  
     

 

 

 
    6,378,125  
Industrial Conglomerates — 0.2%  

Algeco Global Finance PLC, 6.50%, 02/15/23

    EUR       100       116,304  

BWX Technologies, Inc., 5.38%, 07/15/26(c)

    USD       209       213,180  

Colfax Corp., 3.25%, 05/15/25

    EUR       100       114,101  

Vertiv Group Corp., 9.25%, 10/15/24(c)(f)

    USD       541       541,000  
     

 

 

 
    984,585  
Insurance — 1.7%  

Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(c)

      58       59,377  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 8.25%, 08/01/23(c)

      1,155       1,193,259  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(f)

      360       353,598  

American International Group, Inc., 3.75%, 07/10/25(f)

      2,705       2,648,518  

AmWINS Group, Inc., 7.75%, 07/01/26(c)

      135       138,375  

Aon PLC, 3.88%, 12/15/25(f)

      1,115       1,133,958  

Assicurazioni Generali SpA(h):

     

(3 mo. EURIBOR + 7.11%), 7.75%, 12/12/42

    EUR       100       134,788  

(3 mo. EURIBOR + 5.35%), 5.50%, 10/27/47

      100       123,584  

Caisse Nationale de Reassurance Mutuelle Agricole Groupama, 6.00%, 01/23/27

      100       135,192  

Forethought Financial Group, Inc., 8.63%, 04/15/21(c)(f)

    USD       750       823,163  

HUB International Ltd., 7.00%, 05/01/26(c)(f)

      814       797,720  

Lincoln National Corp., 3.35%, 03/09/25(f)

      845       828,299  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (3 mo. EURIBOR + 3.50%), 6.00%, 05/26/41(h)

    EUR       400       508,860  

Nationstar Mortgage Holdings, Inc.(c):

     

8.13%, 07/15/23

    USD       249       253,357  

9.13%, 07/15/26

      144       147,240  
 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Insurance (continued)  

Nationwide Building Society, 4.13%, 10/18/32(c)(e)(f)

    USD       595     $ 543,431  

USIS Merger Sub, Inc., 6.88%, 05/01/25(c)

      63       61,267  
     

 

 

 
    9,883,986  
Interactive Media & Services — 0.5%  

Equinix, Inc., 5.88%, 01/15/26(f)

      869       910,278  

Match Group, Inc., 5.63%, 02/15/29(c)

      177       176,004  

Netflix, Inc.:

     

4.38%, 11/15/26

      127       121,841  

5.88%, 11/15/28(c)(f)

      601       625,972  

4.63%, 05/15/29

    EUR       100       120,456  

Rackspace Hosting, Inc., 8.63%, 11/15/24(c)(f)

    USD       154       134,750  

Symantec Corp., 5.00%, 04/15/25(c)

      385       383,746  

Uber Technologies, Inc., 7.50%, 11/01/23(c)(f)

      276       282,210  

United Group BV, 4.38%, 07/01/22

    EUR       126       145,385  
     

 

 

 
    2,900,642  
IT Services — 0.8%  

Banff Merger Sub, Inc.:

     

8.38%, 09/01/26

      110       123,520  

9.75%, 09/01/26(c)

    USD       1,497       1,450,219  

First Data Corp.(c):

     

5.00%, 01/15/24

      180       184,727  

5.75%, 01/15/24(f)

      2,024       2,083,607  

Gartner, Inc., 5.13%, 04/01/25(c)

      174       175,305  

InterXion Holding NV, 4.75%, 06/15/25

    EUR       100       120,336  

WEX, Inc., 4.75%, 02/01/23(c)

    USD       177       175,673  

Xerox Corp.:

     

4.80%, 03/01/35

      336       269,640  

6.75%, 12/15/39

      50       47,625  
   

 

 

 
    4,630,652  
Leisure Products — 0.1%  

Mattel, Inc.:

     

6.75%, 12/31/25(c)

      490       482,038  

6.20%, 10/01/40

      68       54,995  

5.45%, 11/01/41

      40       30,600  
     

 

 

 
    567,633  
Machinery — 0.5%  

Colfax Corp.(c):

     

6.00%, 02/15/24

      544       561,680  

6.38%, 02/15/26

      270       281,475  

Mueller Water Products, Inc., 5.50%, 06/15/26(c)

      233       234,747  

Platin 1426 GmbH, 5.38%, 06/15/23

    EUR       109       118,093  

RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(c)

    USD       353       345,940  

SPX FLOW, Inc.(c):

     

5.63%, 08/15/24

      206       206,000  

5.88%, 08/15/26

      89       89,223  

Terex Corp., 5.63%, 02/01/25(c)(f)

      758       737,155  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(c)(f)

      512       448,000  

Wabash National Corp., 5.50%, 10/01/25(c)

      241       222,322  
   

 

 

 
    3,244,635  
Media — 7.2%  

Altice Financing SA(c):

     

6.63%, 02/15/23

      440       449,900  

7.50%, 05/15/26(f)

      309       298,957  

Altice France SA(c):

     

7.38%, 05/01/26(f)

      1,504       1,475,800  

8.13%, 02/01/27

      1,095       1,100,475  

Altice Luxembourg SA, 7.75%, 05/15/22(c)(f)

      1,065       1,058,344  

AMC Networks, Inc., 4.75%, 08/01/25

      542       526,587  

Cablevision Systems Corp., 8.00%, 04/15/20

      125       130,938  

CBS Radio, Inc., 7.25%, 11/01/24(c)

      15       14,850  
Security     Par
(000)
    Value  
Media (continued)  

CCO Holdings LLC/CCO Holdings Capital Corp.:

     

5.13%, 02/15/23(f)

    USD       270     $ 274,388  

4.00%, 03/01/23(c)(f)

      670       661,625  

5.13%, 05/01/23(c)

      375       381,600  

5.13%, 05/01/27(c)

      2,133       2,099,235  

5.88%, 05/01/27(c)

      349       358,488  

5.00%, 02/01/28(c)

      266       255,859  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25(f)

      2,425       2,513,452  

Clear Channel International BV, 8.75%, 12/15/20(c)(f)

      560       573,300  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22(f)

      1,197       1,222,436  

9.25%, 02/15/24(c)

      1,962       2,057,647  

Series B, 7.63%, 03/15/20(f)

      1,175       1,175,587  

Series B, 6.50%, 11/15/22(f)

      1,570       1,605,325  

Comcast Corp., 3.95%, 10/15/25(f)

      3,000       3,090,600  

CSC Holdings LLC:

     

6.75%, 11/15/21

      187       199,155  

5.38%, 07/15/23(c)(f)

      1,109       1,139,719  

5.25%, 06/01/24

      553       552,812  

7.75%, 07/15/25(c)(f)

      476       508,130  

6.63%, 10/15/25(c)(f)

      235       247,925  

10.88%, 10/15/25(c)(f)

      1,614       1,872,240  

5.50%, 05/15/26(c)(f)

      790       798,887  

5.38%, 02/01/28(c)

      200       196,500  

6.50%, 02/01/29(c)

      1,022       1,069,278  

Series 144S, 5.13%, 12/15/21(c)

      493       494,548  

Discovery Communications LLC(f):

     

3.25%, 04/01/23

      1,490       1,454,700  

3.45%, 03/15/25

      170       163,151  

DISH DBS Corp.:

     

6.75%, 06/01/21

      461       471,372  

5.88%, 07/15/22(f)

      902       861,410  

5.00%, 03/15/23

      358       318,620  

5.88%, 11/15/24

      217       182,757  

DKT Finance ApS, 7.00%, 06/17/23

    EUR       158       193,780  

Getty Images, Inc., 9.75%, 03/01/27(c)

    USD       79       79,593  

Gray Television, Inc., 7.00%, 05/15/27(c)

      237       250,628  

Hughes Satellite Systems Corp.:

     

7.63%, 06/15/21

      93       99,743  

5.25%, 08/01/26(f)

      177       173,018  

Inmarsat Finance PLC, 4.88%, 05/15/22(c)

      250       250,000  

Intelsat Jackson Holdings SA:

     

5.50%, 08/01/23(f)

      994       907,025  

8.50%, 10/15/24(c)(f)

      969       978,399  

9.75%, 07/15/25(c)

      755       783,312  

Lamar Media Corp., 5.75%, 02/01/26(c)

      124       129,735  

Level 3 Parent LLC, 5.75%, 12/01/22

      405       409,556  

Live Nation Entertainment, Inc., 4.88%, 11/01/24(c)

      29       28,783  

MDC Partners, Inc., 6.50%, 05/01/24(c)

      371       321,379  

Meredith Corp., 6.88%, 02/01/26(g)

      154       159,051  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 08/15/23(c)

      233       243,184  

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 04/15/22(c)

      440       438,900  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.88%, 03/15/25

      54       55,366  

Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(c)

      146       140,708  

Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(c)

      60       58,200  
 

 

 

32    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Media (continued)  

Sirius XM Radio, Inc., 5.00%, 08/01/27(c)

    USD       332     $ 324,530  

TEGNA, Inc.:

     

5.13%, 10/15/19

      105       105,263  

5.50%, 09/15/24(c)

      66       65,258  

Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(c)

      400       385,000  

Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27

    EUR       90       109,898  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24(c)

    USD       241       259,075  

Tribune Media Co., 5.88%, 07/15/22

      302       307,285  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 3.50%, 01/15/27

    EUR       100       119,574  

Univision Communications, Inc.(c):

     

5.13%, 05/15/23(f)

    USD       301       273,158  

5.13%, 02/15/25

      133       116,375  

UPCB Finance IV Ltd.:

     

5.38%, 01/15/25(c)

      200       204,500  

4.00%, 01/15/27

    EUR       90       107,110  

Videotron Ltd., 5.13%, 04/15/27(c)

    USD       439       445,585  

Virgin Media Finance PLC, 5.75%, 01/15/25(c)(f)

      855       850,725  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24

    GBP       100       132,649  

Virgin Media Secured Finance PLC:

     

5.13%, 01/15/25

      100       134,969  

5.25%, 01/15/26(c)(f)

    USD       355       355,369  

5.50%, 08/15/26(c)(f)

      200       199,000  

Ziggo Bond Co. BV, 5.88%, 01/15/25(c)(f)

      470       456,934  

Ziggo BV:

     

4.25%, 01/15/27

    EUR       100       116,992  

5.50%, 01/15/27(c)

    USD       300       289,500  
   

 

 

 
    42,915,706  
Metals & Mining — 1.8%  

Alcoa Nederland Holding BV, 6.13%, 05/15/28(c)

      200       204,750  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(c)

      221       229,011  

Cleveland-Cliffs, Inc., 4.88%, 01/15/24(c)

      188       187,530  

Constellium NV(c):

     

5.75%, 05/15/24

      500       489,800  

6.63%, 03/01/25(f)

      573       577,297  

5.88%, 02/15/26

      250       243,125  

Freeport-McMoRan, Inc.:

     

4.00%, 11/14/21

      240       240,000  

3.55%, 03/01/22

      693       685,204  

3.88%, 03/15/23

      1,394       1,373,759  

4.55%, 11/14/24

      368       364,320  

5.40%, 11/14/34

      161       146,913  

5.45%, 03/15/43

      1,411       1,238,152  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(c)

      608       608,760  

Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22(c)

      135       141,581  

Kaiser Aluminum Corp., 5.88%, 05/15/24

      112       114,520  

Nexa Resources SA, 5.38%, 05/04/27(c)

      237       239,228  

Novelis Corp.(c):

     

6.25%, 08/15/24

      769       774,767  

5.88%, 09/30/26

      502       489,450  

Steel Dynamics, Inc.:

     

5.25%, 04/15/23(f)

      200       203,500  

5.50%, 10/01/24

      56       57,540  

4.13%, 09/15/25

      324       315,038  

5.00%, 12/15/26

      15       15,263  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 06/15/25(c)

      95       96,663  
Security     Par
(000)
    Value  
Metals & Mining (continued)  

Teck Resources Ltd.:

     

4.50%, 01/15/21

    USD       21     $ 21,263  

8.50%, 06/01/24(c)(f)

      1,191       1,278,836  

thyssenkrupp AG, 2.88%, 02/22/24

    EUR       164       186,542  

United States Steel Corp.:

     

6.88%, 08/15/25

    USD       230       226,550  

6.25%, 03/15/26

      57       53,936  

Vale Overseas Ltd., 6.25%, 08/10/26

      188       198,528  
   

 

 

 
    11,001,826  
Multi-Utilities — 0.3%  

Brooklyn Union Gas Co., 3.41%, 03/10/26(c)(f)

      1,475       1,442,900  

NGL Energy Partners LP/NGL Energy Finance Corp., 5.13%, 07/15/19

      144       144,763  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(c)

      314       314,000  
   

 

 

 
    1,901,663  
Offshore Drilling & Other Services — 0.1%  

Entegris, Inc., 4.63%, 02/10/26(c)

      190       186,675  

Lam Research Corp.(g):

     

3.75%, 03/15/26

      50       50,034  

4.00%, 03/15/29

      90       90,024  
   

 

 

 
    326,733  
Oil, Gas & Consumable Fuels — 7.3%  

Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25%, 12/01/27

      185       181,796  

Antero Midstream Partners LP/Antero Midstream Finance Corp.:

     

5.38%, 09/15/24

      55       55,000  

5.75%, 03/01/27(c)

      119       119,893  

Antero Resources Corp.:

     

5.13%, 12/01/22

      76       76,122  

5.63%, 06/01/23

      104       104,260  

5.00%, 03/01/25

      289       277,440  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(c):

     

10.00%, 04/01/22

      239       257,523  

7.00%, 11/01/26

      139       134,135  

Berry Petroleum Co. LLC, 7.00%, 02/15/26(c)

      312       311,220  

Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., 6.88%, 02/01/25

      160       162,200  

Bruin E&P Partners LLC, 8.88%, 08/01/23(c)

      425       415,437  

California Resources Corp., 8.00%, 12/15/22(c)(f)

      909       726,064  

Callon Petroleum Co.:

     

6.13%, 10/01/24

      202       203,515  

Series WI, 6.38%, 07/01/26

      162       162,000  

Carrizo Oil & Gas, Inc.:

     

6.25%, 04/15/23(f)

      276       272,205  

8.25%, 07/15/25

      365       381,425  

Chaparral Energy, Inc., 8.75%, 07/15/23(c)

      276       173,880  

Cheniere Corpus Christi Holdings LLC:

     

7.00%, 06/30/24

      623       689,972  

5.88%, 03/31/25

      313       333,348  

5.13%, 06/30/27(f)

      929       947,580  

Cheniere Energy Partners LP, 5.63%, 10/01/26(c)

      162       165,038  

Chesapeake Energy Corp.:

     

6.63%, 08/15/20

      349       357,725  

4.88%, 04/15/22

      97       93,120  

7.00%, 10/01/24(f)

      413       407,837  

8.00%, 01/15/25(f)

      272       276,420  

8.00%, 06/15/27

      1,018       1,007,820  

CNX Resources Corp., 5.88%, 04/15/22(f)

      2,828       2,856,280  

Comstock Resources, Inc., 9.75%, 08/15/26(c)

      185       171,472  
 

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

CONSOL Energy, Inc., 11.00%, 11/15/25(c)(f)

    USD       632     $ 718,900  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(c)

      327       304,110  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 04/01/23

      21       21,557  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(c)(f)

      1,170       1,133,437  

DCP Midstream Operating LP:

     

4.75%, 09/30/21(c)

      80       81,400  

5.38%, 07/15/25

      307       319,280  

6.45%, 11/03/36(c)

      226       227,695  

6.75%, 09/15/37(c)

      373       380,460  

Denbury Resources, Inc., 9.25%, 03/31/22(c)

      414       415,035  

Diamond Offshore Drilling, Inc.:

     

7.88%, 08/15/25

      123       116,235  

5.70%, 10/15/39

      31       20,925  

4.88%, 11/01/43

      286       178,750  

Diamondback Energy, Inc.:

     

4.75%, 11/01/24

      109       110,226  

4.75%, 11/01/24(c)

      150       151,688  

5.38%, 05/31/25

      310       320,850  

Enbridge, Inc., 6.25%, 03/01/78(e)

      1,565       1,539,381  

Endeavor Energy Resources LP/EER Finance, Inc.(c):

     

5.50%, 01/30/26

      650       680,875  

5.75%, 01/30/28

      277       295,005  

EnLink Midstream Partners LP:

     

4.40%, 04/01/24

      240       233,100  

4.15%, 06/01/25

      24       22,860  

4.85%, 07/15/26

      108       105,705  

5.60%, 04/01/44

      108       95,310  

5.05%, 04/01/45

      147       124,215  

5.45%, 06/01/47

      208       183,560  

Ensco Jersey Finance Ltd., 3.00%, 01/31/24(n)

      734       591,332  

Ensco PLC, 5.75%, 10/01/44

      30       19,275  

EP Energy LLC/Everest Acquisition Finance, Inc.:

     

9.38%, 05/01/20

      8       6,240  

7.75%, 05/15/26(c)(f)

      428       379,315  

Extraction Oil & Gas, Inc.(c):

     

7.38%, 05/15/24

      108       96,660  

5.63%, 02/01/26

      511       424,130  

Genesis Energy LP/Genesis Energy Finance Corp.:

     

6.50%, 10/01/25

      95       90,963  

6.25%, 05/15/26

      158       146,150  

Geopark Ltd., 6.50%, 09/21/24(c)

      200       195,000  

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

      867       745,620  

Gulfport Energy Corp.:

     

6.63%, 05/01/23

      77       75,460  

6.38%, 01/15/26

      113       99,158  

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

      417       311,707  

Hess Corp., 4.30%, 04/01/27

      50       48,317  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26(c)

      246       247,230  

Impulsora Pipeline LLC, 6.05%, 12/31/42(a)(d)

      1,500       1,508,655  

Indigo Natural Resources LLC, 6.88%, 02/15/26(c)

      52       45,370  

Jagged Peak Energy LLC, 5.88%, 05/01/26(c)

      14       14,144  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(c)

      41       40,898  

Matador Resources Co., 5.88%, 09/15/26

      342       340,290  

MEG Energy Corp., 6.50%, 01/15/25(c)(f)

      502       493,215  

Nabors Industries, Inc.:

     

5.00%, 09/15/20

      46       46,173  

5.75%, 02/01/25

      155       137,175  
Security     Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(c)

    USD       74     $ 71,595  

NGPL PipeCo LLC(c):

     

4.88%, 08/15/27

      428       430,541  

7.77%, 12/15/37(f)

      417       497,794  

Noble Holding International Ltd.:

     

7.75%, 01/15/24

      122       108,580  

7.88%, 02/01/26(c)(f)

      811       758,285  

5.25%, 03/15/42

      118       73,160  

Northern Oil and Gas, Inc., (8.50% Cash or 1.00% PIK), 9.50%, 05/15/23(j)

      297       304,133  

Oasis Petroleum, Inc.:

     

6.88%, 03/15/22

      278       277,652  

6.88%, 01/15/23

      116       115,275  

6.25%, 05/01/26(c)

      307       292,417  

Odebrecht Offshore Drilling Finance(c):

     

6.72%, 12/01/22

    BRL       76       71,620  

7.72%, 12/01/26(j)

      8       2,120  

Pacific Drilling SA, 8.38%, 10/01/23(c)

    USD       853       857,265  

Parsley Energy LLC/Parsley Finance Corp.(c):

     

6.25%, 06/01/24

      139       142,475  

5.38%, 01/15/25

      316       316,790  

5.25%, 08/15/25

      77       76,207  

5.63%, 10/15/27

      328       324,720  

PBF Holding Co. LLC/ PBF Finance Corp., 7.25%, 06/15/25

      212       217,406  

PDC Energy, Inc.:

     

1.13%, 09/15/21(n)

      888       831,484  

6.13%, 09/15/24

      38       37,620  

5.75%, 05/15/26

      151       144,960  

Petrobras Global Finance BV:

     

6.13%, 01/17/22

      114       120,270  

5.30%, 01/27/25

      152       152,874  

8.75%, 05/23/26

      176       207,803  

6.00%, 01/27/28

      189       189,945  

Petroleos Mexicanos:

     

5.38%, 03/13/22

      39       38,922  

6.50%, 03/13/27

      117       112,964  

Precision Drilling Corp., 7.13%, 01/15/26(c)

      46       45,195  

QEP Resources, Inc.:

     

6.88%, 03/01/21

      456       471,390  

5.38%, 10/01/22(f)

      377       370,402  

5.25%, 05/01/23

      160       154,000  

5.63%, 03/01/26(f)

      390       365,625  

Range Resources Corp.:

     

5.88%, 07/01/22

      52       52,520  

5.00%, 08/15/22

      60       59,175  

5.00%, 03/15/23

      51       49,279  

4.88%, 05/15/25

      108       98,921  

Resolute Energy Corp., 8.50%, 05/01/20

      412       413,030  

Rowan Cos., Inc., 4.88%, 06/01/22

      326       303,791  

Sanchez Energy Corp.(f):

     

7.75%, 06/15/21

      656       104,960  

7.25%, 02/15/23(c)

      117       100,913  

SESI LLC, 7.13%, 12/15/21

      85       78,625  

Seven Generations Energy Ltd.(c):

     

6.88%, 06/30/23

      94       96,585  

5.38%, 09/30/25

      232       223,300  

SM Energy Co.:

     

6.13%, 11/15/22

      42       41,790  

5.00%, 01/15/24

      267       251,314  

5.63%, 06/01/25(f)

      414       387,090  

6.75%, 09/15/26

      122       116,815  

6.63%, 01/15/27

      93       88,583  
 

 

 

34    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Southwestern Energy Co.:

     

6.20%, 01/23/25

    USD       120     $ 118,764  

7.50%, 04/01/26

      40       41,500  

7.75%, 10/01/27

      336       347,881  

Sunoco Logistics Partners Operations LP, 3.90%, 07/15/26(f)

      235       228,124  

Sunoco LP/Sunoco Finance Corp.:

     

4.88%, 01/15/23

      313       316,912  

5.50%, 02/15/26

      104       103,303  

5.88%, 03/15/28

      124       122,140  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(c):

     

4.75%, 10/01/23

      26       25,935  

5.50%, 09/15/24(f)

      462       471,956  

5.50%, 01/15/28(f)

      1,012       1,009,470  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

     

5.25%, 05/01/23

      15       15,206  

5.13%, 02/01/25

      177       177,885  

5.88%, 04/15/26(c)

      314       326,560  

6.50%, 07/15/27(c)

      324       342,630  

5.00%, 01/15/28

      470       456,487  

6.88%, 01/15/29(c)

      678       721,646  

Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(f)

      280       276,361  

Transocean Pontus Ltd., 6.13%, 08/01/25(c)

      200       201,389  

Transocean Poseidon Ltd., 6.88%, 02/01/27(c)

      428       439,770  

Transocean, Inc., 7.25%, 11/01/25(c)

      354       338,070  

Vantage Drilling International, 9.25%, 11/15/23(c)

      132       134,310  

Weatherford International Ltd., 5.13%, 09/15/20(f)

      220       183,700  

Whiting Petroleum Corp., 6.63%, 01/15/26

      343       336,140  

WPX Energy, Inc.:

     

6.00%, 01/15/22

      44       45,430  

8.25%, 08/01/23

      103       115,489  

5.25%, 09/15/24

      84       83,685  

YPF SA, 8.50%, 07/28/25

      250       244,950  
   

 

 

 
    43,077,636  
Paper & Forest Products — 0.0%  

Norbord, Inc., 6.25%, 04/15/23(c)

      152       155,420  
   

 

 

 
Personal Products — 0.0%  

Coty, Inc., 6.50%, 04/15/26(c)

      200       192,740  
   

 

 

 
Pharmaceuticals — 2.8%  

AbbVie, Inc., 3.60%, 05/14/25(f)

      695       683,173  

Allergan Funding SCS, 3.45%, 03/15/22(f)

      2,460       2,449,400  

Bausch Health Americas, Inc.(c):

     

8.50%, 01/31/27(f)(g)

      1,163       1,208,066  

9.25%, 04/01/26

      218       234,895  

Bausch Health Cos., Inc.:

     

5.63%, 12/01/21(c)

      26       26,039  

6.50%, 03/15/22(c)

      345       357,506  

5.50%, 03/01/23(c)

      481       478,595  

4.50%, 05/15/23

    EUR       346       396,465  

5.88%, 05/15/23(c)(f)

    USD       859       854,705  

7.00%, 03/15/24(c)

      476       501,585  

6.13%, 04/15/25(c)(f)

      984       947,100  

5.50%, 11/01/25(c)(f)

      1,164       1,174,185  

9.00%, 12/15/25(c)

      418       447,783  

5.75%, 08/15/27(c)(g)

      181       182,584  

Charles River Laboratories International, Inc., 5.50%, 04/01/26(c)

      365       379,600  
Security     Par
(000)
    Value  
Pharmaceuticals (continued)  

CVS Health Corp.(f):

     

4.75%, 12/01/22

    USD       165     $ 172,289  

4.10%, 03/25/25

      2,355       2,386,356  

Elanco Animal Health, Inc., 4.90%, 08/28/28(c)

      187       194,227  

Endo DAC/Endo Finance LLC/Endo Finco, Inc.(c):

     

6.00%, 07/15/23

      200       165,750  

5.88%, 10/15/24(f)

      205       205,000  

Endo Finance LLC, 5.75%, 01/15/22(c)

      502       469,370  

Endo Finance LLC/Endo Finco, Inc.(c):

     

7.25%, 01/15/22

      163       156,429  

5.38%, 01/15/23

      65       53,584  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(c)

      1,567       1,578,753  

MEDNAX, Inc., 6.25%, 01/15/27(c)

      444       446,464  

Nidda BondCo GmbH, 7.25%, 09/30/25

    EUR       100       115,906  

Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24(c)

    USD       162       169,290  
   

 

 

 
    16,435,099  
Real Estate — 0.0%  

Prologis LP, 3.75%, 11/01/25(f)

      255       261,459  
   

 

 

 
Real Estate Management & Development — 0.1%  

ADLER Real Estate AG:

     

1.88%, 04/27/23

    EUR       100       112,525  

3.00%, 04/27/26

      100       112,290  

Greystar Real Estate Partners LLC, 5.75%, 12/01/25(c)

    USD       174       174,832  

Howard Hughes Corp., 5.38%, 03/15/25(c)

      186       183,675  

Newmark Group, Inc., 6.13%, 11/15/23(c)

      106       106,570  

Residomo SRO, 3.38%, 10/15/24

    EUR       100       114,873  
   

 

 

 
    804,765  
Road & Rail — 0.8%  

Avis Budget Finance PLC, 4.75%, 01/30/26

      100       114,607  

Flexi-Van Leasing, Inc., 10.00%, 02/15/23(c)

    USD       169       142,805  

Herc Rentals, Inc.(c):

     

7.50%, 06/01/22

      112       116,760  

7.75%, 06/01/24

      106       113,054  

Hertz Corp., 7.63%, 06/01/22(c)

      325       332,313  

Hertz Holdings Netherlands BV, 5.50%, 03/30/23

    EUR       100       116,190  

Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(c)(f)

    USD       3,000       3,060,000  

United Rentals North America, Inc.:

     

4.63%, 07/15/23

      160       163,080  

4.63%, 10/15/25

      383       372,468  

5.88%, 09/15/26

      52       53,170  
   

 

 

 
    4,584,447  
Semiconductors & Semiconductor Equipment — 0.8%  

Advanced Micro Devices, Inc., 7.50%, 08/15/22

      73       81,030  

Analog Devices, Inc.(f):

     

3.90%, 12/15/25

      375       374,906  

3.50%, 12/05/26

      275       264,336  

Applied Materials, Inc., 3.90%, 10/01/25(f)

      285       293,857  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.63%, 01/15/24(f)

      1,515       1,471,289  

Qorvo, Inc., 5.50%, 07/15/26(c)

      422       429,385  

QUALCOMM, Inc., 3.45%, 05/20/25(f)

      1,570       1,543,581  

Sensata Technologies BV(c):

     

5.63%, 11/01/24

      179       187,950  

5.00%, 10/01/25(f)

      324       327,240  
   

 

 

 
    4,973,574  
 

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Software — 2.1%  

ACI Worldwide, Inc., 5.75%, 08/15/26(c)

    USD       696     $ 716,010  

CA, Inc., 3.60%, 08/15/22(f)

      555       551,616  

CDK Global, Inc., 4.88%, 06/01/27

      713       700,672  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(c)(f)

      1,085       1,185,362  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 05/01/21(c)(f)(j)

      545       547,180  

Infor US, Inc., 6.50%, 05/15/22(f)

      2,649       2,701,371  

Informatica LLC, 7.13%, 07/15/23(c)(f)

      1,695       1,716,391  

Nuance Communications, Inc.:

     

5.38%, 08/15/20(c)(f)

      24       24,000  

6.00%, 07/01/24

      144       148,680  

5.63%, 12/15/26

      143       145,860  

PTC, Inc., 6.00%, 05/15/24

      227       237,465  

RP Crown Parent LLC, 7.38%, 10/15/24(c)

      498       510,450  

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

      1,838       1,991,932  

Sophia LP/Sophia Finance, Inc., 9.00%, 09/30/23(c)(f)

      246       253,995  

TIBCO Software, Inc., 11.38%, 12/01/21(c)

      784       833,000  
   

 

 

 
    12,263,984  
Specialty Retail — 0.3%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24

      334       339,010  

Catalent Pharma Solutions, Inc., 4.88%, 01/15/26(c)

      324       320,760  

Group 1 Automotive, Inc.:

     

5.00%, 06/01/22(f)

      155       155,775  

5.25%, 12/15/23(c)

      18       17,955  

L Brands, Inc.:

     

6.88%, 11/01/35(f)

      401       345,863  

6.75%, 07/01/36

      71       59,995  

Penske Automotive Group, Inc., 5.50%, 05/15/26

      32       31,398  

PVH Corp., 3.13%, 12/15/27

    EUR       100       112,938  

Tendam Brands SAU, 5.00%, 09/15/24

      100       113,176  
   

 

 

 
    1,496,870  
Technology Hardware, Storage & Peripherals — 0.4%  

Dell International LLC/EMC Corp.(c)(f):

     

4.42%, 06/15/21

    USD       40       40,722  

7.13%, 06/15/24

      931       987,945  

6.02%, 06/15/26

      135       143,228  

8.35%, 07/15/46

      80       93,612  

Hewlett Packard Enterprise Co., 4.90%, 10/15/25(f)

      375       390,369  

Western Digital Corp., 4.75%, 02/15/26(f)

      792       748,440  
   

 

 

 
    2,404,316  
Textiles, Apparel & Luxury Goods — 0.0%  

SMCP Group SAS, 5.88%, 05/01/23

    EUR       49       57,215  

William Carter Co., 5.63%, 03/15/27(c)(g)

    USD       160       159,000  
   

 

 

 
    216,215  
Thrifts & Mortgage Finance — 0.1%  

Jerrold Finco PLC, 6.25%, 09/15/21

    GBP       100       133,232  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(c):

     

5.25%, 03/15/22

    USD       23       23,345  

5.25%, 10/01/25

      284       266,960  
   

 

 

 
    423,537  
Transportation Infrastructure — 0.1%  

Rumo Luxembourg Sarl, 7.38%, 02/09/24(c)

      293       313,510  

Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(c)(f)

      435       431,420  
   

 

 

 
    744,930  
Security     Par
(000)
    Value  
Utilities — 0.2%  

ContourGlobal Power Holdings SA, 3.38%, 08/01/23

    EUR       100     $ 114,603  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(c)

    USD       293       267,362  

Stoneway Capital Corp., 10.00%, 03/01/27(c)(f)

      282       279,922  

Vistra Operations Co. LLC(c):

     

5.50%, 09/01/26

      112       116,200  

5.63%, 02/15/27

      522       537,660  
   

 

 

 
    1,315,747  
Wireless Telecommunication Services — 2.1%  

Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24(c)

      1,273       1,311,190  

CoreCivic, Inc., 4.75%, 10/15/27

      169       147,030  

CyrusOne LP/CyrusOne Finance Corp., 5.38%, 03/15/27

      112       113,960  

Equinix, Inc., 2.88%, 10/01/25

    EUR       100       116,715  

Iron Mountain, Inc., 3.00%, 01/15/25

      100       112,890  

Matterhorn Telecom SA, 3.88%, 05/01/22

      100       113,456  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(c)

    USD       137       128,780  

Rogers Communications, Inc., 5.00%, 03/15/44(f)

      545       577,344  

SBA Communications Corp.:

     

4.00%, 10/01/22

      401       396,990  

4.88%, 09/01/24(f)

      1,037       1,035,704  

Sprint Capital Corp., 6.90%, 05/01/19

      135       135,337  

Sprint Communications, Inc., 7.00%, 03/01/20(c)(f)

      904       933,380  

Sprint Corp.(f):

     

7.88%, 09/15/23

      1,290       1,380,635  

7.13%, 06/15/24

      1,957       2,015,710  

7.63%, 02/15/25

      207       216,832  

7.63%, 03/01/26

      1,442       1,496,075  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(c)(f)

      358       355,266  

T-Mobile USA, Inc.:

     

4.00%, 04/15/22

      197       197,492  

6.38%, 03/01/25

      282       293,456  

6.50%, 01/15/26

      227       242,606  

4.50%, 02/01/26(f)

      536       527,955  

4.75%, 02/01/28(f)

      599       581,719  

Wind Tre SpA, 3.13%, 01/20/25

    EUR       100       104,485  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 06/01/22(c)(j)

    USD       134       138,386  
   

 

 

 
    12,673,393  
 

 

 

 

Total Corporate Bonds — 61.3%
(Cost — $368,042,142)

 

    366,372,246  
 

 

 

 

Floating Rate Loan Interests(d) — 40.0%

 

Aerospace & Defense — 0.9%

 

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 08/18/24

      1,349       1,348,039  

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.27%, 11/29/25(a)

      397       399,481  

DAE Aviation Holdings, Inc.:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 07/07/22

      158       158,157  

2019 Term Loan B, 01/23/26(o)

      1,050       1,052,746  

Term Loan, 01/23/26(o)

      565       565,992  

TransDigm, Inc., 2018 Term Loan F, 06/09/23(o)

      1,756       1,734,166  

WP CPP Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.51%, 04/30/25

      189       187,741  
   

 

 

 
    5,446,322  
 

 

 

36    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Air Freight & Logistics — 0.1%  

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 01/15/25(o)

    USD       402     $ 426,041  

XPO Logistics, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 02/24/25

      406       402,393  
   

 

 

 
    828,434  
Airlines — 0.1%  

American Airlines, Inc.(o):

     

2017 1st Lien Term Loan, 1.00%, 10/12/21

      442       439,640  

Repriced TL B due 2023, 1.00%, 04/28/23

      184       181,520  
   

 

 

 
    621,160  
Auto Components — 0.2%  

USI, Inc., 2017 Repriced Term Loan, 05/16/24(o)

      742       735,022  

Wand NewCo 3, Inc., 2019 1st Lien Term Loan, 02/05/26(o)

      489       490,100  
   

 

 

 
    1,225,122  
Banks — 0.1%  

Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.99%, 11/01/24

      678       667,414  
   

 

 

 
Beverages — 0.0%  

Jacobs Douwe Egberts International BV, 2018 USD Term Loan B, (1 mo. LIBOR + 2.00%), 4.56%, 11/01/25

      255       252,917  
   

 

 

 
Building Materials — 0.1%  

Allied Universal HoldCo LLC, 2015 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 07/28/22

      226       221,885  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (1 mo. LIBOR + 8.50%, 1.00% Floor), 10.99%, 07/28/23

      205       197,613  
   

 

 

 
    419,498  
Building Products — 0.3%  

CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 6.63%, 05/05/24(a)

      475       471,584  

Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 4.80%, 12/14/24

      405       398,232  

Wilsonart LLC, 2017 Term Loan B, 12/19/23(o)

      727       721,648  
     

 

 

 
    1,591,464  
Capital Markets — 0.4%  

Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 02/13/25

      408       399,728  

Fortress Investment Group LLC, 2018 Term Loan B, 12/27/22(o)

      534       529,820  

Greenhill & Co., Inc., 1st Lien Term Loan, (2 mo. LIBOR + 3.75%, 1.00% Floor), 6.54%, 10/12/22

      400       401,313  

RPI Finance Trust, Term Loan B6, (1 mo. LIBOR + 2.00%), 4.49%, 03/27/23

      831       828,892  
     

 

 

 
    2,159,753  
Chemicals — 1.8%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.80%, 01/31/24

      1,636       1,606,792  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 4.55%, 06/01/24

      1,158       1,145,057  

Charter NEX US Holdings, Inc., 2017 Term Loan B, 05/16/24(o)

      548       535,319  

Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.25%, 04/03/25

      666       658,513  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, 06/28/24(o)

      263       260,344  
Security     Par
(000)
    Value  
Chemicals (continued)  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 11/07/24

    USD       332     $ 327,776  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 6.53%, 07/09/19

      100       94,361  

Invictus US LLC:

     

1st Lien Term Loan, 03/28/25(o)

      614       611,785  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.24%, 03/25/26(a)

      135       133,650  

Messer Industries LLC, 2018 USD Term Loan, 10/01/25(o)

      1,505       1,493,713  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 6.06%, 10/14/24

      1,192       1,186,799  

Plaskolite LLC, 1st Lien Term Loan, 12/12/25(o)

      377       377,923  

PQ Corp., 2018 Term Loan B, 02/08/25(o)

      1,078       1,070,193  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 5.76%, 10/01/25

      525       521,393  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.56%, 08/07/20

      476       472,660  

Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 03/08/25

      317       302,911  
     

 

 

 
    10,799,189  
Commercial Services & Supplies — 2.5%  

Advanced Disposal Services, Inc., Term Loan B3, 11/10/23(o)

      1,069       1,067,398  

Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 4.24%, 03/11/25

      663       659,632  

Asurion LLC:

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.99%, 08/04/25

      731       741,812  

2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.49%, 08/04/22

      197       196,628  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.49%, 11/03/23

      1,371       1,370,168  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 5.49%, 11/03/24

      390       389,798  

BrightView Landscapes LLC, 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 5.00%, 08/15/25

      670       667,910  

Camelot UK Holdco Ltd., 2017 Repriced Term Loan, 10/03/23(o)

      1,726       1,718,457  

Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.74%, 05/20/24

      660       657,396  

Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.48%, 02/15/24

      1,056       1,047,440  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.55%, 05/09/25

      192       168,670  

GFL Environmental, Inc., 2018 USD Term Loan B, 05/30/25(o)

      1,150       1,129,238  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.55%, 11/03/23

      259       245,203  

KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.50%), 5.31%, 03/09/23(a)

      495       493,558  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 05/02/22

      1,471       1,465,840  

Verscend Holding Corp., 2018 Term Loan B, 08/27/25(a)(o)

      1,805       1,807,725  

West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 10/10/24

      1,072       1,012,642  

West Corporation, 2018 Term Loan B1, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.13%, 10/10/24

      100       93,171  
     

 

 

 
    14,932,686  
 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Communications Equipment — 0.4%  

Avantor, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.57%, 11/21/24

    USD       1,252     $ 1,254,352  

Avaya, Inc., 2018 Term Loan B, (1 mo. LIBOR + 4.25%), 6.85%, 12/15/24

      514       512,763  

Ciena Corp., 2018 Term Loan B, 09/26/25(o)

      449       448,777  
     

 

 

 
    2,215,892  
Construction & Engineering — 0.4%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 7.01%, 06/21/24

      1,102       1,074,948  

Pike Corp., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.00%, 03/23/25

      263       262,662  

Ply Gem Midco, Inc., 2018 Term Loan, (3 mo. LIBOR + 3.75%), 6.55%, 04/12/25

      130       125,946  

SRS Distribution, Inc., 2018 1st Lien Term Loan, 05/23/25(o)

      472       461,953  

USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 12/08/23

      405       399,333  
     

 

 

 
    2,324,842  
Construction Materials — 0.5%  

Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.74%, 08/01/24

      1,064       1,053,706  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 03/29/25

      1,413       1,407,308  

Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 08/13/25(a)

      273       267,360  

GYP Holdings III Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 06/01/25

      128       124,045  
     

 

 

 
    2,852,419  
Containers & Packaging — 0.5%  

Berry Global, Inc.:

     

2018 Term Loan S, (1 mo. LIBOR + 1.75%), 4.27%, 02/08/20

      194       194,081  

Term Loan Q, (2 mo. LIBOR + 2.00%), 4.61%, 10/01/22

      1,417       1,412,254  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 6.03%, 04/03/24

      688       673,673  

Flex Acquisition Co., Inc.:

     

1st Lien Term Loan, 12/29/23(o)

      268       262,702  

2018 Incremental Term Loan, (1 mo. LIBOR + 3.25%), 5.76%, 06/29/25

      643       632,321  
     

 

 

 
    3,175,031  
Distributors — 0.4%  

American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, 10/31/23(o)

      1,211       1,202,497  

TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 6.00%, 08/28/24

      1,315       1,136,727  
     

 

 

 
    2,339,224  
Diversified Consumer Services — 0.9%  

Ascend Learning LLC, 2017 Term Loan B, 07/12/24(a)(o)

      465       460,598  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (PRIME + 0.75%), 4.24%, 11/07/23

      599       593,624  

CHG PPC Parent LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 03/31/25(a)

      234       231,487  

Equian LLC, Add on Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 05/20/24

      544       536,474  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.55%, 07/12/25

      478       475,413  

Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.74%, 05/15/24

      423       414,290  
Security     Par
(000)
    Value  
Diversified Consumer Services (continued)  

Serta Simmons Bedding LLC:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.01%, 11/08/23

    USD       328     $ 272,525  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.49%, 11/08/24

      40       26,448  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 11/08/23

      398       396,495  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.03%, 11/14/22

      1,090       1,078,471  

Uber Technologies, 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.52%, 04/04/25

      433       432,825  

Weight Watchers International, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.75%), 7.56%, 11/29/24

      531       513,764  
     

 

 

 
    5,432,414  
Diversified Financial Services — 0.6%  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 04/04/24

      1,386       1,382,718  

CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 6.02%, 08/08/25

      249       243,410  

Edelman Financial Center LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 6.04%, 07/21/25

      253       252,474  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.81%, 02/07/25

      479       465,780  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 07/03/24

      673       668,537  

LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.99%, 09/06/25

      336       328,174  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 4.25%), 6.90%, 07/30/25

      248       245,273  
     

 

 

 
    3,586,366  
Diversified Telecommunication Services — 1.4%  

CenturyLink, Inc.:

     

2017 Term Loan A, (1 mo. LIBOR + 2.75%), 5.24%, 11/01/22

      514       511,831  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 01/31/25

      945       929,972  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.50%, 10/04/23

      137       133,529  

Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 5.25%, 03/31/21

      253       249,473  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 05/16/24

      554       546,908  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.73%, 02/22/24

      839       835,375  

MTN Infrastructure TopCo, Inc, 1st Lien Term Loan B, 11/15/24(o)

      726       720,764  

Sprint Communications, Inc.:

     

1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 5.00%, 02/02/24

      1,086       1,071,023  

2018 Term Loan B, 02/02/24(o)

      403       397,963  

TDC A/S, Term Loan, (EURIBOR + 2.75%), 2.75%, 06/04/25

    EUR       819       931,646  

Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.74%, 08/15/26

    USD       991       976,236  

Zayo Group LLC:

     

2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.74%, 01/19/24

      95       94,449  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.49%, 01/19/21

      765       762,003  
     

 

 

 
    8,161,172  
 

 

 

38    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Electric Utilities — 0.3%  

Dayton Power & Light Co., Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 08/24/22(a)

    USD       239     $ 238,054  

TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 08/04/23

      645       643,443  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/19(a)

      780        

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.49%, 12/31/25

      650       646,594  

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.74%, 12/14/23

      151       150,537  
     

 

 

 
    1,678,628  
Electrical Equipment — 0.2%  

Gates Global LLC, 2017 Repriced Term Loan B, 04/01/24(o)

      1,478       1,472,428  
     

 

 

 
Electronic Equipment, Instruments & Components — 0.0%  

Zebra Technologies Corporation, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.26%, 10/27/21

      125       125,186  
     

 

 

 
Energy Equipment & Services — 0.3%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.49%, 03/01/24

      327       259,020  

GrafTech Finance, Inc., 2018 Term Loan B, 02/12/25(o)

      672       669,380  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 10.23%, 11/08/22

      260       258,700  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 8.80%, 02/21/21

      268       223,371  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.50%), 4.80%, 07/13/20

      364       355,963  

Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.49%, 01/17/25

      288       278,161  
     

 

 

 
    2,044,595  
Equity Real Estate Investment Trusts (REITs) — 0.8%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 5.00%, 03/24/24

      245       240,813  

Iron Mountain, Inc., 2018 Term Loan B, 01/02/26(a)(o)

      680       666,942  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 03/21/25(o)

      1,741       1,730,570  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.78%, 05/11/24

      453       450,420  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 4.48%, 12/20/24

      1,873       1,860,793  
     

 

 

 
    4,949,538  
Food & Staples Retailing — 0.6%  

Albertsons LLC, Term Loan B7, (1 mo. LIBOR + 3.00%), 5.49%, 11/17/25

      679       673,648  

Hearthside Food Solutions LLC:

     

2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 6.49%, 05/23/25

      549       545,981  

2018 Term Loan B, (1 mo. LIBOR + 3.69%), 6.18%, 05/23/25

      273       268,977  

Hostess Brands LLC, 2017 Repriced Term Loan, 08/03/22(o)

      918       904,209  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 06/27/23

      1,067       1,060,168  
     

 

 

 
    3,452,983  
Security     Par
(000)
    Value  
Food Products — 0.8%  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, 10/01/25(o)

    USD       238     $ 238,298  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 10/10/23

      682       661,475  

JBS USA LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 5.30%, 10/30/22

      1,726       1,720,020  

Post Holdings, Inc., 2017 Series A Incremental Term Loan, 05/24/24(o)

      532       529,932  

Reynolds Group Holdings, Inc., 2017 Term Loan, 02/05/23(o)

      1,737       1,728,281  
     

 

 

 
    4,878,006  
Gas Utilities — 0.1%  

AL Midcoast Holdings LLC, 2018 Term Loan B, 07/31/25(o)

      543       538,060  
     

 

 

 
Health Care Equipment & Supplies — 0.7%  

Agiliti Health, Inc., Term Loan, 01/04/26(a)(o)

      263       262,671  

CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.05%, 11/14/24(a)

      659       658,949  

Immucor, Inc., Extended Term Loan B, 06/15/21(o)

      1,179       1,177,845  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.55%, 09/24/24

      277       265,212  

Orchid Orthopedic Solutions LLC, 1st Lien Term Loan, 02/26/26(a)(o)

      218       216,910  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, 06/30/25(o)

      1,361       1,346,113  
     

 

 

 
    3,927,700  
Health Care Providers & Services — 1.9%  

Acadia Healthcare Co., Inc., 2018 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.99%, 02/16/23

      206       205,165  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.99%, 06/30/25

      259       258,915  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, 06/07/23(o)

      1,393       1,385,882  

Concentra, Inc.:

     

2018 1st Lien Term Loan, 06/01/22(o)

      675       670,729  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 9.02%, 06/01/23

      624       624,000  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 06/24/21

      249       247,963  

DentalCorp Perfect Smile ULC:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 06/06/25

      290       287,114  

Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 06/06/25

      53       52,890  

Diplomat Pharmacy, Inc., 2017 Term Loan B, 12/20/24(a)(o)

      373       339,435  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/10/25

      840       806,719  

Gentiva Health Services, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.25%, 07/02/25(a)

      554       554,926  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.50%, 07/02/26

      126       127,866  

HC Group Holdings III, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 04/07/22

      807       797,459  

HCA, Inc.:

     

2018 Term Loan B10, (1 mo. LIBOR + 2.00%), 4.49%, 03/13/25

      149       148,823  

Term Loan B11, (1 mo. LIBOR + 1.75%), 4.24%, 03/18/23

      775       774,244  

Lifescan Global Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 6.00%), 8.80%, 09/27/24

      115       110,305  
 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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 + 2.75%, 1.00% Floor), 5.55%, 06/07/23

    USD       1,354     $ 1,338,983  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.99%, 10/20/22

      820       803,338  

NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/02/25

      810       791,016  

ScribeAmerica Intermediate Holdco LLC, 2018 Term Loan, (1 mo. LIBOR + 4.50%), 7.01%, 04/03/25(a)

      256       255,073  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/06/24

      541       487,563  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/13/23

      193       192,302  

WP CityMD Bidco LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 06/07/24

      253       248,016  
     

 

 

 
    11,508,726  
Health Care Services — 0.1%  

Sound Inpatient Physicians:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.24%, 06/27/25

      225       223,746  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.24%, 06/26/26

      123       122,077  
     

 

 

 
    345,823  
Health Care Technology — 0.6%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 03/01/24

      950       942,231  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 10/10/25

      402       399,109  

Press Ganey Holdings, Inc. :

     

2018 1st Lien Term Loan, 10/23/23(o)

      759       754,114  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 8.99%, 10/21/24

      144       142,972  

VVC Holding Corp., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 7.20%, 02/11/26

      1,616       1,605,900  
     

 

 

 
    3,844,326  
Hotels, Restaurants & Leisure — 3.0%  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 4.53%, 10/19/24

      417       413,497  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 4.66%, 09/15/23

      1,332       1,324,374  

Bronco Midstream Funding LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 5.99%, 08/14/23

      264       262,438  

Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.74%, 02/16/24

      2,441       2,419,899  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 12/22/24(o)

      1,601       1,594,885  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 08/08/21

      513       510,396  

CEC Entertainment, Inc., Term Loan B, 02/14/21(o)

      559       545,041  

ESH Hospitality, Inc., 2018 Term Loan B, 08/30/23(o)

      805       799,105  

Four Seasons Hotels Ltd., 1st Lien Term Loan, 11/30/23(o)

      456       454,003  

Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.80%, 12/01/23

      50       49,454  
Security     Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

GVC Holdings PLC, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.99%, 03/29/24

    USD       328     $ 326,808  

Hilton Worldwide Finance LLC, Term Loan B2, 10/25/23(o)

      585       584,729  

IRB Holding Corp., 1st Lien Term Loan, 02/05/25(o)

      1,222       1,211,975  

KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.23%, 04/03/25

      508       505,334  

Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.79%, 12/15/24

      364       360,938  

Marriott Ownership Resorts, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 08/29/25

      506       504,103  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (3 mo. LIBOR + 2.25%), 4.84%, 10/15/25

      198       197,010  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 04/29/24

      385       375,546  

Sabre GLBL, Inc., 2018 Term Loan B, 02/22/24(o)

      995       991,253  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 5.24%, 08/14/24

      951       941,581  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 6.30%, 07/10/25

      2,023       2,022,335  

Station Casinos LLC, 2016 Term Loan B, 06/08/23(o)

      958       953,355  

Wyndham Hotels & Resorts, Inc., Term Loan B, 05/30/25(o)

      589       585,534  
     

 

 

 
    17,933,593  
Household Products — 0.1%  

Energizer Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 12/17/25

      230       229,713  

Mastronardi Produce Ltd., Term Loan B, (1 mo. LIBOR + 3.25%), 5.76%, 05/01/25

      189       187,632  

SIWF Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.73%, 06/15/25

      413       410,860  
     

 

 

 
    828,205  
Independent Power and Renewable Electricity Producers — 0.6%  

AES Corp., 2018 Term Loan B, 05/31/22(o)

      404       403,785  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 01/15/25

      808       799,657  

Calpine Corp.:

     

Term Loan B6, (3 mo. LIBOR + 2.50%), 5.31%, 01/15/23

      267       265,320  

Term Loan B7, (3 mo. LIBOR + 2.50%), 5.31%, 05/31/23

      254       252,347  

Compass Power Generation LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 12/20/24

      382       380,683  

EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.75%, 05/03/25

      140       139,783  

Granite Acquisition, Inc. :

     

Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 12/19/21

      667       666,469  

Term Loan C, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 12/19/21

      85       85,259  

NRG Energy, Inc., 2016 Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 06/30/23

      550       547,151  
     

 

 

 
    3,540,454  
Industrial Conglomerates — 0.3%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 11/30/23(a)

      1,305       1,262,062  
 

 

 

40    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Industrial Conglomerates (continued)  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.73%, 11/28/21

    USD       622     $ 610,769  
     

 

 

 
    1,872,831  
Insurance — 1.2%  

Achilles Acquisition LLC, 2018 Term Loan, (1 mo. LIBOR + 4.00%), 6.50%, 10/03/25

      392       389,550  

Alliant Holdings I, Inc., 2018 Term Loan B, 05/09/25(o)

      1,083       1,069,844  

AmWINS Group, Inc., 2017 Term Loan B, 01/25/24(o)

      1,219       1,211,528  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 10/22/24

      666       659,202  

Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 12/02/24

      599       589,367  

Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 2.75%), 5.51%, 04/25/25

      683       676,304  

Sedgwick Claims Management Services, Inc., Term Loan B, 12/31/25(o)

      2,300       2,287,695  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 06/22/23

      380       376,802  
     

 

 

 
    7,260,292  
Interactive Media & Services — 0.4%  

Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.74%, 02/15/24

      1,065       1,062,445  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 05/01/24

      291       282,710  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.74%, 11/03/23

      605       575,717  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 05/06/24

      372       353,709  
     

 

 

 
    2,274,581  
Internet & Direct Marketing Retail — 0.1%  

Harbor Freight Tools USA, Inc., 2018 Term Loan B, 08/18/23(o)

      550       542,215  
     

 

 

 
IT Services — 1.7%  

Access CIG LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 02/27/25

      214       211,705  

Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.25%), 5.04%, 03/20/25

      213       209,227  

Epicor Software Corp., 1st Lien Term Loan, 06/01/22(o)

      410       406,244  

Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 11/27/24

      395       393,768  

First Data Corp., 2024 Term Loan, (1 mo. LIBOR + 2.00%), 4.49%, 04/26/24

      2,649       2,644,718  

Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.30%, 08/01/24

      417       394,434  

Global Payments, Inc.:

     

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 4.24%, 04/21/23

      299       297,120  

2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 4.24%, 10/17/25

      100       99,125  

Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 12/01/23

      688       680,188  

Optiv Security, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 02/01/24(a)

      286       273,582  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.99%, 08/01/25

      408       356,319  
Security     Par
(000)
    Value  
IT Services (continued)  

TKC Holdings, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.25%, 02/01/23

    USD       411     $ 405,630  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.50%, 02/01/24

      280       271,891  

Trans Union LLC:

     

2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.49%, 06/19/25

      167       166,115  

Term Loan B3, (1 mo. LIBOR + 2.00%), 4.49%, 04/10/23

      1,349       1,341,500  

WEX, Inc., 2017 Term Loan B2, 06/30/23(o)

      1,479       1,470,500  

Worldpay LLC, 2018 1st Lien Term Loan B4, 08/09/24(o)

      667       661,790  
     

 

 

 
    10,283,856  
Life Sciences Tools & Services — 0.1%  

Albany Molecular Research, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 08/30/24

      178       177,202  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.49%, 08/30/25

      130       127,563  
     

 

 

 
    304,765  
Machinery — 0.6%  

Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.80%, 05/18/24

      279       275,691  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 5.30%, 01/31/24

      75       73,985  

Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 07/30/24

      802       801,308  

Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.80%, 05/27/22(a)

      749       745,328  

Titan Acquisition Ltd., 2018 Term Loan B, 03/28/25(o)

      1,414       1,357,727  

Welbilt, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 10/23/25(a)

      330       328,002  
     

 

 

 
    3,582,041  
Media — 2.8%  

Altice Financing SA, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.23%, 01/31/26(a)

      82       79,983  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.49%, 08/14/26

      1,367       1,327,286  

Cable One, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 05/01/24

      256       254,819  

Charter Communications Operating LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 04/30/25

      1,907       1,900,944  

CSC Holdings LLC:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.74%, 07/17/25

      461       454,528  

2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 01/25/26

      457       453,697  

Gray Television, Inc.:

     

2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.76%, 02/07/24

      469       465,729  

2018 Term Loan C, (1 mo. LIBOR + 2.50%), 5.01%, 01/02/26

      554       552,199  

iHeartCommunications, Inc.(b)(i):

     

Extended Term Loan E, 0.00%, 07/30/19

      215       149,694  

Term Loan D, 0.00%, 01/30/20

      1,341       934,984  
 

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Media (continued)  

Intelsat Jackson Holdings SA:

     

2017 Term Loan B3, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.23%, 11/27/23

    USD       130     $ 129,866  

2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.98%, 01/02/24

      627       635,079  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.75%, 12/01/23(a)

      789       786,923  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, 03/24/25(o)

      460       457,450  

Meredith Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 01/31/25

      273       272,663  

Numericable Group SA, Term Loan B12, (1 mo. LIBOR + 3.69%), 6.18%, 01/31/26

      255       246,176  

PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.75%, 03/01/25

      551       540,305  

Radiate Holdco LLC, 1st Lien Term Loan, 02/01/24(o)

      462       459,311  

Trader Corp., 2017 Term Loan B, 09/28/23(a)(o)

      1,181       1,172,506  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.49%, 01/27/24

      1,222       1,220,289  

Unitymedia Finance LLC:

     

Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 09/30/25

      691       687,255  

USD Term Loan D, (1 mo. LIBOR + 2.25%), 4.74%, 01/15/26

      115       114,302  

Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, (1 mo. LIBOR + 2.00%), 4.49%, 06/01/23

      312       309,983  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 03/15/24

      371       344,046  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.99%, 01/15/26

      1,095       1,086,798  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.25%, 05/18/25

      1,133       1,097,919  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.99%, 04/15/25

      824       813,777  
     

 

 

 
    16,948,511  
Metals & Mining — 0.1%  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, 07/24/25(o)

      290       288,708  
     

 

 

 
Multiline Retail — 0.2%  

Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.75%, 09/30/22

      628       615,072  

Neiman Marcus Group, Inc., 2020 Term Loan, 10/25/20(o)

      444       407,188  
     

 

 

 
    1,022,260  
Oil & Gas Equipment & Services — 0.1%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.49%, 05/10/25

      608       584,003  
     

 

 

 
Oil, Gas & Consumable Fuels — 0.6%  

BCP Raptor II LLC, 1st Lien Term Loan, (2 mo. LIBOR + 4.75%), 7.37%, 11/03/25

      279       269,584  

BCP Raptor LLC, Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.88%, 06/24/24

      135       128,785  
Security     Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

California Resources Corp.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 7.24%, 12/31/22

    USD       651     $ 640,148  

Second Out Term Loan, (1 mo. LIBOR + 10.38%, 1.00% Floor), 12.87%, 12/31/21

      1,015       1,063,921  

CONSOL Energy, Inc.:

     

1st Lien Term Loan A, (1 mo. LIBOR + 4.25%), 6.75%, 11/26/21(a)

      92       92,188  

1st Lien Term Loan B, (PRIME + 6.00%), 8.50%, 11/28/22

      518       522,545  

Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 12/13/25

      270       268,987  

EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 6.81%, 02/07/25

      253       246,287  

MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.00%, 12/31/23

      137       136,119  
     

 

 

 
    3,368,564  
Personal Products — 0.1%  

Clover Merger Sub, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 10.24%, 09/26/25

      214       179,225  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.00%), 4.49%, 01/26/24

      527       524,294  
     

 

 

 
    703,519  
Pharmaceuticals — 1.3%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 8.00%, 04/16/21

      232       184,693  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, 05/04/25(o)

      1,329       1,327,172  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.74%, 04/29/24

      1,060       1,061,003  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 4.67%, 01/31/25

      1,165       1,159,817  

Jaguar Holding Co. II, 2018 Term Loan, 08/18/22(o)

      1,886       1,875,150  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, 06/02/25(o)

      2,266       2,267,488  
     

 

 

 
    7,875,323  
Professional Services — 0.6%  

Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, 02/09/26(o)

      661       663,313  

Dun & Bradstreet Corp., Term Loan, 02/01/26(o)

      1,616       1,616,404  

Guidehouse LLP, 2018 Term Loan, 05/01/25(a)

      107       105,684  

Information Resources, Inc., 2018 1st Lien Term Loan, 12/01/25(o)

      402       395,970  

ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 04/02/25

      402       399,540  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, 08/04/25(a)(o)

      412       403,760  
     

 

 

 
    3,584,671  
Real Estate Management & Development — 0.7%  

CityCenter Holdings LLC, 2017 Term Loan B, 04/18/24(o)

      1,617       1,604,146  

DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 08/21/25

      1,059       1,050,404  

Forest City Enterprises LP, Term Loan B, (1 mo. LIBOR + 4.00%), 6.51%, 12/07/25

      788       790,955  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 02/08/25

      269       261,455  

SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 01/23/25

      387       382,767  
     

 

 

 
    4,089,727  
 

 

 

42    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Road & Rail — 0.1%  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.24%, 06/13/23

    USD       488     $ 408,998  
     

 

 

 
Semiconductors & Semiconductor Equipment — 0.3%  

Cabot Microelectronics Corporation, Term Loan B, (1 mo. LIBOR + 2.25%), 4.75%, 11/14/25(a)

      530       528,013  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 05/12/24(a)

      99       98,553  

Microchip Technology, Inc., 2018 Term Loan B, 05/29/25(o)

      1,165       1,162,846  

ON Semiconductor Corp., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 03/31/23

      157       156,433  
     

 

 

 
    1,945,845  
Software — 4.9%  

Applied Systems, Inc.:

     

2017 1st Lien Term Loan, 09/19/24(o)

      945       936,162  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.49%, 09/19/25

      160       160,882  

BMC Software Finance, Inc., 2017 Term Loan, 10/02/25(o)

      1,345       1,336,315  

Cypress Intermediate Holdings III, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.50%, 04/26/24

      569       561,771  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.24%, 04/27/25

      248       246,450  

Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.50%, 09/07/23

      1,198       1,193,420  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.88%, 05/28/24

      534       471,625  

DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.49%, 09/30/23

      500       468,131  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/01/25

      2,559       2,518,099  

Infor (US), Inc., Term Loan B6, 02/01/22(o)

      1,871       1,868,898  

Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 08/05/22

      1,162       1,161,943  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.80%, 04/01/21

      308       287,412  

Kronos, Inc.:

     

2017 Term Loan B, 11/01/23(o)

      1,772       1,764,454  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.99%, 11/01/24

      615       625,430  

McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 09/30/24

      1,437       1,439,664  

Mitchell International, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 11/29/24

      1,372       1,336,722  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.74%, 12/01/25

      266       260,445  

PowerSchool, 2018 Term Loan B, 08/01/25(o)

      411       405,863  

Renaissance Learning, Inc., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 05/30/25

      239       232,930  

RP Crown Parent LLC, 2016 Term Loan B, 10/12/23(o)

      410       405,646  

SolarWinds Holdings, Inc., 2018 Term Loan B, 02/05/24(o)

      1,621       1,614,714  

Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 03/03/23

      1,879       1,864,706  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.05%, 09/30/22

      1,696       1,691,833  
Security     Par
(000)
    Value  
Software (continued)  

SS&C Technologies Holdings Europe, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

    USD       572     $ 569,499  

SS&C Technologies, Inc.:

     

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.74%, 07/08/22

      1,055       1,051,686  

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

      1,495       1,487,771  

2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

      884       879,627  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 05/01/24

      932       930,808  

Tibco Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.01%, 12/04/20

      1,460       1,456,963  

Vertafore, Inc., 2018 1st Lien Term Loan, 07/02/25(o)

      410       404,875  
     

 

 

 
    29,634,744  
Specialty Retail — 0.7%  

Academy Ltd., 2015 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.51%, 07/01/22

      632       437,815  

Belron Finance US LLC(a):

     

Term Loan B, (3 mo. LIBOR + 2.25%), 4.99%, 11/07/24

      755       750,608  

Term Loan B, (3 mo. LIBOR + 2.50%), 5.19%, 11/13/25

      186       185,535  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR — GBP + 4.50%), 5.41%, 06/23/25

    GBP       1,000       1,303,974  

Leslie’s Poolmart, Inc., 2018 Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 6.08%, 08/16/23

    USD       533       517,718  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.99%, 01/26/23

      276       215,059  

Research Now Group, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 5.50%, 1.00% Floor), 7.99%, 12/20/24

      391       388,442  

Staples, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.51%, 09/12/24

      276       274,046  

TruGreen LP, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.50%, 04/13/23(a)

      377       377,772  
     

 

 

 
    4,450,969  
Technology Hardware, Storage & Peripherals — 0.3%  

Western Digital Corp., 2018 Term Loan B4, 04/29/23(o)

      1,633       1,601,325  
     

 

 

 
Textiles, Apparel & Luxury Goods — 0.1%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 8.05%, 08/12/22

      701       699,063  

Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 12/15/24

      163       161,956  
     

 

 

 
    861,019  
Thrifts & Mortgage Finance — 0.2%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 05/23/25

      1,243       1,239,412  
     

 

 

 
Trading Companies & Distributors — 0.3%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.77%, 01/02/25

      486       481,067  

HD Supply, Inc., Term Loan B5, 10/17/23(o)

      1,342       1,339,128  

Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.50%), 5.99%, 01/04/23

      143       142,055  
 

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  
Trading Companies & Distributors (continued)  

United Rentals, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 10/31/25

    USD       105     $ 104,803  
     

 

 

 
    2,067,053  
Transportation — 0.1%  

Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 8.30%, 08/18/22

      160       157,361  

Safe Fleet Holdings LLC:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.52%, 02/01/25

      271       263,634  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.27%, 02/01/26

      215       203,175  
     

 

 

 
    624,170  
Utilities — 0.0%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.63%, 11/28/24

      221       205,075  
     

 

 

 
Wireless Telecommunication Services — 0.4%  

Geo Group, Inc. (The), 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 03/22/24

      640       624,796  

Ligado Networks LLC:

     

2015 2nd Lien Term Loan, 0.00%, 12/07/20

      40       11,657  

PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20(j)

      696       543,210  

SBA Senior Finance II LLC, 2018 Term Loan B, 04/11/25(o)

      937       927,094  
     

 

 

 
    2,106,757  
     

 

 

 

Total Floating Rate Loan Interests — 40.0%
(Cost — $242,569,562)

 

    239,830,804  
     

 

 

 

Foreign Agency Obligations — 3.1%

 

Argentine Republic Government International Bond:

     

7.50%, 04/22/26

      3,008       2,613,937  

7.63%, 04/22/46

      2,422       1,941,947  

Colombia Government International Bond:

     

4.50%, 01/28/26(f)

      236       242,844  

3.88%, 04/25/27

      419       412,925  

4.50%, 03/15/29(f)

      238       242,998  

Cyprus Government International Bond, 4.63%, 02/03/20(c)

    EUR       2,600       3,080,158  

Egypt Government International Bond, 5.75%, 04/29/20

    USD       882       893,025  

Iceland Government International Bond, 5.88%, 05/11/22(f)

      3,030       3,304,441  

Indonesia Government International Bond:

     

4.75%, 01/08/26

      395       408,015  

5.35%, 02/11/49

      200       213,521  

Mexico Government International Bond, 4.15%, 03/28/27

      210       207,270  

Portugal Government International Bond, 5.13%, 10/15/24(c)

      3,190       3,400,910  

Qatar Government International Bond, 4.63%, 06/02/46

      200       205,500  

Republic of South Africa Government International Bond, 5.88%, 05/30/22

      398       416,905  

Russian Foreign Bond - Eurobond:

     

4.75%, 05/27/26

      200       203,200  

4.25%, 06/23/27

      200       196,000  

Saudi Government International Bond:

     

4.50%, 04/17/30

      385       396,550  

5.25%, 01/16/50(c)

      200       209,400  
Security     Par
(000)
    Value  
Foreign Agency Obligations (continued)  

Turkey Government International Bond, 6.25%, 09/26/22

    USD       200     $ 202,750  
   

 

 

 

Total Foreign Agency Obligations — 3.1%
(Cost — $19,481,248)

 

    18,792,296  
 

 

 

 
       Shares         
Investment Companies — 1.4%  
Diversified Financial Services — 1.4%  

Invesco Senior Loan ETF

      380,000       8,664,000  
   

 

 

 

Total Investment Companies — 1.4%
(Cost — $8,715,925)

 

    8,664,000  
 

 

 

 
       Par
(000)
        
Non-Agency Mortgage-Backed Securities — 1.9%  
Collateralized Mortgage Obligations — 0.7%  

Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

      1,959       1,654,062  

Countrywide Home Loan Mortgage Pass-Through Trust:

     

Series 2005-17, Class 1A6, 5.50%, 09/25/35

      389       383,423  

Series 2006-17, Class A2, 6.00%, 12/25/36

      1,100       853,632  

Series 2007-HY5, Class 3A1, 3.76%, 09/25/37(e)

      728       675,597  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.23%, 10/25/35(e)

      613       510,418  
   

 

 

 
    4,077,132  
Commercial Mortgage-Backed Securities — 1.2%  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(c)(e)

      4,830       4,800,520  

Commercial Mortgage Pass-Through Certificates, Series 2014-PAT, Class F, (1 mo. LIBOR + 2.44%), 4.94%, 08/13/27(c)(d)

      2,000       1,992,098  

Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.69%, 07/10/38(e)

      439       440,352  
   

 

 

 
    7,232,970  
 

 

 

 

Total Non-Agency Mortgage-Backed Securities — 1.9%
(Cost — $11,269,807)

 

    11,310,102  
 

 

 

 
      

Beneficial

Interest
(000)

        
Other Interests(a)(b)(p) — 0.0%  
Auto Components — 0.0%  

Lear Corp. Escrow

      1,000       10  
   

 

 

 
IT Services — 0.0%  

Millennium Corp.

      918        

Millennium Lender Claims

      861        
   

 

 

 
     
 

 

 

 

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

 

    10  
 

 

 

 
 

 

 

44    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

Preferred Securities — 9.5%

 

Capital Trusts — 7.3%

 

Banks — 2.1%  

Bankia SA, 6.38%(e)(k)

    EUR       200     $ 224,646  

Capital One Financial Corp., Series E, 5.55%(h)(k)

    USD       3,000       3,056,490  

CIT Group, Inc., Series A, 5.80%(h)(k)

      235       229,125  

Citigroup, Inc.(h)(k):

     

5.90%(f)

      5,060       5,161,200  

5.95%

      1,370       1,397,468  

Series T, 6.25%

      167       175,544  

Intesa Sanpaolo SpA, 7.00%(h)(k)

    EUR       200       235,791  

Wells Fargo & Co.(f)(h)(k):

     

Series S, 5.90%

    USD       1,500       1,528,125  

Series U, 5.88%

      730       771,975  
   

 

 

 
    12,780,364  
Capital Markets(k) — 1.1%  

Goldman Sachs Group, Inc. :

     

Series M, 5.38%(h)

      1,730       1,742,975  

Series P, 5.00%(e)

      348       320,160  

Morgan Stanley, Series H, 5.45%(h)

      2,546       2,549,182  

State Street Corp., Series F, 5.25%(h)

      1,625       1,645,313  
   

 

 

 
    6,257,630  
Diversified Financial Services(k) — 3.5%  

ATF Netherlands BV, 3.75%(h)

    EUR       100       113,711  

Bank of America Corp.(h):

     

Series AA, 6.10%(f)

    USD       993       1,055,549  

Series DD, 6.30%

      155       168,795  

Series U, 5.20%(f)

      1,250       1,264,062  

Series V, 5.13%

      510       507,858  

Series X, 6.25%

      1,929       2,040,149  

BNP Paribas SA, 6.13%(h)

    EUR       200       246,287  

Credit Agricole SA, 6.50%(h)

      100       122,987  

Credit Suisse Group AG, 6.25%(h)

    USD       200       200,400  

HBOS Capital Funding LP, 6.85%

      100       101,000  

HSBC Holdings PLC. :

     

6.00%(h)

      415       404,106  

6.25%(e)

      695       693,263  

JPMorgan Chase & Co.(h):

     

Series 1, 6.22%

      214       215,017  

Series R, 6.00%

      120       123,600  

Series U, 6.13%(f)

      6,690       6,957,600  

Series V, 5.00%(f)

      4,060       4,054,925  

Royal Bank of Scotland Group PLC, 8.63%(h)

      200       214,460  

Societe Generale SA, 6.00%(c)(f)(h)

      2,000       1,977,500  

UniCredit SpA, 6.75%(h)

    EUR       200       223,361  
   

 

 

 
    20,684,630  
Diversified Telecommunication Services — 0.0%  

Telefonica Europe BV(h)(k):

     

3.75%

      100       117,726  

5.88%

      100       126,541  
   

 

 

 
    244,267  
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%, 10/15/26

      100       119,123  
   

 

 

 
Insurance — 0.6%  

Voya Financial, Inc., 5.65%, 05/15/53(f)(h)

    USD       3,500       3,462,585  
   

 

 

 
Oil, Gas & Consumable Fuels — 0.0%  

Naturgy Finance BV, 3.38(e)(k)

    EUR       100       114,440  

Repsol International Finance BV, 4.50%, 03/25/75(h)

      100       122,276  
   

 

 

 
    236,716  
 

 

 

 

Total Capital Trusts — 7.3%
(Cost — $43,128,360)

 

    43,785,315  
 

 

 

 
Security              
Shares
    Value  

Preferred Stocks — 1.7%

 

Capital Markets(h)(k) — 1.7%  

Goldman Sachs Group, Inc., Series J, 5.50%

      202,526     $ 5,146,186  

Morgan Stanley, Series F, 6.88%

      120,000       3,255,600  

Morgan Stanley, Series K, 5.85%

      53,253       1,347,833  

SCE Trust III, Series H, 5.75%

      21,200       510,920  
   

 

 

 
    10,260,539  
Wireless Telecommunication Services — 0.0%  

CF-B L2 (D) LLC, (Aquired 04/08/15, cost $131,171), 0.00%(q)

      134,077       52,692  
   

 

 

 

Total Preferred Stocks — 1.7%
(Cost — $10,174,955)

 

    10,313,231  
 

 

 

 

Trust Preferreds — 0.5%

 

Diversified Financial Services — 0.5%  

GMAC Capital Trust I, Series 2, (3 mo. LIBOR US + 5.79%), 8.47%, 02/15/40(h)

      105,753       2,748,520  
   

 

 

 

Total Trust Preferreds — 0.5%
(Cost — $2,686,547)

 

    2,748,520  
 

 

 

 

Total Preferred Securities — 9.5%

 

    56,847,066  
 

 

 

 
       Par
(000)
        

U.S. Government Sponsored Agency Securities — 5.1%

 

Collateralized Mortgage Obligations — 1.1%  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 5.49%, 10/25/29(d)

    USD       1,600       1,702,187  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44(f)

      4,631       4,733,327  
   

 

 

 
    6,435,514  
Interest Only Collateralized Mortgage Obligations — 0.3%  

Freddie Mac Mortgage-Backed Securities, Series K042, Class X1, 1.05%, 12/25/24(e)

      34,223       1,763,877  
   

 

 

 
Mortgage-Backed Securities — 3.7%  

Fannie Mae Mortgage-Backed Securities(f):

   

2.50%, 10/01/28 - 06/01/32

      6,820       6,695,121  

3.00%, 05/01/30

      15,501       15,489,239  

5.00%, 07/01/20 - 08/01/23

      225       229,255  
   

 

 

 
    22,413,615  
 

 

 

 

Total U.S. Government Sponsored Agency Securities — 5.1%
(Cost — $31,096,172)

 

    30,613,006  
 

 

 

 

U.S. Treasury Obligations — 2.8%

 

U.S. Treasury Notes(f):

   

2.75%, 09/30/20

      2,240       2,246,650  

2.75%, 04/30/23

      8,000       8,073,438  

2.75%, 08/31/25

      6,150       6,203,332  
 

 

 

 

Total U.S. Treasury Obligations — 2.8%
(Cost — $16,220,003)

 

    16,523,420  
 

 

 

 
       Shares         

Warrants(a) — 0.0%

 

Metals & Mining — 0.0%  

AFGlobal Corp. (Expires 12/20/20)

      2,542        
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security              
Shares
    Value  
Software — 0.0%  

HMH Holdings/EduMedia (Issued/exercisable 03/09/10, 19 Shares for 1 Warrant, Expires 06/22/19, Strike Price $42.27)

      3,100     $  
   

 

 

 

Total Warrants — 0.0%
(Cost — $31)

 

     
 

 

 

 

Total Long-Term Investments — 131.7%
(Cost — $798,687,096)

 

    788,473,722  
 

 

 

 
            Par
(000)
        

Short-Term Securities — 1.1%

 

Foreign Agency Obligations — 0.1%

 

Egypt Treasury Bills, 0.00%, 04/02/19(l)

    EGP       11,550       649,298  
   

 

 

 

Total Foreign Agency Obligations — 0.1%
(Cost — $634,648)

 

    649,298  
     

 

 

 
            Shares         
Money Market Funds — 1.0%  

BlackRock Liquidity Funds, T-Fund,
Institutional Class,
2.29%(r)(s)

      5,762,115       5,762,115  
   

 

 

 

Total Money Market Funds — 1.0%
(Cost — $5,762,115)

 

    5,762,115  
 

 

 

 

Total Short-Term Securities — 1.1%
(Cost — $6,396,763)

 

    6,411,413  
 

 

 

 

Options Purchased— 0.0%
(Cost — $44,978)

 

     

Total Investments — 132.8%
(Cost — $805,128,837)

 

    794,885,135  

Liabilities in Excess of Other Assets — (32.8)%

 

    (196,132,994
 

 

 

 

Net Assets — 100.0%

 

  $ 598,752,141  
 

 

 

 

 

(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) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) 

Variable rate security. Rate shown is the rate in effect as of period end.

(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) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(g) 

When-issued security.

(h) 

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.

(i) 

Issuer filed for bankruptcy and/or is in default.

(j) 

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.

(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) 

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.

(p) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(q) 

Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $52,692 and an original cost of $131,171, which was less than 0.05% of its net assets.

(r) 

Annualized 7-day yield as of period end.

 
(s) 

During the six months ended February 28, 2019, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     180,494        5,581,621        5,762,115      $ 5,762,115      $ 93,434      $ (261    $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

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)

BNP Paribas S.A.

     2.95     09/11/18        Open      $ 625,669      $ 633,750      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.95       09/11/18        Open        785,890        796,090      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       09/11/18        Open        566,010        573,752      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       09/11/18        Open        381,034        386,246      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        453,750        459,400      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        463,338        469,107      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        94,500        95,677      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        334,800        338,969      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        405,638        410,689      Corporate Bonds    Open/Demand

 

 

46    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

     2.79 %       09/11/18        Open      $ 925,000      $ 936,519      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        353,438        357,839      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        368,438        373,026      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        1,378,250        1,395,413      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        1,053,675        1,066,796      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/11/18        Open        277,163        280,614      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/11/18        Open        682,563        691,900      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/11/18        Open        358,063        362,961      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/11/18        Open        709,735        719,445      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/11/18        Open        399,600        405,067      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/11/18        Open        1,148,213        1,163,921      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/11/18        Open        356,025        360,896      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/12/18        Open        272,160        275,883      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     0.95       09/13/18        Open        77,400        77,656      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.67       09/19/18        Open        246,713        249,677      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.67       09/19/18        Open        206,205        208,683      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.00       09/19/18        Open        251,160        252,290      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.34       09/19/18        Open        776,250        784,424      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.34       09/19/18        Open        211,500        213,727      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.34       09/19/18        Open        527,250        532,802      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.34       09/19/18        Open        127,750        129,095      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.45       09/19/18        Open        325,850        329,443      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        409,150        413,937      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        566,370        572,997      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        501,720        507,590      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        66,400        67,177      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        451,350        456,631      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        89,925        90,977      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        238,213        241,000      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        266,365        269,481      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        259,170        262,202      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        357,205        361,384      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        466,793        472,254      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        173,470        175,500      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        158,000        159,849      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        142,650        144,319      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        99,938        101,107      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        507,955        513,898      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.60       09/19/18        Open        102,700        103,902      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/20/18        Open        142,740        144,434      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/20/18        Open        1,382,438        1,398,844      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       09/20/18        Open        137,700        139,334      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/20/18        Open        903,870        915,648      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/20/18        Open        454,383        460,303      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/20/18        Open        270,443        273,967      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/20/18        Open        870,840        882,188      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/20/18        Open        167,000        169,176      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       09/20/18        Open        425,100        430,639      Corporate Bonds    Open/Demand

UBS Ltd.

     2.75       09/20/18        Open        3,026,213        3,061,586      Corporate Bonds    Open/Demand

UBS Ltd.

     2.95       09/20/18        Open        1,730,000        1,751,769      Capital Trusts    Open/Demand

UBS Ltd.

     2.95       09/20/18        Open        746,250        755,640      Corporate Bonds    Open/Demand

UBS Ltd.

     2.95       09/20/18        Open        250,200        253,348      Corporate Bonds    Open/Demand

UBS Ltd.

     2.95       09/20/18        Open        362,780        367,345      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.75       09/25/18        Open        6,042,375        6,103,749      U.S. Treasury Obligations    Open/Demand

RBC Capital Markets, LLC

     3.05       09/26/18        Open        1,613,950        1,633,911      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.00       09/28/18        Open        1,320,335        1,336,282      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       10/09/18        Open        220,440        222,948      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       10/09/18        Open        2,808,000        2,836,263      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       10/09/18        Open        256,000        258,577      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.90       10/09/18        Open        417,000        421,611      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.90       10/09/18        Open        496,000        501,485      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.90       10/09/18        Open        442,000        446,888      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      47  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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)

HSBC Securities (USA), Inc.

     2.90 %       10/09/18        Open      $ 908,000      $ 918,041      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.75       10/15/18        Open        8,010,000        8,082,272      U.S. Treasury Obligations    Open/Demand

HSBC Securities (USA), Inc.

     2.75       10/15/18        Open        2,237,200        2,257,126      U.S. Treasury Obligations    Open/Demand

RBC Capital Markets, LLC

     3.05       10/24/18        Open        396,435        400,553      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       11/02/18        Open        275,010        277,671      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     3.00       11/15/18        Open        2,730,000        2,753,205      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        87,800        88,493      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        518,925        523,018      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        625,500        630,434      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        1,645,000        1,657,975      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        1,380,000        1,390,885      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        263,063        265,137      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        1,392,825        1,403,811      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        2,007,500        2,023,334      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        602,875        607,630      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        484,900        488,725      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        1,160,963        1,170,120      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        237,788        239,663      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        248,188        250,145      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       11/15/18        Open        38,500        38,804      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        257,845        260,074      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        368,775        371,963      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        235,625        237,662      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        309,590        312,267      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        526,500        531,052      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        637,798        643,312      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        497,918        502,222      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        311,535        314,228      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        485,513        489,710      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        688,188        694,137      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       11/15/18        Open        463,980        467,992      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       11/27/18        Open        516,661        520,438      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.90       11/27/18        Open        182,000        183,344      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.90       11/27/18        Open        839,000        845,195      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       12/10/18        Open        662,171        666,291      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/11/18        Open        740,835        745,634      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/11/18        Open        563,875        567,590      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/11/18        Open        494,400        497,657      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/12/18        Open        204,795        206,128      Corporate Bonds    Open/Demand

UBS Ltd.

     2.95       12/12/18        Open        250,583        252,159      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       12/13/18        Open        358,463        360,568      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.90       12/13/18        Open        670,250        674,344      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/13/18        Open        591,275        595,076      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/13/18        Open        399,263        401,829      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/13/18        Open        568,500        572,155      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/13/18        Open        725,220        729,883      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     0.25       12/14/18        Open        403,705        402,668      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.50       12/14/18        Open        203,660        204,272      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.70       12/14/18        Open        101,640        102,007      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.75       12/14/18        Open        2,119,500        2,131,316      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        551,700        555,059      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        399,758        402,192      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        403,124        405,578      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        507,195        510,283      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        636,334        640,208      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        176,468        177,542      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        368,873        371,119      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        640,888        644,790      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        624,025        627,825      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        436,500        439,158      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        412,548        415,059      Capital Trusts    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        483,863        486,809      Corporate Bonds    Open/Demand

 

 

48    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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)

Barclays Capital, Inc.

     3.00 %       12/14/18        Open      $ 222,656      $ 224,012      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        530,225        533,453      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        544,554        547,869      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        530,200        533,428      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        337,871        339,929      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        589,235        592,823      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        449,970        452,710      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        4,175,000        4,200,421      Capital Trusts    Open/Demand

Barclays Capital, Inc.

     3.00       12/14/18        Open        442,531        445,226      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        160,000        160,859      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        3,148,000        3,164,903      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        771,000        775,140      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        908,000        912,875      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        866,000        870,650      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        2,522,000        2,535,542      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        185,000        185,993      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        1,357,000        1,364,286      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        1,396,000        1,403,496      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        6,371,000        6,405,209      Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     2.65       12/14/18        Open        503,000        505,701      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.90       12/14/18        Open        381,000        383,242      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.90       12/14/18        Open        2,927,000        2,944,221      Capital Trusts    Open/Demand

BNP Paribas S.A.

     2.61       12/17/18        Open        90,740        91,214      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.76       12/17/18        Open        532,738        535,681      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.90       12/17/18        Open        379,555        381,760      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.90       12/17/18        Open        2,895,000        2,911,815      Capital Trusts    Open/Demand

BNP Paribas S.A.

     2.90       12/17/18        Open        1,402,500        1,410,646      Capital Trusts    Open/Demand

BNP Paribas S.A.

     2.90       12/17/18        Open        669,120        673,006      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.95       12/17/18        Open        958,073        963,734      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.95       12/17/18        Open        158,340        159,276      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.95       12/17/18        Open        200,671        201,857      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.97       12/17/18        Open        485,513        488,401      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.97       12/17/18        Open        510,185        513,221      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       12/17/18        Open        942,500        948,323      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       12/17/18        Open        541,020        544,362      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       12/17/18        Open        431,011        433,674      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       12/17/18        Open        949,455        955,321      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       12/17/18        Open        822,008        827,086      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       12/17/18        Open        224,131        225,516      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       12/17/18        Open        386,965        389,356      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/17/18        Open        1,605,900        1,615,716      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/17/18        Open        330,630        332,651      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/17/18        Open        897,480        902,966      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/17/18        Open        613,575        617,325      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/17/18        Open        248,000        249,516      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/17/18        Open        350,350        352,492      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/17/18        Open        939,120        944,860      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/17/18        Open        200,460        201,685      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/18/18        Open        305,690        307,504      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     3.04       12/18/18        Open        291,638        293,416      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        847,230        852,342      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        421,830        424,375      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        564,410        567,815      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        460,305        463,082      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        1,425,435        1,434,035      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        204,980        206,217      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        288,470        290,210      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        561,437        564,824      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        274,237        275,892      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        155,500        156,438      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/18/18        Open        119,737        120,459      Corporate Bonds    Open/Demand

UBS Securities LLC

     2.95       12/18/18        Open        223,046        224,364      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      49  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

     2.95 %       12/18/18        Open      $ 1,944,443      $ 1,955,934      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       12/19/18        Open        372,600        374,627      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       12/19/18        Open        149,175        149,987      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/19/18        Open        19,200        19,314      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/19/18        Open        175,075        176,117      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       12/20/18        Open        2,275,500        2,287,882      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/20/18        Open        753,397        757,883      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/20/18        Open        744,590        749,023      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.00       12/21/18        Open        245,265        245,742      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.85       12/21/18        Open        77,648        77,689      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       12/21/18        Open        771,210        775,394      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       12/21/18        Open        731,520        735,488      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.79       12/21/18        Open        933,800        938,866      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       12/21/18        Open        273,310        274,861      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.20       12/24/18        Open        361,600        363,036      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       12/24/18        Open        38,070        38,276      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     0.35       01/03/19        Open        200,419        200,528      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     (1.00     01/08/19        Open        989,063        987,661      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     3.05       01/08/19        Open        569,925        572,388      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       01/09/19        Open        134,520        135,090      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.25       01/11/19        Open        124,110        124,308      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     0.00       01/11/19        Open        166,738        166,738      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.75       01/16/19        Open        98,973        99,179      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.50       01/17/19        Open        281,288        282,057      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     0.50       01/18/19        Open        82,753        82,797      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     0.75       01/18/19        Open        139,582        139,693      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     1.00       01/18/19        Open        192,965        193,169      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     1.80       01/18/19        Open        560,970        562,036      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     2.40       01/18/19        Open        824,440        826,259      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.00       01/24/19        Open        306,094        306,689      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       01/28/19        Open        648,113        649,787      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       01/30/19        Open        476,280        477,450      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       02/01/19        Open        454,940        456,019      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       02/01/19        Open        244,720        245,238      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     3.05       02/01/19        Open        642,600        643,961      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     3.00       02/06/19        Open        109,060        109,260      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.62       02/11/19        3/13/19        189,000        189,220      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

     2.62       02/11/19        3/13/19        31,000        31,036      U.S. Government Sponsored Agency Securities    Up to 30 Days

Barclays Capital, Inc.

     2.50       02/12/19        Open        363,093        363,496      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     (2.00     02/12/19        Open        170,744        170,592      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     0.50       02/12/19        Open        58,870        58,883      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     1.75       02/12/19        Open        164,145        164,283      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     2.40       02/12/19        Open        971,473        971,473      Corporate Bonds    Open/Demand

Goldman Sachs & Co LLC

     2.50       02/12/19        Open        527,215        527,803      Capital Trusts    Open/Demand

Goldman Sachs & Co LLC

     2.50       02/12/19        Open        382,826        383,252      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     1.25       02/13/19        Open        101,465        101,531      Corporate Bonds    Open/Demand

Royal Bank of Canada

     2.63       02/14/19        3/15/19        4,598,000        4,602,703      U.S. Government Sponsored Agency Securities    Up to 30 Days

RBC Capital Markets, LLC

     3.05       02/14/19        Open        340,000        340,403      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.61       02/15/19        3/18/19        15,080,000        15,090,933      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

     2.61       02/15/19        3/18/19        371,000        371,269      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

     2.61       02/15/19        3/18/19        6,129,000        6,133,444      U.S. Government Sponsored Agency Securities    Up to 30 Days

Credit Suisse Securities (USA) LLC

     2.65       02/26/19        Open        210,333        210,363      Foreign Agency Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

     2.65       02/26/19        Open        207,680        207,711      Foreign Agency Obligations    Open/Demand

Barclays Capital, Inc.

     0.00       02/28/19        Open        355,850        355,850      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     0.00       02/28/19        Open        642,510        642,510      Corporate Bonds    Open/Demand

 

 

50    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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)
 

BNP Paribas S.A.

     2.89 %       02/28/19        Open      $ 2,288,594      $ 2,288,777      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     2.89       02/28/19        Open        5,053,894        5,054,299      Corporate Bonds      Open/Demand  
          

 

 

    

 

 

       
   $ 199,334,147      $ 200,612,412        
  

 

 

    

 

 

       

 

  (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 600 Index

     1          03/15/19        $ 8        $ 573  

10-Year U.S. Ultra Long Treasury Note

     36          06/19/19          4,660          (14,576

Ultra Long U.S. Treasury Bond

     22          06/19/19          3,511          (38,911

2-Year U.S. Treasury Note

     873          06/28/19          185,247          (104,465
                 

 

 

 
                    (157,379
                 

 

 

 

Short Contracts:

                 

Euro Bund

     1          03/07/19          188          (3,516

10-Year U.S. Treasury Note

     239          06/19/19          29,158          66,897  

Long U.S. Treasury Bond

     6          06/19/19          867          6,365  

Long Gilt

     1          06/26/19          167          1,935  
                 

 

 

 
                    71,681  
                 

 

 

 
                  $ (85,698
                 

 

 

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
       Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
EUR     876,000        USD     990,201        Citibank N.A.        03/05/19        $ 6,287  
GBP     286,000        USD     365,664        Citibank N.A.        03/05/19          13,691  
USD     13,538,436        EUR     11,822,000        Citibank N.A.        03/05/19          90,395  
USD     997,849        EUR     866,000        JPMorgan Chase Bank N.A.        03/05/19          12,736  
USD     4,946,845        EUR     4,293,000        UBS AG        03/05/19          63,371  
USD     534,217        MXN     10,254,000        HSBC Bank PLC        03/05/19          2,494  
USD     59,550        NZD     86,000        HSBC Bank PLC        03/05/19          983  
USD     12,491,345        EUR     10,946,000        Citibank N.A.        04/04/19          8,205  
USD     989,337        EUR     864,000        HSBC Bank PLC        04/04/19          4,006  
USD     4,777,215        EUR     4,172,000        HSBC Bank PLC        04/04/19          19,344  
USD     1,261,137        GBP     947,000        Barclays Bank PLC        04/04/19          3,067  
USD     7,347,088        GBP     5,517,000        Barclays Bank PLC        04/04/19          17,866  
USD     1,902,070        GBP     1,427,000        Citibank N.A.        04/04/19          6,329  
USD     58,857        NZD     86,000        Citibank N.A.        04/04/19          253  
                       

 

 

 
                          249,027  
                       

 

 

 
EUR     10,946,000        USD     12,460,707        Citibank N.A.        03/05/19          (9,155
EUR     864,000        USD     986,852        HSBC Bank PLC        03/05/19          (4,014
EUR     4,172,000        USD     4,765,217        HSBC Bank PLC        03/05/19          (19,385
GBP     947,000        USD     1,259,197        Barclays Bank PLC        03/05/19          (3,080
GBP     5,517,000        USD     7,335,784        Barclays Bank PLC        03/05/19          (17,942
GBP     1,427,000        USD     1,899,154        Citibank N.A.        03/05/19          (6,358
NZD     86,000        USD     58,820        Citibank N.A.        03/05/19          (253
USD     109,098        EUR     96,000        Bank of America N.A.        03/05/19          (106
USD     178,455        EUR     158,000        Bank of America N.A.        03/05/19          (1,277
USD     6,816        EUR     6,000        Deutsche Bank AG        03/05/19          (10

 

 

SCHEDULES OF INVESTMENTS      51  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency
Purchased
       Currency
Sold
       Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD     7,962        EUR     7,000        Deutsche Bank AG        03/05/19        $ (1
USD     2,259,281        GBP     1,713,000        Citibank N.A.        03/05/19          (12,871
USD     1,245,668        GBP     947,000        HSBC Bank PLC        03/05/19          (10,449
USD     7,247,567        GBP     5,517,000        State Street Bank and Trust Co.        03/05/19          (70,274
                       

 

 

 
                          (155,175
                       

 

 

 
                      $ 93,852  
                       

 

 

 

Exchange-Traded Options Purchased

 

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

Marsico Parent Superholdco LLC

     46          12/14/19        USD     942.86        USD            $  
                          

 

 

 

Centrally Cleared Credit Default Swaps — Buy Protection

 

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

CDX.NA.HY.31.V1

     5.00     Quarterly     12/20/23     USD       8,134     $ (587,015   $ (432,395   $ (154,620

CDX.NA.IG.31.V1

     1.00       Quarterly     12/20/23     USD       25,900       (512,308     (412,535     (99,773
            

 

 

   

 

 

   

 

 

 
             $ (1,099,323   $ (844,930   $ (254,393
            

 

 

   

 

 

   

 

 

 

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, 2.62%     Quarterly       2.71%       Semi-annual        N/A       01/11/21        USD        17,800      $ 28,053      $ 69      $ 27,984  
2.61%     Semi-annual       3-Month LIBOR, 2.62%       Quarterly        N/A       02/04/21        USD        70,000        12,009        281        11,728  
2.57     Semi-annual       3-Month LIBOR, 2.62%       Quarterly        07/03/19 (a)       03/15/21        USD        36,490        16,614        152        16,462  
3-Month LIBOR, 2.62%     Quarterly       2.70       Semi-annual        N/A       01/30/22        USD        20,850        76,994        150        76,844  
3-Month LIBOR, 2.62%     Quarterly       2.60       Semi-annual        N/A       02/19/24        USD        5,650        6,950        49        6,901  
3-Month LIBOR, 2.62%     Quarterly       2.54       Semi-annual        N/A       09/04/24        USD        7,900        29,987        75        29,912  
2.60     Semi-annual       3-Month LIBOR, 2.62%       Quarterly        N/A       09/04/24        USD        18,700        (130,054      (54,690      (75,364
2.24     Semi-annual       3-Month LIBOR, 2.62%       Quarterly        N/A       08/09/27        USD        17,400        589,711        236        589,475  
3-Month LIBOR, 2.62%     Quarterly       2.75       Semi-annual        N/A       01/16/29        USD        3,320        4,182        50        4,132  
3-Month LIBOR, 2.62%     Quarterly       2.72       Semi-annual        N/A       02/04/29        USD        8,500        (14,280      129        (14,409
3-Month LIBOR, 2.62%     Quarterly       2.67       Semi-annual        N/A       02/28/29        USD        6,950        (42,117      106        (42,223
3-Month LIBOR, 2.62%     Quarterly       2.73%       Semi-annual        N/A       03/04/29        USD        6,700        2,668        102        2,566  
3.01%     Semi-annual       3-Month LIBOR, 2.62%       Quarterly        N/A       02/14/48        USD        6,000        (125,418      177        (125,595
3-Month LIBOR, 2.62%     Quarterly       2.88       Semi-annual        N/A       02/01/49        USD        5,650        (38,208      165        (38,373
                   

 

 

    

 

 

    

 

 

 
                    $ 417,091      $ (52,949    $ 470,040  
                   

 

 

    

 

 

    

 

 

 

 

  (a) 

Forward Swap.

 

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)
 

Casino Guichard Perrachon SA

    1.00     Quarterly     JPMorgan Chase Bank N.A.     06/20/23     BB     EUR       10     $ (1,407   $ (880     $(527

Casino Guichard Perrachon SA

    1.00       Quarterly     Citibank N.A.     06/20/23     BB     EUR       21       (2,920     (2,660     (260

Intrum Justitia AB

    5.00       Quarterly     Credit Suisse International     06/20/23     BB+     EUR       20       1,974       1,774       200  

Intrum Justitia AB

    5.00       Quarterly     Credit Suisse International     06/20/23     BB+     EUR       50       4,935       4,699       236  

 

 

52    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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)
 

Intrum Justitia AB

    5.00 %       Quarterly     Morgan Stanley & Co. International PLC     06/20/23     BB+     EUR       23     $ 2,284     $ 2,428     $ (144

Casino Guichard Perrachon SA

    1.00       Quarterly     Barclays Bank PLC     12/20/23     BB     EUR       40       (6,483     (6,126     (357

Chesapeake Energy Corp.

    5.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       79       (307     146       (453

Chesapeake Energy Corp.

    5.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       62       (241     577       (818

Garfunkelux Holdco 2 SA

    5.00       Quarterly     JPMorgan Chase Bank N.A.     12/20/23     B-     EUR       13       (2,988     (88     (2,900

Garfunkelux Holdco 2 SA

    5.00       Quarterly     Credit Suisse International     12/20/23     B-     EUR       6       (1,301     103       (1,404

Garfunkelux Holdco 2 SA

    5.00       Quarterly     Credit Suisse International     12/20/23     B-     EUR       24       (5,675     452       (6,127

Tesco PLC

    1.00       Quarterly     Citibank N.A.     12/20/23     BBB-     EUR       50       (72     (711     639  

Virgin Media, Inc.

    5.00       Quarterly     Credit Suisse International     12/20/25     B     EUR       30       5,770       5,065       705  

CMBX.NA.8.

    3.00       Monthly     Barclays Bank PLC     10/17/57     CCC+     USD       5,000       (302,203     (510,207     208,004  

CMBX.NA.8.

    3.00       Monthly     Credit Suisse International     10/17/57     CCC+     USD       2,500       (151,101     (252,133     101,032  

CMBX.NA.8.

    3.00       Monthly     Morgan Stanley & Co. International PLC     10/17/57     CCC+     USD       4,450       (270,073     (597,039     326,966  

CMBX.NA.9.

    3.00       Monthly     Morgan Stanley & Co. International PLC     09/17/58     BB-     USD       7,550       (409,341     (936,753     527,412  

CMBX.NA.9.

    3.00       Monthly     Credit Suisse International     09/17/58     BB-     USD       5,000       (271,087     (545,653     274,566  

CMBX.NA.9.

    3.00       Monthly     Credit Suisse International     09/17/58     BB-     USD       5,000       (271,087     (545,653     274,566  

CMBX.NA.9.

    3.00       Monthly     Credit Suisse International     09/17/58     BB-     USD       5,000       (271,087     (539,693     268,606  
               

 

 

   

 

 

   

 

 

 
  $ (1,952,410   $ (3,922,352   $ 1,969,942  
 

 

 

   

 

 

   

 

 

 

 

  (a) 

Using S&P’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 and OTC Swaps

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

   $ 1,741      $ (899,620    $ 766,004      $ (550,357

OTC Swaps

     15,244        (3,937,596      1,982,932        (12,990

 

  (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 were as follows:

 

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

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $ 573      $      $ 75,197      $      $ 75,770  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          249,027                      249,027  

Swaps — centrally cleared

                    

Net unrealized appreciation(a)

                                 766,004               766,004  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            1,998,176                                    1,998,176  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 1,998,176      $ 573      $ 249,027      $ 841,201      $      $ 3,088,977  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

SCHEDULES OF INVESTMENTS      53  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

 

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

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 161,468      $      $ 161,468  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          155,175                      155,175  

Swaps — centrally cleared

                    

Net unrealized depreciation(a)

            254,393                      295,964               550,357  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps;
Swap premiums received

            3,950,586                                    3,950,586  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 4,204,979      $      $ 155,175      $ 457,432      $      $ 4,817,586  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 Statements of Assets and Liabilities.

 

For the six months ended February 28, 2019, 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

   $      $      $ (3,020    $      $ (379,491    $      $ (382,511

Forward foreign currency exchange contracts

                          1,029,954                      1,029,954  

Swaps

            766,229                      (402,771             363,458  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 766,229      $ (3,020    $ 1,029,954      $ (782,262    $      $ 1,010,901  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $ 1,384      $      $ (90,278    $      $ (88,894

Forward foreign currency exchange contracts

                          (350,648                    (350,648

Swaps

            610,669                      (376,954             233,715  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 610,669      $ 1,384      $ (350,648    $ (467,232    $      $ (205,827
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

   $ 119,510,177  

Average notional value of contracts — short

   $ 52,028,504  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 62,188,934  

Average amounts sold — in USD

   $ 30,684,877  

Credit default swaps:

 

Average notional amount — buy protection

   $ 17,017,000  

Average notional amount — sell protection

   $ 38,547,914  

Interest rate swaps:

 

Average notional amount — pays fixed rate

   $ 95,345,000  

Average notional amount — receives fixed rate

   $ 51,010,000  

Total return swaps:

 

Average notional amount

   $ 4,750,000  

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

 

 

54    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

 

Derivative Financial Instruments — Offsetting as of Period End

 

      Assets        Liabilities  

Futures contracts

   $ 55,671        $ 106,770  

Forward foreign currency exchange contracts

     249,027          155,175  

Swaps — Centrally cleared

     37,247           

Swaps — OTC(a)

     1,998,176          3,950,586  
  

 

 

      

 

 

 

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

   $ 2,340,121        $ 4,212,531  

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

     (92,918        (106,770
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 2,247,203        $ 4,105,761  
  

 

 

      

 

 

 

 

  (a) 

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
 (b)
       Net Amount
of Derivative
Assets
  (c)
 

Barclays Bank PLC

   $ 229,660        $ (229,660      $        $        $  

Citibank N.A.

     125,799          (32,268                 (93,531         

Credit Suisse International

     932,004          (932,004                           

HSBC Bank PLC

     26,827          (26,827                           

JPMorgan Chase Bank N.A.

     12,736          (4,395                          8,341  

Morgan Stanley & Co. International PLC

     856,806          (856,806                           

UBS AG

     63,371                                     63,371  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,247,203        $ (2,081,960      $        $ (93,531      $ 71,712  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

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

Bank of America N.A.

   $ 1,383        $        $        $        $ 1,383  

Barclays Bank PLC

     538,983          (229,660                 (309,323         

Citibank N.A.

     32,268          (32,268                           

Credit Suisse International

     1,890,663          (932,004                 (958,659         

Deutsche Bank AG

     11                                     11  

HSBC Bank USA N.A.

     33,848          (26,827                          7,021  

JPMorgan Chase Bank N.A.

     4,395          (4,395                           

Morgan Stanley & Co. International PLC

     1,533,936          (856,806                 (677,130         

State Street Bank and Trust Co.

     70,274                                     70,274  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 4,105,761        $ (2,081,960      $        $ (1,945,112      $ 78,689  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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)

Excess collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (c)

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

 
  (d) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (e)

Net amount represents the net amount payable due to counterparty in the event of default.

 

 

 

SCHEDULES OF INVESTMENTS      55  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1      Level 2      Level 3      Total  

Assets:

 

Investments:

 

Long-Term Investments:

 

Asset-Backed Securities

   $      $ 36,827,953      $ 1,439,894      $ 38,267,847  

Common Stocks(a)

     3,443        44,421        1,205,061        1,252,925  

Corporate Bonds

            364,863,479        1,508,767        366,372,246  

Floating Rate Loan Interests

            225,181,902        14,648,902        239,830,804  

Foreign Agency Obligations

            18,792,296               18,792,296  

Investment Companies

     8,664,000                      8,664,000  

Non-Agency Mortgage-Backed Securities

            11,310,102               11,310,102  

Other Interests

                   10        10  

Preferred Securities

     13,009,059        43,785,315               56,794,374  

U.S. Government Sponsored Agency Securities

            30,613,006               30,613,006  

U.S. Treasury Obligations

            16,523,420               16,523,420  

Short-Term Securities:

 

Foreign Agency Obligations

            649,298               649,298  

Money Market Funds

     5,762,115                      5,762,115  

Liabilities:

 

Investments:

 

Unfunded Floating Rate Loan Interests(b)

            (236         (236
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 27,438,617      $ 748,590,956      $ 18,802,634      $ 794,832,207  
  

 

 

    

 

 

    

 

 

    

 

 

 

Investments Valued at NAV(c)

              52,692  
  

 

 

 
            $ 794,884,899  
           

 

 

 

Derivative Financial Instruments(d)

 

Assets:

 

Credit contracts

   $      $ 1,982,932      $      $ 1,982,932  

Equity contracts

     573                      573  

Forward foreign currency contracts

            249,027               249,027  

Interest rate contracts

     75,197        766,004               841,201  

Liabilities:

 

Credit contracts

            (267,383             (267,383

Forward foreign currency contracts

            (155,175             (155,175

Interest rate contracts

     (161,468      (295,964             (457,432
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ (85,698    $ 2,279,441      $      $ 2,193,743  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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, 2019, certain of the Fund’s Investments were fair valued using net asset value (“NAV”) per share and have been excluded from the fair value hierarchy.

 
  (d) 

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

 

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 $200,612,412 are categorized within as Level 2 the disclosure hierarchy.

During the six months ended February 28, 2019, there were no transfers between Level 1 and Level 2.

 

 

56    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Limited Duration Income Trust (BLW)

 

A reconciliation of Level 3 Investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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
       Grand Total  

Assets:

                           

Opening balance, as of August 31, 2018

   $ 1,581,044        $ 2,336,114        $ 1,507,493        $ 9,733,052        $ 10        $ 15,157,713  

Transfers into Level 3(a)

                                10,760,766                   10,760,766  

Transfers out of Level 3(b)

                                (4,061,685                 (4,061,685

Accrued discounts/premiums

     (46,129                 (50,410        (184                 (96,723

Net realized gain (loss)

     (87,372        27,445          12          (141,542                 (201,457

Net change in unrealized

appreciation (depreciation)(c)

     80,592          (1,116,056        51,684          (84,414                 (1,068,194

Purchases

              100,687                   4,348,313                   4,449,000  

Sales

     (88,241        (143,129        (12        (5,905,404                 (6,136,786
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Closing balance, as of February 28, 2019

   $ 1,439,894        $ 1,205,061        $ 1,508,767        $ 14,648,902        $ 10        $ 18,802,634  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2019(c)

   $ 80,592        $ (1,116,056      $ 51,684        $ (116,578      $        $ (1,100,358
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

As of August 31, 2018, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2019, 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, 2018, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2019, 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)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at February 28, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      57  


 

Statements of Assets and Liabilities  (unaudited)

February 28, 2019

 

     FRA     BLW  

ASSETS

 

Investments at value — unaffiliated(a)

  $ 750,688,032     $ 789,123,020  

Investments at value — affiliated(b)

    11,368,747       5,762,115  

Cash

    2,078,334       551,990  

Cash pledged:

   

Collateral — OTC derivatives

          2,770,000  

Centrally cleared swaps

          837,170  

Collateral — reverse repurchase agreements

          218,451  

Futures contracts

          557,672  

Foreign currency at value(c)

    16,033       4,175,034  

Receivables:

 

Investments sold

    25,330,803       12,406,283  

Interest — unaffiliated

    2,136,465       7,864,657  

Dividends — affiliated

    8,541       22,757  

Variation margin on futures contracts

          55,671  

Variation margin on centrally cleared swaps

          37,247  

Reverse repurchase agreements

          998,360  

Swap premiums paid

          15,244  

Unrealized appreciation on:

 

OTC swaps

    99,304       1,982,932  

Forward foreign currency exchange contracts

    96,446       249,027  

Prepaid expenses

    14,088       14,082  
 

 

 

   

 

 

 

Total assets

    791,836,793       827,641,712  
 

 

 

   

 

 

 

LIABILITIES

 

Cash received as collateral — OTC derivatives

          260,000  

Reverse repurchase agreements at value

          200,612,412  

Payables:

 

Bank borrowings

    205,000,000        

Investments purchased

    49,020,961       22,384,015  

Interest expense

    532,190        

Investment advisory fees

    423,152       330,766  

Other accrued expenses

    339,916       341,600  

Income dividend distributions

    94,420       100,398  

Directors’ and Officer’s fees

    7,317       437,078  

Options written

    3,587        

Capital shares redeemed

          210,535  

Variation margin on futures contracts

          106,770  

Swap premiums received

          3,937,596  

Unrealized depreciation on:

 

Forward foreign currency exchange contracts

    52,301       155,175  

OTC derivatives

          12,990  

Unfunded floating rate loan interests

    702       236  
 

 

 

   

 

 

 

Total liabilities

    255,474,546       228,889,571  
 

 

 

   

 

 

 

NET ASSETS

  $ 536,362,247     $ 598,752,141  
 

 

 

   

 

 

 

NET ASSETS CONSIST OF

 

Paid-in capital(d)(e)(f)

  $ 573,693,243     $ 641,725,615  

Accumulated loss

    (37,330,996     (42,973,474
 

 

 

   

 

 

 

NET ASSETS

  $ 536,362,247     $ 598,752,141  
 

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $ 14.55     $ 16.54  
 

 

 

   

 

 

 

(a) Investments at cost — unaffiliated

  $ 763,119,214     $ 799,366,722  

(b) Investments at cost — affiliated

  $ 11,368,747     $ 5,762,115  

(c) Foreign currency at cost

  $ 15,859     $ 4,217,406  

(d) Par value

  $ 0.100     $ 0.001  

(e) Shares outstanding

    36,854,446       36,191,387  

(f)  Shares authorized

    200 million       unlimited  

See notes to financial statements.

 

 

58    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Operations  (unaudited)

Six Months Ended February 28, 2019

 

     FRA     BLW  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 21,055,940     $ 21,797,700  

Dividends — unaffiliated

    428,911       616,153  

Dividends — affiliated

    20,980       93,434  

Other income

    331,632       120,757  
 

 

 

   

 

 

 

Total investment income

    21,837,463       22,628,044  
 

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    2,834,457       2,212,463  

Custodian

    136,954       80,837  

Professional

    105,535       85,556  

Accounting services

    56,211       63,702  

Offering

    30,883        

Transfer agent

    29,550       35,394  

Directors and Officer

    22,002       45,302  

Printing

    13,825       12,040  

Registration

    7,162       7,119  

Miscellaneous

    13,465       45,829  
 

 

 

   

 

 

 

Total expenses excluding interest expense

    3,250,044       2,588,242  

Interest expense

    3,443,427       2,957,686  
 

 

 

   

 

 

 

Total expenses

    6,693,471       5,545,928  

Less fees waived and/or reimbursed by the Manager

    (602     (2,924
 

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    6,692,869       5,543,004  
 

 

 

   

 

 

 

Net investment income

    15,144,594       17,085,040  
 

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    (6,397,995     (6,162,161

Futures contracts

          (382,511

Forward foreign currency exchange contracts

    146,068       1,029,954  

Foreign currency transactions

    117,455       (175,286

Capital gain distributions from investment companies — affiliated

    (815     (261

Swaps

    (704,179     363,458  
 

 

 

   

 

 

 
    (6,839,466     (5,326,807
 

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

   

Investments — unaffiliated

    (5,850,389     (1,159,035

Futures contracts

          (88,894

Forward foreign currency exchange contracts

    (10,057     (350,648

Foreign currency translations

    (104,292     8,254  

Swaps

    99,304       233,715  

Unfunded floating rate loan interests

    2,510       546  
 

 

 

   

 

 

 
    (5,862,924     (1,356,062
 

 

 

   

 

 

 

Net realized and unrealized loss

    (12,702,390     (6,682,869
 

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 2,442,204     $ 10,402,171  
 

 

 

   

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      59  


 

Statements of Changes in Net Assets

 

    FRA            BLW  
     Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18(a)
            Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
 

INCREASE (DECREASE) IN NET ASSETS

          

OPERATIONS

          

Net investment income

  $ 15,144,594     $ 29,305,147        $ 17,085,040     $ 34,941,919  

Net realized gain (loss)

    (6,839,466     638,332          (5,326,807     7,252,073  

Net change in unrealized appreciation (depreciation)

    (5,862,924     (3,031,229        (1,356,062     (19,132,912
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase in net assets resulting from operations

    2,442,204       26,912,250          10,402,171       23,061,080  
 

 

 

   

 

 

      

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)(b)(c)

 

      

Decrease in net assets resulting from distributions to shareholders

    (16,759,107     (27,514,809        (17,397,017     (35,259,837
 

 

 

   

 

 

      

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

      

Redemption of shares resulting from share repurchase program (including transaction costs)

    (4,690,499              (6,301,312     (5,481,140
 

 

 

   

 

 

      

 

 

   

 

 

 

NET ASSETS(b)(c)

 

      

Total decrease in net assets

    (19,007,402     (602,559        (13,296,158     (17,679,897

Beginning of period

    555,369,649       555,972,208          612,048,299       629,728,196  
 

 

 

   

 

 

      

 

 

   

 

 

 

End of period

  $ 536,362,247     $ 555,369,649        $ 598,752,141     $ 612,048,299  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

(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.

(c) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

 

 

60    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows  (unaudited)

Six Months Ended February 28, 2019

 

     FRA     BLW  

CASH PROVIDED BY OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 2,442,204     $ 10,402,171  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

   

Proceeds from sales of long-term investments and principal paydowns

    242,876,380       241,625,283  

Purchases of long-term investments

    (195,006,374     (192,909,329

Net proceeds from purchases of short-term securities

    (11,213,365     (6,168,770

Amortization of premium and accretion of discount on investments and other fees

    (741,651     139,442  

Premiums paid on closing options written

    3,587        

Net realized loss on investments

    6,397,995       6,162,161  

Net unrealized depreciation on investments, swaps, foreign currency translations and unfunded floating rate loan interests

    5,758,632       637,956  

(Increase) Decrease in Assets:

 

Receivables:

 

Interest — unaffiliated

    636,358       365,115  

Dividends — affiliated

    (7,054     (13,252

Variation margin on futures contracts

          (28,577

Variation margin on centrally cleared swaps

          (37,247

Swap premiums paid

          5,647  

Prepaid expenses

    (5,091     (4,331

Offering costs

    30,883        

Increase (Decrease) in Liabilities:

 

Cash received:

   

Collateral — OTC derivatives

          110,000  

Payables:

 

Investment advisory fees

    (80,508     (69,140

Interest expense and fees

    (33,484     553,993  

Directors’ and Officer’s

    (1,222     7,758  

Variation margin on futures contracts

          45,631  

Variation margin on centrally cleared swaps

          (114,007

Other accrued expenses

    (45,866     (98,885

Swap premiums received

          (36,155
 

 

 

   

 

 

 

Net cash provided by operating activities

    51,011,424       60,575,464  
 

 

 

   

 

 

 

CASH USED FOR FINANCING ACTIVITIES

 

Payments on redemption of Common Shares

    (4,690,499     (6,211,787

Net borrowing of reverse repurchase agreements

          (35,562,094

Proceeds from bank borrowings

    (172,000,000      

Payments for bank borrowings

    144,000,000        

Cash dividends paid to Common Shareholders

    (16,745,463     (17,389,379
 

 

 

   

 

 

 

Net cash used for financing activities

    (49,435,962     (59,163,260
 

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

   

Cash impact from foreign exchange fluctuations

  $ 188     $ (828
 

 

 

   

 

 

 

CASH AND FOREIGN CURRENCY

   

Net increase in restricted and unrestricted cash and foreign currency

    1,575,650       1,411,376  

Restricted and unrestricted cash and foreign currency at beginning of period

    518,717       7,698,941  
 

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 2,094,367     $ 9,110,317  
 

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

   

Cash paid during the period for interest expense

  $ 3,476,911     $ 2,403,693  
 

 

 

   

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      61  


 

Statement of Cash Flows  (unaudited) (continued)

Six Months Ended February 28, 2019

 

     FRA      BLW  

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

    

Cash

  $ 2,078,334      $ 551,990  

Cash pledged:

 

Collateral — reverse repurchase agreements

           218,451  

Collateral — OTC derivatives

           2,770,000  

Futures contracts

           557,672  

Centrally cleared swaps

           837,170  

Foreign currency at value

    16,033        4,175,034  
 

 

 

    

 

 

 
  $ 2,094,367      $ 9,110,317  
 

 

 

    

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

    

Cash

  $ 508,498      $ 172,706  

Cash pledged:

 

Collateral — reverse repurchase agreements

           908,000  

Collateral — OTC derivatives

           3,540,000  

Futures contracts

           497,859  

Centrally cleared swaps

           1,017,170  

Foreign currency at value

    10,219        1,563,206  
 

 

 

    

 

 

 
  $ 518,717      $ 7,698,941  
 

 

 

    

 

 

 

See notes to financial statements.

 

 

62    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights

(For a share outstanding throughout each period)

 

    FRA  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018 (a)      2017 (a)      2016 (a)      2015 (a)     2014 (a)  
               

Net asset value, beginning of period

  $ 14.92       $ 14.93      $ 14.78      $ 14.91      $ 15.38     $ 15.36  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income(b)

    0.41         0.79        0.76        0.76        0.81       0.87  

Net realized and unrealized gain (loss)

    (0.33       (0.06      0.20        (0.14      (0.47     0.04  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net increase from investment operations

    0.08         0.73        0.96        0.62        0.34       0.91  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Distributions from net investment income(c)

    (0.45       (0.74      (0.81      (0.75      (0.81     (0.89
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net asset value, end of period

  $ 14.55       $ 14.92      $ 14.93      $ 14.78      $ 14.91 (d)     $ 15.38  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Market price, end of period

  $ 12.93       $ 13.80      $ 14.10      $ 13.70      $ 12.94     $ 14.26  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Return(e)

 

Based on net asset value

    1.03 %(f)        5.28      6.93      5.00      2.88 %(d)      6.45
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Based on market price

    (2.93 )%(f)        3.11      8.95      12.14      (3.71 )%      1.33
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Ratios to Average Net Assets(h)

 

Total expenses

    2.50 %(g)        2.23      1.88      1.54      1.56     1.48
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    2.50 %(g)        2.22      1.88      1.54      1.56     1.48
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    1.21 %(g)        1.20      1.21      1.14      1.19     1.15
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income

    5.65 %(g)        5.27      5.08      5.27      5.39     5.65
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Supplemental Data

 

Net assets, end of period (000)

  $ 536,362       $ 555,370      $ 555,972      $ 550,271      $ 555,104     $ 572,463  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Borrowings outstanding, end of period (000)

  $ 205,000       $ 233,000      $ 237,000      $ 225,000      $ 196,000     $ 235,000  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Asset coverage, end of period per $1,000 of bank borrowings

  $ 3,617       $ 3,385      $ 3,346      $ 3,446      $ 3,832     $ 3,436  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Portfolio turnover rate

    27       57      64      48      43     58
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

 

(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 expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018           2017           2016           2015           2014        

Investments in underlying funds

            0.02             0.01             N/A               N/A               N/A               N/A          
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      63  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BLW  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015 (a)     2014 (a)  
               

Net asset value, beginning of period

  $ 16.71       $ 17.02      $ 16.84      $ 17.04      $ 18.09     $ 17.54  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income(b)

    0.47         0.95        1.01        1.32        1.16       1.26  

Net realized and unrealized gain (loss)

    (0.16       (0.31      0.44        (0.22      (0.92     0.51  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net increase from investment operations

    0.31         0.64        1.45        1.10        0.24       1.77  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Distributions from net investment income(c)

    (0.48       (0.95      (1.27      (1.30      (1.29     (1.22
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net asset value, end of period

  $ 16.54       $ 16.71      $ 17.02      $ 16.84      $ 17.04 (d)    $ 18.09  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Market price, end of period

  $ 14.84       $ 15.06      $ 15.99      $ 15.74      $ 14.60     $ 16.81  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Return(e)

 

Based on net asset value

    2.35 %(f)        4.42      9.62      7.78      2.23 %(d)      10.77
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Based on market price

    1.89 %(f)        0.18      10.18      17.59      (5.74 )%      6.89
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Ratios to Average Net Assets

 

Total expenses

    1.88 %(g)(h)        1.73      1.45      1.21      1.15     1.14
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.88 %(g)(h)        1.73      1.45      1.21      1.15     1.14
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense
and fees

    0.88 %(g)(h)        0.89      0.89      0.89      0.92     0.92
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income

    5.78 %(g)(h)        5.60      6.00      8.04      6.65     7.00
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Supplemental Data

 

Net assets, end of period (000)

  $ 598,752       $ 612,048      $ 629,728      $ 623,219      $ 630,388     $ 669,382  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Borrowings outstanding, end of period (000)

  $ 200,623       $ 234,622      $ 252,280      $ 263,445      $ 264,036     $ 293,890  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Portfolio turnover rate

    26       50      55      54      47     57
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

 

(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) 

Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

See notes to financial statements.

 

 

64    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited)

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually 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 Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) 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 non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income 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 executed (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, a portion 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 and payment-in-kind interest are recognized on an accrual basis.

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, 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 monthly 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 funds in the BlackRock Fixed-Income Complex 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 funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as 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.

 

 

NOTES TO FINANCIAL STATEMENTS      65  


Notes to Financial Statements  (unaudited) (continued)

 

Recent Accounting Standards: 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 continues to evaluate the impact of this guidance to the Funds.

In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management continues to evaluate 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.

 

 

66    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (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.

 

 

NOTES TO FINANCIAL STATEMENTS      67  


Notes to Financial Statements  (unaudited) (continued)

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of February 28, 2019, 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 the 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

 

 

68    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

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.

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, the funds had the following unfunded floating rate loan interests:

 

Fund   Borrower    Par     

Commitment

Amount

     Value      Unrealized
Depreciation
 

FRA

  DentalCorp Perfect Smile ULC    $ 57,522      $ 57,613      $ 56,911      $ (702

BLW

  DentalCorp Perfect Smile ULC      19,308        19,338        19,102        (236

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      69  


Notes to Financial Statements  (unaudited) (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, 2019, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW was $215,351,477 and 2.78%, 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 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 
(b)
 

Barclays Capital, Inc.

  $ 23,494,111      $ (23,494,111   $      $  

BNP Paribas S.A.

    24,752,892        (24,752,892             

Credit Suisse Securities (USA) LLC

    519,605        (519,605             

Deutsche Bank Securities, Inc.

    2,830,861        (2,830,861             

Goldman Sachs & Co LLC

    4,246,978        (4,246,978             

HSBC Securities (USA), Inc.

    66,282,570        (66,282,570             

J.P. Morgan Securities LLC

    200,528        (200,528             

RBC Capital Markets, LLC

    65,060,019        (65,060,019             

Royal Bank of Canada

    4,602,703        (4,102,133            500,570  

UBS Ltd.

    6,441,847        (6,441,847             

UBS Securities LLC

    2,180,298        (2,180,298             
 

 

 

    

 

 

   

 

 

    

 

 

 
  $ 200,612,412      $ (200,111,842   $      $ 500,570  
 

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a) 

Net collateral, including accrued interest, with a value of $227,399,996 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.

 
  (b) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), and 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. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

 

 

70    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (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. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.

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. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

   

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

 

 

NOTES TO FINANCIAL STATEMENTS      71  


Notes to Financial Statements  (unaudited) (continued)

 

swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

   

Credit default swaps — 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, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) 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 Funds 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 in 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.

 

 

72    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock Inc. (“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, plus the proceeds of any debt securities or outstanding borrowings used for leverage. 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 had 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”); however, as of February 28, 2019, FRA is no longer actively engaged in a Shelf Offering and has no effective registration statement or current prospectus and the Distribution Agreement with FRA has been terminated. Pursuant to the 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. The commissions retained by BRIL during the period ended February 28, 2019 amounted to $0 since no sales of FRA’s common shares were made prior to termination of the Distribution Agreement.

Expense Waivers: With respect to each Fund, 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, 2019, the amounts waived were as follows:

 

     FRA      BLW  

Amounts waived

  $ 602      $ 2,924  

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, 2019 for BLW and through December 31, 2019 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. These amounts are included as fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2019, there were no amounts waived in investment advisory fees pursuant to these arrangements.

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, 2019, 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

  $      $ 117,597      $ 8,328  

 

7.

PURCHASES AND SALES

For the six months ended February 28, 2019, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases  
     FRA      BLW  

Non-U.S. Government Securities

  $ 212,148,289      $ 190,360,004  

U.S. Government Securities

           16,210,276  
 

 

 

    

 

 

 
  $ 212,148,289      $ 206,570,280  
 

 

 

    

 

 

 
Sales  
     FRA      BLW  

Non-U.S. Government Securities (includes paydowns)

  $ 262,391,329      $ 251,185,836  

U.S. Government Securities

            
 

 

 

    

 

 

 
  $ 262,391,329      $ 251,185,836  
 

 

 

    

 

 

 

 

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.

 

 

NOTES TO FINANCIAL STATEMENTS      73  


Notes to Financial Statements  (unaudited) (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, 2018. 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, 2019, 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, 2018, 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)

  $ 18,291,581      $ 29,620,342  

2019

    2,206,081         
 

 

 

    

 

 

 

Total

  $ 20,497,662      $ 29,620,342  
 

 

 

    

 

 

 

 

  (a) 

Must be utilized prior to losses subject to expiration.

 

As of February 28, 2019, 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

  $ 774,617,862     $ 805,415,250  
 

 

 

   

 

 

 

Gross unrealized appreciation

  $ 1,569,395     $ 10,829,878  

Gross unrealized depreciation

    (13,987,029     (19,166,250
 

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ (12,417,634   $ (8,336,372
 

 

 

   

 

 

 

 

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, 2019, the average amount of bank borrowings and the daily weighted average interest rates for FRA with loans under the revolving credit agreements were $ 221,906,077 and 3.13%, 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. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid 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.

 

 

74    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (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 the Funds deposit 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 than, and have more volatile prices than, higher quality securities.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates. The Federal Reserve has begun to raise the Federal Funds rate, and each increase results in more pronounced interest rate risk in the current market environment.

 

11.

CAPITAL SHARE TRANSACTIONS

FRA is authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for each Fund’s shares is $0.10 and $0.001, respectively. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Each Fund participates in an open market share repurchase program (the “Repurchase Program”). From December 1, 2017 through November 30, 2018, each Fund was permitted to repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. From December 1, 2018 through November 30, 2019, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in Funds’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

 

     FRA      BLW  
     Shares      Amount      Shares      Amount  

Six Months Ended February 28, 2019

    378,042      $ 4,690,499        445,229      $ 6,301,312  

Year Ended August 31, 2018

                  367,238        5,481,140  

 

 

NOTES TO FINANCIAL STATEMENTS      75  


Notes to Financial Statements  (unaudited) (continued)

 

 

12.

REGULATION S-X AMENDMENTS

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Funds have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed (distributions in excess of) net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended August 31, 2018 were classified as follows:

 

     Net Investment Income  

FRA

  $ 27,514,809  

BLW

    35,259,837  

Undistributed (distributions in excess of) net investment income as of August 31, 2018 is as follows:

 

     Undistributed
Net Investment Income
 

FRA

  $ 3,993,685  

BLW

    634,190  

 

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

  $ 0.0695      $ 0.0695  

BLW

    0.0795        0.0795  

 

  (a) 

Net investment income dividend paid on March 29, 2019 to Common Shareholders of record on March 15, 2019.

 
  (b) 

Net investment income dividend declared on April 1, 2019, payable to Common Shareholders of record on April 15, 2019.

 

 

 

76    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Director and Officer Information

 

Richard E. Cavanagh, Co-Chair of the Board and Director

Karen P. Robards, Co-Chair of the Board and Director

Michael J. Castellano, Director

Cynthia L. Egan, Director

Frank J. Fabozzi, Director

Henry Gabbay, 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 January 1, 2019, Richard E. Cavanagh and Karen P. Robards were appointed as a Co-Chair of the Board. Prior to January 1, 2019, Mr. Cavanagh served as Chair of the Board and Ms. Robards served as Vice Chair of the Board. In addition, effective January 1, 2019, Henry Gabbay was appointed as a Director of each Fund.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

 

 

DIRECTOR AND OFFICER INFORMATION      77  


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

The Funds do 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.

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, each Fund may from time to time purchase shares of its common stock 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, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. 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.

 

 

78    2019 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.

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.

Glossary of Terms Used in this Report

 

Currency
BRL    Brazilian Real
EUR    Euro
GBP    British Pound
MXN    Mexican Peso
NZD    New Zealand Dollar
USD    U.S. Dollar
Portfolio Abbreviations
ABS    Asset-Backed Security
CLO    Collateralized Loan Obligation
ETF    Exchange-Traded Fund
EURIBOR    Euro Interbank Offered Rate
FNMA    Federal National Mortgage Association
LIBOR    London Interbank Offered Rate
PIK    Payment-In-Kind
 

 

 

ADDITIONAL INFORMATION / GLOSSARY OF TERMS USED IN THIS REPORT      79  


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-BK3-2/19-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, 2018

  0   $0   0   1,482,954

October 1-31, 2018

  116,151   $14.4517   116,151   1,366,803

November 1-30, 2018

  107,710   $14.0420   107,710   1,259,093

December 1-31, 2018

  44,415   $13.6086   44,415   1,776,222

January 1-31, 2019

  112,731   $13.8373   112,731   1,663,491

February 1-28, 2019

  64,222   $14.6602   64,222   1,599,269

Total:

  445,229   $14.1430   445,229   1,599,269

1 On September 6, 2017, the Fund announced a continuation of the open market share repurchase program pursuant to which the Fund may repurchase through November 30, 2018, up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions. On September 7, 2018, the Fund announced a further continuation of its open market share repurchase program. Commencing on December 1, 2018, the Fund may repurchase through November 30, 2019, up to 5% of its common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions.

 

Item 10 –   Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

2


Item 11 –   Controls and Procedures
  (a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
  (b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –   Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
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

 

3


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Limited Duration Income Trust

 

By:   /s/ John M. Perlowski                          
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Limited Duration Income Trust

Date: May 3, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/ John M. Perlowski                          
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Limited Duration Income Trust

Date: May 3, 2019

 

By:   /s/ Neal J. Andrews                              
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock Limited Duration Income Trust

Date: May 3, 2019

 

4