blwfinal.htm - Generated by SEC Publisher for SEC Filing

UNITEDSTATES
SECURITIESANDEXCHANGECOMMISSION
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: 08/31/2011

Date of reporting period: 02/28/2011

Item 1 – Report to Stockholders



 

February 28, 2011

Semi-Annual Report (Unaudited)

BlackRock Defined Opportunity Credit Trust (BHL)

BlackRock Diversified Income Strategies Fund, Inc. (DVF)

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

BlackRock Limited Duration Income Trust (BLW)

BlackRock Senior Floating Rate Fund, Inc.

BlackRock Senior Floating Rate Fund II, Inc.

Not FDIC Insured • No Bank Guarantee • May Lose Value



Table of Contents

  Page 
Dear Shareholder  3 
Semi-Annual Report:   
Fund Summaries  4 
The Benefits and Risks of Leveraging  16 
Derivative Financial Instruments  17 
Disclosure of Expenses  17 
Fund Financial Statements   
Schedules of Investments  18 
Statements of Assets and Liabilities  48 
Statements of Operations  50 
Statements of Changes in Net Assets  52 
Statements of Cash Flows  55 
Fund Financial Highlights  56 
Fund Notes to Financial Statements  62 
Master Senior Floating Rate LLC Portfolio Summary  74 
Master Senior Floating Rate LLC Financial Statements:   
Schedule of Investments  75 
Statement of Assets and Liabilities  81 
Statement of Operations  82 
Statements of Changes in Net Assets  82 
Statement of Cash Flows  83 
Master Senior Floating Rate LLC Financial Highlights  84 
Master Senior Floating Rate LLC Notes to Financial Statements  85 
Officers and Directors  89 
Additional Information  89 

 

2 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Dear Shareholder

Over the past 12 months, we have seen a sluggish, stimulus-driven economic recovery at long last gain real traction, accelerate, and transition into a con-
sumption-driven expansion. For the most part, 2010 was plagued with widely fluctuating economic data, but as the year drew to a close, it became clear
that cyclical stimulus had beaten out structural problems as economic data releases generally became more positive and financial markets showed signs
of continuing improvement. Although the sovereign debt crises and emerging market inflation that troubled the global economy in 2010 remain a challenge,
overall investor sentiment considerably improved. Near the end of the period, geopolitical tensions across the Middle East North Africa (“MENA”) region
along with rising oil prices introduced new cause for concern about the future of the global economy. As of this writing, economic news remains fairly
positive although we face additional uncertainties related to the aftermath of the devastating earthquake in Japan, with particular focus on the damage
to nuclear power plants.

In the United States, strength from the corporate sector and increasing consumer spending have been key drivers of economic growth, while the housing
and labor markets have been the heaviest burdens. While housing has yet to show any meaningful sign of improvement, labor statistics have delivered a
mixed bag month after month, but became increasingly encouraging toward the end of the period when the unemployment rate fell to its lowest level
since April 2009.

Global equity markets experienced uneven growth and high volatility over the course of 2010, but ended the year strong. Following a strong start to 2011,
stocks lost their momentum on the back of geopolitical events in the MENA region and a sharp rise in oil prices. Overall, equities posted strong returns
for the
12-month period. US stocks outpaced most international markets and small cap stocks outperformed large caps as investors moved into
higher-risk assets.


Fixed income markets saw yields trend lower over most of 2010, until the fourth quarter brought an abrupt reversal in sentiment and risk tolerance that
drove yields sharply upward (pushing bond prices down) through year end. Improving economic data continued to pressure fixed income yields in 2011;
however, escalating geopolitical risks have acted as a counterweight, restoring relative stability to yield movements. Nevertheless, the yield curve remained
steep and higher-risk sectors outperformed the fixed income market.

The tax-exempt municipal market enjoyed a powerful rally during the period of low interest rates in 2010; however, when the yield trend reversed, the market
was dealt an additional blow as it became evident that the Build America Bond program would expire at year end. In addition, negative headlines regarding
fiscal challenges faced by state and local governments damaged investor confidence and further heightened volatility in the municipal market. Tax-exempt
mutual funds experienced heavy outflows, resulting in wider quality spreads and further downward pressure on municipal bond prices. These headwinds
began to abate as the period came to a close and municipals finally posted gains in February, following a five-month run of negative performance.

Cash investments, as represented by the 3-month Treasury bill, returned only a fraction over 0% for the 12-month period as short-term interest rates
remained low. Yields on money market securities remain near all-time lows.

Total returns as of February 28, 2011  6-month  12-month 
US large cap equities (S&P 500 Index)  27.73%  22.57% 
US small cap equities (Russell 2000 Index)  37.55  32.60 
International equities (MSCI Europe, Australasia, Far East Index)  23.77  20.00 
3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index)  0.07  0.14 
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)  (6.04)  4.76 
US investment grade bonds (Barclays Capital US Aggregate Bond Index)  (0.83)  4.93 
Tax-exempt municipal bonds (Barclays Capital Municipal Bond Index)  (3.51)  1.72 
US high yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index)  10.05  17.34 
Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.   


While no one can peer into a crystal ball and eliminate the uncertainties presented by the economic landscape and financial markets, BlackRock can offer

investors the next best thing: partnership with the world’s largest asset management firm and a unique global perspective that allows us to identify trends
early and capitalize on market opportunities. For additional market perspective and investment insight, visit www.blackrock.com/shareholdermagazine,
where
you’ll find the most recent issue of our award-winning Shareholder® magazine, as well as its quarterly companion newsletter, Shareholder
Perspectives
. As always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the
months and years ahead.


THIS PAGE NOT PART OF YOUR FUND REPORT 3



Fund Summary as of February 28, 2011 BlackRock Defined Opportunity Credit Trust

Investment Objective

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

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 28, 2011, the Fund returned 17.57%
based on market price and 8.77% based on net asset value (“NAV”). For
the same period, the Lipper Loan Participation Funds category posted an
average return of 14.91% based on market price and 9.11% based on NAV.
All returns reflect reinvestment of dividends. The Fund moved from a dis-
count to NAV to a premium by period end, which accounts for the difference
between performance based on price and performance based on NAV.
The following discussion relates to performance based on NAV.

What factors influenced performance?

The bank loan sector posted strong returns as risk assets rallied during the
period. Lower-quality sectors and credits outperformed their higher-quality
counterparts and the high yield sector outperformed bank loans. Because
the Fund invests primarily in bank loans, and it held an average of 10%
of its portfolio in corporate bonds during the period, the use of leverage had
a positive impact on returns as these sectors advanced. However, the Fund
maintains a lower level of leverage (at an average amount between 18%
and 23%) than the average level maintained by the leveraged funds in its
Lipper category, which detracted from performance on a relative basis. In
addition, the Fund maintains a relatively conservative portfolio, weighted
toward higher-quality speculative investments, which detracted from
performance as lower quality outperformed during the period.

Conversely, the Fund’s greater allocation to high yield bonds relative to its
Lipper category competitors had a positive impact on performance.

Describe recent portfolio activity.

During the period, the Fund modestly increased its level of risk and use of
leverage as market conditions improved. In particular, the Fund increased
exposure to lower-quality credits and sectors that are more favorably
impacted by rising commodity prices and an improving economy.

Describe portfolio positioning at period end.

At period end, the Fund held 86% of its total portfolio in floating rate loan
interests and 10% in corporate bonds, with the remainder in asset-backed
securities, common stocks and equity equivalents. Cash positions were neg-
ligible for most of the period. The Fund ended the period with leverage at
approximately 21% of its total managed assets.

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

4 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



BlackRock Defined Opportunity Credit Trust

Fund Information   
Symbol on New York Stock Exchange (“NYSE”)  BHL 
Initial Offering Date  January 31, 2008 
Yield on Closing Market Price as of February 28, 2011 ($14.69)1  5.39% 
Current Monthly Distribution per Share2  $0.066 
Current Annualized Distribution per Share2  $0.792 
Leverage as of February 28, 20113  21% 

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 The distribution rate is not constant and is subject to change.
3 Represents loan 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 16.

The table below summarizes the changes in the Fund’s market price and NAV per share:

  2/28/11  8/31/10  Change  High  Low 
Market Price  $14.69  $12.86  14.23%  $14.72  $12.81 
Net Asset Value  $14.32  $13.55  5.68%  $14.37  $13.55 

 

The following unaudited charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate
bond investments:

Portfolio Composition     
  2/28/11  8/31/10 
Floating Rate Loan Interests  86%  83% 
Corporate Bonds  10  15 
Asset-Backed Securities  3   
Other Interests  1  1 
Common Stocks    1 

 

Credit Quality Allocations4     
  2/28/11  8/31/10 
BBB/Baa  10%  11% 
BB/Ba  36  44 
B  54  44 
CCC/Caa    1 
4 Using the higher of Standard & Poor’s Corporation (“S&P’s”) or Moody’s Investors 
Service, Inc. (“Moody’s”) ratings.     

 

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 5



Fund Summary as of February 28, 2011 BlackRock Diversified Income Strategies Fund, Inc.

Investment Objective

BlackRock Diversified Income Strategies Fund, Inc.’s (DVF) (the “Fund”) investment objective is to provide shareholders with high current income. The Fund
seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including floating rate loans, bonds, certain
preferred securities (including certain convertible preferred securities), notes or other debt securities or instruments which pay a floating or variable rate of
interest until maturity. The Fund considers floating rate debt securities to include fixed rate debt securities held by the Fund where the Fund has entered into
certain derivative transactions at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements,
in an attempt to convert the fixed rate payments it receives with respect to such securities into floating rate payments. The Fund may invest, under normal
market conditions, a substantial portion of its assets in below investment grade quality securities. The Fund may invest directly in such securities or
syntheti
cally through the use of derivatives.

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

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 28, 2011, the Fund returned 10.13%
based on market price and 8.93% based on NAV. For the same period,
the Lipper Loan Participation Funds category posted an average return of
14.91% based on market price and 9.11% based on NAV. All returns reflect
reinvestment of dividends. The Fund moved from a discount to NAV to a
premium by period end, which accounts for the difference between
performance based on price and performance based on NAV. The
following discussion relates to performance based on NAV.

What factors influenced performance?

The bank loan sector posted strong returns as risk assets rallied during the
period. Lower-quality sectors and credits outperformed their higher-quality
counterparts and the high yield sector outperformed bank loans. Because
the Fund invests primarily in bank loans, and it held an average of 14%
of its portfolio in corporate bonds during the period, the use of leverage had
a positive impact on returns as these sectors advanced. However, the Fund
maintains a lower level of leverage (at an average amount between 20%
and 26%) than the average level maintained by the leveraged funds in its
Lipper category, which detracted from performance on a relative basis. In
addition, the Fund maintains a relatively conservative portfolio, weighted
toward higher-quality speculative investments, which detracted from per-
formance as lower quality outperformed during the period.

Conversely, the Fund’s greater allocation to high yield bonds relative to its
Lipper category competitors had a positive impact on performance.

Describe recent portfolio activity.

During the period, the Fund modestly increased its level of risk and use of
leverage as market conditions improved. In particular, the Fund increased
exposure to lower-quality credits and sectors that are more favorably
impacted by rising commodity prices and an improving economy.

Describe portfolio positioning at period end.

At period end, the Fund held 80% of its total portfolio in floating rate loan
interests and 14% in corporate bonds, with the remainder in asset-backed
securities, common stocks and equity equivalents. Cash positions were neg-
ligible for most of the period. The Fund ended the period with leverage at
approximately 21% of its total managed assets.

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

6 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



BlackRock Diversified Income Strategies Fund, Inc.

Fund Information   
Symbol on NYSE  DVF 
Initial Offering Date  January 31, 2005 
Yield on Closing Market Price as of February 28, 2011 ($11.11)1  6.86% 
Current Monthly Distribution per Share2  $0.0635 
Current Annualized Distribution per Share2  $0.7620 
Leverage as of February 28, 20113  21% 

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 The distribution rate is not constant and is subject to change.
3 Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including 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 16.

The table below summarizes the changes in the Fund’s market price and NAV per share:

  2/28/11  8/31/10  Change  High  Low 
Market Price  $11.11  $10.45  6.32%  $11.75  $10.18 
Net Asset Value  $11.01  $10.47  5.16%  $11.06  $10.47 

 

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

Portfolio Composition     
  2/28/11  8/31/10 
Floating Rate Loan Interests  80%  76% 
Corporate Bonds  14  20 
Asset-Backed Securities  3   
Other Interests  2  2 
Common Stocks  1  2 

 

Credit Quality Allocations4     
  2/28/11  8/31/10 
BBB/Baa  8%  4% 
BB/Ba  35  32 
B  40  46 
CCC/Caa  9  11 
CC/Ca    1 
Not Rated  8  6 
4 Using the higher of S&P’s or Moody’s ratings.     

 

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 7



Fund Summary as of February 28, 2011 BlackRock Floating Rate Income Strategies Fund, Inc.

Investment Objective

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 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. 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.

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 28, 2011, the Fund returned 8.59%
based on market price and 9.47% based on NAV. For the same period, the
closed-end Lipper Loan Participation Funds category posted an average
return of 14.91% based on market price and 9.11% based on NAV. All
returns reflect reinvestment of dividends. The Fund's premium to NAV,
which narrowed during the period, accounts for the difference between
performance based on price and performance based on NAV. The
following discussion relates to performance based on NAV.

What factors influenced performance?

The bank loan sector posted strong returns as risk assets rallied during the
period. Lower-quality sectors and credits outperformed their higher-quality
counterparts and the high yield sector outperformed bank loans. Because
the Fund invests primarily in bank loans, and it held an average of 15% of
its portfolio in corporate bonds during the period, the use of leverage had a
positive impact on returns (on an absolute basis) as these sectors
advanced. Holding a greater allocation to high yield bonds relative to its
Lipper category competitors drove the Fund’s outperformance.

The Fund maintains a relatively conservative portfolio, weighted toward
higher-quality speculative investments, which detracted from performance as
lower quality outperformed during the period. In addition, the Fund main-
tains a lower level of leverage (at an average amount between 18% and
22% of its total managed assets) than the average level maintained by
its Lipper category competitors, which detracted from performance on a
relative basis.

Describe recent portfolio activity.

During the period, the Fund modestly increased its level of risk and use of
leverage as market conditions improved. In particular, the Fund increased
exposure to lower-quality credits and sectors that are more favorably
impacted by rising commodity prices and an improving economy.

Describe portfolio positioning at period end.

At period end, the Fund held 81% of its total portfolio in floating rate loan
interests and 15% in corporate bonds, with the remainder in asset-backed
securities, common stocks and equity equivalents. Cash positions were neg-
ligible for most of the period. The Fund ended the period with leverage at
approximately 18% of its total managed assets.

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

8 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information   
Symbol on NYSE  FRA 
Initial Offering Date  October 31, 2003 
Yield on Closing Market Price as of February 28, 2011 ($15.38)1  6.01% 
Current Monthly Distribution per Share2  $0.077 
Current Annualized Distribution per Share2  $0.924 
Leverage as of February 28, 20113  18% 

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 The distribution rate is not constant and is subject to change.
3 Represents loan outstanding as a percentage of managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) that may be outstanding,
minus the sum of accrued 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 16.

The table below summarizes the changes in the Fund’s market price and NAV per share:

  2/28/11  8/31/10  Change  High  Low 
Market Price  $15.38  $14.61  5.27%  $15.84  $14.02 
Net Asset Value  $15.24  $14.36  6.13%  $15.26  $14.36 

 

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

Portfolio Composition     
  2/28/11  8/31/10 
Floating Rate Loan Interests  81%  76% 
Corporate Bonds  15  22 
Asset-Backed Securities  3   
Other Interests  1  1 
Common Stocks    1 

 

Credit Quality Allocations4     
  2/28/11  8/31/10 
BBB/Baa  7%  5% 
BB/Ba  36  33 
B  46  50 
CCC/Caa  4  6 
CC/Ca    1 
Not Rated  7  5 
4 Using the higher of S&P’s or Moody’s ratings.     

 

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 9



Fund Summary as of February 28, 2011 BlackRock Limited Duration Income Trust

Investment Objective

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 and asset-backed securities and US Government and agency securities;

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

US dollar-denominated securities of US and non-US issuers rated below investment grade, and to a limited extent, in non-US dollar denominated
securities of non-US issuers rated below investment grade.

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.

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 28, 2011, the Fund returned 5.33%
based on market price and 8.73% based on NAV. For the same period, the
closed-end Lipper High Current Yield Funds (Leveraged) category posted
an average return of 9.98% based on market price and 12.87% based on
NAV. All returns reflect reinvestment of dividends. The Fund's discount to
NAV, which widened during the period, accounts for the difference between
performance based on price and performance based on NAV. The following
discussion relates to performance based on NAV.

What factors influenced performance?

High yield bonds delivered strong performance as risk assets rallied during
the period. While the Fund’s average allocation to high yield contributed to
performance on an absolute basis, its average allocation to bank loans and
to investment grade credit, both of which sectors underperformed high yield,
hurt performance relative to its Lipper category competitors, which invest pri-
marily in high yield bonds. The Fund maintained leverage at an average
amount between 20% and 22% of its total managed assets, which
detracted from relative performance versus competitors that maintained
higher levels of leverage, as would be expected when markets are advanc-
ing.

Security selection within the Fund’s high yield allocation had a positive
impact on performance, as did a bias toward lower-quality credits. Within
the Fund’s investment grade segment, limited exposure to corporate bonds
and a large allocation to securitized assets proved beneficial. In addition,
the Fund’s relatively modest portfolio duration and exposure to more
credit-sensitive sectors benefited performance as interest rates rose
during the period.

Describe recent portfolio activity.

Over the period, the Fund shifted its overall positioning from a more conser-
vative stance to that which is more consistent with a gradually improving
economy. In particular, the Fund increased exposure to lower-quality credits
and sectors that are more favorably impacted by higher commodity prices
and an improving economy.

Describe portfolio positioning at period end.

At period end, the Fund held 38% of its total portfolio in corporate bonds,
38% in floating rate loan interests, 10% in non-agency mortgage-backed
securities, 8% in U.S. government sponsored agency securities, and 4% in
asset-backed securities. The remainder of the portfolio was invested in tax-
able municipal bonds, equities and equity equivalents, while the Fund’s
cash position was negligible. The Fund ended the period with leverage at
approximately 21% of its total managed assets.

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.

10 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



BlackRock Limited Duration Income Trust

Fund Information   
Symbol on NYSE  BLW 
Initial Offering Date  July 30, 2003 
Yield on Closing Market Price as of February 28, 2011 ($17.00)1  6.71% 
Current Monthly Distribution per Share2  $0.095 
Current Annualized Distribution per Share2  $1.140 
Leverage as of February 28, 20113  21% 

1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 A change in the distribution rate was declared on March 1, 2011. The Monthly Distribution per Share was increased to $0.10. The Yield on Closing Market Price, Current Monthly
Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further
change in the future.
3 Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrow-
ing) 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 16.

The table below summarizes the Fund’s market price and net asset value per share:

  2/28/11  8/31/10  Change  High  Low 
Market Price  $17.00  $16.76  1.43%  $17.84  $15.56 
Net Asset Value  $17.58  $16.79  4.71%  $17.58  $16.79 

 

The following unaudited charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate
bond and US government securities investments:

Portfolio Composition     
  2/28/11  8/31/10 
Floating Rate Loan Interests  38%  39% 
Corporate Bonds  38  34 
Non-Agency Mortgage-Backed Securities  10  11 
U.S. Government Sponsored Agency Securities  8  7 
Asset-Backed Securities  4  5 
Other Interests  1  1 
Taxable Municipal Bonds  1  1 
Foreign Agency Obligations    2 

 

Credit Quality Allocations4     
  2/28/11  8/31/10 
AAA/Aaa5  17%  18% 
AA/Aa  2  2 
A  5  6 
BBB/Baa  8  8 
BB/Ba  26  30 
B  33  28 
CCC/Caa  7  6 
Not Rated  2  2 

4 Using the higher of S&P’s or Moody’s ratings.
5 Includes US Government Sponsored Agency securities and US Treasury Obligations,
which are deemed AAA/Aaa by the investment advisor.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 11



Fund Summary as of February 28, 2011 BlackRock Senior Floating Rate Fund, Inc.

Investment Objective

BlackRock Senior Floating Rate Fund, Inc.’s (the “Fund”) investment objective is to provide as high a level of current income and such preservation of
capital as is consistent with investment in senior collateralized corporate loans (“corporate loans”) primarily in the form of participation interests, as defined
below, in corporate loans made by banks or other financial institutions. The Fund seeks to achieve its investment objective by investing its assets in the
Master Senior Floating Rate LLC ("Master LLC"), a separate closed-end, non-diversified management investment company. Master LLC may invest in a
corporate loan either by participating as a co-lender at the time the loan is originated or by buying a participation or assignment interest in the corporate
loan from a co-lender or a participant (collectively, “participation interests”). Master LLC invests, under normal market conditions, at least 80% of its assets
in corporate loans or participating in such loans that have floating or variable interest rates and, under normal market conditions, at least 65% of its
assets in floating rate or variable rate loans made to corporate borrowers or participating in such loans. Master LLC 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.

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 28, 2011, through its investment in
the Master LLC, the Fund returned 6.61% based on NAV while the closed-
end Lipper Loan Participation Funds category posted an average NAV return
of 9.11% for the same period. All returns reflect reinvestment of dividends.

What factors influenced performance?

The bank loan sector posted strong returns as risk assets rallied during the
period. Lower-quality sectors and credits outperformed their higher-quality
counterparts and the high yield sector outperformed bank loans. Because
the Master LLC does not employ leverage, the Fund is expected to underper-
form its Lipper category under strong market conditions as the category
includes many leveraged competitors. The Fund performed as expected
relative to its Lipper category as the bank loan and high yield sectors
advanced over the period.

The Master LLC maintains a relatively conservative portfolio, weighted
toward higher-quality credits and loan structures. This strategy had a nega-
tive impact on relative performance as lower quality outperformed during
the period.

Conversely, the Master LLC’s greater allocation to high yield bonds (averag-
ing 11% of the portfolio during the period) relative to the Fund’s Lipper
category competitors had a positive impact on performance as high yield
outperformed the bank loan sector.

The Master LLC frequently held cash committed for pending transactions;
these cash balances did not have a significant impact on performance.

Describe recent portfolio activity.

During the period, the Master LLC modestly increased its level of risk as
market conditions improved. In particular, the Master LLC increased expo-
sure to lower-quality credits and sectors that are more favorably impacted
by rising commodity prices and an improving economy.

Describe portfolio positioning at period end.

At period end, the Master LLC held 88% of its total portfolio in floating
rate loan interests and 12% in corporate bonds.

Effective March 21, 2011, the Fund merged into BlackRock Floating
Rate Income Portfolio, please refer to Notes 1 and 10 of the Notes to
Financial Statements.

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.

12 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



BlackRock Senior Floating Rate Fund, Inc.

Fund Information1   
Initial Offering Date  November 3, 1989 
Yield based on Net Asset Value as of February 28, 2011 ($7.92)2  3.55% 
Current Monthly Distribution per Share3  $0.021539 
Current Annualized Distribution per Share3  $0.280776 

1 The Fund is a continuously offered closed-end fund that does not trade on an exchange.
2 Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value. Past performance does not guarantee future results.
3 The distribution rate is not constant and is subject to change.

The table below summarizes the change in the Fund’s NAV per share:

  2/28/11  8/31/10  Change  High  Low 
Net Asset Value  $7.92  $7.59  4.35%  $7.92  $7.59 

 

Expense Example for Continuously Offered Closed-End Funds

    Actual      Hypothetical5     
  Beginning  Ending    Beginning  Ending     
  Account Value  Account Value  Expenses Paid  Account Value  Account Value  Expenses Paid  Annualized 
  September 1, 2010       February 28, 2011      During the Period4  September 1, 2010       February 28, 2011       During the Period4  Expense Ratio 
BlackRock Senior Floating               
Rate Fund, Inc.  $1,000.00  $1,066.10  $8.25  $1,000.00  $1,016.82  $8.05  1.61% 

4 Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.
5 Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent fiscal half year divided by 365.
See “Disclosure of Expenses for Continuously Offered Closed-End Funds” on page 17 for futher information on how expenses were calculated.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 13



Fund Summary as of February 28, 2011 BlackRock Senior Floating Rate Fund II, Inc.

Investment Objective

BlackRock Senior Floating Rate Fund II, Inc.’s (the “Fund”) investment objective is to provide as high a level of current income and such preservation of
capital as is consistent with investment in senior collateralized corporate loans (“corporate loans”) primarily in the form of participation interests, as defined
below, in corporate loans made by banks or other financial institutions. The Fund seeks to achieve its investment objective by investing its assets in the
Master Senior Floating Rate LLC ("Master LLC"), a separate closed-end, non-diversified management investment company. Master LLC may invest in a
corporate loan either by participating as a co-lender at the time the loan is originated or by buying a participation or assignment interest in the corporate
loan from a co-lender or a participant (collectively, “participation interests”). Master LLC invests, under normal market conditions, at least 80% of its assets
in corporate loans or participating in such loans that have floating or variable interest rates and, under normal market conditions, at least 65% of its
assets in floating rate or variable rate loans made to corporate borrowers or participating in such loans. Master LLC 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.

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 28, 2011, through its investment in
the Master LLC, the Fund returned 6.61% based on NAV while the closed-
end Lipper Loan Participation Funds category posted an average NAV return
of 9.11% for the same period. All returns reflect reinvestment of dividends.

What factors influenced performance?

The bank loan sector posted strong returns as risk assets rallied during the
period. Lower-quality sectors and credits outperformed their higher-quality
counterparts and the high yield sector outperformed bank loans. Because
the Master LLC does not employ leverage, the Fund is expected to underper-
form its Lipper category under strong market conditions as the category
includes many leveraged competitors. The Fund performed as expected
relative to its Lipper category as the bank loan and high yield sectors
advanced over the period.

The Master LLC maintains a relatively conservative portfolio, weighted
toward higher-quality credits and loan structures. This strategy had a nega-
tive impact on relative performance as lower quality outperformed during
the period.

Conversely, the Master LLC’s greater allocation to high yield bonds (averag-
ing 11% of the portfolio during the period) relative to the Fund’s Lipper
category competitors had a positive impact on performance as high yield
outperformed the bank loan sector.

The Master LLC frequently held cash committed for pending transactions;
these cash balances did not have a significant impact on performance.

Describe recent portfolio activity.

During the period, the Master LLC modestly increased its level of risk as
market conditions improved. In particular, the Master LLC increased expo-
sure to lower-quality credits and sectors that are more favorably impacted
by rising commodity prices and an improving economy.

Describe portfolio positioning at period end.

At period end, the Master LLC held 88% of its total portfolio in floating
rate loan interests and 12% in corporate bonds.

Effective March 21, 2011, the Fund merged into BlackRock Floating
Rate Income Portfolio, please refer to Notes 1 and 10 of the Notes to
Financial Statements.

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.

14 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



BlackRock Senior Floating Rate Fund II, Inc.

Fund Information1   
Initial Offering Date  March 26, 1999 
Yield based on Net Asset Value as of February 28, 2011 ($8.58)2  3.88% 
Current Monthly Distribution per Share3  $0.025547 
Current Annualized Distribution per Share3  $0.333023 

1 The Fund is a continuously offered closed-end fund that does not trade on an exchange.
2 Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value. Past performance does not guarantee future results.
3 The distribution rate is not constant and is subject to change.

The table below summarizes the change in the Fund’s NAV per share:

  2/28/11  8/31/10  Change  High  Low 
Net Asset Value  $8.58  $8.22  4.38%  $8.58  $8.22 

 

Expense Example for Continuously Offered Closed-End Funds

    Actual      Hypothetical5     
  Beginning  Ending    Beginning  Ending     
  Account Value  Account Value  Expenses Paid  Account Value  Account Value  Expenses Paid  Annualized 
  September 1, 2010      February 28, 2011     During the Period4  September 1, 2010       February 28, 2011      During the Period4  Expense Ratio 
BlackRock Senior Floating               
Rate Fund II, Inc.  $1,000.00  $1,066.10  $8.56  $1,000.00  $1,016.52  $8.35  1.67% 

4 Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.
5 Hypothetical 5% annual return before expenses is calculated by pro rating the number of days in the most recent fiscal half year divided by 365.
See “Disclosure of Expenses for Continuously Offered Closed-End Funds” on page 17 for futher information on how expenses were calculated.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 15



The Benefits and Risks of Leveraging

BHL, DVF, FRA and BLW may utilize leverage to seek to enhance the yield
and NAV. However, these objectives cannot be achieved in all interest
rate environments.

The Funds may utilize leverage by borrowing through a credit facility, partici-
pation in the TALF, or through entering into reverse repurchase agreements
and treasury roll transactions. In general, the concept of leveraging is based
on the premise that the financing cost of assets to be obtained from lever-
age, which will be based on short-term interest rates, will normally be lower
than the income earned by each Fund on its longer-term portfolio invest-
ments. To the extent that the total assets of each Fund (including the
assets obtained from leverage) are invested in higher-yielding portfolio
investments, each Fund’s shareholders will benefit from the incremental
net income.

The interest earned on securities purchased with the proceeds from lever-
age is paid to shareholders in the form of dividends, and the value of these
portfolio holdings is reflected in the per share NAV. However, in order to
benefit shareholders, the yield curve must be positively sloped; that is,
short-term interest rates must be lower than long-term interest rates. If the
yield curve becomes negatively sloped, meaning short-term interest rates
exceed long-term interest rates, income to shareholders will be lower than if
the Funds had not used leverage.

To illustrate these concepts, assume a Fund’s capitalization is $100 million
and it borrows for an additional $30 million, creating a total value of $130
million available for investment in long-term securities. If prevailing short-
term interest rates are 3% and long-term interest rates are 6%, the yield
curve has a strongly positive slope. In this case, the Fund pays borrowing
costs and interest expense on the $30 million of borrowings based on the
lower short-term interest rates. At the same time, the securities purchased
by the Fund with assets received from the borrowings earn income based
on long-term interest rates. In this case, the borrowing costs and interest
expense of the borrowings is significantly lower than the income earned
on the Fund’s long-term investments, and therefore the shareholders are
the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term
and long-term interest rates, the incremental net income pickup will be
reduced or eliminated completely. Furthermore, if prevailing short-term inter-
est rates rise above long-term interest rates of 6%, the yield curve has a
negative slope. In this case, the Fund pays interest expense on the higher
short-term interest rates whereas the Fund’s total portfolio earns income
based on lower long-term interest rates.

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
redemption value of the Funds’ borrowings does not fluctuate in relation
to interest rates. As a result, changes in interest rates can influence the
Funds’ NAV positively or negatively in addition to the impact on Fund
performance from leverage from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to
the Funds and shareholders, but as described above, it also creates risks
as short or long-term interest rates fluctuate. Leverage also will generally
cause greater changes in the Funds’ NAVs, market prices and dividend
rates than comparable portfolios without leverage. If the income derived
from securities purchased with assets received from leverage exceeds the
cost of leverage, each Fund’s net income will be greater than if leverage
had not been used. Conversely, if the income from the securities purchased
is not sufficient to cover the cost of leverage, each Fund’s net income will
be less than if leverage had not been used, and therefore the amount
available for distribution to shareholders will be reduced. Each Fund
may be required to sell portfolio securities at inopportune times or at dis-
tressed 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 a Fund to incur losses. The use of leverage may limit
each Fund’s ability to invest in certain types of securities or use certain
types of hedging strategies. Each Fund will incur expenses in connection
with the use of leverage, all of which are borne by shareholders and may
reduce income.

Under the Investment Company Act of 1940, the Funds are permitted
to borrow through their credit facility, through participation in the TALF or
entering into reverse repurchase agreements up to 33 1 / 3 % of their total man-
aged assets. As of February 28, 2011, the Funds had outstanding leverage
from borrowings as a percentage of their total managed assets as follows:

  Percent of 
  Leverage 
BHL  21% 
DVF  21% 
FRA  18% 
BLW  21% 

 

16 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Derivative Financial Instruments

The Funds may invest in various derivative instruments, including swaps,
financial futures contracts, foreign currency exchange contracts and
options, as specified in Note 2 of the Notes to Financial Statements,
which may constitute forms of economic leverage. Such instruments are
used to obtain exposure to a market without owning or taking physical cus-
tody of securities or to hedge market, interest rate, credit, equity and/or
foreign currency exchange rate risks. Such derivative instruments involve
risks, including the imperfect correlation between the value of a derivative
instrument and the underlying asset, possible default of the counterparty
to the transaction or illiquidity of the derivative instrument. The Funds’
ability to use a derivative instrument successfully depends on the invest-
ment advisor’s ability to predict pertinent market movements accurately,
which cannot be assured. The use of derivative instruments may result in
losses greater than if they had not been used, may require a Fund to sell
or purchase portfolio investments at inopportune times or for distressed
values, may limit the amount of appreciation a Fund can realize on an
investment, may result in lower dividends paid to shareholders or may
cause a Fund to hold an investment that it might otherwise sell. The
Funds’ investments in these instruments are discussed in detail in the
Notes to Financial Statements.

Disclosure of Expenses for Continuously Offered Closed-End Funds

Shareholders of BlackRock Senior Floating Rate Fund, Inc. and
BlackRock Senior Floating Rate Fund II, Inc. may incur the following charges:
(a) expenses related to transactions, including early withdrawal fees; and
(b) operating expenses including administration fees, and other Fund
expenses. The examples on the previous pages (which are based on a hypo-
thetical investment of $1,000 invested on September 1, 2010 and held
through February 28, 2011) are intended to assist shareholders both in
calculating expenses based on an investment in each Fund and in compar-
ing these expenses with similar costs of investing in other mutual funds.

The tables provide information about actual account values and actual
expenses. In order to estimate the expenses a shareholder paid during
the period covered by this report, shareholders can divide their account
value by $1,000 and then multiply the result by the number corresponding
to their Fund under the heading entitled “Expenses Paid During the Period.”

The tables also provide information about hypothetical account values and
hypothetical expenses based on each Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in these
Funds and other funds, compare the 5% hypothetical example with the 5%
hypothetical examples that appear in other funds’ shareholder reports.

The expenses shown in the tables are intended to highlight shareholders’
ongoing costs only and do not reflect any transactional expenses, such
as early withdrawal fees. Therefore, the hypothetical examples are useful
in comparing ongoing expenses only, and will not help shareholders deter-
mine the relative total expenses of owning different funds. If these trans-
actional expenses were included, shareholder expenses would have
been higher.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 17



Schedule of Investments February 28, 2011 (Unaudited)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

    Par   
Asset-Backed Securities    (000)  Value 
ARES CLO Funds (a)(b):       
Series 2005-10A, Class B, 0.69%, 9/18/17  USD  250  $ 220,000 
Series 2011-16A, Class C, 2.90%, 5/17/21 (c)    500  493,150 
Canaras Summit CLO Ltd., Series 2007-1A, Class B,       
0.78%, 6/19/21 (a)(b)    345  294,816 
Centurion CDO 9 Ltd., Series 2005-9A, Class B,       
1.07%, 7/17/19 (a)(b)    500  411,605 
Flagship CLO, Series 2006-1A, Class B,       
0.64%, 9/20/19 (a)(b)    1,000  825,000 
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,       
0.70%, 12/20/20 (a)(b)    500  441,875 
Gannett Peak CLO Ltd., Class A2:       
Series 2006-1A, 0.66%, 10/27/20 (a)(b)    380  327,275 
Series 2006-1X, 0.66%, 10/27/20    265  223,263 
Goldman Sachs Asset Management CLO Plc,       
Series 2007-1A, Class B, 0.75%, 8/01/22 (a)(b)    580  487,490 
KKR CLO Ltd., Series 2005-1A, Class B,       
0.75%, 4/26/17 (a)(b)    500  456,250 
LCM LP, Series 8A, Class C, 3.37%, 1/14/21 (a)(b)    300  299,250 
Landmark CDO Ltd., Series 2006-8A, Class B,       
0.66%, 10/19/20 (a)(b)    495  430,571 
MAPS CLO Fund LLC, Series 2005-1A, Class C,       
1.25%, 12/21/17 (a)(b)    260  226,850 
Portola CLO Ltd., Series 2007-1X, Class B1,       
1.76%, 11/15/21    350  323,750 
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,       
0.90%, 7/15/19 (a)(b)    300  257,379 
Total Asset-Backed Securities — 4.4%      5,718,524 
Common Stocks (d)    Shares   
Capital Markets — 0.2%       
E*Trade Financial Corp.    16,300  260,474 
Hotels, Restaurants & Leisure — 0.2%       
BLB Worldwide Holdings, Inc.    21,020  210,200 
Software — 0.2%       
HMH Holdings/EduMedia    53,267  266,335 
Total Common Stocks — 0.6%      737,009 
    Par   
Corporate Bonds    (000)   
Airlines — 0.4%       
Air Canada, 9.25%, 8/01/15 (a)  USD  250  267,500 
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16    271  292,181 
      559,681 
Auto Components — 0.9%       
Delphi International Holdings Unsecured,       
12.00%, 10/06/14    13  14,215 
Icahn Enterprises LP, 7.75%, 1/15/16    1,125  1,161,562 
      1,175,777 
Chemicals — 0.4%       
CF Industries, Inc., 6.88%, 5/01/18    415  458,316 

 

    Par   
Corporate Bonds    (000)  Value 
Commercial Banks — 1.2%       
CIT Group, Inc.:       
7.00%, 5/01/16  USD  180  $ 181,575 
7.00%, 5/01/17    1,390  1,400,425 
      1,582,000 
Commercial Services & Supplies — 0.4%       
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)    476  489,090 
Consumer Finance — 0.4%       
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)    425  456,875 
Containers & Packaging — 0.6%       
Berry Plastics Corp., 8.25%, 11/15/15    700  749,875 
Diversified Financial Services — 1.0%       
Ally Financial, Inc., 2.51%, 12/01/14 (b)    1,025  1,007,221 
FCE Bank Plc, 7.13%, 1/15/13  EUR  50  72,707 
Reynolds Group Issuer, Inc., 6.88%, 2/15/21 (a)  USD  185  185,462 
      1,265,390 
Diversified Telecommunication Services — 0.4%       
ITC Deltacom, Inc., 10.50%, 4/01/16    180  197,550 
Qwest Communications International, Inc., Series B,       
7.50%, 2/15/14    347  352,205 
      549,755 
Electronic Equipment, Instruments & Components — 0.2%     
CDW LLC, 8.00%, 12/15/18 (a)    230  247,250 
Food Products — 0.4%       
B&G Foods, Inc., 7.63%, 1/15/18    300  320,250 
Smithfield Foods, Inc., 10.00%, 7/15/14    177  208,860 
      529,110 
Health Care Providers & Services — 0.2%       
HCA, Inc., 7.25%, 9/15/20    220  237,325 
Health Care Technology — 0.8%       
IMS Health, Inc., 12.50%, 3/01/18 (a)    850  996,625 
Hotels, Restaurants & Leisure — 0.2%       
MGM Resorts International, 11.13%, 11/15/17    240  276,600 
Household Durables — 0.6%       
Beazer Homes USA, Inc., 12.00%, 10/15/17    715  831,188 
Independent Power Producers & Energy Traders — 2.9%       
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)  890  965,650 
Energy Future Holdings Corp., 10.00%, 1/15/20 (a)    400  416,541 
Energy Future Intermediate Holding Co. LLC,       
10.00%, 12/01/20    1,325  1,383,104 
NRG Energy, Inc., 7.63%, 1/15/18 (a)    1,000  1,041,250 
      3,806,545 
Media — 1.2%       
Clear Channel Worldwide Holdings, Inc.:       
9.25%, 12/15/17    185  205,350 
Series B, 9.25%, 12/15/17    740  823,250 
UPC Germany GmbH, 8.13%, 12/01/17 (a)    500  536,250 
      1,564,850 
Metals & Mining — 0.7%       
FMG Resources August 2006 Pty Ltd.,       
7.00%, 11/01/15 (a)    385  399,437 
Novelis, Inc., 8.38%, 12/15/17 (a)    430  474,075 
      873,512 

 

Portfolio Abbreviations         
To simplify the listings of portfolio holdings in the  CAD  Canadian Dollar  GO  General Obligation 
Schedules of Investments, the names and descriptions of  EUR  Euro  MSCI  Morgan Stanley Capital International 
many of the securities have been abbreviated according  FKA  Formerly Known As  USD  US Dollar 
to the following list:  GBP  British Pound     
See Notes to Financial Statements.         

 

18 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

    Par   
Corporate Bonds    (000)  Value 
Oil, Gas & Consumable Fuels — 0.1%       
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)  USD  126  $ 137,340 
Paper & Forest Products — 0.2%       
Verso Paper Holdings LLC, 11.50%, 7/01/14    200  220,500 
Wireless Telecommunication Services — 1.1%       
Cricket Communications, Inc., 7.75%, 5/15/16    1,125  1,189,688 
Nextel Communications, Inc., Series E, 6.88%, 10/31/13  275  277,234 
      1,466,922 
Total Corporate Bonds — 14.3%      18,474,526 
Floating Rate Loan Interests (b)       
Aerospace & Defense — 3.0%       
DynCorp International, Term Loan, 6.25%, 7/07/16    773  779,344 
Hawker Beechcraft Acquisition Co., LLC:       
Letter of Credit Linked Deposit, 0.20%, 3/26/14    36  32,129 
Term Loan, 2.26% – 2.30%, 3/26/14    600  536,028 
SI Organization, New Tranche B Term Loan,       
4.50%, 11/22/16    875  881,562 
Scitor Corp., Term Loan B, 5.75%, 2/01/17    700  697,375 
TASC, Inc., Tranche A Term Loan, 5.50%, 12/18/14    153  153,287 
TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17    850  855,075 
      3,934,800 
Auto Components — 1.2%       
Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14    729  726,576 
Armored Autogroup, Inc. (FKA Viking Aquisition, Inc.)       
Term Loan B, 6.00%, 11/02/16    520  522,600 
UCI International, Inc., Term Loan, 5.50%, 7/06/17    350  351,203 
      1,600,379 
Automobiles — 0.9%       
Ford Motor Co.:       
Tranche B-1 Term Loan, 3.02%, 12/15/13    1,202  1,201,645 
Tranche B-2 Term Loan, 3.02%, 12/15/13    20  19,631 
      1,221,276 
Biotechnology — 0.5%       
Grifols SA, Term Loan B, 6.00% 10/01/16    600  607,000 
Building Products — 3.5%       
Armstrong World Industries, Inc., Term Loan B,       
5.00%, 5/17/16    625  632,025 
CPG International I, Inc., Term Loan B, 6.00%, 2/03/17    800  802,504 
Goodman Global, Inc., Initial Term Loan (First Lien),       
5.75%, 10/13/16    2,244  2,260,858 
Momentive Performance Materials (Blitz 06-103 GmbH),       
Tranche B-2B Term Loan, 4.36%, 5/05/15  EUR  569  763,625 
      4,459,012 
Capital Markets — 1.9%       
American Capital Ltd., Term Loan B, 7.50%, 12/31/13  USD  220  221,022 
HarbourVest Partners, Term Loan (First Lien),       
6.25%, 11/10/16    988  992,438 
Nuveen Investments, Inc.:       
Extended Term Loan, (First Lien),       
5.50% – 5.81%, 5/13/17    782  779,207 
Non Extended Term Loan (First Lien), 3.30%, 11/13/14  541  524,554 
      2,517,221 
Chemicals — 7.3%       
AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16    495  499,731 
CF Industries, Inc., Term Loan B-1, 4.25%, 4/05/15    51  51,138 
Chemtura Corp., Term Facility, 5.50%, 8/16/16    750  755,938 
General Chemical Corp., Tranche B Term Loan, 5.00%,       
9/30/15    998  1,012,462 
Matrix Acquisition Corp. (MacDermid, Inc.), Tranche B       
Term Loan, 2.26%, 4/12/14    481  473,596 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Chemicals (concluded)       
Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17  USD  575  $ 576,677 
PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term     
Facility (First Lien), 3.52% – 3.56%, 7/30/14    827  813,668 
Rockwood Specialties Group, Inc., Term Loan B,       
3.75%, 2/01/18    800  808,500 
Solutia, Inc., Term Loan, 4.50%, 3/17/17    595  595,573 
Styron Sarl, Term Loan B, 6.00%, 7/27/17    1,200  1,210,800 
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15  1,375  1,386,454 
Univar, Inc., Term Loan B, 5.00% 6/30/17    1,200  1,204,126 
      9,388,663 
Commercial Banks — 1.4%       
CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15  1,830  1,853,256 
Commercial Services & Supplies — 5.0%       
ARAMARK Corp.:       
Letter of Credit - 1 Facility, 0.11%, 1/26/14    9  9,357 
Letter of Credit - 2 Facility, 0.11%, 7/26/16    14  13,891 
US Term Loan, 2.18%, 1/26/14    116  116,148 
US Term Loan B, 3.55%, 7/26/16    211  211,226 
AWAS Finance Luxembourg Sarl, Loan,       
7.75%, 6/10/16    242  247,990 
Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan,       
3.02%, 10/21/13    306  305,056 
Advanced Disposal Services, Inc., Term Loan (First Lien),     
6.00%, 1/14/15    396  398,475 
Altegrity, Inc., (FKA US Investigations Services, Inc.)       
Tranche D Term Loan, 7.75%, 2/21/15    746  761,175 
Casella Waste Systems, Inc., Term Loan B,       
7.00%, 4/09/14    556  555,609 
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16    825  832,071 
Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B       
Dollar Term Loan, 5.25%, 11/24/15    429  428,958 
Protection One, Inc., Term Loan, 6.00%, 6/04/16    464  464,854 
Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16    274  272,371 
Synagro Technologies, Inc., Term Loan (First Lien),       
2.27%, 4/02/14    972  904,232 
Volume Services America, Inc. (Centerplate),       
Term Loan B, 10.50% – 10.75%, 8/24/16    499  503,528 
West Corp., Term Loan B, 4.53% – 4.71%, 7/15/16    400  402,426 
      6,427,367 
Communications Equipment — 1.9%       
Avaya, Inc. Term Loan B:       
3.06%, 10/24/14    558  540,816 
4.81%, 10/24/17    909  890,887 
CommScope, Inc., Term Loan B, 5.00%, 1/06/18    1,000  1,014,583 
      2,446,286 
Construction & Engineering — 0.6%       
Safway Services, LLC, First Out Tranche Loan,       
9.00%, 12/18/17    750  750,000 
Construction Materials — 0.3%       
Fairmount Minerals Ltd., Tranche B Term Loan,       
6.25% – 6.75%, 8/05/16    404  408,494 
Consumer Finance — 1.4%       
Springleaf Financial Funding Co. (FKA AGFS Funding Co.),     
Term Loan, 7.25%, 4/21/15    1,800  1,816,020 
Containers & Packaging — 1.3%       
Anchor Glass Container Corp., Term Loan (First Lien),       
6.00%, 3/02/16    171  171,162 
Berry Plastics Holding Corp., Term Loan C,       
2.29% – 2.31%, 4/03/15    506  491,568 
Graham Packaging Co., LP, Term Loan D, 6.00%, 9/16/16  998  1,005,160 
      1,667,890 
Diversified Consumer Services — 3.5%       
Coinmach Laundry Corp., Delayed Draw Term Loan,       
3.26%, 11/14/14    246  231,491 
Coinmach Service Corp., Term Loan, 3.31%, 11/14/14  1,457  1,366,049 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 19



Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Diversified Consumer Services (concluded)       
Laureate Education:       
Closing Date Term Loan, 3.55%, 8/17/14  USD  739  $ 723,836 
Delayed Draw Term Loan, 3.55%, 8/15/14    111  108,368 
Series A New Term Loan, 7.00%, 8/15/14    1,125  1,131,562 
ServiceMaster Co.:       
Closing Date Term Loan, 2.76% – 2.81%, 7/24/14    928  913,024 
Delayed Draw Term Loan, 2.77%, 7/24/14    92  90,924 
      4,565,254 
Diversified Financial Services — 2.6%       
MSCI, Inc., Term Loan B, 4.75%, 6/01/16    761  764,667 
Reynolds Group Holdings, Inc., Term Loan E,       
4.25%, 2/09/18    2,000  2,010,416 
Whitelabel IV SA (Ontex):       
Facility B1, 6.75%, 8/11/17  EUR  151  210,384 
Facility B2, 6.75%, 8/11/17    249  348,157 
      3,333,624 
Diversified Telecommunication Services — 3.0%       
Hawaiian Telcom Communications, Inc., Term Loan,       
9.00%, 10/28/15  USD  655  665,975 
Integra Telecom Holdings, Inc., Term Loan,       
9.25%, 4/15/15    821  830,725 
Level 3 Financing, Inc.:       
Incremental Tranche A Term Loan,       
2.55%, 3/13/14    1,500  1,462,500 
Term Loan B, 11.50%, 3/13/14    125  134,063 
US Telepacific Corp., Term Loan B, 5.75%, 2/18/17    750  754,219 
      3,847,482 
Electric Utilities — 1.1%       
New Development Holdings LLC, Term Loan,       
7.00%, 7/03/17    1,387  1,400,924 
Electronic Equipment, Instruments & Components — 1.7%     
CDW LLC (FKA CDW Corp.):       
Extended Term Loan B, 3.51%, 7/15/17    495  494,615 
Non Extended Term Loan, 4.26%, 10/10/14    685  683,478 
Flextronics International Ltd., Closing Date Loan B,       
2.51%, 10/01/12    434  432,787 
Matinvest 2 SAS/Butterfly Wendel US, Inc.       
(Deutsche Connector):       
Facility B-2, 3.46%, 6/22/14    319  307,817 
Facility C-2, 4.21%, 6/22/15    268  258,514 
      2,177,211 
Energy Equipment & Services — 0.8%       
MEG Energy Corp., Tranche D Term Loan,       
6.00%, 4/03/16    967  976,040 
Food & Staples Retailing — 3.1%       
AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),       
Facility B1, 3.58%, 7/09/15  GBP  900  1,410,045 
Bolthouse Farms, Inc., Term Loan (First Lien),       
5.50% – 5.75%, 2/11/16  USD  478  481,091 
Pilot Travel Centers LLC, Initial Tranche B Term Loan,       
5.25%, 6/30/16    858  865,645 
Rite Aid Corp., Term Loan B, 6.00%, 7/09/14    219  219,278 
U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14    1,023  987,932 
      3,963,991 
Food Products — 6.5%       
Advance Pierre Foods, Term Loan (Second Lien):       
7.00%, 9/29/16    958  964,183 
11.25%, 9/29/17    500  512,500 
CII Investment, LLC (FKA Cloverhill):       
Delayed Draw Term Loan, 8.50%, 10/14/14    140  139,015 
Term Loan A, 8.50%, 10/14/14    427  422,464 
Term Loan B, 8.50%, 10/14/14    519  513,808 
Del Monte Corp., Term Loan B, 4.50%, 2/01/18    3,200  3,220,000 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Food Products (concluded)       
Green Mountain Coffee Roasters, Inc., Term Loan B       
Facility, 5.50%, 11/09/16  USD  400  $ 402,625 
Michael Foods Group, Inc. (FKA M-Foods Holdings, Inc.),       
Term Loan B, 4.25%, 2/25/18    482  482,484 
Michaels Stores, Inc., Term Loan B, 4.25%, 2/28/18    55  55,000 
Pinnacle Foods Finance LLC:       
Term Loan B, 2.76%, 4/02/14    135  134,494 
Tranche D Term Loan, 6.00%, 4/02/14    532  535,945 
Solvest, Ltd. (Dole):       
Tranche B-1 Term Loan, 5.00% – 5.50%, 3/02/17    282  284,059 
Tranche C-1 Term Loan, 5.00% – 5.50%, 3/02/17    701  705,208 
      8,371,785 
Health Care Equipment & Supplies — 0.9%       
Biomet, Inc., Dollar Term Loan, 3.26% – 3.30%, 3/25/15  201  200,342 
DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),       
Term Loan, 3.26%, 5/20/14    339  336,865 
Fresenius SE:       
Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14    415  417,101 
Tranche C-2 Term Loan, 4.50%, 9/10/14    226  227,096 
      1,181,404 
Health Care Providers & Services — 6.8%       
CHS/Community Health Systems, Inc.:       
Delayed Draw Term Loan, 2.51% – 2.56%, 7/25/14    54  53,679 
Extended Term Loan, 3.76% – 3.81%, 1/25/17    442  442,755 
Non Extended Term Loan, 2.51% – 2.56%, 7/25/14    1,058  1,049,453 
ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16    600  602,750 
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16    900  906,422 
HCA, Inc., Tranche A-1 Term Loan, 1.55%, 11/16/12    1,505  1,496,840 
Harden Healthcare, Inc.:       
Tranche A Additional Term Loan, 7.75%, 3/02/15    570  558,600 
Tranche A Term Loan, 8.50%, 2/22/15    360  352,889 
inVentiv Health, Inc. (FKA Ventive Health, Inc.):       
Term Loan B, 4.75%, 7/31/16    1,264  1,269,354 
Term Loan B2, 4.75%, 8/04/16    167  167,396 
Term Loan B2, 6.50%, 8/04/16    333  334,583 
Renal Advantage Holdings, Inc., Tranche B Term Loan,       
5.75%, 12/03/16    600  608,250 
Vanguard Health Holding Co. II, LLC (Vanguard Health       
Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16    913  919,404 
      8,762,375 
Health Care Technology — 1.2%       
IMS Health, Inc., Tranche B Dollar Term Loan,       
5.25%, 2/26/16    957  965,289 
MedAssets, Inc., Term Loan B, 5.25%, 11/15/16    600  604,500 
      1,569,789 
Hotels, Restaurants & Leisure — 8.9%       
BLB Management Services, Inc., (Wembly, Inc.)       
Loan (Exit), 8.50%, 11/05/15    610  613,835 
Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15    325  321,074 
Dunkin' Brands, Inc., Term Loan B, 4.25%, 11/09/17    1,100  1,107,556 
Gateway Casinos & Entertainment, Ltd., Term Loan B,       
6.50% – 7.50%, 5/12/16  CAD  1,173  1,212,114 
Harrah's Operating Co., Inc.:       
Term Loan B-1, 3.30%, 1/28/15  USD  175  162,483 
Term Loan B-2, 3.30%, 1/28/15    145  134,332 
Term Loan B-3, 3.30%, 1/28/15    3,017  2,801,458 
Term Loan B-4, 9.50%, 10/31/16    268  283,476 
Penn National Gaming, Inc., Term Loan B,       
2.01% – 2.06%, 10/03/12    566  564,623 
Seaworld Parks & Entertainment, Inc. (FKA SW       
Aquisitions Co., Inc.) Term B Loan, 4.00%, 8/17/17    1,039  1,041,523 
Sea World, Term Loan B, 4.00%, 8/16/17    361  362,442 
Six Flags Theme Parks, Inc., Tranche B Term Loan       
(First Lien), 5.25% – 5.50%, 6/30/16    822  831,655 
Travelport LLC (FKA Travelport, Inc.), Extended Delayed       
Draw Term Loan, 4.96%, 8/21/15    219  212,665 

 

See Notes to Financial Statements.

20 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Hotels, Restaurants & Leisure (concluded)       
Universal City Development Partners Ltd., Term Loan,       
5.50%, 11/16/14  USD  496  $ 501,351 
VML US Finance LLC (FKA Venetian Macau):       
New Project Term Loan, 4.79%, 5/27/13    275  274,943 
Term B Delayed Draw Project Loan, 4.79%, 5/25/12  411  411,066 
Term B Funded Project Loan, 4.79%, 5/27/13    716  716,867 
      11,553,463 
Household Durables — 1.1%       
Visant Corp. (FKA Jostens), Tranche B Term Loan,       
7.00%, 12/20/16    1,398  1,404,499 
IT Services — 4.6%       
Ceridian Corp., US Term Loan, 3.26%, 11/09/14    796  783,628 
EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16    273  275,326 
First Data Corp.:       
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14    1,255  1,188,115 
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14    749  709,337 
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14    1,652  1,563,733 
TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18  1,468  1,476,261 
      5,996,400 
Independent Power Producers & Energy Traders — 0.9%     
Texas Competitive Electric Holdings Co., LLC (TXU), Initial     
Tranche B-3 Term Loan, 3.76% – 3.80%, 10/10/14  1,447  1,216,408 
Industrial Conglomerates — 1.7%       
Sequa Corp., Term Loan, 3.56%, 12/03/14    888  878,597 
Tomkins Plc, Term Loan A, 4.25%, 9/16/16    1,283  1,293,229 
      2,171,826 
Insurance — 0.9%       
CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16  1,200  1,207,000 
Internet & Catalog Retail — 0.1%       
FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14  179  179,086 
Machinery — 0.3%       
Navistar Financial Corp., Term Loan B, 4.55%, 12/16/12  375  373,594 
Marine — 0.3%       
Horizon Lines, LLC:       
Revolving Loan, 3.31%, 8/08/12    246  228,439 
Term Loan, 3.31%, 8/08/12    134  127,782 
      356,221 
Media — 21.8%       
Acosta, Inc., Term Loan, 4.75%, 2/03/18    1,100  1,108,250 
Affinion Group, Inc., Tranche B Term Loan:       
5.00%, 10/09/16    744  748,097 
5.00%, 10/31/16    300  301,125 
Atlantic Broadband Finance, LLC, Term Loan B,       
5.00%, 11/12/15    458  458,383 
Bresnan Telecommunications Co. LLC, Term Loan,       
4.50%, 11/30/17    1,450  1,458,861 
Cengage Learning Acquisitions, Inc. (Thomson Learning):     
Term Loan, 2.55%, 7/03/14    1,496  1,439,655 
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14  375  376,736 
Cequel Communications, LLC, New Term Loan,       
2.26%, 11/05/13    531  529,518 
Charter Communications Operating, LLC:       
Term Loan B, 7.25%, 3/06/14    181  182,634 
Term Loan C, 3.56%, 9/06/16    1,610  1,613,589 
Clarke American Corp., Term Facility B, 2.80%, 6/30/14  616  587,704 
FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15  648  647,069 
Getty Images, Inc., Initial Term Loan B, 5.25%, 10/29/16  998  1,009,657 
HMH Publishing Co., Ltd., Tranche A Term Loan,       
6.01%, 6/12/14    614  583,504 
Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson       
Holdings Ltd.), Tranche B Term Loan, 5.25%, 3/07/18  3,000  3,020,157 
Interactive Data Corp., Term B Loan, 4.75%, 2/08/18  1,250  1,260,267 
Knology, Inc., Term Loan B, 4.00%, 8/31/17    550  553,437 
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):       
Facility B1, 3.68%, 6/28/15  EUR  460  583,687 
Facility C1, 3.93%, 6/30/16    460  583,687 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Media (concluded)       
Mediacom Illinois, LLC (FKA Mediacom       
Communications, LLC):       
Tranche D Term Loan, 5.50%, 3/31/17  USD  199  $ 200,236 
Tranche E Term Loan, 4.50%, 10/23/17    498  497,189 
Newsday, LLC:       
Fixed Rate Term Loan, 10.50%, 8/01/13    800  850,500 
Floating Rate Term Loan, 6.55%, 8/01/13    500  508,125 
Nielsen Finance LLC:       
Class A Dollar Term Loan, 2.26%, 8/09/13    25  25,312 
Class B Dollar Term Loan, 4.01%, 5/01/16    1,147  1,152,634 
Sinclair Television Group, Inc., New Tranche B Term Loan,       
5.50%, 10/29/15    409  413,523 
Springer Science+Business Media SA, Facility A1,       
6.75%, 7/01/16  EUR  1,100  1,533,133 
Sunshine Acquisition Ltd. (FKA HIT Entertainment),       
Term Facility, 5.56%, 6/01/12  USD  1,018  995,912 
UPC Broadband Holding B.V., Term U, 4.88%, 12/31/17 EUR  630  866,971 
Univision Communications, Inc., Extended First Lien       
Term Loan, 4.52%, 3/31/17  USD  1,054  1,025,461 
Virgin Media Investment Holdings Ltd., Facility B,       
4.53%, 12/31/15  GBP  750  1,219,125 
Weather Channel, Term Loan B, 4.25%, 2/01/17  USD  1,150  1,160,637 
Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,       
2.76%, 8/09/11    633  613,828 
      28,108,603 
Metals & Mining — 1.5%       
Euramax International, Inc., Domestic Term Loan:       
10.00%, 6/29/13    244  234,759 
14.00%, 6/29/13    237  228,546 
Novelis Corp., Term Loan, 5.25%, 12/01/16    1,400  1,416,500 
      1,879,805 
Multi-Utilities — 0.1%       
FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):       
Synthetic Letter of Credit, 0.16%, 11/01/13    4  3,970 
Term B Advance (First Lien), 2.81%, 11/01/13    196  195,221 
      199,191 
Multiline Retail — 2.5%       
Dollar General Corp., Tranche B-2 Term Loan,       
3.01%, 7/07/14    316  315,687 
Hema Holding BV, Facility D, 5.91%, 1/01/17  EUR  1,800  2,440,455 
The Neiman Marcus Group, Inc., Tranche B-2 Term Loan,       
4.30%, 4/06/16  USD  521  523,415 
      3,279,557 
Oil, Gas & Consumable Fuels — 1.4%       
EquiPower Resources Holdings, LLC, Term Loan B,       
5.75%, 1/11/18    650  654,875 
Obsidian Natural Gas Trust, Term Loan,       
7.00%, 11/30/15    1,086  1,113,348 
      1,768,223 
Paper & Forest Products — 0.4%       
Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12    548  547,981 
Personal Products — 1.1%       
NBTY, Inc., Term Loan B:       
6.25%, 9/20/17    800  808,166 
4.75%, 10/01/17    590  590,000 
      1,398,166 
Pharmaceuticals — 1.3%       
Axcan Intermediate Holdings, Inc., Term Loan,       
5.50%, 2/03/17    667  668,333 
Warner Chilcott Corp.:       
Additional Term Loan, 6.25%, 4/30/15    197  198,263 
Delayed Draw Term Loan B, 6.25%, 4/30/15    246  247,630 
Term Loan A, 6.00%, 10/30/14    435  434,785 
Term Loan B-1, 6.25%, 4/30/15    149  149,727 
Term Loan B-3, 6.50%, 2/20/16    5  5,375 
      1,704,113 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 21



Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Professional Services — 1.7%       
Booz Allen Hamilton, Inc., Tranche B Term Loan,       
4.00%, 8/01/17  USD 1,325  $ 1,337,588 
Fifth Third Processing Solutions, LLC, Term Loan B       
(First Lien), 5.50%, 10/21/16    800  806,200 
      2,143,788 
Real Estate Investment Trusts (REITs) — 0.1%       
iStar Financial, Inc., Term Loan (Second Lien),       
1.76%, 6/28/11    100  98,625 
Real Estate Management & Development — 1.8%       
Realogy Corp.:       
Exit Term Loan, 3.29%, 10/16/16    275  265,203 
Initial Term Loan B, 4.56%, 10/10/13    201  192,971 
Synthetic Letter of Credit, 4.51%, 10/10/13    24  22,868 
Term Loan B, 4.56%, 10/16/16    1,754  1,682,067 
Term Loan C, 4.51%, 10/16/16    128  122,703 
      2,285,812 
Road & Rail — 0.2%       
Transtar Industries, Term Loan (First Lien), 6.25%, 12/07/16  225  228,375 
Semiconductors & Semiconductor Equipment — 0.7%       
Freescale Semiconductor, Inc., Term Loan B,       
4.51%, 12/01/16    443  442,383 
Microsemi Corp., Term Loan B, 5.00%, 10/25/17    500  501,250 
      943,633 
Software — 1.1%       
Rovi Corp., Term Loan B, 4.00%, 2/01/18    450  454,500 
Telcordia Technologies, Inc., Term Loan, 6.75%, 4/30/16    596  598,850 
Vertafore, Inc., New Term Loan B, 5.25%, 7/29/16    310  312,325 
      1,365,675 
Specialty Retail — 4.2%       
Burlington Coat Factory Warehouse Corp., Term Loan B,       
6.25%, 2/18/17    450  451,500 
Gymboree Corp., Term Loan B, 5.00%, 2/11/18    650  651,950 
J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18    1,300  1,300,000 
Matalan Finance Plc, Term Facility, 5.61%, 3/24/16  GBP  277  448,259 
Michaels Stores, Inc.:       
Term Loan B-1, 2.56%, 10/31/13  USD  334  333,231 
Term Loan B-2, 4.81% – 4.87%, 7/31/16    231  232,697 
Petco Animal Supplies, Inc., Term Loan B,       
4.75%, 11/24/17    1,100  1,100,000 
Toys 'R' Us Delaware, Inc., Initial Loan, 6.00%, 8/17/16    866  872,007 
      5,389,644 
Textiles, Apparel & Luxury Goods — 0.4%       
Philips Van Huesen Corp., US Tranche B Term Loan,       
5.25%, 5/06/16    541  543,547 
Wireless Telecommunication Services — 1.8%       
Digicel International Finance Ltd., US Term Loan       
(Non-Rollover), 2.81%, 3/30/12    704  695,064 
MetroPCS Wireless, Inc., Tranche B-2 Term Loan,       
3.81%, 11/03/16    773  776,230 
Vodafone Americas Finance 2 Inc., Initial Loan,       
6.88%, 7/30/15    776  803,675 
      2,274,969 
Total Floating Rate Loan Interests — 122.3%      157,865,747 
  Beneficial   
  Interest   
Other Interests (e)    (000)  Value 
Auto Components — 1.0%       
Delphi Debtor-in-Possession Holding Co. LLP,       
Class B Membership Interests    —(f)  $ 1,282,194 
Total Other Interests — 1.0%      1,282,194 
Total Long-Term Investments       
(Cost — $178,235,192) — 142.6%      184,078,000 

 

Short-Term Securities  Shares  Value 
BlackRock Liquidity Funds, TempFund, Institutional     
Class, 0.15%, (g)(h)  4,517,571  $    4,517,571 
Total Short-Term Securities     
(Cost — $4,517,571) — 3.5%    4,517,571 
Total Investments (Cost — $182,752,763*) — 146.1%    188,595,571 
Liabilities in Excess of Other Assets — (46.1%)    (59,524,659) 
Net Assets — 100.0%    $129,070,912 


* The cost and unrealized appreciation (depreciation) of investments as of

February 28, 2011, as computed for federal income tax purposes, were as follows:

Aggregate cost  $182,752,213 
Gross unrealized appreciation  $    6,512,224 
Gross unrealized depreciation  (668,866) 
Net unrealized appreciation  $    5,843,358 


(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.

These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(b) Variable rate security. Rate shown is as of report date.
(c) When-issued security. Unsettled when-issued transactions were as follows:

    Unrealized 
    Appreciation 
Counterparty  Value  (Depreciation) 
Bank of America & Co.  $ 493,150   


(d) Non-income producing security.

(e) Other interests represent beneficial interest in liquidation trusts and other reorgani-
zation entities and are non-income producing.
(f) Amount is less than $1,000.
(g) Investments in companies considered to be an affiliate of the Fund during the
period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

  Shares Held at  Net  Shares Held at   
Affiliate  August 31, 2010  Activity  February 28, 2011  Income 
BlackRock Liquidity       
Funds, TempFund,       
Institutional Class 1,172,197  3,345,374  4,517,571  $2,102 


(h) Represents the current yield as of report date.

For Fund compliance purposes, the Fund’s industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or rating group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine such
industry sub-classifications for reporting ease.
Foreign currency exchange contracts as of February 28, 2011 were as follows:

            Unrealized 
Currency    Currency    Settlement                   Appreciation 
Purchased    Sold  Counterparty  Date  (Depreciation) 
USD  1,175,902  CAD  1,166,000  Citibank NA  4/14/11  $ (23,058) 
USD  2,675,638  GBP  1,702,500  Citibank NA  4/14/11  (90,878) 
EUR  297,000  USD  402,890  UBS AG  4/27/11  6,661 
USD  57,230  EUR  42,500  Citibank NA  4/27/11  (1,376) 
USD  7,534,050  EUR  5,508,000  Royal Bank     
        of Scotland  4/27/11  (61,263) 
Total            $ (169,914) 


Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivatives. These inputs are summarized in three broad levels for
financial statement purposes as follows:
Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 — other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical or
similar assets or liabilities in markets that are not active, inputs other than quoted
prices that are observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and default
rates) or other market-corroborated inputs)

See Notes to Financial Statements.

22 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (concluded)
BlackRock Defined Opportunity Credit Trust (BHL)

Level 3 — unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Fund's own assumptions used in determining the fair value of investments
and derivatives)

The inputs or methodologies used for valuing securities are not necessarily an indica-
tion of the risk associated with investing in those securities. For information about the
Fund's policy regarding valuation of investments and derivatives and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of February 28, 2011 in deter-
mining the fair valuation of the Fund's investments and derivatives:

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Assets:         
Investments in         
Securities:         
Long-Term         
Investments:         
Asset-Backed         
Securities    $ 1,721,646  $ 3,996,878  $ 5,718,524 
Common Stocks .  $ 260,474    476,535  737,009 
Corporate Bonds.    18,460,311  14,215  18,474,526 
Floating Rate         
Loan Interests    141,373,620  16,492,127  157,865,747 
Other Interests    1,282,194    1,282,194 
Short-Term         
Securities  4,517,571      4,517,571 
Unfunded Loan         
Commitments .    26,074  1,656  27,730 
Liabilities:         
Unfunded Loan         
Commitments .      (4,560)  (4,560) 
Total  $ 4,778,045  $162,863,845  $ 20,976,851  $188,618,741 

 

Derivative Financial Instruments1

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Assets:         
Foreign currency         
exchange         
contracts  $ 6,661    $ 6,661 
Liabilities:         
Foreign currency         
exchange         
contracts    (176,575)     (176,575) 
Total  $ (169,914)    $ (169,914) 

1 Derivative financial instruments are foreign currency exchange contracts. Foreign
currency exchange contracts are valued at the unrealized appreciation/depreci-
ation on the instrument.

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

  Asset-Backed  Common  Corporate  Floating Rate  Unfunded Loan   
  Securities  Stocks  Bonds  Loan Interests  Commitments  Total 
Assets:             
Balance, as of August 31, 2010    $ 270,181  $ 12,664  $20,437,083    $20,719,928 
Accrued discounts/premiums  $ 14,544    981  238,946    254,471 
Net realized gain (loss)        136,631    136,631 
Net change in unrealized appreciation/depreciation2  (451,694)  17,481  570  845,429  $ 1,656  413,442 
Purchases  4,434,028  188,873    11,158,794    15,781,695 
Sales        (12,465,469)    (12,465,469) 
Transfers in3        1,366,049    1,366,049 
Transfers out3        (5,225,336)    (5,225,336) 
Balance, as of February 28, 2011  $ 3,996,878  $ 476,535  $ 14,215  $16,492,127  $ 1,656  $20,981,411 

2 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in the unrealized appreciation/depreciation on the
securities still held on February 28, 2011 was $(148,175).
3 The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.
The following is a reconciliation of Level 3 derivative financial instruments for which
significant unobservable inputs were used in determining fair value:

  Unfunded Loan 
  Commitments 
Liabilities:   
Balance, as of August 31, 2010  $ (46,743) 
Accrued discounts/premiums   
Net realized gain (loss)   
Net change in unrealized appreciation/depreciation4  42,183 
Purchases   
Sales   
Transfers in5   
Transfers out5   
Balance, as of February 28, 2011  $ (4,560) 

4 Included in the related net change in unrealized appreciation/depreciation in
the Statements of Operations. The change in unrealized appreciation/deprecia-
tion on securities still held at February 28, 2011 was $42,183.
5 The Fund’s policy is to recognize transfers in and transfers out as of the end of
the period of the event or the change in circumstances that caused the transfer.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 23



Schedule of Investments February 28, 2011 (Unaudited)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)

  Par   
Asset-Backed Securities  (000)  Value 
ARES CLO Funds (a)(b):     
Series 2005-10A, Class B, 0.69%, 9/18/17  USD 250  $ 220,000 
Series 2011-16A, Class C, 2.90%, 5/17/21 (c)  500  493,150 
Canaras Summit CLO Ltd., Series 2007-1A, Class B,     
0.78%, 6/19/21 (a)(b)  365  311,907 
Centurion CDO 9 Ltd., Series 2005-9A, Class B,     
1.07%, 7/17/19 (a)(b)  500  411,605 
Flagship CLO, Series 2006-1A, Class B,     
0.64%, 9/20/19 (a)(b)  1,000  825,000 
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,     
0.70%, 12/20/20 (a)(b)  500  441,875 
Gannett Peak CLO Ltd., Class A2:     
Series 2006-1A, 0.66%, 10/27/20 (a)(b)  405  348,806 
Series 2006-1X, 0.66%, 10/27/20  280  235,900 
KKR CLO Ltd., Series 2005-1A, Class B,     
0.75%, 4/26/17 (a)(b)  500  456,250 
LCM LP, Series 8A, Class C, 3.37%, 1/14/21 (a)(b)  350  349,125 
Landmark CDO Ltd., Series 2006-8A, Class B,     
0.66%, 10/19/20 (a)(b)  525  456,666 
MAPS CLO Fund LLC, Series 2005-1A, Class C,     
1.25%, 12/21/17 (a)(b)  275  239,937 
Portola CLO Ltd., Series 2007-1X, Class B1,     
1.76%, 11/15/21  370  342,250 
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,     
0.90%, 7/15/19 (a)(b)  320  274,538 
Total Asset-Backed Securities — 4.0%    5,407,009 
Common Stocks (d)  Shares   
Capital Markets — 0.1%     
E*Trade Financial Corp.  14,300  228,514 
Chemicals — 0.0%     
Wellman Holdings, Inc.  1,613  81 
Construction Materials — 0.1%     
Nortek, Inc.  1,570  69,865 
Electrical Equipment — 0.0%     
Medis Technologies Ltd.  176,126  3,699 
Hotels, Restaurants & Leisure — 0.0%     
Buffets Restaurants Holdings, Inc.  688  2,924 
Metals & Mining — 0.1%     
Euramax International  468  123,887 
Paper & Forest Products — 0.8%     
Ainsworth Lumber Co. Ltd. (a)  349,782  1,155,679 
Software — 0.3%     
Bankruptcy Management Solutions, Inc.  536  1,877 
HMH Holdings/EduMedia  45,526  227,630 
TiVo, Inc.  13,755  141,401 
    370,908 
Total Common Stocks — 1.4%    1,955,557 
  Par   
Corporate Bonds  (000)   
Airlines — 0.5%     
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16  USD 271  292,182 
United Air Lines, Inc., 12.75%, 7/15/12  295  329,242 
    621,424 
Auto Components — 0.8%     
Delphi International Holdings Unsecured,     
12.00%, 10/06/14  13  14,215 
Icahn Enterprises LP, 7.75%, 1/15/16  1,065  1,099,612 
    1,113,827 

 

    Par   
Corporate Bonds    (000)  Value 
Capital Markets — 0.2%       
E*Trade Financial Corp., 3.95% 8/31/19 (a)(e)(f)  USD  83  $ 128,235 
KKR Group Finance Co., 6.38%, 9/29/20 (a)    80  82,426 
      210,661 
Chemicals — 1.0%       
CF Industries, Inc., 6.88%, 5/01/18    445  491,447 
Wellman Holdings, Inc., Subordinate Note (e):       
(Second Lien), 10.00%, 1/29/19 (a)    894  777,780 
(Third Lien), 5.00%, 1/29/19 (g)    301  117,329 
      1,386,556 
Commercial Banks — 1.3%       
CIT Group, Inc.:       
7.00%, 5/01/14    40  40,775 
7.00%, 5/01/16    120  121,050 
7.00%, 5/01/17    1,575  1,586,813 
Glitnir Banki HF, 6.38%, 9/25/12 (a)(d)(h)    365   
      1,748,638 
Commercial Services & Supplies — 0.7%       
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)    624  641,160 
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)    260  279,500 
      920,660 
Construction Materials — 0.5%       
Nortek, Inc., 11.00%, 12/01/13    639  680,083 
Consumer Finance — 0.3%       
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)    450  483,750 
Containers & Packaging — 0.5%       
Smurfit Kappa Acquisitions (a):       
7.25%, 11/15/17  EUR  250  365,689 
7.75%, 11/15/19    240  354,373 
      720,062 
Diversified Financial Services — 1.8%       
Ally Financial, Inc.:       
5.38%, 6/06/11    110  151,795 
6.88%, 9/15/11  USD  150  153,375 
7.50%, 12/31/13    20  21,800 
2.51%, 12/01/14 (b)    750  736,991 
8.00%, 3/15/20    20  22,525 
7.50%, 9/15/20 (a)    260  284,375 
8.00%, 11/01/31    30  34,350 
8.00%, 11/01/31    110  125,993 
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16    80  88,200 
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (a)    300  319,500 
Reynolds Group Issuer, Inc. (a):       
7.75%, 10/15/16  EUR  200  292,551 
6.88%, 2/15/21  USD  195  195,488 
      2,426,943 
Diversified Telecommunication Services — 0.4%       
ITC Deltacom, Inc., 10.50%, 4/01/16    220  241,450 
Qwest Communications International, Inc., Series B,       
7.50%, 2/15/14    347  352,205 
      593,655 
Electronic Equipment, Instruments & Components — 0.2%     
CDW LLC, 8.00%, 12/15/18 (a)    250  268,750 
Food Products — 0.4%       
B&G Foods, Inc., 7.63%, 1/15/18    300  320,250 
Smithfield Foods, Inc., 10.00%, 7/15/14    150  177,000 
      497,250 
Health Care Providers & Services — 0.2%       
HCA, Inc., 7.25%, 9/15/20    235  253,506 
Health Care Technology — 0.3%       
IMS Health, Inc., 12.50%, 3/01/18 (a)    400  469,000 

 

See Notes to Financial Statements.

24 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)

    Par   
Corporate Bonds    (000)  Value 
Hotels, Restaurants & Leisure — 1.0%       
Caesars Entertainment Operating Co., Inc.,       
10.00%, 12/15/18  USD  25  $ 23,500 
Little Traverse Bay Bands of Odawa Indians,       
9.00%, 8/31/20 (a)    242  199,650 
MGM Resorts International, 11.13%, 11/15/17    390  449,475 
Travelport LLC, 4.94%, 9/01/14 (b)    810  722,925 
Tropicana Entertainment LLC, Series WI,       
9.63%, 12/15/14 (d)(h)    120  12 
      1,395,562 
Household Durables — 0.4%       
Beazer Homes USA, Inc., 12.00%, 10/15/17    500  581,250 
Independent Power Producers & Energy Traders — 2.7%     
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)  750  813,750 
Energy Future Holdings Corp., 10.00%, 1/15/20 (a)    400  416,541 
Energy Future Intermediate Holding Co. LLC,       
10.00%, 12/01/20    1,325  1,383,104 
NRG Energy, Inc., 7.63%, 1/15/18 (a)    1,000  1,041,250 
      3,654,645 
Industrial Conglomerates — 0.6%       
Sequa Corp., 13.50%, 12/01/15 (a)(g)    722  799,138 
Media — 2.5%       
CSC Holdings, Inc., 8.50%, 4/15/14    180  201,600 
Cengage Learning Acquisitions, Inc.,       
10.50%, 1/15/15 (a)    625  648,437 
Checkout Holding Corp., 10.69% 11/15/15 (a)(f)    425  274,125 
Clear Channel Worldwide Holdings, Inc., Series B,       
9.25%, 12/15/17    774  861,075 
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)  300  322,500 
UPC Germany GmbH, 8.13%, 12/01/17 (a)    1,000  1,072,500 
      3,380,237 
Metals & Mining — 0.7%       
FMG Resources August 2006 Pty Ltd.,       
7.00%, 11/01/15 (a)    410  425,375 
Novelis, Inc., 8.38%, 12/15/17 (a)    455  501,637 
RathGibson, Inc., 11.25%, 2/15/14 (d)(h)    1,390  139 
      927,151 
Multiline Retail — 0.2%       
Dollar General Corp., 11.88%, 7/15/17 (g)    215  248,594 
Oil, Gas & Consumable Fuels — 0.1%       
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)    135  147,150 
Paper & Forest Products — 0.9%       
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g)    720  731,291 
Clearwater Paper Corp., 10.63%, 6/15/16    190  217,075 
Verso Paper Holdings LLC:       
11.50%, 7/01/14    160  176,400 
Series B, 4.05%, 8/01/14 (b)    170  169,150 
      1,293,916 
Pharmaceuticals — 0.2%       
Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (b)  260  218,400 
Valeant Pharmaceuticals International (a):       
6.75%, 10/01/17    45  46,575 
7.00%, 10/01/20    60  62,025 
      327,000 
Professional Services — 0.1%       
FTI Consulting, Inc., 6.75%, 10/01/20 (a)    85  85,000 
Real Estate Investment Trusts (REITs) — 0.0%       
Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (a)  65  65,650 

 

    Par   
Corporate Bonds    (000)  Value 
Wireless Telecommunication Services — 1.4%       
Cricket Communications, Inc., 7.75%, 5/15/16  USD  850  $ 898,875 
Digicel Group Ltd. (a):       
9.13%, 1/15/15    279  290,579 
8.25%, 9/01/17    255  266,475 
iPCS, Inc., 2.43%, 5/01/13 (b)    200  197,500 
Nextel Communications, Inc., Series E, 6.88%, 10/31/13  225  226,828 
      1,880,257 
Total Corporate Bonds — 19.9%      27,180,315 
Floating Rate Loan Interests (b)       
Aerospace & Defense — 3.0%       
DynCorp International, Term Loan, 6.25%, 7/07/16    798  804,484 
Hawker Beechcraft Acquisition Co., LLC:       
Letter of Credit Linked Deposit, 0.20%, 3/26/14    38  33,861 
Term Loan, 2.26% - 2.30%, 3/26/14    632  564,912 
SI Organization Co., New Tranche B Term Loan       
4.50%, 11/22/16    1,075  1,083,062 
Scitor Corp., Term Loan B, 5.75%, 2/01/17    750  747,187 
TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17    900  905,373 
      4,138,879 
Auto Components — 1.2%       
Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14    743  740,323 
Armored Autogroup, Inc. (FKA Viking Aquisition, Inc.),       
Term Loan B, 6.00%, 11/02/16    530  532,650 
UCI International, Inc., Term Loan, 5.50%, 7/06/17    350  351,204 
      1,624,177 
Biotechnology — 0.4%       
Grifols SA, Term Loan B, 6.00% 10/01/16    600  607,000 
Building Products — 3.2%       
Armstrong World Industries, Inc., Term Loan B,       
5.00%, 5/17/16    750  758,430 
CPG International I, Inc., Term Loan B, 6.00%, 2/03/17    850  852,660 
Goodman Global, Inc., Initial Term Loan (First Lien),       
5.75%, 10/13/16    2,244  2,260,858 
Momentive Performance Materials (Blitz 06-103 GmbH),       
Tranche B-2B Term Loan, 4.36%, 5/05/15  EUR  318  427,218 
      4,299,166 
Capital Markets — 1.9%       
American Capital Ltd., Term Loan B, 7.50%, 12/31/13  USD  237  238,174 
HarbourVest Partners, Term Loan (First Lien),       
6.25%, 11/10/16    988  992,438 
Nuveen Investments, Inc.:       
Extended Term Loan (First Lien), 5.80% – 5.81%, 5/13/17  862  858,789 
Non Extended Term Loan (First Lien), 3.30%, 11/13/14  588  570,094 
      2,659,495 
Chemicals — 6.9%       
AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16    594  599,677 
Chemtura Corp., Term Facility, 5.50%, 8/16/16    700  705,542 
General Chemical Corp., Tranche B Term Loan,       
7.25%, 9/30/15    998  1,012,463 
MacDermid, Inc., Tranche C Term Loan,       
3.07%, 4/12/14  EUR  236  314,568 
Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17  USD  600  601,750 
PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term       
Facility (First Lien), 3.52% – 3.56%, 7/30/14    809  795,733 
Rockwood Specialties Group, Inc., Term Loan B,       
3.75%, 2/01/18    850  859,031 
Solutia, Inc., Term Loan, 4.50%, 3/17/17    515  515,172 
Styron Sarl, Term Loan B, 6.00%, 7/27/17    1,300  1,311,700 
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15    1,330  1,341,079 
Univar, Inc., Term Loan B, 5.00% 6/30/17    1,300  1,304,469 
      9,361,184 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 25



Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Commercial Banks — 1.2%       
CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15 USD  1,650  $ 1,670,968 
Commercial Services & Supplies — 4.0%       
ARAMARK Corp.:       
Letter of Credit - 1 Facility, 0.11%, 1/26/14    7  6,913 
Letter of Credit - 2 Facility, 0.11%, 7/26/16    10  9,758 
US Term Loan, 2.18%, 1/26/14    86  85,813 
US Term Loan B, 3.55%, 7/26/16    148  148,387 
AWAS Finance Luxembourg Sarl, Loan,       
7.75%, 6/10/16    262  268,528 
Advanced Disposal Services, Inc., Term Loan (First Lien),     
6.00%, 1/14/15    495  498,094 
Altegrity, Inc., (FKA US Investigations Services, Inc.)       
Tranche D Term Loan, 7.75%, 2/21/15    846  862,665 
Casella Waste Systems, Inc., Term Loan B,       
7.00%, 4/09/14    394  394,000 
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16    925  932,928 
Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B       
Dollar Term Loan, 5.25%, 11/24/15    365  364,614 
Protection One, Inc., Term Loan, 6.00%, 6/04/16    449  450,056 
Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16    299  297,132 
Synagro Technologies, Inc., Term Loan (First Lien),       
2.27%, 4/02/14    714  663,930 
Volume Services America, Inc. (Centerplate),       
Term Loan B, 10.50% – 10.75%, 8/24/16    499  503,528 
      5,486,346 
Communications Equipment — 1.8%       
Avaya, Inc., Term Loan B:       
3.06%, 10/24/14    568  550,506 
4.81%, 10/24/17    914  895,777 
CommScope, Inc., Term Loan B, 5.00%, 1/06/18    1,000  1,014,583 
      2,460,866 
Construction & Engineering — 0.6%       
Safway Services, LLC, First Out Tranche Loan,       
9.00%, 12/18/17    800  800,000 
Construction Materials — 0.3%       
Fairmount Minerals Ltd., Tranche B Term Loan,       
6.25% – 6.75%, 8/05/16    404  408,494 
Consumer Finance — 1.5%       
Springleaf Financial Funding Co. (FKA AGFS       
Funding Co.), Term Loan, 7.25%, 4/21/15    2,050  2,068,245 
Containers & Packaging — 0.7%       
Anchor Glass Container Corp., Term Loan (First Lien),       
6.00%, 3/02/16    155  155,621 
Graham Packaging Co., LP, Term Loan D, 6.00%, 9/16/16  798  804,128 
      959,749 
Diversified Consumer Services — 3.4%       
Coinmach Service Corp., Term Loan,       
3.26% – 3.31%, 11/14/14    1,725  1,616,754 
Laureate Education:       
Closing Date Term Loan, 3.55%, 8/17/14    805  787,703 
Delayed Draw Term Loan, 3.55%, 8/15/14    120  117,930 
Series A New Term Loan, 7.00%, 8/15/14    1,199  1,206,109 
ServiceMaster Co.:       
Closing Date Term Loan, 2.76% – 2.81%, 7/24/14  864  850,820 
Delayed Draw Term Loan, 2.77%, 7/24/14    86  84,729 
      4,664,045 
Diversified Financial Services — 2.7%       
MSCI, Inc., Term Loan B, 4.75%, 6/01/16    951  955,834 
Reynolds Group Holdings, Inc., Term Loan E,       
4.25%, 2/09/18    2,150  2,161,197 
Whitelabel IV SA (Ontex):       
Facility B1, 6.75%, 8/11/17  EUR  160  223,532 
Facility B2, 6.75%, 8/11/17    265  369,917 
      3,710,480 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Diversified Telecommunication Services — 3.3%       
Hawaiian Telcom Communications, Inc., Term Loan,       
9.00%, 10/28/15  USD 1,366  $ 1,388,961 
Integra Telecom Holdings, Inc., Term Loan,       
9.25%, 4/15/15    821  830,725 
Level 3 Financing, Inc.:       
Incremental Tranche A Term Loan, 2.55%, 3/13/14    1,375  1,340,625 
Term Loan B, 11.50%, 3/13/14    125  134,063 
US Telepacific Corp., Term Loan B, 5.75%, 2/18/17    750  754,219 
      4,448,593 
Electric Utilities — 1.1%       
New Development Holdings LLC, Term Loan,       
7.00%, 7/03/17    1,437  1,450,527 
Electronic Equipment, Instruments & Components — 0.9%     
CDW LLC (FKA CDW Corp.):       
Extended Term Loan B, 3.51%, 7/15/17    467  466,684 
Non Extended Term Loan, 4.26%, 10/10/14    720  718,400 
Flextronics International Ltd., Delayed Draw:       
Term Loan A-2, 2.51%, 10/01/14    21  20,611 
Term Loan A-3, 2.51%, 10/01/14    24  24,046 
      1,229,741 
Energy Equipment & Services — 0.6%       
MEG Energy Corp., Tranche D Term Loan, 6.00%, 4/03/16  816  823,367 
Food & Staples Retailing — 3.0%       
AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),       
Facility B1, 3.58%, 7/09/15  GBP  750  1,175,037 
Bolthouse Farms, Inc., Term Loan (First Lien),       
5.50% – 5.75%, 2/11/16  USD  526  529,200 
Pilot Travel Centers LLC, Initial Tranche B Term Loan,       
5.25%, 6/30/16    1,288  1,298,468 
Rite Aid Corp., Term Loan B, 6.00%, 7/09/14    229  229,245 
U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14    883  852,695 
      4,084,645 
Food Products — 5.9%       
Advance Pierre Foods, Term Loan (Second Lien):       
7.00%, 9/29/16    928  934,216 
11.25%, 9/29/17    500  512,500 
CII Investment, LLC (FKA Cloverhill):       
Delayed Draw Term Loan, 8.50%, 10/14/14    119  117,628 
Term Loan A, 8.50%, 10/14/14    361  357,469 
Term Loan B, 8.50%, 10/14/14    439  434,760 
Del Monte Corp., Term Loan B, 4.50%, 2/01/18    3,350  3,370,938 
Green Mountain Coffee Roasters, Inc., Term Loan B       
Facility, 5.50%, 11/09/16    500  503,282 
Pinnacle Foods Finance LLC:       
Term Loan B, 2.76%, 4/02/14    150  149,438 
Tranche D Term Loan, 6.00%, 4/02/14    581  585,852 
Solvest, Ltd. (Dole):       
Tranche B-1 Term Loan, 5.00% – 5.50%, 3/02/17    305  306,998 
Tranche C-1 Term Loan, 5.00% – 5.50%, 3/02/17    752  757,186 
      8,030,267 
Health Care Equipment & Supplies — 0.6%       
DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),       
Term Loan, 3.26%, 5/20/14    352  349,837 
Fresenius SE:       
Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14    284  284,888 
Tranche C-2 Term Loan, 4.50%, 9/10/14    150  150,829 
      785,554 
Health Care Providers & Services — 6.2%       
CHS/Community Health Systems, Inc.:       
Delayed Draw Term Loan, 2.51% – 2.56%, 7/25/14    56  55,916 
Extended Term Loan, 3.76% – 3.81%, 1/25/17    311  311,669 
Non Extended Term Loan, 2.51% – 2.56%, 7/25/14    1,093  1,083,681 

 

See Notes to Financial Statements.

26 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Health Care Providers & Services (concluded)       
ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16  USD  600  $ 602,750 
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16    800  805,709 
HCA, Inc.:       
Tranche A-1 Term Loan, 1.55%, 11/16/12    1,132  1,125,755 
Tranche B-1 Term Loan, 2.55%, 11/18/13    87  86,338 
Tranche B-2 Term Loan, 3.55%, 3/31/17    232  232,345 
Harden Healthcare, Inc.:       
Tranche A Additional Term Loan, 7.75%, 3/02/15    603  591,185 
Tranche A Term Loan, 8.50%, 2/22/15    360  352,889 
inVentiv Health, Inc. (FKA Ventive Health, Inc.):       
Term Loan B, 4.75%, 7/31/16    1,164  1,169,418 
Term Loan B2, 4.75%, 8/04/16    300  301,125 
Term Loan B2, 6.50%, 8/04/16    150  150,656 
Renal Advantage Holdings, Inc., Tranche B Term Loan,       
5.75%, 12/03/16    600  608,250 
Vanguard Health Holding Co. II, LLC (Vanguard Health       
Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16    909  914,421 
      8,392,107 
Health Care Technology — 1.2%       
IMS Health, Inc., Tranche B Dollar Term Loan,       
5.25%, 2/26/16    993  1,001,565 
MedAssets, Inc., Term Loan B, 5.25%, 11/15/16    600  604,500 
      1,606,065 
Hotels, Restaurants & Leisure — 8.9%       
BLB Management Services, Inc. (Wembly, Inc.) Loan (Exit),     
8.50%, 11/05/15    428  429,994 
Blackstone UTP Capital LLC, Loan, 7.75%, 11/06/14    743  757,350 
Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15    400  395,168 
Dunkin' Brands, Inc., Term Loan B, 4.25%, 11/09/17    1,100  1,107,556 
Gateway Casinos & Entertainment, Ltd., Term Loan B,       
6.50% – 7.50%, 5/12/16  CAD  1,173  1,212,114 
Harrah's Operating Co., Inc.:       
Term Loan B-2, 3.30%, 1/28/15  USD  155  143,596 
Term Loan B-3, 3.30%, 1/28/15    3,346  3,106,791 
Term Loan B-4, 9.50%, 10/31/16    385  407,993 
Seaworld Parks & Entertainment, Inc. (FKA SW       
Aquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17    411  412,676 
Sea World, Term Loan B, 4.00%, 8/16/17    1,039  1,041,523 
Six Flags Theme Parks, Inc., Tranche B Term Loan       
(First Lien), 5.00% – 5.50%, 6/30/16    895  905,036 
Travelport LLC (FKA Travelport, Inc.), Extended Delayed       
Draw Term Loan, 4.96%, 8/21/15    229  222,331 
Universal City Development Partners Ltd., Term Loan,       
5.50%, 11/16/14    571  576,265 
VML US Finance LLC (FKA Venetian Macau):       
New Project Term Loan, 4.79%, 5/27/13    300  299,938 
Term B Delayed Draw Project Loan, 4.79%, 5/25/12    298  298,109 
Term B Funded Project Loan, 4.79%, 5/27/13    858  859,193 
      12,175,633 
Household Durables — 1.0%       
Visant Corp. (FKA Jostens):       
5.25%, 12/22/16    725  725,000 
Tranche B Term Loan, 7.00%, 12/20/16    599  603,857 
      1,328,857 
IT Services — 4.7%       
Ceridian Corp., US Term Loan, 3.26%, 11/09/14    1,030  1,014,396 
EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16    209  210,829 
First Data Corp.:       
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14    1,245  1,178,648 
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14    1,728  1,636,250 
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14    881  833,832 
TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18  1,468  1,476,261 
      6,350,216 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Independent Power Producers & Energy Traders — 0.8%       
Texas Competitive Electric Holdings Co., LLC (TXU):       
Initial Tranche B-1 Term Loan,       
3.76% – 3.80%, 10/10/14  USD 1,085  $ 914,694 
Initial Tranche B-2 Term Loan,       
3.76% – 3.80%, 10/10/14    228  192,397 
      1,107,091 
Industrial Conglomerates — 1.7%       
Sequa Corp., Term Loan, 3.56%, 12/03/14    897  886,969 
Tomkins Plc, Term Loan A, 4.25%, 9/16/16    1,480  1,492,188 
      2,379,157 
Insurance — 0.9%       
CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16    1,200  1,207,000 
Internet & Catalog Retail — 0.3%       
FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14    357  358,172 
Leisure Equipment & Products — 0.3%       
EB Sports Corp., Loan, 11.50%, 5/01/12    474  474,446 
Machinery — 0.3%       
Navistar Financial Corp., Term Loan B, 4.55%, 12/16/12    400  398,500 
Marine — 0.3%       
Horizon Lines, LLC:       
Revolving Loan, 3.31%, 8/08/12    246  228,439 
Term Loan, 3.31%, 8/08/12    134  127,782 
      356,221 
Media — 20.1%       
Acosta, Inc., Term Loan, 4.75%, 2/03/18    1,150  1,158,625 
Affinion Group, Inc., Tranche B Term Loan:       
5.00%, 10/09/16    744  748,097 
5.00%, 10/31/16    200  200,750 
Atlantic Broadband Finance, LLC, Term Loan B,       
5.00%, 11/12/15    483  482,508 
Bresnan Telecommunications Co. LLC, Term Loan,       
4.50%, 11/30/17    1,375  1,383,403 
Cengage Learning Acquisitions, Inc. (Thomson Learning):       
Term Loan, 2.55%, 7/03/14    997  959,770 
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14    482  484,500 
Charter Communications Operating, LLC:       
Term Loan B, 7.25%, 3/06/14    211  213,073 
Term Loan C, 3.56%, 9/06/16    1,031  1,033,740 
Clarke American Corp., Term Facility B, 2.80%, 6/30/14    571  544,355 
Ellis Communications KDOC, LLC, Loan,       
10.00%, 12/30/11    1,939  727,241 
FoxCo Acquisition Sub, LLC, Term Loan B, 7.50%, 7/14/15  524  523,036 
Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16    1,097  1,110,623 
HMH Publishing Co., Ltd., Tranche A Term Loan,       
6.01%, 6/12/14    730  693,401 
Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson       
Holdings, Ltd.), Tranche B Term Loan, 5.25%, 3/07/18    3,000  3,020,157 
Interactive Data Corp., Term Loan, 4.75%, 2/08/18    1,350  1,361,089 
Knology, Inc., Term Loan B, 4.00%, 8/31/17    600  603,750 
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG),       
Facility B1, 3.68%, 6/30/15  EUR  304  385,163 
Mediacom Illinois, LLC (FKA Mediacom       
Communications, LLC), Tranche D Term Loan,       
5.50%, 3/31/17  USD  718  722,102 
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13    2,000  2,126,250 
Nielsen Finance LLC:       
Class A Dollar Term Loan, 2.26%, 8/09/13    33  33,385 
Class B Dollar Term Loan, 4.01%, 5/01/16    1,018  1,022,397 
Sinclair Television Group, Inc., New Tranche B Term Loan,       
5.50%, 10/29/15    614  620,284 
Springer Science+Business Media SA, Facility A1,       
6.75%, 7/01/16  EUR  1,000  1,393,757 
Sunshine Acquisition Ltd. (FKA HIT Entertainment),       
Term Facility, 5.56%, 6/01/12  USD  918  898,401 
UPC Broadband Holding B.V., Term U, 4.88%, 12/31/17 EUR  660  908,255 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 27



Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Media (concluded)       
Univision Communications, Inc., Extended First Lien       
Term Loan, 4.52%, 3/31/17  USD  1,134  $ 1,103,078 
Virgin Media Investment Holdings Ltd., Facility B,       
4.53%, 12/31/15  GBP  750  1,219,125 
Weather Channel, Term Loan B, 4.25%, 2/01/17  USD  1,200  1,211,100 
Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,       
2.76%, 8/09/11    633  613,828 
      27,505,243 
Metals & Mining — 2.0%       
Euramax International, Inc., Domestic Term Loan:       
10.00%, 6/29/13    643  619,169 
14.00%, 6/29/13    626  602,834 
Novelis Corp., Term Loan, 5.25%, 12/01/16    1,500  1,517,679 
      2,739,682 
Multi-Utilities — 0.2%       
FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):       
Synthetic Letter of Credit, 0.16%, 11/01/13    4  4,310 
Term B Advance (First Lien), 2.81%, 11/01/13    213  211,943 
      216,253 
Multiline Retail — 2.0%       
Dollar General Corp., Tranche B-2 Term Loan,       
3.01%, 7/07/14    270  270,395 
Hema Holding BV, Facility D, 5.91%, 1/01/17  EUR  1,400  1,898,131 
The Neiman Marcus Group, Inc., Tranche B-2 Term       
Loan, 4.30%, 4/06/16  USD  495  496,833 
      2,665,359 
Oil, Gas & Consumable Fuels — 1.9%       
EquiPower Resources Holdings, LLC, Term Loan B,       
5.75%, 1/11/18    700  705,250 
Obsidian Natural Gas Trust, Term Loan,       
7.00%, 11/30/15    1,153  1,181,772 
Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18    1,817  744,987 
      2,632,009 
Personal Products — 0.9%       
NBTY, Inc., Term Loan B:       
6.25%, 9/20/17    650  656,635 
4.75%, 10/01/17    625  625,000 
      1,281,635 
Pharmaceuticals — 1.2%       
Axcan Intermediate Holdings, Inc., Term Loan,       
5.50%, 2/03/17    700  701,750 
Warner Chilcott Corp.:       
Delayed Draw Term Loan B, 6.25%, 4/30/15    176  176,598 
Term Loan A, 6.00%, 10/30/14    348  347,689 
Term Loan B-1, 6.25%, 4/30/15    106  107,070 
Term Loan B-3, 6.50%, 2/20/16    61  61,297 
Term Loan C B-3, 6.25%, 4/30/15    209  210,421 
      1,604,825 
Professional Services — 1.6%       
Booz Allen Hamilton, Inc., Tranche B Term Loan,       
4.00%, 8/01/17    1,400  1,413,300 
Fifth Third Processing Solutions, LLC, Term Loan B       
(First Lien), 5.50%, 10/21/16    700  705,425 
      2,118,725 
Real Estate Investment Trusts (REITs) — 0.1%       
iStar Financial, Inc., Term Loan (Second Lien),       
1.76%, 6/28/11    125  123,281 
Real Estate Management & Development — 2.0%       
Realogy Corp.:       
Initial Term Loan B, 4.56%, 10/10/13    201  192,971 
Synthetic Letter of Credit, 4.51%, 10/10/13    24  22,868 
Term Loan B, 4.56%, 10/16/16    2,532  2,428,464 
Term Loan C, 4.51%, 10/16/16    155  148,948 
      2,793,251 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Road & Rail — 0.2%       
Transtar Industries, Term Loan (First Lien),       
6.25%, 12/07/16  USD  275 $ 279,125 
Semiconductors & Semiconductor Equipment — 0.6%       
Freescale Semiconductor, Inc., Term Loan B,       
4.51%, 12/01/16    369  367,858 
Microsemi Corp., Term Loan B, 5.00%, 10/25/17    500  501,250 
      869,108 
Software — 0.9%       
Rovi Corp., Term Loan B, 4.00%, 2/01/18    500  505,000 
Telcordia Technologies, Inc., Term Loan, 6.75%, 4/30/16    446  448,385 
Vertafore, Inc., New Term Loan B, 5.25%, 7/29/16    335  337,512 
      1,290,897 
Specialty Retail — 4.4%       
Burlington Coat Factory Warehouse Corp., Term Loan B,       
6.25%, 2/18/17    425  426,416 
Gymboree Corp., Term Loan B, 5.00%, 2/11/18    700  702,100 
J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18    1,350  1,350,000 
Matalan Finance Plc, Term Facility, 5.61%, 3/24/16  GBP  277  448,263 
Michaels Stores, Inc.:       
Term Loan B, 4.25%, 2/28/18  USD  542  546,779 
Term Loan B-1, 2.56%, 10/31/13    223  221,776 
Term Loan B-2, 4.81%, 7/31/16    361  363,521 
Petco Animal Supplies, Inc., Term Loan B,       
4.75%, 11/24/17    1,150  1,150,001 
Toys 'R' Us Delaware, Inc., Initial Loan, 6.00%, 8/17/16    766  771,777 
      5,980,633 
Textiles, Apparel & Luxury Goods — 0.4%       
Philips Van Huesen Corp., US Tranche B Term Loan,       
5.25%, 5/06/16    599  601,526 
Wireless Telecommunication Services — 1.2%       
MetroPCS Wireless, Inc., Tranche B-2 Term Loan,       
3.81%, 11/03/16    506  508,342 
Vodafone Americas Finance 2 Inc., Initial Loan,       
6.88%, 7/30/15    1,035  1,071,566 
      1,579,908 
Total Floating Rate Loan Interests — 114.5%      156,186,713 
  Beneficial   
  Interest   
Other Interests (i)    (000)   
Auto Components — 1.0%       
Delphi Debtor-in-Possession Holding Co. LLP, Class B       
Membership Interests    —(j)  1,344,894 
Intermet Liquidating Trust, Class A    256  3 
      1,344,897 
Diversified Financial Services — 0.4%       
J.G. Wentworth LLC Preferred Equity Interests (k)    —(j)  596,461 
Hotels, Restaurants & Leisure — 0.0%       
Buffets, Inc.    360  4 
Household Durables — 0.5%       
Stanley Martin, Class B Membership Units (k)    1  648,116 
Metals & Mining — 0.6%       
RathGibson Acquisition Corp., LLC (k)    88  744,139 
Total Other Interests — 2.5%      3,333,617 
Warrants (l)    Shares   
Hotels, Restaurants & Leisure — 0.0%       
Buffets Restaurants Holdings, Inc. (Expires 4/29/14)    304  3 
Oil, Gas & Consumable Fuels — 0.0%       
Turbo Cayman Ltd. (No expiration)    1   

 

See Notes to Financial Statements.

28 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)

Warrants (l)  Shares  Value 
Software — 0.0%     
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)                357  $ 4 
HMH Holdings/EduMedia (Expires 3/09/17)  4,970   
    4 
Total Warrants — 0.0%    7 
Total Long-Term Investments     
(Cost — $199,079,559) — 142.3%    194,063,218 
Short-Term Securities  Shares   
BlackRock Liquidity Funds, TempFund, Institutional     
Class, 0.15% (m)(n)  3,037,317  3,037,317 
Total Short-Term Securities     
(Cost — $3,037,317) — 2.2%    3,037,317 
Options Purchased  Contracts   
Over-the-Counter Call Options — 0.0%     
Marsico Parent Superholdco LLC,     
Strike Price USD 942.86, Expires 12/01/19,     
Broker Goldman Sachs Bank USA  13   
Total Options Purchased (Cost — $12,711) — 0.0%     
Total Investments (Cost — $202,129,587*) — 144.5%    197,100,535 
Liabilities in Excess of Other Assets — (44.5)%    (60,682,625) 
Net Assets — 100.0%    $136,417,910 


* The cost and unrealized appreciation (depreciation) of investments as of

February 28, 2011, as computed for federal income tax purposes, were as follows:

Aggregate cost  $200,043,870 
Gross unrealized appreciation  $    8,254,176 
Gross unrealized depreciation  (11,197,511) 
Net unrealized depreciation  $  (2,943,335) 


(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.

These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(b) Variable rate security. Rate shown is as of report date.
(c) When-issued security. Unsettled when-issued transactions were as follows:

    Unrealized 
    Appreciation 
Counterparty  Value  (Depreciation) 
Bank of America & Co.  $ 493,150   


(d) Non-income producing security.

(e) Convertible security.
(f) Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date.
(g) Represents a payment-in-kind security which may pay interest/dividends in
additional par/shares.
(h) Issuer filed for bankruptcy and/or is in default of interest payments.
(i) Other interests represent beneficial interest in liquidation trusts and other reorgani-
zation entities and are non-income producing.
(j) Amount is less than $1,000.
(k) The investment is held by a wholly owned taxable subsidiary of the Fund.
(l) Warrants entitle the Fund to purchase a predetermined number of shares of com-
mon stock and are non-income producing. The purchase price and number of
shares are subject to adjustment under certain conditions until the expiration date,
if any.
(m) Investments in companies considered to be an affiliate of the Fund during the
period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

  Shares Held at  Net  Shares Held at   
Affiliate  August 31, 2010  Activity  February 28, 2011  Income 
BlackRock Liquidity       
Funds, TempFund,       
Institutional Class             1,822,139  1,215,178  3,037,317  $2,262 


(n) Represents the current yield as of report date.


For Fund compliance purposes, the Fund’s industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or rating group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine such
industry sub-classifications for reporting ease.
Foreign currency exchange contracts as of February 28, 2011 were as follows:

            Unrealized 
Currency  Currency    Settlement                 Appreciation 
Purchased    Sold  Counterparty  Date  (Depreciation) 
USD  1,685,223  CAD  1,671,000  Citibank NA  4/14/11  $ (33,011) 
USD  2,394,276  GBP  1,534,500  Citibank NA  4/14/11  (99,244) 
USD  7,184,625  EUR  5,250,000  Citibank NA  4/27/11  (54,917) 
USD  205,380  EUR  150,000  Royal Bank     
        of Scotland  4/27/11  (1,464) 
Total            $ (188,636) 


Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivatives. These inputs are summarized in three broad levels for
financial statement purposes which are as follows:
Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 — other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other than
quoted prices that are observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs)
Level 3 — unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Fund's own assumptions used in determining the fair value of investments and
derivatives)

The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Fund's policy regarding valuation of investments and derivatives and
other significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 29



Schedule of Investments (concluded)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)

The following tables summarize the inputs used as of February 28, 2011 in deter-
mining the fair valuation of the Fund's investments and derivatives:

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Assets:         
Investments in         
Securities:         
Long-Term         
Investments:         
Asset-Backed         
Securities    $ 1,803,522  $ 3,603,487  $ 5,407,009 
Common Stocks  $ 446,403  1,281,443  227,711  1,955,557 
Corporate Bonds    26,071,329  1,108,986  27,180,315 
Floating Rate         
Loan Interests .    136,522,127  19,664,586  156,186,713 
Other Interests .    1,344,894  1,988,723  3,333,617 
Warrants      7  7 
Short-Term         
Securities  3,037,317      3,037,317 
Unfunded Loan         
Commitments .    30,646  361  31,007 
Liabilities:         
Unfunded Loan         
Commitments .      (4,760)  (4,760) 
Total  $ 3,483,720  $167,053,961  $26,589,101  $197,126,782 

 

Derivative Financial Instruments1

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Liabilities:         
Foreign currency         
exchange         
contracts  $ (186,636)     $ (186,636) 

1 Derivative financial instruments are foreign currency exchange contracts.
Foreign currency exchange contracts are shown at the unrealized appreciation/
depreciation on the instrument.

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

  Asset-Backed  Common  Corporate  Floating Rate  Other    Unfunded Loan 
  Securities  Stocks  Bonds  Loan Interests  Interests  Warrants  Commitments  Total 
Assets:                 
Balance, as of August 31, 2010  $ 338,985  $ 230,600  $ 904,927  $22,878,826  $ 1,589,042  $ 3  $ 3,118  $25,945,501 
Accrued discounts/premiums  66,762    13,336  420,178        500,276 
Net realized gain (loss)  (1,324,498)    1,665  (163,595)        (1,486,428) 
Net change in unrealized appreciation/                 
depreciation2  982,950  373,828  (16,201)  1,065,861  (431,019)    (2,757)  1,972,662 
Purchases  4,038,038    223,447  13,721,843  830,700  4    18,814,032 
Sales  (498,750)  (376,717)  (18,200)  (18,467,896)        (19,361,563) 
Transfers in3      12  4,827,416        4,827,428 
Transfers out3        (4,618,047)        (4,618,047) 
Balance, as of February 28, 2011  $ 3,603,487  $ 227,711  $ 1,108,986  $19,664,586  $ 1,988,723  $ 7  $ 361  $26,593,861 

2 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in the unrealized appreciation/depreciation on the
securities still held on February 28, 2011 was $(41,679).
3 The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.

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

  Unfunded 
  Loan 
  Commitments 
Liabilities:   
Balance, as of August 31, 2010  $ (46,743) 
Accrued discounts/premiums   
Realized gain (loss)   
Change in unrealized appreciation/depreciation4  41,983 
Purchases   
Sales   
Transfers in5   
Transfers out5   
Balance, as of February 28, 2011  $ (4,760) 

4 Included in the related net change in unrealized appreciation/depreciation
on the Statements of Operations. The change in the unrealized appreciation/
depreciation on the securities still held on February 28, 2011 was $42,183.
5 The Fund’s policy is to recognize transfers in and transfers out as of the end of
the period of the event or the change in circumstances that caused the transfer.

See Notes to Financial Statements.

30 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments February 28, 2011 (Unaudited)
 
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

  Par   
Asset-Backed Securities  (000)  Value 
ARES CLO Funds (a)(b):     
Series 2005-10A, Class B, 0.69%, 9/18/17  USD 750  $ 660,000 
Series 2011-16A, Class C, 2.90%, 5/17/21 (c)  650  641,095 
Ballyrock CDO Ltd., Series 2006-1A, Class B,     
0.66%, 8/28/19 (a)(b)  1,000  857,500 
Canaras Summit CLO Ltd., Series 2007-1A, Class B,     
0.78%, 6/19/21 (a)(b)  750  640,905 
Centurion CDO 9 Ltd., Series 2005-9A, Class B,     
1.07%, 7/17/19 (a)(b)  620  510,390 
Flagship CLO, Series 2006-1A, Class B,     
0.64%, 9/20/19 (a)(b)  1,304  1,075,800 
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,     
0.70%, 12/20/20 (a)(b)  500  441,875 
Gannett Peak CLO Ltd., Class A2:     
Series 2006-1A, 0.66%, 10/27/20 (a)(b)  830  714,837 
Series 2006-1X, 0.66%, 10/27/20  575  484,438 
Goldman Sachs Asset Management CLO Plc,     
Series 2007-1A, Class B, 0.75%, 8/01/22 (a)(b)  1,255  1,054,827 
KKR CLO Ltd., Series 2005-1A, Class B,     
0.75%, 4/26/17 (a)(b)  500  456,250 
Landmark CDO Ltd., Series 2006-8A, Class B,     
0.66%, 10/19/20 (a)(b)  1,075  935,078 
MAPS CLO Fund LLC, Series 2005-1A, Class C,     
1.25%, 12/21/17 (a)(b)  575  501,688 
Portola CLO Ltd., Series 2007-1X, Class B1,     
1.76%, 11/15/21  765  707,625 
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,     
0.90%, 7/15/19 (a)(b)  655  561,944 
Total Asset-Backed Securities — 3.6%    10,244,252 
Common Stocks (d)  Shares   
Chemicals — 0.0%     
GEO Specialty Chemicals, Inc.  13,117  5,036 
Wellman Holdings, Inc.  430  21 
    5,057 
Construction Materials — 0.0%     
Nortek, Inc.  1,540  68,530 
Electrical Equipment — 0.0%     
Medis Technologies Ltd.  71,654  1,505 
Paper & Forest Products — 0.4%     
Ainsworth Lumber Co. Ltd.  133,089  439,726 
Ainsworth Lumber Co. Ltd. (a)  152,951  505,350 
Western Forest Products, Inc. (a)  84,448  64,321 
    1,009,397 
Software — 0.2%     
HMH Holdings/EduMedia  92,606  463,030 
Total Common Stocks — 0.6%    1,547,519 
  Par   
Corporate Bonds  (000)   
Airlines — 0.2%     
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16  USD 541  584,363 
Auto Components — 0.8%     
Delphi International Holdings Unsecured,     
12.00%, 10/06/14  32  35,537 
Icahn Enterprises LP, 7.75%, 1/15/16  2,215  2,286,988 
    2,322,525 

 

    Par   
Corporate Bonds    (000)  Value 
Chemicals — 1.0%       
CF Industries, Inc., 6.88%, 5/01/18  USD  905  $ 999,459 
GEO Specialty Chemicals, Inc. (a):       
7.50%, 3/31/15 (e)(f)    857  856,987 
10.00%, 3/31/15    844  780,848 
Wellman Holdings, Inc., Subordinate Note (Third Lien),       
5.00%, 1/29/19 (e)(f)    476  185,485 
      2,822,779 
Commercial Banks — 1.2%       
CIT Group, Inc.:       
7.00%, 5/01/14    150  152,906 
7.00%, 5/01/16    400  403,500 
7.00%, 5/01/17    2,815  2,836,113 
      3,392,519 
Commercial Services & Supplies — 0.7%       
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)    1,249  1,283,347 
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)    530  569,750 
      1,853,097 
Construction Materials — 0.6%       
Nortek, Inc., 11.00%, 12/01/13    1,547  1,647,389 
Consumer Finance — 0.5%       
Credit Acceptance Corp., 9.13%, 2/01/17    360  387,900 
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)    915  983,625 
      1,371,525 
Containers & Packaging — 1.2%       
Berry Plastics Corp., 8.25%, 11/15/15    1,600  1,714,000 
OI European Group BV, 6.88%, 3/31/17  EUR  143  205,474 
Smurfit Kappa Acquisitions (a):       
7.25%, 11/15/17    525  767,947 
7.75%, 11/15/19    500  738,277 
      3,425,698 
Diversified Financial Services — 1.6%       
Ally Financial, Inc., 2.51%, 12/01/14 (b)  USD  2,600  2,554,903 
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16    160  176,400 
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (a)    700  745,500 
Reynolds Group Issuer, Inc. (a):       
7.75%, 10/15/16  EUR  400  585,102 
6.88%, 2/15/21  USD  395  395,987 
      4,457,892 
Diversified Telecommunication Services — 0.6%       
ITC Deltacom, Inc., 10.50%, 4/01/16    540  592,650 
Qwest Communications International, Inc.:       
8.00%, 10/01/15    600  654,750 
Series B, 7.50%, 2/15/14    434  440,510 
      1,687,910 
Electronic Equipment, Instruments & Components — 0.2%     
CDW LLC, 8.00%, 12/15/18 (a)    500  537,500 
Food & Staples Retailing — 0.1%       
AmeriQual Group LLC, 9.50%, 4/01/12 (a)    250  247,500 
Food Products — 0.4%       
B&G Foods, Inc., 7.63%, 1/15/18    600  640,500 
Smithfield Foods, Inc., 10.00%, 7/15/14    363  428,340 
      1,068,840 
Health Care Equipment & Supplies — 0.5%       
DJO Finance LLC, 10.88%, 11/15/14    1,245  1,364,831 
Health Care Providers & Services — 0.8%       
HCA, Inc., 7.25%, 9/15/20    485  523,194 
Tenet Healthcare Corp.:       
9.00%, 5/01/15    175  192,500 
8.88%, 7/01/19    1,360  1,547,000 
      2,262,694 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 31



Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

    Par   
Corporate Bonds    (000)  Value 
Health Care Technology — 0.8%       
IMS Health, Inc., 12.50%, 3/01/18 (a)  USD  1,860  $ 2,180,850 
Hotels, Restaurants & Leisure — 0.3%       
Caesars Entertainment Operating Co., Inc.,       
10.00%, 12/15/18    45  42,300 
Little Traverse Bay Bands of Odawa Indians,       
9.00%, 8/31/20 (a)    473  390,225 
MGM Resorts International, 10.38%, 5/15/14    490  548,800 
      981,325 
Household Durables — 0.5%       
Beazer Homes USA, Inc., 12.00%, 10/15/17    1,200  1,395,000 
Independent Power Producers & Energy Traders — 2.5%     
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)  1,125  1,220,625 
Energy Future Holdings Corp., 10.00%, 1/15/20 (a)    1,000  1,041,352 
Energy Future Intermediate Holding Co. LLC,       
10.00%, 12/01/20    2,700  2,818,400 
NRG Energy, Inc., 7.63%, 1/15/18 (a)    2,000  2,082,500 
      7,162,877 
Industrial Conglomerates — 0.6%       
Sequa Corp., 13.50%, 12/01/15 (a)(e)    1,557  1,724,750 
Media — 2.1%       
CSC Holdings, Inc., 8.50%, 4/15/14    420  470,400 
Checkout Holding Corp., 10.69% 11/15/15 (a)(g)    870  561,150 
Clear Channel Worldwide Holdings, Inc.:       
9.25%, 12/15/17    401  445,110 
Series B, 9.25%, 12/15/17    1,604  1,784,450 
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)  615  661,125 
UPC Germany GmbH, 8.13%, 12/01/17 (a)    2,000  2,145,000 
      6,067,235 
Metals & Mining — 0.7%       
FMG Resources August 2006 Pty Ltd.,       
7.00%, 11/01/15 (a)    840  871,500 
Novelis, Inc., 8.38%, 12/15/17 (a)    935  1,030,837 
      1,902,337 
Multiline Retail — 0.2%       
Dollar General Corp., 11.88%, 7/15/17 (e)    445  514,531 
Oil, Gas & Consumable Fuels — 0.1%       
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)    275  299,750 
Paper & Forest Products — 0.6%       
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(e)    1,266  1,285,258 
Verso Paper Holdings LLC, Series B, 4.05%, 8/01/14 (b)  340  338,300 
      1,623,558 
Pharmaceuticals — 0.2%       
Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (b)  515  432,600 
Valeant Pharmaceuticals International (a):       
6.75%, 10/01/17    95  98,325 
7.00%, 10/01/20    120  124,050 
      654,975 
Professional Services — 0.1%       
FTI Consulting, Inc., 6.75%, 10/01/20 (a)    170  170,000 
Real Estate Investment Trusts (REITs) — 0.1%       
Omega Healthcare Investors, Inc., 6.75%, 10/15/22 (a)  140  141,400 
Wireless Telecommunication Services — 1.5%       
Cricket Communications, Inc., 7.75%, 5/15/16    1,700  1,797,750 
Digicel Group Ltd. (a):       
9.13%, 1/15/15 (e)    278  289,537 
8.25%, 9/01/17    315  329,175 
iPCS, Inc., 2.43%, 5/01/13 (b)    1,500  1,481,250 
Nextel Communications, Inc., Series E, 6.88%, 10/31/13  275  277,234 
      4,174,946 
Total Corporate Bonds — 20.7%      58,040,596 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Aerospace & Defense — 3.0%       
DynCorp International, Term Loan, 6.25%, 7/07/16  USD  1,746  $ 1,759,808 
Hawker Beechcraft Acquisition Co., LLC:       
Letter of Credit Linked Deposit, 0.20%, 3/26/14    78  69,322 
Term Loan, 2.26% – 2.30%, 3/26/14    1,337  1,195,033 
SI Organization Co., New Tranche B Term Loan,       
4.50%, 10/29,15    1,925  1,939,437 
Scitor Corp., Term Loan B, 5.75%, 2/01/17    1,550  1,544,188 
TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17    1,800  1,810,746 
      8,318,534 
Airlines — 0.7%       
Delta Air Lines, Inc., Credit-Linked Deposit Loan,       
0.11% – 2.26%, 4/30/12    1,888  1,873,344 
Auto Components — 1.1%       
Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14    1,189  1,184,985 
GPX International Tire Corp., Tranche B Term Loan (d)(h):       
8.37%, 3/30/12    549   
12.00%, 4/11/12    9   
Armored Autogroup, Inc. (FKA Viking Aquisition, Inc.),       
Term Loan B, 6.00%, 11/02/16    1,090  1,095,450 
UCI International, Inc., Term Loan, 5.50%, 7/06/17    750  752,579 
      3,033,014 
Biotechnology — 0.4%       
Grifols SA, Term Loan B, 6.00%, 10/01/16    1,200  1,214,000 
Building Products — 3.6%       
Armstrong World Industries, Inc., Term Loan B,       
5.00%, 5/17/16    1,550  1,567,422 
CPG International I, Inc., Term Loan B, 6.00%, 2/03/17    1,800  1,805,634 
Goodman Global, Inc., Initial Term Loan (First Lien),       
5.75%, 10/13/16    4,738  4,772,922 
Momentive Performance Materials (Blitz 06-103 GmbH),       
Tranche B-2B Term Loan, 4.36%, 5/05/15  EUR  652  874,461 
PGT Industries, Inc., Tranche A-2 Term Loan,       
6.75%, 2/14/12  USD  1,068  1,047,035 
      10,067,474 
Capital Markets — 1.9%       
American Capital Ltd., Term Loan B, 7.50%, 12/31/13    456  459,196 
HarbourVest Partners, Term Loan (First Lien),       
6.25%, 11/10/16    1,975  1,984,875 
Nuveen Investments, Inc.:       
Extended Term Loan (First Lien),       
5.80% – 5.81%, 5/13/17    1,753  1,746,353 
Non Extended Term Loan (First Lien), 3.30%, 11/13/14  1,222  1,184,902 
      5,375,326 
Chemicals — 6.9%       
AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16    1,187  1,199,353 
Chemtura Corp., Term Facility, 5.50%, 8/16/16    1,400  1,411,084 
General Chemical Corp., Tranche B Term Loan,       
7.25%, 9/30/15    1,995  2,024,925 
MacDermid, Inc., Tranche C Term Loan,       
3.07%, 4/12/14  EUR  542  723,507 
Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17  USD  1,200  1,203,500 
PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term       
Facility (First Lien), 3.52% – 3.56%, 7/30/14    1,871  1,840,975 
Rockwood Specialties Group, Inc., Term Loan B,       
3.75%, 2/01/18    1,750  1,768,594 
Solutia, Inc., Term Loan, 4.50%, 3/17/17    1,067  1,068,392 
Styron Sarl, Term Loan B, 6.00%, 7/27/17    2,700  2,724,300 
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15    2,775  2,798,116 
Univar, Inc., Term Loan B, 5.00%, 6/30/17    2,700  2,709,283 
      19,472,029 
Commercial Banks — 1.2%       
CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15    3,250  3,291,301 

 

See Notes to Financial Statements.

32 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Commercial Services & Supplies — 4.0%       
ARAMARK Corp.:       
Letter of Credit - 1 Facility, 0.11%, 1/26/14  USD  16  $ 16,310 
Letter of Credit - 2 Facility, 0.11%, 7/26/16    24  23,576 
US Term Loan, 2.18%, 1/26/14    203  202,466 
US Term Loan B, 3.55%, 7/26/16    358  358,490 
AWAS Finance Luxembourg Sarl, Loan,       
7.75%, 6/10/16    523  537,056 
Advanced Disposal Services, Inc., Term Loan (First Lien),     
6.00%, 1/14/15    1,089  1,095,806 
Altegrity, Inc., (FKA US Investigations Services, Inc.),       
Tranche D Term Loan, 7.75%, 2/21/15    1,741  1,776,075 
Casella Waste Systems, Inc., Term Loan B,       
7.00%, 4/09/14    739  738,750 
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16    1,875  1,891,070 
Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B       
Dollar Term Loan, 5.25%, 11/24/15    772  772,124 
Protection One, Inc., Term Loan, 6.00%, 6/04/16    864  866,341 
Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16    572  569,503 
Synagro Technologies, Inc., Term Loan (First Lien),       
2.27%, 4/02/14    1,548  1,439,580 
Volume Services America, Inc. (Centerplate),       
Term Loan B, 10.50% – 10.75%, 8/24/16    998  1,007,056 
      11,294,203 
Communications Equipment — 1.8%       
Avaya, Inc., Term Loan B:       
3.06%, 10/24/14    1,187  1,150,857 
4.81%, 10/24/17    1,927  1,887,796 
CommScope, Inc., Term Loan B, 5.00%, 1/06/18    2,000  2,029,166 
      5,067,819 
Construction & Engineering — 0.6%       
Safway Services, LLC, First Out Tranche Loan,       
9.00%, 12/18/17    1,700  1,700,000 
Construction Materials — 0.3%       
Fairmount Minerals Ltd., Tranche B Term Loan,       
6.25% – 6.75%, 8/05/16    832  841,018 
Consumer Finance — 1.5%       
Springleaf Financial Funding Co. (FKA AGFS Funding       
Co.), Term Loan, 7.25%, 4/21/15    4,100  4,136,490 
Containers & Packaging — 0.8%       
Anchor Glass Container Corp., Term Loan (First Lien),       
6.00%, 3/02/16    305  306,441 
Berry Plastics Holding Corp., Term Loan C,       
2.29% – 2.31%, 4/03/15    278  270,501 
Graham Packaging Co., LP:       
Term Loan C, 6.75%, 4/05/14    626  629,767 
Term Loan D, 6.00%, 9/16/16    1,097  1,105,676 
      2,312,385 
Diversified Consumer Services — 3.1%       
Coinmach Service Corp., Term Loan,       
3.26% – 3.31%, 11/14/14    3,241  3,038,357 
Laureate Education:       
Closing Date Term Loan, 3.55%, 8/17/14    1,174  1,149,621 
Delayed Draw Term Loan, 3.55%, 8/15/14    176  172,114 
Series A New Term Loan, 7.00%, 8/15/14    2,454  2,467,924 
ServiceMaster Co.:       
Closing Date Term Loan, 2.76% – 2.81%, 7/24/14  1,833  1,804,094 
Delayed Draw Term Loan, 2.77%, 7/24/14    183  179,661 
      8,811,771 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Diversified Financial Services — 2.6%       
MSCI, Inc., Term Loan B, 4.75%, 6/01/16  USD  1,617  $ 1,624,918 
Reynolds Group Holdings, Inc., Term Loan E,       
4.25%, 2/09/18    4,400  4,422,915 
Whitelabel IV SA (Ontex):       
Facility B1, 6.75%, 8/11/17  EUR  339  473,363 
Facility B2, 6.75%, 8/11/17    561  783,353 
      7,304,549 
Diversified Telecommunication Services — 2.7%       
Hawaiian Telcom Communications, Inc., Term Loan,       
9.00%, 10/28/15  USD  1,350  1,373,062 
Integra Telecom Holdings, Inc., Term Loan,       
9.25%, 4/15/15    1,617  1,636,277 
Level 3 Financing, Inc.:       
Incremental Tranche A Term Loan, 2.55%, 3/13/14    2,950  2,876,250 
Term Loan B, 11.50%, 3/13/14    250  268,125 
US Telepacific Corp., Term Loan B, 5.75%, 2/18/17    1,500  1,508,438 
      7,662,152 
Electric Utilities — 1.0%       
New Development Holdings LLC, Term Loan,       
7.00%, 7/03/17    2,923  2,951,024 
Electronic Equipment, Instruments & Components — 0.9%     
CDW LLC (FKA CDW Corp.):       
Extended Term Loan B, 3.51%, 7/15/17    986  985,656 
Non Extended Term Loan, 4.26%, 10/10/14    1,490  1,486,689 
Flextronics International Ltd., Delayed Draw:       
Term Loan A-2, 2.51%, 10/01/14    39  38,932 
Term Loan A-3, 2.51%, 10/01/14    46  45,421 
      2,556,698 
Energy Equipment & Services — 0.7%       
MEG Energy Corp., Tranche D Term Loan,       
6.00%, 4/03/16    2,055  2,073,342 
Food & Staples Retailing — 3.0%       
AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),       
Facility B1, 3.58%, 7/09/15  GBP  1,825  2,859,258 
Bolthouse Farms, Inc., Term Loan (First Lien),       
5.50% – 5.75%, 2/11/16  USD  1,052  1,058,399 
Pilot Travel Centers LLC, Initial Tranche B Term Loan,       
5.25%, 6/30/16    2,361  2,380,524 
Rite Aid Corp., Term Loan B, 6.00%, 7/09/14    473  473,442 
U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14    1,782  1,719,795 
      8,491,418 
Food Products — 6.2%       
Advance Pierre Foods, Term Loan (Second Lien):       
7.00%, 9/29/16    1,965  1,978,925 
11.25%, 9/29/17    1,100  1,127,500 
CII Investment, LLC (FKA Cloverhill):       
Delayed Draw Term Loan, 8.50%, 10/14/14    248  245,950 
Term Loan A, 8.50%, 10/14/14    755  747,435 
Term Loan B, 8.50%, 10/14/14    918  909,044 
Del Monte Corp., Term Loan B, 4.50%, 2/01/18    6,950  6,993,437 
Green Mountain Coffee Roasters, Inc., Term Loan B       
Facility, 5.50%, 11/09/16    1,000  1,006,563 
Michaels Stores, Inc.:       
Term Loan B1, 2.56% – 2.63%, 10/31/13    125  125,990 
Term Loan B1, 4.81% – 4.87%, 10/31/13    965  972,608 
Pinnacle Foods Finance LLC:       
Term Loan B, 2.76%, 4/02/14    300  298,875 
Tranche D Term Loan, 6.00%, 4/02/14    1,213  1,222,032 
Solvest, Ltd. (Dole):       
Tranche B-1 Term Loan, 5.00% – 5.50%, 3/02/17    493  496,395 
Tranche C-1 Term Loan, 5.00% – 5.50%, 3/02/17    1,227  1,234,687 
      17,359,441 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 33



Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Health Care Equipment & Supplies — %       
Biomet, Inc., Dollar Term Loan,       
3.26% – 3.30%, 3/25/15  USD  339  $ 338,773 
DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),       
Term Loan, 3.26%, 5/20/14    800  793,822 
Fresenius SE:       
Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14    627  630,002 
Tranche C-2 Term Loan, 4.50%, 9/10/14    334  335,687 
      2,098,284 
Health Care Providers & Services — 6.2%       
CHS/Community Health Systems, Inc.:       
Delayed Draw Term Loan, 2.51% – 2.56%, 7/25/14    115  113,699 
Extended Term Loan, 3.76% – 3.81%, 1/25/17    784  785,336 
Non Extended Term Loan, 2.51% – 2.56%, 7/25/14    2,213  2,194,807 
ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16    1,300  1,305,958 
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16    1,700  1,712,131 
HCA, Inc.:       
Tranche A-1 Term Loan, 1.55%, 11/19/12    1,319  1,312,038 
Tranche B-1, Term Loan, 2.55%, 11/18/13    636  633,918 
Tranche B-2, Term Loan, 3.55%, 3/31/17    1,166  1,168,704 
Harden Healthcare, Inc.:       
Tranche A Additional Term Loan, 7.75%, 3/02/15    1,235  1,210,300 
Tranche A Term Loan, 8.50%, 2/22/15    720  705,778 
inVentiv Health, Inc. (FKA Ventive Health, Inc.):       
Term Loan B, 4.75%, 7/31/16    2,433  2,443,781 
Term Loan B2, 4.75%, 8/04/16    567  568,792 
Term Loan B2, 6.50%, 8/04/16    283  284,573 
Renal Advantage Holdings, Inc., Tranche B Term Loan,       
5.75%, 12/03/16    1,200  1,216,500 
Vanguard Health Holding Co. II, LLC (Vanguard Health       
Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16    1,802  1,813,846 
      17,470,161 
Health Care Technology — 1.1%       
IMS Health, Inc., Tranche B Dollar, Term Loan,       
5.25%, 2/26/16    1,876  1,891,229 
MedAssets, Inc., Term Loan B, 5.25%, 11/15/16    1,200  1,209,000 
      3,100,229 
Hotels, Restaurants & Leisure — 9.2%       
BLB Management Services, Inc. (Wembly, Inc.) Loan (Exit),     
8.50%, 11/05/15    891  896,266 
Blackstone UTP Capital LLC, Loan, 7.75%, 11/06/14    1,485  1,514,700 
Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15    450  444,564 
Dunkin' Brands, Inc., Term Loan B, 4.25%, 11/09/17    2,300  2,315,799 
Gateway Casinos & Entertainment, Ltd., Term Loan B,       
6.50% – 7.50%, 5/12/16  CAD  2,370  2,450,073 
Harrah's Operating Co., Inc.:       
Term Loan B-1, 3.30%, 1/28/15  USD  192  178,472 
Term Loan B-2, 3.30%, 1/28/15    315  291,825 
Term Loan B-3, 3.30%, 1/28/15    6,983  6,483,570 
Term Loan B-4, 9.50%, 10/31/16    575  609,340 
Seaworld Parks & Entertainment, Inc. (FKA SW       
Acquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17    2,326  2,331,087 
Sea World, Term Loan B, 4.00%, 8/16/17    674  677,162 
Six Flags Theme Parks, Inc., Tranche B Term Loan       
(First Lien), 5.50%, 6/30/16    1,790  1,810,072 
Travelport LLC (FKA Travelport, Inc.):       
Delayed Draw Term Loan, 4.96%, 8/21/15    473  459,163 
Extended Delayed Draw Term Loan, 4.96%, 8/21/15    148  143,523 
Term Loan B, 4.96%, 8/21/15    720  699,661 
Universal City Development Partners Ltd., Term Loan,       
5.50%, 11/16/14    1,141  1,152,529 
VML US Finance LLC (FKA Venetian Macau):       
New Project Term Loan, 4.79%, 5/27/13    758  757,833 
Term B Delayed Draw Project Loan, 4.79%, 5/25/12    234  234,700 
Term B Delayed Draw Project Loan, 4.79%, 5/25/12    705  706,283 
Term B Funded Project Loan, 4.79%, 5/27/13    1,635  1,636,749 
      25,793,371 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Household Durables — 1.0%       
Visant Corp. (FKA Jostens):       
7.00%, 12/20/16  USD  1,475  $ 1,475,000 
Tranche B Term Loan, 7.00%, 12/20/16    1,297  1,308,356 
      2,783,356 
IT Services — 4.4%       
Ceridian Corp., US Term Loan, 3.26%, 11/09/14    1,247  1,228,300 
EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16    413  416,614 
First Data Corp.:       
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14    2,770  2,622,373 
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14    3,818  3,615,224 
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14    1,270  1,202,048 
TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18  3,235  3,252,789 
      12,337,348 
Independent Power Producers & Energy Traders — 0.9%     
Texas Competitive Electric Holdings Co., LLC (TXU):       
Initial Tranche B-1 Term Loan,       
3.76% – 3.80%, 10/10/14    1,522  1,283,055 
Initial Tranche B-3 Term Loan,       
3.76% – 3.80%, 10/10/14    1,408  1,183,915 
      2,466,970 
Industrial Conglomerates — 1.7%       
Sequa Corp., Term Loan, 3.56%, 12/03/14    1,768  1,748,735 
Tomkins Plc, Term Loan A, 4.25%, 9/16/16    2,960  2,984,375 
      4,733,110 
Insurance — 0.9%       
CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16  2,425  2,439,145 
Internet & Catalog Retail — 0.2%       
FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14  536  537,258 
Machinery — 0.3%       
Navistar Financial Corp., Term Loan B, 4.55%, 12/16/12  825  821,906 
Marine — 0.2%       
Horizon Lines, LLC:       
Revolving Loan, 3.31%, 8/08/12    491  456,879 
Term Loan, 3.31%, 8/08/12    268  255,563 
      712,442 
Media — 19.2%       
Acosta, Inc., Term Loan, 4.75%, 2/03/18    2,350  2,367,625 
Affinion Group, Inc., Tranche B Term Loan:       
5.00%, 10/09/16    1,489  1,496,194 
5.00%, 10/31/16    500  501,875 
Atlantic Broadband Finance, LLC, Term Loan B,       
5.00%, 11/12/15    965  965,017 
Bresnan Telecommunications Co. LLC, Term Loan,       
4.50%, 11/30/17    2,925  2,942,875 
Cengage Learning Acquisitions, Inc. (Thomson Learning):     
Term Loan, 2.55%, 7/03/14    2,992  2,879,310 
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14  771  774,419 
Charter Communications Operating, LLC:       
Term Loan B, 7.25%, 3/06/14    413  416,000 
Term Loan C, 3.56%, 9/06/16    2,397  2,402,595 
Clarke American Corp., Term Facility B, 2.80%, 6/30/14  1,238  1,181,015 
FoxCo Acquisition Sub, LLC, Term Loan B, 7.50%, 7/14/15  936  934,699 
Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16  2,145  2,170,764 
HMH Publishing Co., Ltd., Tranche A Term Loan,       
6.01%, 6/12/14    1,465  1,390,952 
Hanley-Wood, LLC (FSC Acquisition), Term Loan,       
2.56% – 2.63%, 3/10/14    4  1,861 
Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson       
Holdings Ltd.), Tranche B Term Loan, 5.25%, 3/07/18  6,500  6,543,673 
Interactive Data Corp., Term Loan, 4.75%, 2/08/18    2,750  2,772,588 
Knology, Inc., Term Loan B, 4.00%, 8/31/17    1,200  1,207,500 

 

See Notes to Financial Statements.

34 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Media (concluded)       
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):       
Facility B1, 3.68%, 6/30/15  EUR  304  $ 385,163 
Facility C1, 3.93%, 6/30/16    304  385,163 
MCNA Cable Holdings LLC (OneLink Communications),       
Loan, 6.97%, 3/01/13 (e)  USD  1,263  1,174,431 
Mediacom Illinois, LLC (FKA Mediacom       
Communications, LLC), Tranche D Term Loan,       
5.50%, 3/31/17    448  450,531 
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13    2,500  2,657,813 
Nielsen Finance LLC:       
Class A Dollar Term Loan, 2.26%, 8/09/13    55  55,165 
Class B Dollar Term Loan, 4.01%, 5/01/16    2,336  2,346,976 
Sinclair Television Group, Inc., New Tranche B Term Loan,       
5.50%, 10/29/15    1,023  1,033,806 
Springer Science+Business Media SA, Facility A1,       
6.75%, 7/01/16  EUR  2,000  2,787,514 
Sunshine Acquisition Ltd. (FKA HIT Entertainment),       
Term Facility, 5.56%, 6/01/12  USD  1,893  1,852,309 
UPC Broadband Holding B.V., Term U, 4.88%, 12/31/17 EUR  1,456  2,002,289 
Univision Communications, Inc., Extended First Lien       
Term Loan, 4.52%, 3/31/17  USD  2,309  2,245,017 
Virgin Media Investment Holdings Ltd., Facility B,       
4.53%, 12/31/15  GBP  1,350  2,194,425 
Weather Channel, Term Loan B, 4.25%, 2/01/17  USD  2,500  2,523,125 
Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,       
2.76%, 8/09/11    844  818,437 
      53,861,126 
Metals & Mining — 1.4%       
Euramax International, Inc., Domestic Term Loan:       
10.00%, 6/29/13    513  494,231 
14.00%, 6/29/13    500  481,147 
Novelis Corp., Term Loan, 5.25%, 12/01/16    3,000  3,035,358 
      4,010,736 
Multi-Utilities — 0.1%       
FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):       
Synthetic Letter of Credit, 0.16%, 11/01/13    8  8,166 
Term B Advance (First Lien), 2.81%, 11/01/13    404  401,626 
      409,792 
Multiline Retail — 1.0%       
Dollar General Corp., Tranche B-2 Term Loan,       
3.01%, 7/07/14    616  616,330 
Hema Holding BV:       
Facility B, 2.91%, 7/06/15  EUR  406  555,278 
Facility C, 3.66%, 7/05/16    406  555,278 
The Neiman Marcus Group, Inc., Tranche B-2 Term       
Loan, 4.30%, 4/06/16  USD  1,017  1,022,057 
      2,748,943 
Oil, Gas & Consumable Fuels — 1.4%       
EquiPower Resources Holdings, LLC, Term Loan B,       
5.75%, 1/11/18    1,450  1,460,875 
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15  2,354  2,412,417 
      3,873,292 
Paper & Forest Products — 1.1%       
Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12    1,128  1,128,452 
Verso Paper Finance Holdings LLC, Loan,       
6.55% – 7.30%, 2/01/13 (e)    2,193  1,973,467 
      3,101,919 
Personal Products — 0.9%       
NBTY, Inc., Term Loan B:       
6.25%, 9/20/17    1,300  1,313,270 
4.75%, 10/01/17    1,300  1,300,000 
      2,613,270 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Pharmaceuticals — 1.2%       
Axcan Intermediate Holdings, Inc., Term Loan,       
5.50%, 2/03/17  USD  1,467  $ 1,470,333 
Warner Chilcott Corp.:       
Additional Term Loan, 6.25%, 4/30/15    425  428,008 
Delayed Draw Term Loan B, 6.25%, 4/30/15    338  339,675 
Term Loan A, 6.00%, 10/30/14    695  695,174 
Term Loan B-1, 6.25%, 4/30/15    203  204,027 
Term Loan B-3, 6.50%, 2/20/16    151  152,379 
      3,289,596 
Professional Services — 1.6%       
Booz Allen Hamilton, Inc., Tranche B Term Loan,       
4.00%, 8/01/17    2,875  2,902,313 
Fifth Third Processing Solutions, LLC, Term Loan B       
(First Lien), 5.50%, 10/21/16    1,500  1,511,625 
      4,413,938 
Real Estate Investment Trusts (REITs) — 0.1%       
iStar Financial, Inc., Term Loan (Second Lien),       
1.76%, 6/28/11    225  221,906 
Real Estate Management & Development — 2.4%       
Mattamy Funding Partnership, Term Loan,       
2.56%, 4/11/13    407  388,491 
Realogy Corp.:       
Exit Term Loan, 3.29%, 10/16/16    600  578,625 
Term Loan B, 4.56%, 10/16/16    5,710  5,476,496 
Term Loan C, 4.51%, 10/16/16    300  287,537 
      6,731,149 
Road & Rail — 0.2%       
Transtar Industries, Term Loan (First Lien), 6.25%, 12/07/16  500  507,500 
Semiconductors & Semiconductor Equipment — 0.7%       
Freescale Semiconductor, Inc., Extended Maturity       
Term Loan, 4.51%, 12/01/16    651  854,642 
Microsemi Corp., Term Loan B, 5.00%, 10/25/17    1,100  1,102,750 
      1,957,392 
Software — 1.1%       
Rovi Corp., Term Loan B, 4.00%, 2/01/18    1,000  1,010,000 
Telcordia Technologies, Inc., Term Loan, 6.75%, 4/30/16    1,290  1,297,508 
Vertafore, Inc., New Term Loan B, 5.25%, 7/29/16    685  690,137 
      2,997,645 
Specialty Retail — 4.0%       
Burlington Coat Factory Warehouse Corp., Term Loan B,       
6.25%, 2/18/17    950  953,167 
Gymboree Corp., Term Loan B, 5.00%, 2/11/18    1,450  1,454,350 
J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18    2,800  2,800,000 
Matalan Finance Plc, Term Facility, 5.61%, 3/24/16  GBP  462  747,098 
Michaels Stores, Inc.:       
Term Loan B-1, 2.56% – 2.63%, 10/31/13  USD  736  733,446 
Term Loan B-2, 4.81% – 4.88%, 7/31/16    495  498,733 
Petco Animal Supplies, Inc., Term Loan B,       
4.75%, 11/24/17    2,375  2,375,000 
Toys 'R' Us Delaware, Inc., Initial Loan, 6.00%, 8/17/16    1,637  1,648,796 
      11,210,590 
Textiles, Apparel & Luxury Goods — 0.4%       
Philips Van Huesen Corp., US Tranche B Term Loan,       
5.25%, 5/06/16    1,212  1,217,115 
Wireless Telecommunication Services — 1.0%       
MetroPCS Wireless, Inc., Tranche B-2 Term Loan,       
3.81%, 11/03/16    987  990,475 
Vodafone Americas Finance 2 Inc., Initial Loan,       
6.88%, 7/30/15    1,812  1,875,241 
      2,865,716 
Total Floating Rate Loan Interests — 112.6%      316,532,537 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 35



Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

  Beneficial   
  Interest   
Other Interests (i)  (000)  Value 
Auto Components — 1.0%     
Delphi Debtor-in-Possession Holding Co. LLP, Class B     
Membership Interests  —(j) $  2,829,275 
Diversified Financial Services — 0.3%     
J.G. Wentworth LLC Preferred Equity Interests (k)  —(j)  684,050 
Total Other Interests — 1.3%    3,513,325 
Warrants (l)  Shares   
Software — 0.0%     
HMH Holdings/EduMedia (Expires 3/09/17)  11,690   
Total Warrants — 0.0%     
Total Long-Term Investments     
(Cost — $387,858,960) — 138.8%  389,878,229 
Short-Term Securities     
BlackRock Liquidity Funds, TempFund, Institutional     
Class, 0.15% (m)(n)  2,358,167  2,358,167 
Total Short-Term Securities     
(Cost — $2,358,167) — 0.8%    2,358,167 
Options Purchased  Contracts   
Over-the-Counter Call Options — 0.0%     
Marsico Parent Superholdco LLC,     
Strike Price USD 942.86, Expires 12/21/19,     
Broker Goldman Sachs Bank USA  20   
Total Options Purchased (Cost — $19,555) — 0.0%     
Total Investments (Cost — $390,236,682*) — 139.6%  392,236,396 
Liabilities in Excess of Other Assets — (39.6)%  (111,169,305) 
Net Assets — 100.0%  $281,067,091 


* The cost and unrealized appreciation (depreciation) of investments as of

February 28, 2011, as computed for federal income tax purposes, were as follows:

Aggregate cost  $ 388,985,138 
Gross unrealized appreciation  $   13,197,780 
Gross unrealized depreciation  (9,946,522) 
Net unrealized appreciation  $     3,251,258 


(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.

These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(b) Variable rate security. Rate shown is as of report date.
(c) When-issued security. Unsettled when-issued transactions were as follows:

    Unrealized 
    Appreciation 
Counterparty  Value  (Depreciation) 
Bank of America & Co.  $ 641,095   


(d) Non-income producing security.

(e) Represents a payment-in-kind security which may pay interest/dividends in
additional par/shares.
(f) Convertible security.
(g) Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date.
(h) Issuer filed for bankruptcy and/or is in default of interest payments.
(i) Other interests represent beneficial interest in liquidation trusts and other reorgani-
zation entities and are non-income producing.
(j) Amount is less than $1,000.
(k) The investment is held by a wholly owned taxable subsidiary of the Fund.
(l) Warrants entitle the Fund to purchase a predetermined number of shares of com-
mon stock and are non-income producing. The purchase price and number of
shares are subject to adjustment under certain conditions until the expiration date,
if any.
(m) Investments in companies considered to be an affiliate of the Fund during the
period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

  Shares Held at  Net  Shares Held at   
Affiliate  August 31, 2010  Activity  February, 2011  Income 
BlackRock Liquidity         
Funds, TempFund,       
Institutional Class  788,199  1,569,968  2,358,167  $ 2,884 


(n) Represents the current yield as of report date.


Foreign currency exchange contracts as of February 28, 2011 were as follows:

            Unrealized 
Currency    Currency    Settlement                 Appreciation 
Purchased    Sold  Counterparty  Date  (Depreciation) 
USD  157,253  EUR  114,000  Citibank NA  3/01/11  $ (62) 
USD  2,686,266  CAD  2,665,000  Citibank NA  4/14/11  (54,066) 
USD  4,137,941  GBP  2,652,000  Citibank NA  4/14/11  (171,486) 
USD  804,405  GBP                498,500      Deutsche Bank AG  4/14/11  (5,644) 
USD12,407,757  EUR  9,070,000  Citibank NA  4/27/11  (99,414) 
EUR  750,000  USD  1,028,599  Citibank NA  4/27/11  5,622 
USD  390,223  EUR  285,000  Royal Bank     
        of Scotland  4/27/11  (2,781) 
EUR  150,000  USD  205,181  UBS AG  4/27/11  1,663 
Total            $ (326,168) 


For Fund compliance purposes, the Fund’s industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or rating group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine such
industry sub-classifications for reporting ease.

Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivatives. These inputs are summarized in three broad levels for
financial statement purposes as follows:
Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 — other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other than
quoted prices that are observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs)
Level 3 — unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Fund's own assumptions used in determining the fair value of investments
and derivatives)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Fund's policy regarding valuation of investments and derivatives and
other significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements.

See Notes to Financial Statements.

36 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (concluded)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

The following tables summarize the inputs used as of February 28, 2011 in deter-
mining the fair valuation of the Fund's investments and derivatives:

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Assets:         
Investments in         
Securities:         
Long-Term         
Investments:         
Asset-Backed         
Securities    $ 3,363,154 $ 6,881,098  $ 10,244,252 
Common Stocks .  $ 574,082  505,350  468,087  1,547,519 
Corporate Bonds.    55,791,514  2,249,082  58,040,596 
Floating Rate         
Loan Interests    276,656,452  39,876,085  316,532,537 
Other Interests    2,829,275  684,050  3,513,325 
Short-Term         
Securities  2,358,167      2,358,167 
Unfunded Loan         
Commitments    26,990  4,269  31,259 
Liabilities:         
Unfunded Loan         
Commitments      (11,082)  (11,082) 
Total  $ 2,932,249  $339,172,735     $ 50,151,589    $392,256,573 

 

Derivative Financial Instruments1

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Assets:         
Foreign currency         
exchange         
contracts.   $    7,285    $      7,285 
Liabilities:         
Foreign currency         
exchange         
contracts.    (333,453)    (333,453) 
Total  $ (326,168)    $ (326,168) 

1 Derivative financial instruments are foreign currency exchange contracts.
Foreign currency exchange contracts are shown at the unrealized appreciation/
depreciation on the instrument and options are shown at value.

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

  Asset-Backed  Common  Corporate  Floating Rate  Other   Unfunded Loan 
  Securities  Stocks  Bonds  Loan Interests  Interests  Commitments  Total 
Assets:               
Balance, as of August 31, 2010    $ 472,121  $ 1,318,391  $39,854,006  $ 684,050  $ 6,517  $42,335,085 
Accrued discounts/premiums  $ 31,427    64,382  908,601      1,004,410 
Net realized gain (loss)        (362,035)      (362,035) 
Net change in unrealized appreciation/               
depreciation2  (13,827)  (4,034)  443,084  1,737,303    (2,248)  2,160,278 
Purchases  6,863,498    423,225  16,953,831      24,240,554 
Sales        (21,483,046)      (21,483,046) 
Transfers in3        8,064,078      8,064,078 
Transfers out3        (5,796,653)      (5,796,653) 
Balance, as of February 28, 2011  $ 6,881,098  $ 468,087  $ 2,249,082  $39,876,085  $ 684,050  $ 4,269  $50,162,671 

2 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in the unrealized appreciation/depreciation on the
securities still held on February 28, 2011 was $1,866,252.
3 The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.

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

  Unfunded 
  Loan 
  Commitments 
Liabilities:   
Balance, as of August 31, 2010  $ (75,622) 
Accrued discounts/premiums   
Realized gain (loss)   
Change in unrealized appreciation/depreciation4  64,540 
Purchases   
Sales   
Transfers in5   
Transfers out5   
Balance, as of February 28, 2011  $ (11,082) 

4 Included in the related net change in unrealized appreciation/depreciation
on the Statements of Operations. The change in the unrealized appreciation/
depreciation on the securities still held on February 28, 2011 was $64,540.
5 The Fund’s policy is to recognize transfers in and transfers out as of the end of
the period of the event or the change in circumstances that caused the transfer.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 37



Schedule of Investments February 28, 2011 (Unaudited)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

    Par   
Asset-Backed Securities    (000)  Value 
Asset-Backed Securities — 5.1%       
321 Henderson Receivables I LLC, Series 2010-3A,       
Class A, 3.82%, 12/15/48 (a)  USD  5,032  $ 4,871,786 
ARES CLO Funds, Series 2005-10A, Class B,       
0.69%, 9/18/17 (a)(b)    1,500  1,320,000 
Ballyrock CDO Ltd., Series 2006-1A, Class B,       
0.66%, 8/28/19 (a)(b)    1,500  1,286,250 
CSAM Funding, Series 2A, Class B1, 7.05%, 10/15/16    750  776,250 
Canaras Summit CLO Ltd., Series 2007-1A, Class B,       
0.78%, 6/19/21 (a)(b)    1,735  1,482,627 
Capital One Multi-Asset Execution Trust, Series 4-3C,       
6.63%, 4/19/17 (b)  GBP  2,650  4,412,159 
Carrington Mortgage Loan Trust, Series 2007-RFC1,       
Class A1, 0.31%, 12/25/36 (b)  USD  454  426,017 
Countrywide Asset-Backed Certificates (b):       
Series 2007-6, Class 2A1, 0.36%, 9/25/37    213  209,203 
Series 2007-10, Class 2A1, 0.31%, 6/25/47    2,396  2,305,668 
Ford Credit Floorplan Master Owner Trust, Series       
2006-4, Class A, 0.52%, 6/15/13 (b)    4,015  4,007,294 
GSAA Trust, Series 2007-3, Class 1A2,       
0.43%, 3/25/47 (b)    3,505  1,809,071 
Gannett Peak CLO Ltd., Class A2:       
Series 2006-1A, 0.66%, 10/27/20 (a)(b)    1,915  1,649,294 
Series 2006-1X, 0.66%, 10/27/20    1,330  1,120,525 
LCM LP, Series 8A, Class C, 3.37%, 1/14/21 (a)(b)    3,000  2,992,500 
Portola CLO Ltd., Series 2007-1X, Class B1,       
1.76%, 11/15/21    1,770  1,637,250 
SLC Student Loan Trust, Series 2006-A, Class A4,       
0.42%, 1/15/19 (b)    1,920  1,865,809 
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,       
0.90%, 7/15/19 (a)(b)    1,515  1,299,764 
      33,471,467 
Interest Only Asset-Backed Securities — 0.3%       
Sterling Bank Trust, Series 2004-2, Class Note,       
2.08%, 3/30/30 (a)    13,236  852,390 
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29    12,152  888,625 
      1,741,015 
Total Asset-Backed Securities — 5.4%      35,212,482 
Common Stocks (c)    Shares   
Chemicals — 0.0%       
LyondellBasell Industries NV, Class A    7,442  283,391 
Construction & Engineering — 0.0%       
USI United Subcontractors Common    6,116  128,428 
Hotels, Restaurants & Leisure — 0.1%       
BLB Worldwide Holdings, Inc.    51,947  519,470 
Metals & Mining — 0.0%       
Euramax International    234  61,930 
Software — 0.2%       
Bankruptcy Management Solutions, Inc.    880  3,081 
HMH Holdings/EduMedia  238,664  1,193,320 
      1,196,401 
Total Common Stocks — 0.3%      2,189,620 
    Par   
Corporate Bonds    (000)   
Aerospace & Defense — 0.2%       
Kratos Defense & Security Solutions, Inc.,       
10.00%, 6/01/17  USD  1,400  1,578,500 
Airlines — 1.7%       
Air Canada, 9.25%, 8/01/15 (a)    2,000  2,140,000 
American Airlines, Inc., 10.50%, 10/15/12    2,890  3,171,775 

 

    Par   
Corporate Bonds    (000)  Value 
Airlines (concluded)       
Continental Airlines, Inc., 6.75%, 9/15/15 (a)  USD  1,350  $ 1,387,125 
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 (d)    1,302  1,406,367 
United Air Lines, Inc., 12.75%, 7/15/12 (d)    2,455  2,743,686 
      10,848,953 
Auto Components — 0.0%       
Delphi International Holdings Unsecured,       
12.00%, 10/06/14    65  71,074 
Beverages — 0.1%       
Crown European Holdings SA, 7.13%, 8/15/18 (a)  EUR  585  859,748 
Building Products — 0.9%       
Associated Materials LLC, 9.13%, 11/01/17 (a)  USD  1,180  1,275,875 
Building Materials Corp. of America,       
7.00%, 2/15/20 (a)(d)    1,875  1,975,781 
Momentive Performance Materials, Inc.,       
9.00%, 1/15/21 (a)    2,445  2,600,869 
      5,852,525 
Capital Markets — 1.0%       
American Capital Ltd., 7.96%, 12/31/13    1,675  1,715,317 
E*Trade Financial Corp., 8/31/19 (a)(e)(f)    249  384,705 
Goldman Sachs Group LP, 5.00%, 10/01/14 (d)    3,000  3,231,885 
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (a)    1,330  1,311,221 
      6,643,128 
Chemicals — 0.4%       
American Pacific Corp., 9.00%, 2/01/15    1,100  1,080,750 
Hexion U.S. Finance Corp., 9.00%, 11/15/20 (a)    875  930,781 
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (a)    545  598,138 
      2,609,669 
Commercial Banks — 3.1%       
CIT Group, Inc.:       
7.00%, 5/01/16    1,170  1,180,237 
7.00%, 5/01/17 (d)    7,990  8,049,925 
Regions Financial Corp. (d):       
6.38%, 5/15/12    4,590  4,707,504 
4.88%, 4/26/13    1,355  1,361,775 
Standard Chartered Plc, 3.85%, 4/27/15 (a)(d)    3,100  3,191,500 
Wells Fargo & Co., 5.50%, 6/15/16 (d)(g)    1,870  1,909,988 
      20,400,929 
Commercial Services & Supplies — 1.1%       
ACCO Brands Corp., 10.63%, 3/15/15    1,425  1,610,250 
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)    1,524  1,565,910 
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)    1,240  1,333,000 
International Lease Finance Corp., 8.25%, 12/15/20    472  525,100 
Mobile Mini, Inc., 7.88%, 12/01/20 (a)    540  575,100 
West Corp. (a):       
8.63%, 10/01/18    910  964,600 
7.88%, 1/15/19    405  415,631 
      6,989,591 
Communications Equipment — 0.1%       
Avaya Inc., 7.00%, 4/01/19 (a)    400  396,000 
Consumer Finance — 0.9%       
Credit Acceptance Co., 9.13%, 2/01/17    910  964,600 
Ford Motor Credit Co. LLC:       
3.05%, 1/13/12 (b)    565  570,757 
7.80%, 6/01/12 (d)    1,665  1,775,629 
6.63%, 8/15/17    1,300  1,382,652 
Hyundai Capital America, 3.75%, 4/06/16 (a)(d)    1,285  1,258,471 
      5,952,109 
Containers & Packaging — 1.5%       
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)  EUR  695  990,240 
Berry Plastics Corp.:       
8.25%, 11/15/15  USD  2,400  2,571,000 
9.75%, 1/15/21 (a)    1,650  1,654,125 
Pregis Corp., 12.38%, 10/15/13    955  962,163 

 

See Notes to Financial Statements.

38 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

    Par   
Corporate Bonds    (000)  Value 
Containers & Packaging (concluded)       
Smurfit Kappa Acquisitions (a):       
7.25%, 11/15/17  EUR  1,215  $ 1,777,247 
7.75%, 11/15/19    1,155  1,705,420 
      9,660,195 
Diversified Financial Services — 4.4%       
Ally Financial, Inc.:       
8.30%, 2/12/15  USD  3,150  3,555,562 
7.50%, 9/15/20 (a)(d)    2,660  2,909,375 
8.00%, 11/01/31    1,150  1,316,750 
8.00%, 11/01/31    1,240  1,420,287 
Bank of America Corp., 4.50%, 4/01/15 (d)    3,000  3,133,575 
Citigroup, Inc., 4.75%, 5/19/15 (d)    3,000  3,166,587 
JPMorgan Chase & Co., 3.40%, 6/24/15 (d)    6,000  6,080,808 
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (a)(d)  2,610  2,779,650 
Reynolds Group Issuer, Inc. (a):       
7.13%, 4/15/19 (d)    1,800  1,845,000 
6.88%, 2/15/21    915  917,288 
8.25%, 2/15/21    1,135  1,137,838 
      28,262,720 
Diversified Telecommunication Services — 2.3%       
ITC Deltacom, Inc., 10.50%, 4/01/16    1,690  1,854,775 
Level 3 Financing, Inc., 8.75%, 2/15/17    2,120  2,082,900 
Qwest Communications International, Inc.:       
7.50%, 2/15/14    610  619,150 
8.00%, 10/01/15 (d)    2,500  2,728,125 
Series B, 7.50%, 2/15/14 (d)    2,985  3,029,775 
Qwest Corp., 8.38%, 5/01/16 (d)    2,590  3,091,812 
TW Telecom Holdings, Inc., 8.00%, 3/01/18    630  675,675 
Windstream Corp.:       
8.13%, 8/01/13    590  649,738 
8.63%, 8/01/16    450  475,875 
      15,207,825 
Electric Utilities — 0.0%       
Elwood Energy LLC, 8.16%, 7/05/26    118  116,839 
Electronic Equipment, Instruments & Components — 1.4%     
Agilent Technologies, Inc., 4.45%, 9/14/12 (d)    7,325  7,626,358 
CDW LLC, 8.00%, 12/15/18 (a)    1,180  1,268,500 
      8,894,858 
Energy Equipment & Services — 0.3%       
Compagnie Generale de Geophysique-Veritas:       
7.50%, 5/15/15    195  201,825 
7.75%, 5/15/17    330  348,975 
Frac Tech Services LLC, 7.13%, 11/15/18 (a)    1,270  1,314,450 
      1,865,250 
Food & Staples Retailing — 0.1%       
BI-LO LLC, 9.25%, 2/15/19 (a)    775  806,000 
Food Products — 0.5%       
Blue Merger Sub Inc., 7.63%, 2/15/19 (a)    2,450  2,474,500 
Smithfield Foods, Inc., 10.00%, 7/15/14    684  807,120 
      3,281,620 
Gas Utilities — 0.4%       
Florida Gas Transmission Co. LLC, 4.00%, 7/15/15 (a)(d)  2,000  2,049,066 
Targa Resources Partners LP, 6.88%, 2/01/21 (a)    690  683,100 
      2,732,166 
Health Care Equipment & Supplies — 0.5%       
DJO Finance LLC, 10.88%, 11/15/14 (d)    2,780  3,047,575 
Health Care Providers & Services — 1.6%       
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)    645  672,413 
HCA, Inc., 7.25%, 9/15/20    1,115  1,202,806 
Tenet Healthcare Corp.:       
9.00%, 5/01/15    812  893,200 
10.00%, 5/01/18 (d)    6,682  7,851,350 
      10,619,769 

 

    Par   
Corporate Bonds    (000)  Value 
Health Care Technology — 0.8%       
IMS Health, Inc., 12.50%, 3/01/18 (a)  USD  4,300  $ 5,041,750 
Hotels, Restaurants & Leisure — 2.1%       
CityCenter Holdings LLC, 7.63%, 1/15/16 (a)    790  823,575 
Enterprise Inns Plc, 6.50%, 12/06/18  GBP  2,232  3,292,811 
MGM Resorts International, 10.38%, 5/15/14  USD  1,135  1,271,200 
Punch Tavens Finance B Ltd., 4.77%, 6/30/33  GBP  1,368  1,868,032 
Spirit Issuer Plc:       
0.98%, 12/28/11    3,325  3,918,769 
1.84%, 12/28/11 (b)    1,800  2,399,278 
Tropicana Entertainment LLC, Series WI,       
9.63%, 12/15/14 (c)(h)  USD  375  38 
      13,573,703 
Household Durables — 1.6%       
Beazer Homes USA, Inc.:       
12.00%, 10/15/17 (d)    3,800  4,417,500 
9.13%, 6/15/18    375  387,188 
Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (c)(h)    200   
K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16    2,500  2,709,375 
Standard Pacific Corp. (a):       
8.38%, 5/15/18    1,125  1,192,500 
8.38%, 1/15/21    1,830  1,930,650 
      10,637,213 
IT Services — 0.9%       
First Data Corp. (a):       
8.25%, 1/15/21    2,300  2,288,500 
12.63%, 1/15/21    923  966,842 
iPayment, Inc., 9.75%, 5/15/14    950  941,688 
iPayment Investors LP, 12.75%, 7/15/14 (a)(i)    1,513  1,407,203 
      5,604,233 
Independent Power Producers & Energy Traders — 2.8%     
Calpine Construction Finance Co. LP,       
8.00%, 6/01/16 (a)(d)    5,225  5,669,125 
Calpine Corp., 7.50%, 2/15/21 (a)    1,360  1,390,600 
Energy Future Holdings Corp., 10.00%, 1/15/20 (a)(d)    3,870  4,030,032 
Energy Future Intermediate Holding Co. LLC,       
10.00%, 12/01/20    2,720  2,839,277 
NRG Energy, Inc., 7.63%, 1/15/18 (a)(d)    3,750  3,904,688 
      17,833,722 
Industrial Conglomerates — 1.5%       
Sequa Corp. (a):       
11.75%, 12/01/15    2,950  3,200,750 
13.50%, 12/01/15 (i)    5,870  6,501,024 
      9,701,774 
Insurance — 0.5%       
CNO Financial Group, Inc., 9.00%, 1/15/18 (a)    2,878  3,065,070 
Machinery — 0.7%       
AGY Holding Corp., 11.00%, 11/15/14    1,500  1,335,000 
Navistar International Corp., 8.25%, 11/01/21 (d)    1,750  1,938,125 
Synventive Molding Solutions, Sub-Series A,       
14.00%, 7/14/11 (i)    853  4,266 
Titan International, Inc., 7.88%, 10/01/17 (a)    1,330  1,423,100 
      4,700,491 
Media — 5.2%       
CCH II LLC, 13.50%, 11/30/16    2,306  2,793,189 
CCO Holdings LLC, 7.88%, 4/30/18 (a)    2,925  3,122,438 
CMP Susquehanna Corp., 3.44%, 5/15/14 (a)(b)    194  136,754 
Cengage Learning Acquisitions, Inc.,       
10.50%, 1/15/15 (a)    2,200  2,282,500 
Checkout Holding Corp., 11/15/15 (a)(f)    2,050  1,322,250 
Clear Channel Worldwide Holdings, Inc.:       
9.25%, 12/15/17    933  1,035,630 
Series B, 9.25%, 12/15/17 (d)    4,732  5,264,350 
DISH DBS Corp.:       
7.00%, 10/01/13 (d)    1,450  1,558,750 
7.13%, 2/01/16    200  213,500 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 39



Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

    Par   
Corporate Bonds    (000)  Value 
Media (concluded)       
Interactive Data Corp., 10.25%, 8/01/18 (a)  USD  2,460  $ 2,755,200 
NAI Entertainment Holdings LLC,       
8.25%, 12/15/17 (a)(d)    1,445  1,553,375 
Nielsen Finance LLC, 7.75%, 10/15/18 (a)    1,400  1,513,750 
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(h)    3,454  34,541 
Rainbow National Services LLC (a)(d):       
8.75%, 9/01/12    925  928,469 
10.38%, 9/01/14    3,134  3,263,277 
UPC Germany GmbH, 8.13%, 12/01/17 (a)(d)    4,500  4,826,250 
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (d)    1,000  1,095,000 
      33,699,223 
Metals & Mining — 1.5%       
Arch Western Finance LLC, 6.75%, 7/01/13    933  942,330 
FMG Resources August 2006 Pty Ltd.,       
7.00%, 11/01/15 (a)    2,965  3,076,188 
New World Resources NV, 7.88%, 5/01/18  EUR  995  1,476,037 
Novelis, Inc., 8.75%, 12/15/20 (a)  USD  4,125  4,547,812 
      10,042,367 
Multiline Retail — 0.4%       
Dollar General Corp., 11.88%, 7/15/17 (d)(i)    2,458  2,842,062 
Oil, Gas & Consumable Fuels — 3.6%       
BP Capital Markets Plc, 5.25%, 11/07/13 (d)    6,000  6,514,110 
Berry Petroleum Co., 8.25%, 11/01/16    550  580,938 
Chesapeake Energy Corp.:       
6.50%, 8/15/17    1,315  1,410,337 
7.25%, 12/15/18 (d)    1,185  1,306,462 
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)    634  691,060 
Consol Energy, Inc., 8.25%, 4/01/20    1,500  1,653,750 
Crosstex Energy LP, 8.88%, 2/15/18    135  148,838 
Denbury Resources Inc.:       
8.25%, 2/15/20 (d)    971  1,080,238 
6.38%, 8/15/21    810  818,100 
El Paso Corp., 7.00%, 6/15/17 (d)    2,265  2,530,501 
Energy Transfer Equity LP, 7.50%, 10/15/20    335  363,056 
Linn Energy LLC (a):       
8.63%, 4/15/20    1,000  1,115,000 
7.75%, 2/01/21    1,615  1,715,937 
Niska Gas Storage US LLC, 8.88%, 3/15/18 (a)    950  1,035,500 
Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)    530  537,950 
Overseas Shipholding Group, Inc., 8.75%, 12/01/13    1,190  1,259,913 
Petrohawk Energy Corp., 7.25%, 8/15/18    690  714,150 
      23,475,840 
Paper & Forest Products — 0.6%       
NewPage Corp., 11.38%, 12/31/14    3,950  3,940,125 
Pharmaceuticals — 0.2%       
Valeant Pharmaceuticals International (a):       
6.75%, 10/01/17    450  465,750 
7.00%, 10/01/20    575  594,406 
      1,060,156 
Professional Services — 0.2%       
FTI Consulting, Inc. (d):       
7.75%, 10/01/16    350  367,062 
6.75%, 10/01/20 (a)    810  810,000 
      1,177,062 
Real Estate Investment Trusts (REITs) — 0.1%       
Omega Healthcare Investors, Inc.,       
6.75%, 10/15/22 (a)    635  641,350 
Real Estate Management & Development — 1.3%       
Realogy Corp. (a):       
11.50%, 4/15/17    1,390  1,480,350 
7.88%, 2/15/19    3,245  3,257,169 
The Unique Pub Finance Co. Plc, Series M,       
7.40%, 3/28/24  GBP  2,750  3,498,187 
      8,235,706 

 

    Par   
Corporate Bonds    (000)  Value 
Road & Rail — 1.1%       
Asciano Finance Ltd., 3.13%, 9/23/15 (a)(d)  USD  3,400  $ 3,251,729 
Avis Budget Car Rental LLC, 8.25%, 1/15/19    375  397,969 
Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)    530  553,850 
The Hertz Corp. (a):       
7.50%, 10/15/18    635  672,306 
6.75%, 4/15/19    1,030  1,050,600 
7.38%, 1/15/21    1,160  1,212,200 
      7,138,654 
Semiconductors & Semiconductor Equipment — 0.5%       
National Semiconductor Corp., 6.15%, 6/15/12 (d)    3,000  3,166,464 
Specialty Retail — 0.1%       
Sonic Automotive, Inc., Series B, 8.63%, 8/15/13    583  591,745 
Tobacco — 0.5%       
Reynolds American, Inc., 7.63%, 6/01/16 (d)    2,500  2,970,580 
Transportation Infrastructure — 0.1%       
Aguila 3 SA, 7.88%, 1/31/18 (a)    498  516,675 
Wireless Telecommunication Services — 1.3%       
Clearwire Communications LLC, 12.00%, 12/01/15 (a)    210  228,900 
Cricket Communications, Inc.:       
10.00%, 7/15/15    110  121,275 
7.75%, 5/15/16 (d)    2,250  2,379,375 
Digicel Group Ltd. (a):       
8.88%, 1/15/15    720  748,800 
9.13%, 1/15/15    2,267  2,361,081 
8.25%, 9/01/17    1,335  1,395,075 
Nextel Communications, Inc., Series E,       
6.88%, 10/31/13    425  428,453 
Sprint Capital Corp., 8.38%, 3/15/12    925  981,656 
      8,644,615 
Total Corporate Bonds — 50.1%      324,997,623 
Floating Rate Loan Interests (b)       
Aerospace & Defense — 0.5%       
Hawker Beechcraft Acquisition Co., LLC:       
Letter of Credit Linked Deposit, 0.20%, 3/26/14    109  97,346 
Term Loan, 2.26% – 2.30%, 3/26/14    1,817  1,624,059 
TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17  1,500  1,508,955 
      3,230,360 
Auto Components — 0.6%       
Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14    2,759  2,749,025 
Global Autocare, Term Loan B, 6.00%, 11/02/16    1,400  1,407,000 
      4,156,025 
Automobiles — 0.4%       
Ford Motor Co.:       
Tranche B-1 Term Loan, 3.02%, 12/15/13    2,087  2,086,555 
Tranche B-2 Term Loan, 3.02%, 12/15/13    425  424,099 
      2,510,654 
Beverages — 0.0%       
Le-Nature’s, Inc., Tranche B Term Loan,       
9.50%, 3/01/11 (c)(h)    1,000  297,500 
Building Products — 1.5%       
CPG International I, Inc., Term Loan B, 6.00%, 2/03/17    1,000  1,003,130 
Goodman Global, Inc.:       
Initial Term Loan (First Lien), 5.75%, 10/13/16    4,738  4,772,922 
Term Loan (Second Lien), 9.00%, 10/13/17    1,800  1,855,125 
Momentive Performance Materials (Blitz 06-103       
GmbH), Tranche B-2B Term Loan, 4.36%, 5/05/15  EUR  1,532  2,055,677 
United Subcontractors, Inc., Term Loan (First Lien),       
1.80%, 6/30/15 (i)  USD  143  123,268 
      9,810,122 

 

See Notes to Financial Statements.

40 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Capital Markets — 0.8%       
HarbourVest Partners, Term Loan (First Lien),       
6.25%, 11/10/16  USD  2,716  $ 2,729,203 
Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14    375  304,745 
Nuveen Investments, Inc.:       
Extended Term Loan (First Lien),       
5.80% – 5.81%, 5/13/17    1,137  1,132,255 
Non Extended Term Loan (First Lien), 3.30%, 11/13/14  973  943,089 
      5,109,292 
Chemicals — 3.1%       
AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16    1,286  1,299,299 
Brenntag Holding GmbH & Co. KG:       
Facility 2 (Second Lien), 6.45%, 7/17/15    500  502,084 
Facility 3A (Second Lien), 7.19%, 3/21/16  EUR  115  160,691 
Facility 3B (Second Lien), 7.19%, 3/15/16    16  22,422 
Facility B6A and B6B, 4.72%, 11/24/37    181  250,679 
Term Loan B, 4.72%, 11/24/37    233  323,794 
CF Industries, Inc., Term Loan B-1, 4.25%, 4/05/15  USD  202  202,526 
Chemtura Corp., Term Facility, 5.50%, 8/16/16    1,300  1,310,292 
General Chemical Corp., Tranche B Term Loan,       
6.75% – 7.25%, 9/30/15    1,995  2,024,925 
Ineos Group PLC, US Finance LLC, Senior Credit Facility       
Term Loan A2, 7.00%, 12/17/12    26  27,358 
MacDermid, Inc., Tranche C Term Loan,       
3.07%, 4/12/14  EUR  494  659,684 
Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17  USD  1,300  1,303,792 
PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term       
Loan Facility (First Lien), 3.52% – 3.56%, 7/30/14    2,590  2,547,679 
Solutia, Inc., Term Loan, 4.50%, 3/17/17    1,512  1,513,231 
Styron Sarl, Term Loan B, 6.00%, 7/27/17    2,900  2,926,100 
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15  2,450  2,470,409 
Univar, Inc., Term Loan B, 5.00% 6/30/17    2,800  2,809,626 
      20,354,591 
Commercial Banks — 0.3%       
CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15    1,900  1,924,145 
Commercial Services & Supplies — 1.9%       
AWAS Finance Luxembourg Sarl, Loan,       
7.75%, 6/10/16    1,222  1,254,841 
Altegrity, Inc., (FKA US Investigations Services, Inc.)       
Tranche D Term Loan, 7.75%, 2/21/15    3,980  4,059,600 
Casella Waste Systems, Inc., Term Loan B,       
7.00%, 4/09/14    625  625,475 
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16    1,454  1,466,307 
Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16    1,368  1,361,855 
Synagro Technologies, Inc., Term Loan (First Lien),       
2.27%, 4/02/14    1,281  1,191,349 
Volume Services America, Inc. (Centerplate),       
Term Loan B, 10.50% – 10.75%, 8/24/16    2,594  2,618,346 
      12,577,773 
Communications Equipment — 0.9%       
Avaya, Inc., Term Loan B:       
3.06% 10/24/14    1,876  1,818,164 
4.81%, 10/24/17    2,706  2,651,094 
CommScope, Inc., Term Loan B, 5.00%, 1/06/18    1,250  1,268,229 
      5,737,487 
Construction & Engineering — 0.6%       
Safway Services, LLC, First Out Tranche Loan,       
9.00%, 12/18/17    3,750  3,750,000 
Construction Materials — 0.1%       
Fairmount Minerals Ltd., Tranche B Term Loan,       
6.25%, 8/05/16    927  937,134 
Consumer Finance — 1.1%       
Springleaf Financial Funding Co. (FKA AGFS Funding       
Co.), Term Loan, 7.25%, 4/21/15    6,750  6,810,075 
Containers & Packaging — 0.2%       
Graham Packaging Co., LP, Term Loan D,       
6.00%, 9/16/16    1,496  1,507,740 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Diversified Consumer Services — 1.8%       
Coinmach Service Corp., Term Loan,       
3.26% – 3.31%, 11/14/14  USD  4,619  $ 4,330,357 
Laureate Education, Series A New Term Loan,       
7.00%, 8/15/14    4,622  4,649,356 
ServiceMaster Co.:       
Closing Date Term Loan, 2.76% – 2.81%, 7/24/14  2,525  2,485,594 
Delayed Draw Term Loan, 2.77%, 7/24/14    251  247,528 
      11,712,835 
Diversified Financial Services — 0.4%       
Professional Service Industries, Inc., Term Loan       
(First Lien), 3.02%, 10/31/12    423  359,576 
Reynolds Group Holdings, Inc., Term Loan E,       
4.25%, 2/09/18    2,000  2,010,416 
      2,369,992 
Diversified Telecommunication Services — 0.5%       
Hawaiian Telcom Communications, Inc., Term Loan,       
9.00%, 10/28/15    2,167  2,203,847 
Level 3 Financing, Inc., Incremental Tranche A Term Loan,     
2.55%, 3/13/14    1,150  1,121,250 
      3,325,097 
Electric Utilities — 0.6%       
New Development Holdings LLC, Term Loan,       
7.00%, 7/03/17    3,453  3,486,602 
TPF Generation Holdings, LLC:       
Synthetic Letter of Credit Deposit (First Lien),       
0.20%, 12/15/13    151  150,260 
Synthetic Revolving Deposit, 0.20%, 12/15/11    47  47,104 
Term Loan (First Lien), 2.30%, 12/15/13    344  343,225 
      4,027,191 
Electronic Equipment, Instruments & Components — 1.2%     
CDW LLC (FKA CDW Corp.):       
Extended Term Loan B, 3.51%, 7/15/17    2,194  2,193,866 
Non Extended Term Loan, 4.26%, 10/10/14    3,270  3,262,734 
Flextronics International Ltd., Closing Date Loan A,       
2.51%, 10/01/14    1,178  1,171,693 
Matinvest 2 SAS/Butterfly Wendel US, Inc.       
(Deutsche Connector):       
Facility B-2, 3.46%, 6/22/14    445  429,185 
Facility B-2, 3.46%, 6/22/14    33  32,028 
Facility C-2, 4.21%, 6/22/15    719  694,155 
Facility C-2, 4.21%, 6/22/15    110  106,040 
      7,889,701 
Energy Equipment & Services — 0.4%       
MEG Energy Corp., Tranche D Term Loan,       
6.00%, 4/03/16    2,373  2,395,100 
Food & Staples Retailing — 0.7%       
Pilot Travel Centers LLC, Initial Tranche B Term Loan,       
5.25%, 6/30/16    3,004  3,029,758 
U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14  1,869  1,804,006 
      4,833,764 
Food Products — 1.6%       
Advance Pierre Foods, Term Loan (Second Lien):       
7.00%, 9/29/16    4,090  4,117,867 
11.25%, 9/29/17    1,300  1,332,500 
Del Monte Corp., Term Loan B, 4.50%, 2/01/18    3,000  3,018,750 
Pinnacle Foods Finance LLC, Tranche D Term Loan,       
6.00%, 4/02/14    1,198  1,207,747 
Solvest, Ltd. (Dole):       
Tranche B-1 Term Loan, 5.00% – 5.50%, 3/02/17  127  127,536 
Tranche C-1 Term Loan, 5.00% – 5.50%, 3/02/17  310  311,990 
      10,116,390 
Health Care Providers & Services — 3.3%       
Ardent Health Services, Inc., Term Loan, 6.50%, 9/15/15  1  1,326 
CHS/Community Health Systems, Inc.:       
Delayed Draw Term Loan, 2.51% – 2.56%, 7/25/14  166  164,347 
Extended Term Loan, 3.76% – 3.81%, 1/25/17  1,161  1,163,197 
Non Extended Term Loan, 2.51% – 2.56%, 7/25/14  3,219  3,192,821 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 41



Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Health Care Providers & Services (concluded)       
ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16  USD  1,300  $ 1,305,958 
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16    2,000  2,014,272 
HCA, Inc.:       
Tranche A-1 Term Loan, 1.55%, 11/16/12    2,361  2,348,199 
Tranche B-1 Term Loan, 2.55%, 11/18/13    340  338,867 
Harden Healthcare, Inc.:       
Tranche A Additional Term Loan, 7.75%, 3/02/15    3,990  3,910,200 
Tranche A Term Loan, 8.50%, 2/22/15    630  617,556 
inVentiv Health, Inc. (FKA Ventive Health, Inc.),       
Term Loan B, 6.50%, 7/31/16    3,279  3,293,732 
Renal Advantage Holdings, Inc., Tranche B Term Loan,       
5.75%, 12/03/16    1,400  1,419,250 
Vanguard Health Holding Co. II, LLC (Vanguard Health       
Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16    1,423  1,432,608 
      21,202,333 
Health Care Technology — 0.7%       
IMS Health, Inc., Tranche B Dollar Term Loan,       
5.25%, 2/26/16    2,606  2,627,434 
MedAssets, Inc., Term Loan B, 5.25%, 11/15/16    1,700  1,712,750 
      4,340,184 
Hotels, Restaurants & Leisure — 5.3%       
BLB Management Services, Inc. (Wembly, Inc.) Loan (Exit),     
8.50%, 11/05/15    1,508  1,516,942 
Blackstone UTP Capital LLC, Loan, 7.75%, 11/06/14    3,713  3,786,750 
Dunkin’ Brands, Inc., Term Loan B, 4.25%, 11/09/17    2,600  2,617,859 
Harrah’s Operating Co., Inc.:       
Term Loan B-1, 3.30%, 1/28/15    449  416,434 
Term Loan B-2, 3.30%, 1/28/15    750  694,822 
Term Loan B-3, 3.30%, 1/28/15    8,615  7,999,053 
Term Loan B-4, 9.50%, 10/31/16    963  1,019,982 
OSI Restaurant Partners, LLC, Pre-Funded RC Loan,       
0.12% – 2.56%, 6/14/13    32  31,624 
Seaworld Parks & Entertainment, Inc. (FKA SW       
Acquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17    3,788  3,796,465 
Six Flags Theme Parks, Inc., Tranche B Term Loan       
(First Lien), 5.50%, 6/30/16    4,838  4,892,086 
Travelport LLC (FKA Travelport, Inc.), Loan,       
8.31%, 3/27/12 (i)    4,827  4,308,235 
VML US Finance LLC (FKA Venetian Macau):       
New Project Term Loan, 4.79%, 5/27/13    1,580  1,579,581 
Term B Delayed Draw Project Loan, 4.79%, 5/25/12  1,134  1,135,123 
Term B Funded Project Loan, 4.79%, 5/27/13    383  383,320 
      34,178,276 
Household Durables — 0.5%       
Berkline/Benchcraft, LLC, Term Loan,       
14.00%, 11/03/11 (c)(h)    135  6,728 
Visant Corp. (FKA Jostens):       
5.25%, 12/22/11    1,600  1,600,000 
Tranche B Term Loan, 7.00%, 12/20/16    1,397  1,408,999 
      3,015,727 
IT Services — 2.1%       
Amadeus IT Group SA/Amadeus Verwaltungs GmbH       
(WAM Acquisition):       
Term B-3 Facility, 4.42%, 6/30/13  EUR  307  424,319 
Term B-4 Facility, 4.42%, 6/30/13    119  164,196 
Term C-3 Facility, 4.92%, 6/30/14    307  424,319 
Term C-4 Facility, 4.92%, 6/30/14    118  162,261 
Ceridian Corp., US Term Loan, 3.26%, 11/09/14  USD  1,628  1,603,430 
EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16    332  334,842 
First Data Corp.:       
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14    3,597  3,404,928 
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14    1,265  1,197,725 
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14    1,202  1,138,235 
TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18  3,272  3,289,749 
Travelex Plc:       
Tranche B5, 2.95%, 10/31/13    712  708,322 
Tranche C5, 3.45%, 10/31/14    712  708,322 
      13,560,648 

 

Par
Floating Rate Loan Interests (b)    (000)  Value 
Independent Power Producers & Energy Traders — 0.4%     
Texas Competitive Electric Holdings Co., LLC (TXU):       
Initial Tranche B-2 Term Loan,       
3.76% – 3.80%, 10/10/14  USD  266  $ 224,170 
Initial Tranche B-3 Term Loan,       
3.76% – 3.80%, 10/10/14    2,691  2,262,372 
      2,486,542 
Industrial Conglomerates — 0.6%       
Sequa Corp., Term Loan, 3.56%, 12/03/14    1,824  1,804,706 
Tomkins Plc, Term Loan A, 4.25%, 9/16/16    2,368  2,387,500 
      4,192,206 
Media — 7.6%       
Acosta, Inc., Term Loan, 4.75%, 2/03/18    1,500  1,511,250 
Affinion Group, Inc., Tranche B Term Loan,       
5.00%, 10/09/16    1,489  1,496,194 
Cengage Learning Acquisitions, Inc. (Thomson Learning):     
Term Loan, 2.55%, 7/03/14    1,995  1,919,540 
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14    2,057  2,066,562 
Charter Communications Operating, LLC:       
Term Loan B, 7.25%, 3/06/14    936  943,609 
Term Loan C, 3.56%, 9/06/16    3,074  3,081,626 
FoxCo Acquisition Sub, LLC, Term Loan B, 7.50%, 7/14/15  1,830  1,826,663 
Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16    2,993  3,028,973 
HIT Entertainment, Inc., Term Loan (Second Lien),       
5.82%, 2/26/13    400  354,000 
HMH Publishing Co., Ltd., Tranche A Term Loan,       
6.01%, 6/12/14    3,241  3,077,189 
Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson       
Holdings, Ltd.), Tranche B Term Loan, 5.25%, 3/07/18  5,500  5,536,954 
Interactive Data Corp., Term Loan, 4.75%, 2/08/18    2,400  2,419,714 
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):       
Facility B1, 3.68%, 6/30/15  EUR  304  385,163 
Facility C1, 3.93%, 6/30/16    304  385,163 
Facility D, 5.05%, 12/28/16    904  1,109,023 
MCNA Cable Holdings LLC (OneLink Communications),       
Loan, 6.97%, 3/01/13 (i)  USD  1,795  1,669,418 
Mediacom Illinois, LLC (FKA Mediacom       
Communications, LLC), Tranche D Term Loan,       
5.50%, 3/31/17    988  993,672 
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13    4,505  4,789,378 
Springer Science+Business Media SA, Facility A1,       
6.75%, 7/01/16  EUR  1,300  1,811,884 
Sunshine Acquisition Ltd. (FKA HIT Entertainment),       
Term Facility, 5.56%, 6/01/12  USD  1,987  1,944,416 
Telecommunications Management, LLC:       
Multi-Draw Term Loan, 3.26%, 6/30/13    229  205,955 
Term Loan, 3.26%, 6/30/13    907  816,525 
UPC Broadband Holding B.V., Term U,       
4.88%, 12/31/17  EUR  1,493  2,053,894 
Univision Communications, Inc., Extended First Lien       
Term Loan, 4.52%, 3/31/17  USD  2,383  2,317,435 
Virgin Media Investment Holdings Ltd., Facility B,       
4.53%, 12/31/15  GBP  750  1,219,125 
Weather Channel, Term Loan B, 4.25%, 2/01/17  USD  1,500  1,513,875 
Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,       
2.76%, 8/09/11    758  734,916 
      49,212,116 
Metals & Mining — 0.5%       
Novelis Corp., Term Loan, 5.25%, 12/01/16    3,350  3,389,483 
Multi-Utilities — 0.1%       
FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):       
Synthetic Letter of Credit, 0.16%, 11/01/13    8  7,963 
Term B Advance (First Lien), 2.81%, 11/01/13    400  397,316 
Mach Gen, LLC, Synthetic Letter of Credit Loan       
(First Lien), 0.05%, 2/22/13    69  63,811 
      469,090 

 

See Notes to Financial Statements.

42 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Multiline Retail — 0.8%       
Hema Holding BV:       
Facility B, 2.91%, 7/06/15  EUR  344  $ 471,145 
Facility C, 3.66%, 7/05/16    344  471,145 
Facility D, 5.91%, 1/01/17    2,600  3,525,101 
The Neiman Marcus Group, Inc., Tranche B-2 Term       
Loan, 4.30%, 4/06/16  USD  805  809,129 
      5,276,520 
Oil, Gas & Consumable Fuels — 1.1%       
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/30/15  5,538  5,676,217 
Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18    3,207  1,314,683 
      6,990,900 
Paper & Forest Products — 0.4%       
Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12    2,190  2,190,508 
Verso Paper Finance Holdings LLC, Loan,       
6.55% – 7.30%, 2/01/13 (i)    664  597,296 
      2,787,804 
Personal Products — 0.4%       
NBTY, Inc., Term Loan B:       
6.25%, 9/20/17    1,400  1,414,291 
4.75%, 10/01/17    1,295  1,295,000 
      2,709,291 
Pharmaceuticals — 0.5%       
Axcan Intermediate Holdings, Inc., Term Loan,       
5.50%, 2/03/17    1,000  1,002,500 
Warner Chilcott Corp.:       
Additional Term Loan, 6.25%, 4/30/15    1,081  1,088,771 
Delayed Draw Term Loan B, 6.25%, 4/30/15    314  316,207 
Term Loan A, 6.00%, 10/30/14    560  559,897 
Term Loan B-1, 6.25%, 4/30/15    186  187,472 
Term Loan B-3, 6.50%, 2/20/16    203  204,047 
      3,358,894 
Professional Services — 0.5%       
Booz Allen Hamilton, Inc., Tranche B Term Loan,       
4.00%, 8/01/17    1,425  1,438,538 
Fifth Third Processing Solutions, LLC, Term Loan B       
(First Lien), 5.50%, 10/21/16    2,000  2,015,500 
      3,454,038 
Real Estate Investment Trusts (REITs) — 0.1%       
iStar Financial, Inc., Term Loan (Second Lien),       
1.76%, 6/28/11    575  567,094 
Real Estate Management & Development — 1.4%       
Pivotal Promontory, LLC, Term Loan (Second Lien),       
12.00%, 8/31/11 (c)(h)    750   
Realogy Corp.:       
Term Loan B, 4.56%, 10/16/16    9,294  8,913,935 
Term Loan C, 4.51%, 10/16/16    386  370,180 
      9,284,115 
Semiconductors & Semiconductor Equipment — 0.2%       
Freescale Semiconductor, Inc., Term Loan B,       
4.51%, 12/01/16    1,063  1,061,019 
Software — 0.1%       
Bankruptcy Management Solutions, Inc., Term Loan B,       
7.50%, 8/20/14    719  330,906 
Specialty Retail — 1.4%       
Burlington Coat Factory Warehouse Corp., Term Loan B,       
6.25%, 2/18/17    600  602,000 
Gymboree Corp., Term Loan B, 5.00%, 2/11/18    750  752,250 
J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18    1,500  1,500,000 
Michaels Stores, Inc.:       
Term Loan B, 4.25%, 2/28/18    280  282,217 
Term Loan B-1, 2.56%, 10/31/13    1,870  1,863,504 
Term Loan B-2, 4.81%, 7/31/16    463  466,641 
Petco Animal Supplies, Inc., Term Loan B       
4.75%, 11/24/17    2,250  2,250,000 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Specialty Retail (concluded)       
Toys ‘R’ Us Delaware, Inc., Initial Loan,       
6.00%, 8/17/16  USD  1,637  $ 1,648,795 
      9,365,407 
Textiles, Apparel & Luxury Goods — 0.2%       
Philips Van Huesen Corp., US Tranche B Term Loan,       
5.25%, 5/06/16    1,336  1,342,192 
Trading Companies & Distributors — 0.0%       
Beacon Sales Acquisition, Inc., Term Loan B,       
2.26% – 2.30%, 9/30/13    122  119,481 
Wireless Telecommunication Services — 1.4%       
Digicel International Finance Ltd., US Term Loan       
(Non-Rollover), 2.81%, 3/30/12    506  499,382 
Vodafone Americas Finance 2 Inc., Initial Loan,       
6.88%, 7/30/15    8,024  8,304,640 
      8,804,022 
Total Floating Rate Loan Interests — 48.8%      316,881,256 
Non-Agency Mortgage-Backed Securities       
Collateralized Mortgage Obligations — 5.4%       
Adjustable Rate Mortgage Trust, Series 2007-1,       
Class 3A21, 5.81%, 3/25/37 (b)    3,275  3,057,331 
Citicorp Mortgage Securities, Inc., Series 2006-2,       
Class 1A7, 5.75%, 4/25/36    3,003  3,013,654 
Countrywide Alternative Loan Trust, Series 2005-54CB,     
Class 3A4, 5.50%, 11/25/35    7,528  6,204,470 
Countrywide Home Loan Mortgage Pass-Through Trust:     
Series 2005-17, Class 1A6, 5.50%, 9/25/35    3,197  3,148,059 
Series 2006-17, Class A2, 6.00%, 12/25/36    5,085  4,480,317 
Series 2007-16, Class A1, 6.50%, 10/25/37    2,508  2,327,813 
Series 2007-HY5, Class 3A1, 5.97%, 9/25/37 (b)  3,708  3,096,682 
GSR Mortgage Loan Trust, Series 2005-AR5,       
Class 2A3, 2.96%, 10/25/35 (b)    2,827  2,274,181 
Morgan Stanley Reremic Trust, Series 2010-R4,       
Class 4A, 0.49%, 2/26/37 (a)(b)    3,673  3,535,525 
WaMu Mortgage Pass-Through Certificates,       
Series 2006-AR14, Class 1A1, 5.45%, 11/25/36 (b)  1,601  1,458,617 
Wells Fargo Mortgage-Backed Securities Trust,       
Series 2005-AR2, Class 2A1, 2.74%, 3/25/35 (b)  2,583  2,371,827 
      34,968,476 
Commercial Mortgage-Backed Securities — 7.8%       
Banc of America Commercial Mortgage, Inc. (b):       
Series 2007-3, Class A2, 5.66%, 6/10/49    2,975  3,087,402 
Series 2007-4, Class A4, 5.74%, 2/10/51    2,150  2,344,382 
Citigroup/Deutsche Bank Commercial Mortgage Trust,     
Series 2007-CD4, Class A2B, 5.21%, 12/11/49    3,235  3,325,380 
Credit Suisse Mortgage Capital Certificates, Class A2 (b):     
Series 2007-C2, 5.45%, 1/15/49    1,834  1,865,222 
Series 2007-C3, 5.72%, 6/15/39    3,907  4,006,288 
Extended Stay America Trust, Series 2010-ESHA,       
Class C, 4.86%, 11/05/27 (a)    2,320  2,406,768 
First Union Commercial Mortgage Securities, Inc.,       
Series 1997-C2, Class G, 7.50%, 11/18/29 (b)    3,310  3,607,894 
Greenwich Capital Commercial Funding Corp.,       
Series 2007-GG9, Class A4, 5.44%, 3/10/39    2,110  2,254,120 
JPMorgan Chase Commercial Mortgage Securities Corp.:     
Series 2007-CB18, Class A4, 5.44%, 6/12/47    2,110  2,242,245 
Series 2007-CB19, Class A4, 5.74%, 2/12/49 (b)  2,140  2,304,910 
LB-UBS Commercial Mortgage Trust, Series 2007-C6,     
Class A4, 5.86%, 7/15/40 (b)    3,395  3,665,720 
Morgan Stanley Capital I, Series 2007-IQ15, Class A2,     
6.04%, 6/11/49 (b)    2,007  2,085,108 
Wachovia Bank Commercial Mortgage Trust,       
Series 2007-C33 (b):       
Class A2, 5.85%, 2/15/51    14,569  15,028,473 
Class A4, 5.90%, 2/15/51    2,030  2,192,778 
      50,416,690 
Total Non-Agency Mortgage-Backed Securities — 13.2%    85,385,166 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 43



Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

  Beneficial   
  Interest   
Other Interests (j)  (000)  Value 
Auto Components — 1.3%     
Delphi Debtor-in-Possession Holding Co. LLP, Class B     
Membership Interests  —(k) $ 8,438,229 
Lear Corp. Escrow  USD 1,000  27,500 
    8,465,729 
Diversified Financial Services — 0.2%     
J.G. Wentworth LLC Preferred Equity Interests (l)  1  1,308,236 
Health Care Providers & Services — 0.0%     
Critical Care Systems International, Inc.  8  762 
Household Durables — 0.0%     
Berkline Benchcraft Equity LLC  3   
Total Other Interests — 1.5%    9,774,727 
Preferred Stocks  Shares   
Auto Components — 0.1%     
Dana Holding Corp., 4.00% (a)(c)(e)  6,000  984,750 
Media — 0.0%     
CMP Susquehanna Radio Holdings Corp. (a)(c)(m)  45,243   
Total Preferred Stocks — 0.1%    984,750 
  Par   
Taxable Municipal Bonds  (000)   
State of California, GO:     
5.10%, 8/01/14  USD 2,225  2,287,523 
Various Purpose 3, 5.25%, 4/01/14  1,075  1,137,393 
Various Purpose 3, Mandatory Put Bonds,     
5.65%, 4/01/39 (b)  625  644,456 
State of Illinois, GO, 3.32%, 1/01/13  5,075  5,073,122 
Total Taxable Municipal Bonds — 1.4%    9,142,494 
U.S. Government Sponsored  Par   
Agency Securities  (000)   
Interest Only Collateralized Mortgage Obligations — 0.5%   
Ginnie Mae Mortgage-Backed Securities:     
Series 2008-7, Class SA, 3.14%, 2/20/38 (b)  16,373  $ 1,887,255 
Series 2010-162, Class WI, 4.50%, 6/16/39  7,708  1,235,290 
    3,122,545 
Mortgage-Backed Securities — 9.6%     
Fannie Mae Mortgage-Backed Securities:     
4.00%, 3/15/41 (n)  16,900  16,662,352 
5.00%, 7/01/20 – 8/01/23 (d)  20,747  22,220,678 
Freddie Mac Mortgage-Backed Securities,     
4.50%, 4/01/25 (d)  22,118  23,306,689 
    62,189,719 
Total U.S. Government Sponsored     
Agency Securities — 10.1%    65,312,264 
Warrants (o)  Shares   
Machinery — 0.0%     
Synventive Molding Solutions (Expires 1/15/13)  1   
Media — 0.0%     
CMP Susquehanna Radio Holdings Corp.     
(Expires 3/26/19)  51,701   
Oil, Gas & Consumable Fuels — 0.0%     
Turbo Cayman Ltd. (No expiration)  2   

 

    Par   
Warrants (o)    (000)  Value 
Software — 0.0%       
Bankruptcy Management Solutions, Inc.       
(Expires 9/29/17)  USD  435  $ — 
HMH Holdings/EduMedia (Expires 3/09/17)    209,988   
       
Total Warrants — 0.0%       
Total Long-Term Investments       
(Cost — $832,071,775) — 130.9%      849,880,382 
Short-Term Securities    Shares   
BlackRock Liquidity Funds, TempFund,       
Institutional Class, 0.16% (p)(q)    402,771  402,771 
Total Short-Term Securities       
(Cost — $402,771) — 0.1%      402,771 
Options Purchased  Contracts   
Over-the-Counter Call Options — 0.0%       
Marsico Parent Superholdco LLC, Strike Price USD 942.86,     
Expires 12/01/19, Broker Goldman Sachs Bank USA    46   
Total Options Purchased       
(Cost — $44,978) — 0.0%       
Total Investments (Cost — $832,519,524*) — 131.0%      850,283,153 
Liabilities in Excess of Other Assets — (31.0)%      (201,439,871) 
Net Assets — 100.0%      $648,843,282 


* The cost and unrealized appreciation (depreciation) of investments as of February 28,

2011, as computed for federal income tax purposes, were as follows:

Aggregate cost  $ 829,939,020 
Gross unrealized appreciation  $ 37,323,531 
Gross unrealized depreciation  (16,979,398) 
Net unrealized appreciation  $ 20,344,133 


(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.

These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(b) Variable rate security. Rate shown is as of report date.
(c) Non-income producing security.
(d) All or a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements.
(e) Convertible security.
(f) Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date.
(g) Represents a step-down bond that pays an initial coupon rate for the first period
and then a lower coupon rate for the following periods. Rate shown is as of
report date.
(h) Issuer filed for bankruptcy and/or is in default of interest payments.
(i) Represents a payment-in-kind security which may pay interest/dividends in
additional par/shares.
(j) Other interests represent beneficial interest in liquidation trusts and other reorgani-
zation entities and are non-income producing.
(k) Amount is less than $1,000.
(l) The investment is held by a wholly owned taxable subsidiary of the Fund.
(m) Security is perpetual in nature and has no stated maturity date.
(n) Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA
transactions as of report date were as follows:

    Unrealized 
Counterparty  Value  Appreciation 
Citigroup Global Markets Inc.  $4,338,127  $ 2,752 
Goldman Sachs & Co.  $6,408,597  $ 8,128 
JP Morgan Securities, Inc.  $5,915,628  $ 5,628 

 

See Notes to Financial Statements.

44 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)

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

  Shares Held at  Net  Shares Held at   
Affiliate  August 31, 2010  Activity  February 28, 2011  Income 
BlackRock Liquidity         
Funds, TempFund,         
Institutional Class    402,771  402,771 $ 7,285 


For Fund compliance purposes, the Fund’s industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or rating group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine such
industry sub-classifications for reporting ease.

Financial futures contracts sold as of February 28, 2011 were as follows:

      Expiration  Notional  Unrealized 
Contracts  Issue  Exchange  Date  Value  Depreciation 
17  5-Year U.S.  Chicago Board         
  Treasury Note  of Trade  June 2011  $1,976,085   $(11,853) 
29  10-Year U.S.  Chicago Board         
  Treasury Note  of Trade  June 2011  $3,428,069 $ (24,290) 
Total          $ (36,143) 

 

  Credit default swaps on single-name issues — buy protection outstanding as of 
  February 28, 2011 were as follows: 

 

  Pay    Notional   
  Fixed    Amount  Unrealized 
Issuer  Rate  Counterparty Expiration  (000)  Depreciation 
K. Hovnanian  5.00%  Goldman Sachs 12/20/11  USD 800  $ (36,481) 
Enterprises, Inc.    Bank USA     
K. Hovnanian  5.00%  Goldman Sachs 9/20/13  USD 300  $ (46,762) 
Enterprises, Inc.    Bank USA     
Total        $ (83,243) 

 

Foreign currency exchange contracts as of February 28, 2011 were as follows:

            Unrealized 
Currency  Currency    Settlement                   Appreciation 
Purchased    Sold  Counterparty  Date  (Depreciation) 
USD  262,238  EUR  190,000  Citibank N.A.       3/1/2011  $            46 
USD      12,806,032  GBP  8,168,500  Citibank N.A.  4/14/2011  (467,556) 
USD       7,199,874  GBP  4,481,500  Deutsche Bank AG                  4/14/2011  (82,441) 
EUR  190,000  USD  262,055  Citibank N.A.  4/27/2011  (53) 
EUR  750,000  USD  1,018,991  Deutsche Bank AG                  4/27/2011  15,229 
USD        21,785,792  EUR            15,929,000  Citibank N.A.  4/27/2011  (179,667) 
USD  903,673  EUR  660,000  Royal Bank     
        of Scotland  4/27/2011  (6,441) 
Total            $ (720,883) 

 

Reverse repurchase agreements outstanding as of February 28, 2011 were as follows:

  Interest  Trade  Maturity  Net Closing  Face 
Counterparty  Rate  Date  Date  Amount  Amount 
Credit Suisse           
Securities           
(USA) LLC  0.60%  9/08/10  Open  $ 6,607,559   $6,588,452 
Barclays           
Capital Inc.  0.40%  9/08/10  Open  2,994,716  2,988,938 
Credit Suisse           
Securities           
(USA) LLC  0.45%  9/20/10  Open  4,101,470  4,092,750 
Barclays           
Capital Inc.  0.40%  9/23/10  Open  3,235,706  3,230,000 
Credit Suisse           
Securities           
(USA) LLC  0.60%  9/27/10  Open  2,324,322  2,318,333 
UBS Securities LLC 0.38%  10/15/10  Open  2,873,148  2,869,000 


Reverse repurchase agreements outstanding as of February 28, 2011 were as follows
(continued):

  Interest  Trade  Maturity  Net Closing  Face 
Counterparty  Rate  Date  Date  Amount  Amount 
Deutsche Bank           
Securities Inc.  0.60%  10/18/10  Open  $ 4,041,899 $ 4,032,893 
Credit Suisse           
Securities           
(USA) LLC  0.50%  10/18/10  Open  4,355,970  4,347,877 
Deutsche Bank           
Securities Inc.  0.60%  10/18/10  Open  2,560,706  2,555,000 
Barclays           
Capital Inc.  0.40%  10/26/10  Open  3,117,984  3,113,625 
Barclays           
Capital Inc.  0.40%  10/26/10  Open  3,159,247  3,154,831 
Barclays           
Capital Inc.  0.40%  10/26/10  Open  5,993,379  5,985,000 
Barclays           
Capital Inc.  0.40%  10/26/10  Open  3,117,985  3,113,625 
Barclays           
Capital Inc.  0.40%  10/26/10  Open  2,957,447  2,953,312 
Credit Suisse           
Securities           
(USA) LLC  0.60%  10/27/10  Open  1,394,900  1,392,000 
Credit Suisse           
Securities           
(USA) LLC  0.60%  10/27/10  Open  2,530,260  2,525,000 
Credit Suisse           
Securities           
(USA) LLC  0.60%  10/27/10  Open  2,117,715  2,113,313 
Credit Suisse           
Securities           
(USA) LLC  0.60%  10/27/10  Open  2,779,590  2,773,811 
Credit Suisse           
Securities           
(USA) LLC  0.60%  10/27/10  Open  2,985,465  2,979,259 
Credit Suisse           
Securities           
(USA) LLC  0.60%  10/27/10  Open  2,460,428  2,455,313 
Credit Suisse           
Securities           
(USA) LLC  0.60%  10/27/10  Open  1,572,269  1,569,000 
Barclays           
Capital Inc.  0.40%  11/1/10  Open  7,386,110  7,376,275 
Barclays           
Capital Inc.  0.40%  11/1/10  Open  2,035,711  2,033,000 
Credit Suisse           
Securities           
(USA) LLC  0.40%  11/1/10  Open  5,267,013  5,260,000 
Credit Suisse           
Securities           
(USA) LLC  0.60%  11/1/10  Open  1,688,370  1,685,000 
Barclays           
Capital Inc.  0.40%  11/3/10  Open  6,392,370  6,384,000 
Deutsche Bank           
Securities Inc.  0.40%  11/16/10  Open  2,469,878  2,467,000 
Deutsche Bank           
Securities Inc.  0.55%  11/16/10  Open  2,740,953  2,736,562 
Deutsche Bank           
Securities Inc.  0.58%  11/16/10  Open  2,324,758  2,320,832 
Deutsche Bank           
Securities Inc.  0.58%  11/19/11  Open  4,628,585  4,625,530 
Credit Suisse           
Securities           
(USA) LLC  0.65%  2/2/11  Open  3,217,193  3,215,625 
Credit Suisse           
Securities           
(USA) LLC  0.65%  2/2/11  Open  1,810,632  1,809,750 
Credit Suisse           
Securities           
(USA) LLC  0.60%  2/3/11  Open  1,612,699  1,612,000 
Credit Suisse           
Securities           
(USA) LLC  0.45%  2/3/11  Open  1,144,372  1,144,000 
Credit Suisse           
Securities           
(USA) LLC  0.60%  2/3/11  Open  1,349,584  1,349,000 
Credit Suisse           
Securities           
(USA) LLC  0.60%  2/3/11  Open  936,406  936,000 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 45



Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)

Reverse repurchase agreements outstanding as of February 28, 2011 were as follows
(concluded):

  Interest  Trade  Maturity  Net Closing  Face 
Counterparty  Rate  Date  Date  Amount  Amount 
Credit Suisse           
Securities           
(USA) LLC  0.60%  2/3/11  Open  $ 1,087,471 $ 1,087,000 
Credit Suisse           
Securities           
(USA) LLC  0.65%  2/4/11  Open  6,676,012  6,673,000 
Credit Suisse           
Securities           
(USA) LLC  0.50%  2/8/11  Open  1,234,360  1,234,000 
Credit Suisse           
Securities           
(USA) LLC  0.60%  2/9/11  Open  820,273  820,000 
Credit Suisse           
Securities           
(USA) LLC  0.60%  2/9/11  Open  958,319  958,000 
BNP Paribas           
Securities  0.23%  2/10/11  3/10/11  22,248,700  22,246,000 
BNP Paribas           
Securities  0.23%  2/10/11  3/10/11  3,774,458  3,774,000 
BNP Paribas           
Securities  0.23%  2/10/11  3/10/11  17,478,121  17,476,000 
Deutsche Bank           
Securities Inc.  0.58%  2/2/11  Open  2,766,712  2,766,400 
UBS Securities LLC 0.38%  2/28/11  Open  1,841,969  1,841,950 
Total        $171,173,194 $170,982,256 

 

Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivatives. These inputs are summarized in three broad levels for
financial statement purposes as follows:
Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 — other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other than
quoted prices that are observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs)
Level 3 — unobservable inputs based on the best information available in the cir-
cumstances, to the extent observable inputs are not available (including the
Fund’s own assumptions used in determining the fair value of investments and
derivatives)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Fund’s policy regarding valuation of investments and derivatives and
other significant accounting policies, please refer to Note 1 of the Notes to
Financial statements.

The following tables summarize the inputs used as of February 28, 2011 in deter-
mining the fair valuation of the Fund’s investments and derivatives:

Valuation Inputs    Level 1  Level 2  Level 3  Total 
Assets:           
Investments in           
Securities:           
Long-Term           
Investments:           
Asset-Backed           
Securities      $ 24,338,692  $ 10,873,790  $ 35,212,482 
Common Stocks          $283,391  65,011  1,841,218  2,189,620 
Corporate Bonds      324,887,704  109,919  324,997,623 
Floating Rate           
Loan Interests    266,331,056  50,550,200  316,881,256 
Non-Agency           
Mortgage-Backed         
Securities      81,849,641  3,535,525  85,385,166 
Other Interests      8,438,229  1,336,498  9,774,727 
Preferred Stocks .    984,750    984,750 
Taxable Municipal         
Bonds      9,142,494    9,142,494 
U.S. Government           
Sponsored           
Agency Securities    65,312,264    65,312,264 
Unfunded Loan           
Commitments      130,941    130,941 
Short-Term           
Securites    402,771      402,771 
Liabilities:           
Unfunded Loan           
Commitments        (18,414)  (18,414) 
Total  $ 686,162  $781,480,782 $ 68,228,736  $850,395,680 
Derivative Financial Instruments1

Valuation Inputs    Level 1  Level 2  Level 3  Total 
Assets:           
Foreign currency           
exchange           
contracts      $ 15,275    $ 15,275 
Credit contracts           
Unfunded loan           
commitments .           
Liabilities:           
Foreign currency           
exchange           
contracts      (736,158)    (736,158) 
Interest rate           
contracts  $ (36,143)      (36,143) 
Credit contracts      (83,243)    (83,243) 
Total  $ (36,143)  $ (804,126)    $ (840,269) 

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

See Notes to Financial Statements.

46 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (concluded)
BlackRock Limited Duration Income Trust (BLW)

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

          Non-Agency       
  Asset-Backed  Common  Corporate  Floating Rate   Mortgage-Backed       Other  Preferred   
  Securities  Stocks  Bonds  Loan Interests      Securities  Interests  Stocks  Total 
Assets:                 
Balance, as of August 31, 2010  $ 2,092,187  $ 1,247,224  $ 3,412,781  $62,160,894  $3,770,000  $1,856,579  $ 266,770  $ 74,806,435 
Accrued discounts/premiums  101,933    5,054  750,590  17,002      874,579 
Net realized gain (loss)    (1,383,496)    (1,828,131)  13,000  218,424  531,525  (2,448,678) 
Net change in unrealized                 
appreciation/depreciation2  (1,325,168)  1,652,716  (3,171,200)  (2,601,746)  (115,883)  (204,187)  (54,160)  (5,819,628) 
Purchases  10,004,838  475,083    19,141,936        29,621,857 
Sales    (150,309)    (28,896,523)  (148,594)  (534,318)  (744,135)  (30,473,879) 
Transfers in3      38  17,052,519        17,052,557 
Transfers out3      (136,754)     (15,229,339)        (15,366,093) 
Balance, as of February 28, 2011  $10,873,790  $ 1,841,218  $ 109,919 $ 50,550,200  $3,535,525  $1,336,498    $ 68,247,150 

2 Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securities still
held at February 28, 2011 was $(10,493,713).
3 The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.

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

  Unfunded 
  Loan 
  Commitments 
Liabilities:   
Balance, as of August 31, 2010  $ (173,683) 
Accrued discounts/premiums   
Realized gain (loss)   
Change in unrealized appreciation/depreciation4  155,269 
Purchases   
Sales   
Transfers in5   
Transfers out5   
Balance, as of February 28, 2011  $ (18,414) 

4 Included in the related net change in unrealized appreciation/depreciation
on the Statements of Operations. The change in the unrealized appreciation/
depreciation on the securities still held on February 28, 2011 was $155,269.
5 The Fund’s policy is to recognize transfers in and transfers out as of the end of
the period of the event or the change in circumstances that caused the transfer.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 47



Statements of Assets and Liabilities

    BlackRock  BlackRock   
  BlackRock  Diversified  Floating Rate  BlackRock 
  Defined  Income  Income  Limited 
  Opportunity  Strategies  Strategies  Duration 
  Credit Trust  Fund, Inc.  Fund, Inc.  Income Trust 
February 28, 2011 (Unaudited)  (BHL)  (DVF)  (FRA)  (BLW) 
Assets         
Investments at value — unaffiliated1  $ 184,078,000  $ 194,063,218  $ 389,878,229  $ 849,880,382 
Investments at value — affiliated2  4,517,571  3,037,317  2,358,167  402,771 
Unrealized appreciation on foreign currency exchange contracts  6,661    7,285  15,275 
Unrealized appreciation on unfunded loan commitments  27,730  31,007  31,259  130,941 
Cash pledged as collateral for financial futures contracts        105,000 
Cash        2,311 
Foreign currency at value3  41,112  1,221,537    391,904 
Investments sold receivable  3,750,444  4,607,679  12,694,462  11,279,141 
Principal paydowns receivable  1,248,378  117,837  4,006,848  2,935,387 
Interest receivable  1,081,639  1,572,334  2,852,130  9,315,900 
Commitment fees receivable  1,472  1,099  1,459  4,108 
Dividends receivable — affiliated        124 
Swap premiums paid        70,640 
Prepaid expenses  51,758  46,750  87,589  50,819 
Other assets  8,137  518,220  3,099  766,266 
Total assets  194,812,902  205,216,998  411,920,527  875,350,969 
Liabilities         
Reverse repurchase agreements        170,982,256 
Loan payable  34,000,000  37,000,000  63,000,000   
Unrealized depreciation on foreign currency exchange contracts  176,575  188,636  333,453  736,158 
Unrealized depreciation on unfunded loan commitments  4,560  4,760  11,082  18,414 
Unrealized depreciation on swaps        83,243 
Bank overdraft    1,563,305  518,350   
Bank overdraft — foreign currency at value3      1,428,322   
Investments purchased payable  31,062,291  29,736,136  64,656,436  53,449,559 
Investment advisory fees payable  125,374  102,934  205,245  346,191 
Interest expense payable  94,250  78,476  149,669  190,939 
Deferred income  51,803  56,937  59,730  220,987 
Other affiliates payable  712  777  2,575  6,135 
Officer's and Directors' fees payable  346  366  752  168,309 
Swaps payable        10,847 
Income dividends payable        112,713 
Margin variation payable        6,359 
Payable to custodian      328,833   
Other accrued expenses payable  203,718  62,396  158,989  170,980 
Other liabilities  22,361  4,365    4,597 
Total liabilities  65,741,990  68,799,088  130,853,436  226,507,687 
Net Assets  $ 129,070,912  $ 136,417,910  $ 281,067,091  $ 648,843,282 
Net Assets Consist of         
Paid-in capital4,5,6  $ 127,885,559  $ 229,766,196  $ 350,585,154  $ 701,662,114 
Undistributed (distributions in excess of) net investment income  969,030  (194,068)  (620,755)  6,464,041 
Accumulated net realized loss  (5,484,251)  (87,984,988)  (70,593,658)  (76,902,528) 
Net unrealized appreciation/depreciation  5,700,574  (5,169,230)  1,696,350  17,619,655 
Net Assets  $ 129,070,912  $ 136,417,910  $ 281,067,091  $ 648,843,282 
Net asset value  $ 14.32  $ 11.01  $ 15.24  $ 17.58 
1 Investments at cost — unaffiliated  $ 178,235,192  $ 199,092,270  $ 387,878,515  $ 832,116,753 
2 Investments at cost — affiliated  $ 4,517,571  $ 3,037,317  $ 2,358,167  $ 402,771 
3 Foreign currency at cost  $ 40,814  $ 1,205,143  $ (1,412,732)  $ 385,530 
4 Par value per share  $ 0.001  $ 0.10  $ 0.10  $ 0.001 
5 Shares outstanding  $ 9,013,961  $ 12,387,088  $ 18,437,560  $ 36,908,388 
6 Shares authorized  unlimited  200 million  200 million  unlimited 

 

See Notes to Financial Statements.

48 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Statements of Assets and Liabilities (concluded)

  BlackRock  Blackrock 
  Senior Floating  Senior Floating 
February 28, 2011 (Unaudited)  Rate Fund, Inc.  Rate Fund II, Inc. 
Investment Income     
Investments at value – Master Senior Floating Rate LLC (the “Master LLC”)1  $ 301,935,310  $ 148,736,726 
Capital shares sold receivable  530,215  282,460 
Receivable from administrator    62,045 
Prepaid expenses  174,475  98,455 
Total assets  302,640,000  149,179,686 
Expenses     
Income dividends payable  769,181  421,709 
Contributions payable to the Master LLC  530,215  282,460 
Administration fees payable  57,342   
Officer's fees payable  482  247 
Other accrued expenses payable  254,747  156,934 
Total liabilities  1,611,967  861,350 
Net Assets  $ 301,028,033  $ 148,318,336 
Net Assets Consists of     
Paid-in capital2  $ 548,752,664  $ 209,040,211 
Undistributed net investment income  1,952,228  558,664 
Accumulated net realized loss allocated from the Master LLC  (242,796,876)  (58,653,833) 
Net unrealized appreciation/depreciation allocated from the Master LLC  (6,879,983)  (2,626,706) 
Net Assets  $ 301,028,033  $ 148,318,336 
Net asset value  $ 7.92  $ 8.58 
1 Cost — investment in the Master LLC  $ 308,815,293  $ 151,363,432 
2 Shares outstanding, par value $0.10 per share, 1 billion shares authorized  38,013,230  17,294,494 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 49



Statements of Operations

    BlackRock  BlackRock   
  BlackRock  Diversified  Floating Rate  BlackRock 
  Defined  Income  Income  Limited 
  Opportunity  Strategies  Strategies  Duration 
  Credit Trust  Fund, Inc.  Fund, Inc.  Income Trust 
Six Months Ended February 28, 2011 (Unaudited)  (BHL)  (DVF)  (FRA)  (BLW) 
Investment Income         
Interest  $ 4,825,670  $ 5,682,727  $ 10,229,988  $ 26,158,277 
Facility and other fees  109,002  85,099  185,427  391,493 
Dividends — affiliated  2,102  2,262  2,884  14,532 
Total income  4,936,774  5,770,088  10,418,299  26,564,302 
Expenses         
Investment advisory  755,278  619,080  1,240,213  2,180,070 
Professional  96,302  94,522  91,885  109,229 
Borrowing costs1  80,448  72,568  147,255   
Custodian  27,464  27,409  47,330  67,075 
Printing  13,555  11,544  24,088  100,891 
Accounting services  13,547  13,257  26,609  49,901 
Transfer agent  12,689  13,762  20,873  12,514 
Officer and Directors  6,213  6,194  13,428  41,293 
Registration  4,356  4,264  4,350  5,951 
Miscellaneous  12,494  16,823  23,030  46,074 
Total expenses excluding interest expense  1,022,346  879,423  1,639,061  2,612,998 
Interest expense  162,983  206,389  376,864  363,549 
Total expenses  1,185,329  1,085,812  2,015,925  2,976,547 
Less fees waived by advisor  (819)  (861)  (1,260)  (2,854) 
Less fees paid indirectly        (444) 
Total expenses after fees waived and paid indirectly  1,184,510  1,084,951  2,014,665  2,973,249 
Net investment income  3,752,264  4,685,137  8,403,634  23,591,053 
Realized and Unrealized Gain (Loss)         
Net realized gain (loss) from:         
Investments  2,261,100  (3,227,303)  2,532,424  6,749,040 
Financial futures contracts        (195,876) 
Swaps    (10,913)    (48,942) 
Foreign currency transactions  (707,728)  (652,776)  (1,245,237)  (4,952,612) 
  1,553,372  (3,890,992)  1,287,187  1,551,610 
Net change in unrealized appreciation/depreciation on:         
Investments  5,298,712  10,745,912  15,274,041  27,073,100 
Financial futures contracts        144,671 
Swaps    21,480    (156,244) 
Foreign currency transactions  (172,808)  (193,552)  (278,018)  57,411 
Unfunded loan commitments  69,913  72,907  89,282  286,210 
  5,195,817  10,646,747  15,085,305  27,405,148 
Total realized and unrealized gain  6,749,189  6,755,755  16,372,492  28,956,758 
Net Increase in Net Assets Resulting from Operations  $ 10,501,453  $ 11,440,892  $ 24,776,126  $ 52,547,811 
1 See Note 9 of the Notes to Financial Statements for details of short-term borrowings.         

 

See Notes to Financial Statements.

50 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Statements of Operations (concluded)

  BlackRock  Blackrock 
  Senior Floating  Senior Floating 
Six Months Ended February 28, 2011 (Unaudited)  Rate Fund, Inc.  Rate Fund II, Inc. 
Investment Income     
Net investment income allocated from the Master LLC:     
Interest  $ 8,410,420  $ 4,255,403 
Dividends — affiliated  15,394  7,805 
Facility and other fees  218,354  110,746 
Expenses  (1,524,819)  (771,656) 
Total income  7,119,349  3,602,298 
Expenses     
Administration  367,055  297,221 
Reorganization  138,445  119,260 
Registration  121,100  68,215 
Transfer agent  103,535  30,032 
Printing  50,147  25,034 
Tender offer  40,220  20,018 
Professional  6,507  12,008 
Officer  1,545  205 
Miscellaneous  5,183  4,407 
Total expenses  833,737  576,400 
Less fees waived by advisor    (107,313) 
Total expenses after fees waived  833,737  469,087 
Net investment income  6,285,612  3,133,211 
Realized and Unrealized Gain (Loss) Allocated from the Master LLC     
Net realized gain from investments and foreign currency transactions  2,202,323  1,100,731 
Net change in unrealized appreciation/depreciation on investments, foreign currency transactions and unfunded loan commitments  10,413,168  5,255,603 
Total realized and unrealized gain  12,615,491  6,356,334 
Net Increase in Net Assets Resulting from Operations  $ 18,901,103  $ 9,489,545 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 51



Statements of Changes in Net Assets

  BlackRock Defined  BlackRock Diversified 
  Opportunity Credit Trust (BHL)  Income Strategies Fund (DVF) 
  Six Months Ended    Six Months Ended   
  February 28,  Year Ended  February 28,  Year Ended 
  2011  August 31,  2011  August 31, 
Increase (Decrease) in Net Assets:  (Unaudited)  2010  (Unaudited)  2010 
Operations         
Net investment income  $ 3,752,264  $ 7,661,944  $ 4,685,137  $ 9,875,073 
Net realized gain (loss)  1,553,372  1,285,459  (3,890,992)  (15,451,009) 
Net change in unrealized appreciation/depreciation  5,195,817  6,522,220  10,646,747  37,352,693 
Net increase in net assets resulting from operations  10,501,453  15,469,623  11,440,892  31,776,757 
Dividends and Distributions to Shareholders From         
Net investment income  (3,567,447)  (6,270,058)  (4,712,574)  (9,834,087) 
Tax return of capital        (666,708) 
Decrease in net assets resulting from dividends and distributions to shareholders  (3,567,447)  (6,270,058)  (4,712,574)  (10,500,795) 
Capital Share Transactions         
Reinvestment of dividends  75,291    304,894  552,341 
Net Assets         
Total increase in net assets  7,009,297  9,199,565  7,033,212  21,828,303 
Beginning of period  122,061,615  112,862,050  129,384,698  107,556,395 
End of period  $ 129,070,912  $ 122,061,615  $ 136,417,910  $ 129,384,698 
Undistributed (distributions in excess of) net investment income  $ 969,030  $ 784,213  $ (194,068)  $ (166,631) 

 

See Notes to Financial Statements.

52 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Statements of Changes in Net Assets (continued)

  BlackRock Floating Rate  BlackRock Limited Duration 
  Income Strategies Fund, Inc. (FRA)  Income Trust (BLW) 
  Six Months Ended    Six Months Ended   
  February 28,  Year Ended  February 28,  Year Ended 
  2011  August 31,  2011  August 31, 
Increase (Decrease) in Net Assets:  (Unaudited)  2010  (Unaudited)  2010 
Operations         
Net investment income  $ 8,403,634  $ 16,622,980  $ 23,591,053  $ 41,283,432 
Net realized gain (loss)  1,287,187  (14,156,705)  1,551,610  (11,714,049) 
Net change in unrealized appreciation/depreciation  15,085,305  41,425,444  27,405,148  71,507,938 
Net increase in net assets resulting from operations  24,776,126  43,891,719  52,547,811  101,077,321 
Dividends and Distributions to Shareholders From         
Net investment income  (8,511,552)  (17,335,715)  (23,405,709)  (33,200,685) 
Tax return of capital    (378,219)     
Decrease in net assets resulting from dividends and distributions to shareholders  (8,511,552)  (17,713,934)  (23,405,709)  (33,200,685) 
Capital Share Transactions         
Reinvestment of dividends  423,339  1,041,829  320,010   
Net Assets         
Total increase in net assets  16,687,913  27,219,614  29,462,112  67,876,636 
Beginning of period  264,379,178  237,159,564  619,381,170  551,504,534 
End of period  $ 281,067,091  $ 264,379,178  $ 648,843,282  $ 619,381,170 
Undistributed (distributions in excess of) net investment income  $ (620,755)  $ (512,837)  $ 6,464,041  $ 6,278,697 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 53



Statements of Changes in Net Assets (concluded)

  BlackRock Senior  BlackRock Senior 
  Floating Rate Fund, Inc.  Floating Rate Fund II, Inc. 
  Six Months Ended    Six Months Ended   
  February 28,  Year Ended  February 28,  Year Ended 
  2011  August 31,  2011  August 31, 
Increase (Decrease) in Net Assets:  (Unaudited)  2010  (Unaudited)  2010 
Operations         
Net investment income  $ 6,285,612  $ 14,656,941  $ 3,133,211  $ 7,089,850 
Net realized gain (loss)  2,202,323  (17,149,880)  1,100,731  (7,524,615) 
Net change in unrealized appreciation/depreciation  10,413,168  35,131,654  5,255,603  16,400,162 
Net increase in net assets resulting from operations  18,901,103  32,638,715  9,489,545  15,965,397 
Dividends to Shareholders From         
Net investment income  (6,384,197)  (14,620,743)  (3,183,862)  (7,072,114) 
Capital Share Transactions         
Net decrease in net assets derived from capital share transactions  (9,623,445)  (31,545,795)  (8,470,211)  (8,757,464) 
Net Assets         
Total increase (decrease) in net assets  2,893,461  (13,527,823)  (2,164,528)  135,819 
Beginning of period  298,134,572  311,662,395  150,482,864  150,347,045 
End of period  $ 301,028,033  $ 298,134,572  $ 148,318,336  $ 150,482,864 
Undistributed net investment income  $ 1,952,228  $     2,050,813  $ 558,664  $ 609,315 

 

See Notes to Financial Statements.

54 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Statements of Cash Flows

    BlackRock  BlackRock  BlackRock 
  BlackRock  Diversified  Floating Rate  Limited 
  Defined  Income  Income  Duration 
  Opportunity  Strategies  Strategies  Income 
  Credit Trust  Fund, Inc.  Fund, Inc.  Trust 
Six Months Ended February 28, 2010 (Unaudited)  (BHL)  (DVF)  (FRA)  (BLW) 
Cash Used for Operating Activities         
Net increase in net assets resulting from operations  $ 10,501,453  $ 11,440,892  $ 24,776,126  $ 52,547,811 
Adjustments to reconcile net increase in net assets         
resulting from operations to net cash used for operating activities:         
(Increase) decrease in interest receivable  50,096  (59,651)  178,794  (756,676) 
Decrease in swap receivable    1,840    121,500 
Decrease in other assets  118,472  16,794  226,459  233,078 
Decrease in commitment fees receivable  720  1,735  2,995  6,677 
Decrease in margin variation receivable        15,725 
Increase in reverse repurchase agreements receivable        6,013,500 
Decrease in income receivable — affiliated        464 
Increase in cash pledged as collateral for financial futures contracts        (35,000) 
Increase in investment advisory fees payable  1,713  2,079  4,249  2,235 
Increase in interest expense and fees payable  42,902  17,644  35,517  93,168 
Increase in other affiliates payable  246  285  1,593  3,893 
Increase in payable to custodian      328,833   
Decrease in other liabilities  (6,217)  (4,547)  (23,811)  (19,724) 
Increase (decrease) in other accrued expenses payable  (36,229)  (15,945)  15,318  (91,983) 
Increase in margin variation payable        6,359 
Decrease in swaps payable    (1,000)    (153) 
Increase in Officer's and Directors' fees payable  57  22  53  11,176 
Net periodic and termination payments of swaps    (11,774)     
Net realized and unrealized loss on investments  (7,406,910)  (6,989,833)  (17,618,201)  (29,571,777) 
Amortization of premium and accretion of discount on investments  (684,866)  (773,367)  (1,226,423)  (1,754,452) 
Paid-in-kind income  (37,484)  (154,608)  (263,090)  (894,622) 
Proceeds from sales of long-term investments  82,862,942  90,082,876  181,853,083  441,606,615 
Purchases of long-term investments  (88,456,030)  (96,322,096)  (190,784,862)  (488,260,438) 
Net purchases of short-term securities  (3,345,374)  (1,215,178)  (1,569,968)  (402,771) 
Cash used for operating activities  (6,394,509)  (3,983,832)  (4,063,335)  (21,125,395) 
Cash Provided by Financing Activities         
Cash receipts from borrowings  83,419,485  62,000,000  124,000,000  195,041,434 
Cash payments on borrowings  (73,419,485)  (54,000,000)  (114,000,000)  (147,292,332) 
Cash dividends paid  (3,584,713)  (4,407,680)  (8,088,213)  (23,079,020) 
Increase (decrease) in custodian bank payable    1,563,305  1,946,672  (3,179,743) 
Cash provided by financing activities  6,415,287  5,155,625  3,858,459  21,490,339 
Cash Impact from Foreign Exchange Fluctuations         
Cash impact from foreign exchange fluctuations  424  16,692  (15,602)  10,263 
Cash         
Net increase (decrease) in cash  21,202  1,188,485  (220,478)  375,207 
Cash and foreign currency at beginning of period  19,910  33,052  220,478  19,008 
Cash and foreign currency at end of period  $ 41,112  $ 1,221,537    394,215 
Cash Flow Information         
Cash paid during the period for interest  $ 120,081  $ 188,745  $ 341,347  $ 270,381 
Noncash Financing Activities         
Capital shares issued in reinvestment of dividends  $ 75,291  $ 304,894  $ 423,339  $ 320,010 

A Statement of Cash Flows is presented when a Fund had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to
 
average total assets.         

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 55



Financial Highlights BlackRock Defined Opportunity Credit Trust (BHL)

  Six Months      Period 
  Ended      January 31, 
  February 28,  Year Ended  20081 
  2011  August 31,  to August 31, 
  (Unaudited)  2010  2009  2008 
Per Share Operating Performance         
Net asset value, beginning of period  $ 13.55  $ 12.53  $ 14.31  $ 14.332 
Net investment income3  0.42  0.85  0.87  0.47 
Net realized and unrealized gain (loss)  0.75  0.87  (1.55)  0.21 
Net increase (decrease) from investment operations  1.17  1.72  (0.68)  0.68 
Dividends and distributions from:         
Net investment income  (0.40)  (0.70)  (1.09)  (0.62) 
Tax return of capital      (0.01)  (0.06) 
Total dividends and distributions  (0.40)  (0.70)  (1.10)  0.68) 
Capital charges with respect to issuance of shares        (0.02) 
Net asset value, end of period  $ 14.32  $ 13.55  $ 12.53  $ 14.31 
Market price, end of period  $ 14.69  $ 12.86  $ 11.03  $ 12.66 
Total Investment Return4         
Based on net asset value  8.77%5  14.39%  (2.16)%  4.79%5 
Based on market price  17.57%5  23.33%  (2.65)%  (11.44)%5 
Ratios to Average Net Assets         
Total expenses  1.90%6  1.91%  2.39%  1.78%6 
Total expenses after fees waived and paid indirectly  1.90%6  1.90%  2.39%  1.78%6 
Total expenses after fees waived and paid indirectly and excluding interest expense and fees  1.63%6  1.65%  1.94%  1.48%6 
Net investment income  6.00%6  6.40%  8.11%  5.52%6 
Supplemental Data         
Net assets, end of period (000)  $ 129,071  $ 122,062  $ 112,862  $ 127,695 
Borrowings outstanding, end of period (000)  $ 34,000  $ 24,000  $ 27,000  $ 38,500 
Average borrowings outstanding during the period (000)  $ 26,259  $ 24,633  $ 31,141  $ 13,788 
Portfolio turnover  51%  102%  41%  18% 
Asset coverage, end of period per $ 1,000  $ 4,796  $ 6,086  $ 5,180  $ 4,317 

1 Commencement of operations
2 Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share.
3 Based on average shares outstanding.
4 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
5 Aggregate total investment return.
6 Annualized.

See Notes to Financial Statements.

56 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Financial Highlights BlackRock Diversified Income Strategies Fund, Inc. (DVF)

Six Months
Ended
February 28,
  2011        Year Ended August 31,     
  (Unaudited)  2010  2009  2008    2007  2006 
Per Share Operating Performance               
Net asset value, beginning of period  $ 10.47  $ 8.74  $ 13.94  $ 17.50  $ 18.70  $ 18.38 
Net investment income1  0.38  0.80  1.06  1.61    1.83  1.77 
Net realized and unrealized gain (loss)  0.54  1.78  (4.88)  (3.41)    (1.23)  0.25 
Net increase (decrease) from investment operations  0.92  2.58  (3.82)  (1.80)    0.60  2.02 
Dividends and distributions from:               
Net investment income  (0.38)  (0.80)  (1.14)  (1.72)    (1.80)  (1.70) 
Tax return of capital    (0.05)  (0.24)  (0.04)       
Total dividends and distributions  (0.38)  (0.85)  (1.38)  (1.76)    (1.80)  (1.70) 
Capital charges with respect to issuance of shares              (0.00)2 
Net asset value, end of period  $ 11.01  $ 10.47  $ 8.74  $ 13.94  $ 17.50  $ 18.70 
Market price, end of period  $ 11.11  $ 10.45  $ 8.80  $ 12.77  $ 17.16  $ 18.85 
Total Investment Return3               
Based on net asset value  8.93%4  30.27%  (23.82)%  (10.17)%    3.00%  11.99% 
Based on market price  10.13%4  29.13%  (16.27)%  (16.08)%    0.19%  18.36% 
Ratios to Average Net Assets               
Total expenses  1.65%5  1.53%  2.47%  2.77%    3.66%  3.17% 
Total expenses after fees waived and paid indirectly  1.65%5  1.53%  2.47%  2.77%    3.66%  3.17% 
Total expenses after fees waived and paid indirectly               
and excluding interest expense  1.33%5  1.26%  1.57%  1.23%    1.30%  1.29% 
Net investment income  7.11%5  7.86%  13.63%  10.40%    9.63%  9.57% 
Supplemental Data               
Net assets, end of period (000)  $ 136,418  $ 129,385  $ 107,556  $ 169,707  $ 212,792  $ 224,156 
Borrowings outstanding, end of period (000)  $ 37,000  $ 29,000  $ 18,000  $ 65,500  $ 72,000  $ 88,800 
Average borrowings outstanding during the period (000)  $ 33,514  $ 25,074  $ 28,247  $ 64,335  $ 95,465  $ 86,132 
Portfolio turnover  52%  105%  45%  41%    72%  64% 
Asset coverage, end of period per $1,000  $ 4,687  $ 5,462  $ 6,975  $ 3,591  $ 3,955  $ 3,524 

1 Based on average shares outstanding.
2 Amount is less than $(0.01) per share.
3 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
4 Aggregate total investment return.
5 Annualized.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 57



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

Six Months    
Ended    
February 28,     
  2011    Year Ended August 31,     
  (Unaudited)  2010  2009  2008    2007  2006 
Per Share Operating Performance               
Net asset value, beginning of period  $ 14.36  $ 12.93  $ 16.12  $ 18.25  $ 19.32  $ 19.35 
Net investment income1  0.46  0.91  1.14  1.45    1.54  1.40 
Net realized and unrealized gain (loss)  0.88  1.48  (3.04)  (2.03)    (1.07)  (0.06) 
Net increase (decrease) from investment operations  1.34  2.39  (1.90)  (0.58)    0.47  1.34 
Dividends and distributions from:               
Net investment income  (0.46)  (0.94)  (1.29)  (1.55)    (1.54)  (1.37) 
Tax return of capital    (0.02)           
Total dividends and distributions  (0.46)  (0.96)  (1.29)  (1.55)    (1.54)  (1.37) 
Net asset value, end of period  $ 15.24  $ 14.36  $ 12.93  $ 16.12  $ 18.25  $ 19.32 
Market price, end of period  $ 15.38  $ 14.61  $ 12.26  $ 14.49  $ 16.70  $ 17.49 
Total Investment Return2               
Based on net asset value  9.47%3  18.91%  (8.88)%  (2.56)%    2.74%  7.92% 
Based on market price  8.59%3  27.59%  (3.88)%  (4.28)%    3.85%  5.91% 
Ratios to Average Net Assets               
Total expenses  1.49%4  1.45%  1.96%  2.61%    3.33%  2.54% 
Total expenses after fees waived and paid indirectly  1.49%4  1.45%  1.96%  2.60%    3.33%  2.54% 
Total expenses after fees waived and paid indirectly and excluding               
interest expense and fees  1.21%4  1.22%  1.31%  1.18%    1.20%  1.14% 
Net investment income  6.21%4  6.43%  10.18%  8.49%    7.88%  7.30% 
Supplemental Data               
Net assets, end of period (000)  $ 281,067  $ 264,379  $ 237,160  $ 295,005  $ 334,065  $ 353,713 
Borrowings outstanding, end of period (000)  $ 63,000  $ 53,000  $ 38,000  $ 101,500  $ 107,000  $ 135,200 
Average borrowings outstanding during the period (000)  $ 60,536  $ 48,258  $ 50,591  $ 102,272  $ 133,763  $ 101,916 
Portfolio turnover  54%  96%  58%  49%    69%  57% 
Asset coverage, end of period per $1,000  $ 5,461  $ 5,988  $ 7,241  $ 3,906  $ 4,122  $ 3,616 

 

1 Based on average shares outstanding.
2 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
3 Aggregate total investment return.
4 Annualized.

See Notes to Financial Statements.

58 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Financial Highlights BlackRock Limited Duration Income Trust (BLW)

           
  Six Months      Period        
  Ended       November 1,      
   February 28, Year Ended August 31,   2007 to    Year Ended October 31, 
  2011      August 31,       
  (Unaudited)  2010  2009  2008  2007  2006  2005 
Per Share Operating Performance               
Net asset value, beginning of period  $ 16.79  $ 14.95  $ 16.71  $ 18.52  $ 19.01  $ 19.17  $ 20.13 
Net investment income  0.641  1.121  1.011  1.141  1.50  1.35  1.46 
Net realized and unrealized gain (loss)  0.69  1.62  (1.61)  (1.76)  (0.49)  0.03  (0.94) 
Net increase (decrease) from investment operations  1.33  2.74  (0.60)  (0.62)  1.01  1.38  0.52 
Dividends and distributions from:               
Net investment income  (0.54)  (0.90)  (1.16)  (1.19)  (1.41)  (1.52)  (1.33) 
Net realized gain          (0.06)    (0.15) 
Tax return of capital          (0.03)  (0.02)   
Total dividends and distributions  (0.54)  (0.90)  (1.16)  (1.19)  (1.50)  (1.54)  (1.48) 
Net asset value, end of period  $ 17.58  $ 16.79  $ 14.95  $ 16.71  $ 18.52  $ 19.01  $ 19.17 
Market price, end of period  $ 17.00  $ 16.76  $ 14.09  $ 14.57  $ 16.68  $ 18.85  $ 17.48 
Total Investment Return2               
Based on net asset value  8.73%3  19.00%  (1.57)%  (2.60)%3  5.66%  7.85%  2.93% 
Based on market price  5.33%3  26.04%  6.40%  (5.70)%3  (4.03)%  17.31%  (5.30)% 
Ratios to Average Net Assets               
Total expenses  0.94%4  0.82%  0.72%  1.39%4  2.16%  2.20%  1.71% 
Total expenses after fees waived and before fees paid indirectly  0.94%4  0.81%  0.71%  1.39%4  2.16%  2.20%  1.71% 
Total expenses after fees waived and paid indirectly  0.94%4  0.81%  0.71%  1.38%4  2.14%  2.19%  1.71% 
Total expenses after fees waived and paid indirectly and               
excluding interest expense  0.83%4  0.73%  0.69%  0.76%4  0.83%  0.91%  0.92% 
Net investment income  7.48%4  6.90%  7.42%  7.84%4  7.92%  7.10%  7.42% 
Supplemental Data               
Net assets, end of period (000)  $ 648,843  $ 619,381  $ 551,505  $ 616,393  $ 638,109  $ 699,206  $ 704,961 
Borrowings outstanding, end of period (000)  $ 170,982  $ 123,233    $ 64,538  $ 109,287  $ 220,000  $ 176,010 
Average borrowings outstanding during the period (000)  $ 163,186  $ 44,160  $ 11,705  $ 120,295  $ 172,040  $ 179,366  $ 186,660 
Portfolio turnover  54%5  248%6  287%7  191%8  65%  132%  70% 
Asset coverage, end of period per $1,000  $ 4,795  $ 6,026    $ 10,551  $ 7,251  $ 4,178  $ 5,005 

1 Based on average shares outstanding.
2 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.
Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
3 Aggregate total investment return.
4 Annualized.
5 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 48%.
6 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 113%.
7 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%.
8 Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 24%.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 59



Financial Highlights BlackRock Senior Floating Rate Fund, Inc.

Six Months
Ended
February 28,
               2011    Year Ended August 31,     
  (Unaudited)       2010  2009  2008    2007  2006 
Per Share Operating Performance               
Net asset value, beginning of period  $ 7.59  $ 7.16  $ 7.98  $ 8.60  $ 8.92  $ 9.01 
Net investment income1  0.17  0.36  0.39  0.51    0.60  0.52 
Net realized and unrealized gain (loss)  0.33  0.43  (0.83)  (0.62)    (0.32)  (0.08) 
Net increase (decrease) from investment operations  0.50  0.79  (0.44)  (0.11)    0.28  0.44 
Dividends from net investment income  (0.17)  (0.36)  (0.38)  (0.51)    (0.60)  (0.53) 
Net asset value, end of period  $ 7.92  $ 7.59  $ 7.16  $ 7.98  $ 8.60  $ 8.92 
Total Investment Return2               
Based on net asset value  6.61%3  11.20%  (4.69)%  (1.32)%4    3.07%  4.97% 
Ratios to Average Net Assets5               
Total expenses  1.61%6  1.53%  1.53%  1.28%4    1.44%  1.43% 
Net investment income  4.28%6  4.82%  5.97%  6.16%    6.67%  5.84% 
Supplemental Data               
Net assets, end of period (000)  $ 301,028  $ 298,135  $ 311,662  $ 399,400  $ 505,515  $ 601,807 
Portfolio turnover for the Master LLC  63%  108%  47%  56%    46%  54% 

1 Based on average shares outstanding.
2 Where applicable, total investment returns exclude the early withdrawal charge, but do include the reinvestment of dividends and distributions. The Fund is a continuously offered
closed-end fund, the shares of which are offered at net asset value. No secondary market for the Fund’s shares exists.
3 Aggregate total investment return.
4 During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years’ tender offer fees, which increased net investment income per
share $0.02 and increased total investment return 0.24%. The expense ratio excluding the refund was 1.46%.
5 Includes the Fund’s share of the Master LLC’s allocated expenses and/or net investment income.
6 Annualized.

See Notes to Financial Statements.

60 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Financial Highlights BlackRock Senior Floating Rate Fund II, Inc.

Six Months
Ended
February 28,
               2011    Year Ended August 31,     
  (Unaudited)       2010  2009  2008    2007  2006 
Per Share Operating Performance               
Net asset value, beginning of period  $ 8.22  $ 7.76  $ 8.67  $ 9.35  $ 9.70  $ 9.79 
Net investment income1  0.18  0.38  0.41  0.54    0.63  0.56 
Net realized and unrealized gain (loss)  0.36  0.46  (0.89)  (0.69)    (0.34)  (0.10) 
Net increase (decrease) from investment operations  0.54  0.84  (0.48)  (0.15)    0.29  0.46 
Dividends from net investment income  (0.18)  (0.38)  (0.43)  (0.53)    (0.64)  (0.55) 
Net asset value, end of period  $ 8.58  $ 8.22  $ 7.76  $ 8.67  $ 9.35  $ 9.70 
Total Investment Return2               
Based on net asset value  6.61%3  10.97%  (4.70)%  (1.61)%4    2.89%  4.90% 
Ratios to Average Net Assets5               
Total expenses  1.81%6  1.67%  1.68%  1.50%4    1.59%  1.57% 
Total expenses after fees waived  1.67%6  1.67%  1.68%  1.50%    1.59%  1.57% 
Net investment income  4.22%6  4.68%  5.79%  5.96%    6.53%  5.70% 
Supplemental Data               
Net assets, end of period (000)  $ 148,318  $ 150,483  $ 150,347  $ 186,637  $ 247,861  $ 322,202 
Portfolio turnover for the Master LLC  63%  108%  47%  56%    46%  54% 

1 Based on average shares outstanding.
2 Where applicable, total investment returns exclude the early withdrawal charge, but do include the reinvestment of dividends and distributions. The Fund is a continuously offered
closed-end fund, the shares of which are offered at net asset value. No secondary market for the Fund’s shares exists.
3 Aggregate total investment return.
4 During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years’ tender offer fees, which increased net investment income per
share $0.02 and increased total investment return 0.11%. The expense ratio excluding the refund was 1.64%.
5 Includes the Fund’s share of the Master LLC’s allocated expenses and/or net investment income.
6 Annualized.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 61



Notes to Financial Statements (Unaudited)

1. Organization and Significant Accounting Policies:

BlackRock Defined Opportunity Credit Trust (“BHL”), BlackRock Diversified
Income Strategies Fund, Inc. (“DVF”), BlackRock Floating Rate Income
Strategies Fund, Inc. (“FRA”), BlackRock Limited Duration Income Trust
(“BLW”), BlackRock Senior Floating Rate Fund, Inc. (“Senior Floating Rate”)
and BlackRock Senior Floating Rate Fund II, Inc. (“Senior Floating Rate II”)
(collectively, the “Funds” or individually as a “Fund”) are registered under
the Investment Company Act of 1940, as amended (the “1940 Act”). BHL
and BLW are organized as Delaware Statutory trusts. DVF, FRA, Senior
Floating Rate and Senior Floating Rate II are organized as Maryland corp-
orations. BHL, DVF, FRA and BLW are registered as diversified, closed-end
management investment companies. Senior Floating Rate and Senior
Floating Rate II are registered as continuously offered, non-diversified,
closed-end management investment companies. The Funds’ financial state-
ments are prepared in conformity with accounting principles generally
accepted in the United States of America (“US GAAP”), which may require
management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could
differ from those estimates. Each Fund’s Board of Directors/Trustees are
collectively referred to throughout this report as the “Board of Directors” or
the “Board”. The Funds determine and make available for publication the
net asset values of their Common Shares on a daily basis.

Senior Floating Rate and Senior Floating Rate II seek to achieve their
investment objectives by investing all their assets in the Master Senior
Floating Rate LLC (the “Master LLC”), which has the same investment
objective and strategies as these Funds. The value of each Fund’s invest-
ment in the Master LLC reflects each Fund’s proportionate interest in the
net assets of the Master LLC. The performance of each Fund is directly
affected by the performance of the Master LLC. The financial statements of
the Master LLC, including the Schedule of Investments, are included else-
where in this report and should be read in conjunction with Senior Floating
Rate and Senior Floating Rate II’s financial statements. The percentage of
the Master LLC owned by Senior Floating Rate and Senior Floating Rate II
at February 28, 2011 was 67% and 33%, respectively.

Reorganizations: On September 2, 2010, the Board of each of Senior
Floating Rate and Senior Floating Rate II (the “Senior Floating Rate Funds”)
and on September 17, 2010 the Board of Trustees of BlackRock Funds II
approved the reorganization of each Senior Floating Rate Fund into the
BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds II
(“Floating Rate Income Portfolio”), with the BlackRock Floating Rate
Income Portfolio being the legal surviving fund (the “Reorganizations”).
The Reorganizations were effective on March 21, 2011, see Note 10 for
more details.

The following is a summary of significant accounting policies followed by
the Funds:

Valuation: US 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 fair value
their financial instruments at market value using independent dealers or
pricing services under policies approved by the Board. The Funds value
their bond investments on the basis of last available bid prices or current
market quotations provided by dealers or pricing services. Floating rate
loan interests are valued at the mean of the bid prices from one or more
brokers or dealers as obtained from a pricing service. In determining the
value of a particular investment, pricing services may use certain informa-
tion with respect to transactions in such investments, quotations from
dealers, pricing matrixes, market transactions in comparable investments,
various relationships observed in the market between investments and
calculated yield measures. Asset-backed and mortgage-backed securities
are valued by independent pricing services using models that consider esti-
mated cash flows of each tranche of the security, establish a benchmark
yield and develop an estimated tranche specific spread to the benchmark
yield based on the unique attributes of the tranche. Financial futures
contracts traded on exchanges are valued at their last sale price. To-be-
announced (“TBA”) commitments are valued on the basis of last available
bid prices or current market quotations provided by pricing services. 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 dis-
counted cash flows and trades and values of the underlying reference
instruments. Investments in open-end registered investment companies
are valued at net asset value each business day. Short-term securities
with remaining maturities of 60 days or less may be valued at amortized
cost, which approximates fair value.

Equity investments traded on a recognized securities exchange or the
NASDAQ Global Market System (“NASDAQ”) are valued at the last reported
sale price that day or the NASDAQ official closing price, if applicable. For
equity investments traded on more than one exchange, the last reported
sale 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 are valued at the last available bid price. If no bid
price is available, the prior day’s price will be used, unless it is determined
that such prior day’s price no longer reflects the fair value of the security.

Securities and other assets and liabilities denominated in foreign curren-
cies are translated into US dollars using exchange rates determined as of
the close of business on the New York Stock Exchange (“NYSE”). Foreign
currency exchange contracts are valued at the mean between the bid and
ask prices and are determined as of the close of business 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 price. If no bid 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

62 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Notes to Financial Statements (continued)

value of the option. Over-the-counter (“OTC”) options are valued by an
independent pricing service using a mathematical model which incorpo-
rates a number of market data factors, such as the trades and prices of
the underlying instruments.

In the event that application of these methods of valuation results in a
price for an investment which is deemed not to be representative of the
market value of such investment or is not available, the investment will
be valued in accordance with a policy approved by the Board as reflecting
fair value (“Fair Value Assets”). When determining the price for Fair Value
Assets, the investment advisor and/or the sub-advisor seeks to determine
the price that each Fund might reasonably expect to receive from the cur-
rent sale of that asset in an arm’s-length transaction. Fair value determina-
tions shall be based upon all available factors that the investment advisor
and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is
subsequently reported to the Board or a committee thereof.

Generally, trading in foreign instruments is substantially completed
each day at various times prior to the close of business on the NYSE.
Occasionally, events affecting the values of such instruments may occur
between the foreign market close and the close of business on the NYSE
that may not be reflected in the computation of each Fund’s net assets.
If events (for example, a company announcement, market volatility or a
natural disaster) occur during such periods that are expected to materially
affect the value of such instruments, those instruments may be Fair Value
Assets and be valued at their fair value, as determined in good faith by
the investment advisor using a pricing service and/or policies approved
by the Board.

Senior Floating Rate and Senior Floating Rate II record their investments in
the Master LLC at fair value based on each Fund’s proportionate interest in
the net assets of the Master LLC. Valuation of securities held by the Master
LLC, including categorization of fair value measurements, is discussed in
Note 1 of the Master LLC’s Notes to Financial Statements, which are
included elsewhere in this report.

Foreign Currency Transactions: The Funds’ books and records are main-
tained in US dollars. Purchases and sales of investment securities are
recorded at the rates of exchange prevailing on the date the transactions
are entered into. Generally, when the US dollar rises in value against a
foreign currency, the Funds’ investments denominated in that currency
will lose value because its currency is worth fewer US dollars; the
opposite effect occurs if the US dollar falls in relative value.

The Funds report realized currency gains (losses) on foreign currency
related transactions as components of net realized gain (loss) for financial
reporting purposes, whereas such components are treated as ordinary
income for federal income tax purposes.

Asset-Backed and Mortgage-Backed Securities: Certain Funds may invest
in asset-backed securities. Asset-backed securities are generally issued as
pass-through certificates, which represent undivided fractional ownership
interests in an underlying pool of assets, or as debt instruments, which are
also known as collateralized obligations, and are generally 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 dif-
ferent 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 subject to such a prepayment feature will have the
effect of shortening the maturity of the security. 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.

Certain Funds may purchase certain mortgage pass-through securities.
There are a number of important differences among the agencies and
instrumentalities of the US 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, inc-
luding 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 and are supported by the right of the issuer to borrow
from the Treasury.

Zero-Coupon Bonds: Certain Funds may invest in zero-coupon bonds, which
are normally issued at a significant discount from face value and do not
provide for periodic interest payments. Zero-coupon bonds may experience
greater volatility in market value than similar maturity debt obligations
which provide for regular interest payments.

Preferred Stock: Certain Funds may invest in 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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 63



Notes to Financial Statements (continued)

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.

Floating Rate Loan Interests: Certain Funds may invest in floating rate loan
interests. The floating rate loan interests the Funds hold are typically issued
to companies (the “borrower”) by banks, other financial institutions, and
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. The Funds may invest in obligations of borrowers who are in
bankruptcy proceedings. 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 periodi-
cally determined by reference to a base lending rate plus a premium. The
base lending rates are generally the lending rate offered by one or more
European banks, such as LIBOR (London Inter Bank Offered Rate), the
prime rate offered by one or more US banks or the certificate of deposit
rate. Floating rate loan interests may involve foreign borrowers, and invest-
ments may be denominated in foreign currencies. The Funds consider these
investments to be investments in debt securities for purposes of their
investment policies.

When a Fund buys 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, the Funds may receive a commitment fee based on
the undrawn portion of the underlying line of credit amount of a floating
rate loan interest. The Funds earn and/or pay facility and other fees on
floating rate loan interests, which are shown as facility and other fees in
the Statements of Operations. 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 the Funds
upon the prepayment of a floating rate loan interest by a borrower, are
recorded as realized gains. The Funds 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. The Funds 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 the Funds
having a contractual relationship only with the lender, not with the bor-
rower. The Funds will have 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, the Funds
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,
and the Funds may not benefit directly from any collateral supporting the
loan in which it has purchased the Participation. As a result, the Funds will
assume the credit risk of both the borrower and the lender that is selling
the Participation. The Funds’ 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, the Funds may be treated as general creditors of
the lender and may not benefit from any offset between the lender and the
borrower. Assignments typically result in the Funds having a direct contrac-
tual relationship with the borrower, and the Funds may enforce compliance
by the borrower with the terms of the loan agreement.

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 pur-
chase or sale commitment is made. The Funds 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 settle-
ment date. Since the value of securities purchased may fluctuate prior to
settlement, the Funds may be required to pay more at settlement than the
security is worth. In addition, the Funds are not entitled to any of the inter-
est earned prior to settlement. When purchasing a security on a delayed
delivery basis, the Funds assume 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, the Funds’ maximum amount of loss is the
unrealized appreciation of unsettled when-issued transactions, which is
shown in the Schedules of Investments, if any.

TBA Commitments: Certain Funds may enter into TBA commitments. TBA
commitments are forward agreements for the purchase or sale of mort-
gage-backed securities for a fixed price, with payment and delivery on an
agreed upon future settlement date. The specific securities to be delivered
are not identified at the trade date; however, delivered securities must meet
specified terms, including issuer, rate and mortgage terms. The Funds gen-
erally enter into TBA commitments with the intent to take possession of
or deliver the underlying mortgage-backed securities but can extend the
settlement or roll the transaction. TBA commitments involve a risk of loss
if the value of the security to be purchased or sold declines or increases,
respectively, prior to settlement date.

Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-
backed securities and simultaneously contract to repurchase substantially
similar (same type, coupon and maturity) securities on a specific future
date at an agreed upon price. During the period between the sale and
repurchase, the Funds will not be entitled to receive interest and principal
payments on the securities sold. The Funds account for dollar roll
transactions as purchases and sales and realize gains and losses on these
transactions. These transactions may increase the Funds’ portfolio turnover
rate. Mortgage dollar rolls involve the risk that the market value of the
securities that the Funds are required to purchase may decline below
the agreed upon repurchase price of those securities.

64 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Notes to Financial Statements (continued)

Reverse Repurchase Agreements: Certain Funds may enter into reverse
repurchase agreements with qualified third party broker-dealers. In a
reverse repurchase agreement, the Funds sell securities to a bank or bro-
ker-dealer and agree to repurchase the same securities at a mutually
agreed upon date and price. 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. The Funds
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 and also the risk that the
market value of the securities that the Funds are obligated to repurchase
under the agreement may decline below the repurchase price. In the event
the buyer of securities under a reverse repurchase agreement files for
bankruptcy or becomes insolvent, the Funds’ use of the proceeds of the
agreement may be restricted while the other party, or its trustee or receiver,
determines whether or not to enforce the Funds’ obligation to repurchase
the securities.

Segregation and Collateralization: In cases in which the 1940 Act and the
interpretive positions of the Securities and Exchange Commission (“SEC’)
require that the Funds either deliver collateral or segregate assets in con-
nection with certain investments (e.g., dollar rolls, TBA sale commitments,
financial futures contracts, foreign currency exchange contracts and swaps)
or certain borrowings (e.g., reverse repurchase agreements, TALF loans
and loan payable), the Funds will, consistent with SEC rules and/or
certain interpretive letters issued by the SEC, segregate collateral or desig-
nate on their books and records cash or other liquid securities having
a market value at least equal to the amount that would otherwise be
required to be physically segregated. Furthermore, based on requirements
and agreements with certain exchanges and third party broker-dealers,
each party has requirements to deliver/deposit securities as collateral for
certain investments.

Investment Transactions and Investment Income: For financial reporting
purposes, investment transactions are recorded on the dates the transac-
tions are entered into (the trade dates). For financial reporting purposes,
contributions to and withdrawals from the Master LLC are accounted for
on a trade basis. Realized gains and losses on investment transactions
are determined on the identified cost basis. Dividend income is recorded
on the ex-dividend dates. 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. Interest income, including
amortization and accretion of premiums and discounts on debt securities,
is recognized on the accrual basis. Consent fees are compensation for
agreeing to changes in the terms of debt instruments and are included
in facility and other fees in the Statements of Operations.

Senior Floating Rate and Senior Floating Rate II record daily their propor-
tionate share of the Master LLC’s income, expenses and realized and unre-
alized gains and losses. In addition, both Funds accrue their own expenses.

Dividends and Distributions: Dividends from net investment income are
declared and paid monthly. Distributions of capital gains are recorded on
the ex-dividend dates. If the total dividends and distributions made in any
tax year exceeds net investment income and accumulated realized capital
gains, a portion of the total distribution may be treated as a tax return of
capital. The amount and timing of dividends and distributions are deter-
mined in accordance with federal income tax regulations, which may differ
from US GAAP.

Income Taxes: 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 federal income tax provision
is required.

Certain Funds have wholly owned taxable subsidiaries organized as limited
liability companies (the “Taxable Subsidiaries”) each of which holds one
of the investments listed in the Schedules of Investments. The Taxable
Subsidiaries allow a Fund to hold an investment that is organized as an
operating partnership while still satisfying Regulated Investment Company
tax requirements. Income earned on the investments held by the Taxable
Subsidiaries is taxable to such subsidiaries. Income tax expense, if any, of
the Taxable Subsidiaries is reflected in the value of the investments held by
the Taxable Subsidiaries.

Each Fund files US federal and various state and local tax returns. No
income tax returns are currently under examination. The statute of limita-
tions on the Funds’ US federal tax returns remains open for each of the two
years ended August 31, 2010 and the period ended August 31, 2008 for
BHL, the four years ended August 31, 2010 for DVF, FRA, Senior Floating
Rate and Senior Floating Rate II and the two years ended August 31,
2010, the period ended August 31, 2008 and the year ended October 31,
2007 for BLW. The statutes of limitations on the Funds’ state and local tax
returns may remain open for an additional year depending upon the juris-
diction. Management does not believe there are any uncertain tax positions
that require recognition of a tax liability.

Deferred Compensation and BlackRock Closed-End Share Equivalent
Investment Plan: Under the deferred compensation plan approved by each
Fund’s Board, non-interested Directors (“Independent Directors”) may defer
a portion of their annual complex-wide compensation. Deferred amounts
earn an approximate return as though equivalent dollar amounts had been
invested in common shares of certain other BlackRock Closed-End Funds
selected by the Independent Directors. This has approximately the same
economic effect for the Independent Directors as if the Independent
Directors had invested the deferred amounts directly in certain other
BlackRock Closed-End Funds.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 65



Notes to Financial Statements (continued)

The deferred compensation plan is not funded and obligations there-under
represent general unsecured claims against the general assets of each
Fund. Each Fund may, however, elect to invest in common shares of certain
other BlackRock Closed-End Funds selected by the Independent Directors
in order to match its deferred compensation obligations. Investments to
cover each Fund’s deferred compensation liability, if any, are included in
other assets in the Statements of Assets and Liabilities. Dividends and dis-
tributions from the BlackRock Closed-End Fund investments under the plan
are included in dividends — affiliated in the Statements of Operations.

Other: Expenses directly related to a Fund are charged to that Fund. Other
operating expenses shared by several funds are pro rated among those
funds on the basis of relative net assets or other appropriate methods. The
Funds have an arrangement with the custodians whereby fees may be
reduced by credits earned on uninvested cash balances, which if applica-
ble are shown as fees paid indirectly in the Statements of Operations. The
custodians impose fees on overdrawn cash balances, which can be offset
by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative
contracts both to increase the returns of the Funds and to economically
hedge, or protect, their exposure to certain risks such as credit risk, interest
rate risk or foreign currency exchange rate risk. These contracts may be
transacted on an exchange or OTC.

Losses may arise if the value of the contract decreases due to an unfavor-
able change in the market rates or values of the underlying instrument or if
the counterparty does not perform under the contract. The Funds’ maximum
risk of loss from counterparty credit risk on OTC derivatives is generally the
aggregate unrealized gain netted against any collateral pledged by/posted
to the counterparty. For OTC options purchased, the Funds bear the risk of
loss in the amount of the premiums paid plus the positive change in mar-
ket values net of any collateral received on the options should the counter-
party fail to perform under the contracts. Options written by the Funds do
not give rise to counterparty credit risk, as options written obligate the
Funds to perform and not the counterparty. Counterparty risk related to
exchange-traded financial futures contracts and options is deemed to be
minimal due to the protection against defaults provided by the exchange
on which these contracts trade.

The Funds may mitigate counterparty risk by procuring collateral and
through netting provisions included within an International Swaps and
Derivatives Association, Inc. (“ISDA”) Master Agreement implemented
between a Fund and each of its respective counterparties. The ISDA Master
Agreement allows each Fund to offset with each separate counterparty
certain derivative financial instrument’s payables and/or receivables
with collateral held. The amount of collateral moved to/from applicable
counterparties is generally based upon minimum transfer amounts of
up to $500,000. To the extent amounts due to the Funds from their
counterparties are not fully collateralized contractually or otherwise, the
Funds bear the risk of loss from counterparty non-performance. See Note 1
“Segregation and Collateralization” for information with respect to collateral
practices. In addition, the Funds manage counterparty risk by entering into
agreements only with counterparties that it believes have the financial
resources to honor their obligations and by monitoring the financial stability
of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to
terminate contracts prior to maturity in the event the Funds’ net assets
decline by a stated percentage or the Funds fail to meet the terms of its
ISDA Master Agreements, which would cause the Funds to accelerate
payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Funds purchase or sell financial futures
contracts and options on financial futures contracts to gain exposure to, or
economically hedge against, changes in interest rates (interest rate risk).
Financial futures contracts are agreements between the Funds and the
counterparty to buy or sell a specific quantity of an underlying instrument
at a specified price and at a specified date. Depending on the terms of
the particular contract, futures contracts are settled either through physical
delivery of the underlying instrument on the settlement date or by payment
of a cash settlement amount on settlement date. 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 value of the contract. Such receipts or
payments are known as margin variation and are recorded by the Funds
as unrealized appreciation or depreciation. When the contract is closed,
the Funds record a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the
time it was closed. The use of financial futures contracts involves the risk
of an imperfect correlation in the movements in the price of financial
futures contracts, interest rates and the underlying assets.

Foreign Currency Exchange Contracts: The Funds enter into foreign cur-
rency exchange contracts as an economic hedge against either specific
transactions or portfolio instruments or to obtain exposure to foreign cur-
rencies (foreign currency exchange rate risk). A foreign currency exchange
contract is an agreement between two parties to buy and sell a currency at
a set exchange rate on a future date. Foreign currency exchange contracts,
when used by the Funds, help to manage the overall exposure to the cur-
rency backing some of the investments held by the Funds. The contract is
marked-to-market daily and the change in market value is recorded by the
Funds as an unrealized gain or loss. When the contract is closed, the Funds
record a realized gain or loss equal to the difference between the value at
the time it was opened and the value at the time it was closed. The use
of foreign currency exchange contracts involves the risk that the value of
a foreign currency exchange contract changes unfavorably due to move-
ments in the value of the referenced foreign currencies and the risk that

66 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Notes to Financial Statements (continued)

a counterparty to the contract does not perform its obligations under
the agreement.

Options: The Funds purchase and write call and put options to increase
or decrease their exposure to underlying instruments (interest rate risk)
and/or, in the case of options written, to generate gains from options
premiums. A call option gives the purchaser of the option the right (but
not the obligation) to buy, and obligates the seller to sell (when the option
is exercised), the underlying instrument at the exercise 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 price at any time or at a specified time during the option
period. When the Funds purchase (write) an option, an amount equal
to the premium paid (received) by the Funds is reflected as an asset
(liability). The amount of the asset (liability) is subsequently marked-
to-market to reflect the current market value of the option purchased
(written). When an instrument is purchased or sold through an exercise
of an option, the related premium paid (or received) is added to (or
deducted from) the basis of the instrument acquired or deducted from
(or added to) the proceeds of the instrument sold. When an option expires
(or the Funds enter into a closing transaction), the Funds realize a gain
or loss on the option to the extent of the premiums received or paid (or
gain or loss 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 “covered,” meaning that the Funds 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.

In purchasing and writing options, the Funds bear the risk of an unfavor-
able change in the value of the underlying instrument or the risk that the
Funds 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 at a price different from the current market value.

Swaps: The Funds enter into swap agreements, in which the Funds and a
counterparty agree to make periodic net payments on a specified notional
amount. These periodic payments received or made by the Funds are
recorded in the Statements of Operations as realized gains or losses,
respectively. Any upfront fees paid are recorded as assets and any upfront
fees received are recorded as liabilities and amortized over the term of the
swap. Swaps are marked-to-market daily and changes in value are
recorded as unrealized appreciation (depreciation). When the swap is ter-
minated, the Funds will record a realized gain or loss equal to the differ-
ence between the proceeds from (or cost of) the closing transaction and
the Funds’ basis in the contract, if any. Generally, the basis of the contracts
is the premium received or paid. 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 agree-
ments, that the counterparty to the agreements may default on its obliga-
tion 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.

Credit default swaps — The Funds enter into credit default swaps to
manage their exposure to the market or certain sectors of the market,
to reduce its risk exposure to defaults of corporate and/or sovereign
issuers or to create exposure to corporate and/or sovereign issuers to
which they are not otherwise exposed (credit risk). The Funds enter into
credit default swap agreements to provide a measure of protection
against the default of an issuer (as buyer of protection) and/or gain
credit exposure to an issuer to which it is not otherwise exposed (as
seller of protection). 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 on single-name issuers are agreements in which
the buyer pays fixed periodic payments to the seller in consideration
for a guarantee from the 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 accelerators, repudiation,
moratorium or restructuring). Credit default swaps on traded indexes
are agreements in which the buyer pays fixed periodic payments to
the seller in consideration for a guarantee from the seller to make a
specific payment should a write-down, principal or interest shortfall or
default of all or individual underlying securities included in the index
occurs. As a buyer, if an underlying credit event occurs, the Funds will
either 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 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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 67



Notes to Financial Statements (continued)

Derivative Instruments Categorized by Risk Exposure:               
Fair Values of Derivative Instruments as of February 28, 2011

Asset Derivatives

      BHL    DVF    FRA  BLW 
Statement of Assets
                                   and Liabilities Location        Value     
Foreign currency exchange contracts  Unrealized appreciation on foreign               
  currency exchange contracts    $ 6,661      $ 7,285  $ 15,275 
Liability Derivatives

      BHL    DVF    FRA  BLW 
Statement of Assets
                                  and Liabilities Location        Value     
Interest rate contracts  Net unrealized               
  appreciation/depreciation*              $ 36,143 
Foreign currency exchange contracts  Unrealized depreciation on foreign               
  currency exchange contracts  $ 176,575  $ 188,636  $ 333,453  736,158 
Credit contracts  Unrealized depreciation on swaps              83,243 
Total    $ 176,575  $ 188,636  $ 333,543  $ 855,544 
* Includes cumulative appreciation/depreciation on the financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within 
the Statements of Assets and Liabilities.                 
The Effect of Derivative Instruments in the Statements of Operations
Six Months Ended February 28, 2011

Net Realized Gain (Loss) from

      BHL    DVF    FRA  BLW 
Interest rate contracts:                 
Financial futures contracts                $ (195,876) 
Options**                (21,025) 
Foreign currency exchange contracts:                 
Foreign currency exchange contracts    $ (683,392)  $ (655,580)  $(1,218,348)  (5,234,984) 
Credit contracts:                 
Swaps          (10,913)      (48,942) 
Total    $ (683,392)  $ (666,493)  $(1,218,348)  $ (5,500,827) 
Net Change in Unrealized Appreciation/Depreciation on

      BHL    DVF    FRA  BLW 
Interest rate contracts:                 
Financial futures contracts                $ 144,671 
Options**                20,231 
Foreign currency exchange contracts:                 
Foreign currency exchange contracts    $ (169,435)  $ (174,297)  $ (278,445)  (23,738) 
Credit contracts:                 
Swaps          21,480      (156,244) 
Total    $ (169,435)  $ (152,817)  $ (278,445)  $ (15,080) 
** Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.   

 

68 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Notes to Financial Statements (continued)

For the six months ended February 28, 2011 the average quarterly balances of outstanding derivative financial instruments were as follows:

  BHL  DVF  FRA  BLW 
Financial futures contracts:         
Average number of contracts purchased        2 
Average number of contracts sold        100 
Average notional value of contracts purchased        $ 487,956 
Average notional value of contracts sold        $21,606,899 
Foreign currency exchange contracts:         
Average number of contracts — US dollars purchased  6  6  7  7 
Average number of contracts — US dollars sold  2  2  3  1 
Average US dollar amounts purchased.  $11,428,279  $11,638,271  $21,384,156  $37,943,242 
Average US dollar amounts sold  $ 364,248  $ 778,319  $ 2,056,731  $ 640,523 
Options:         
Average number of option contracts purchased    13  20  46 
Average notional value of option contracts purchased    $12,257  $ 18,857  $ 43,372 
Credit default swaps:         
Average number of contracts — buy protection        2 
Average number of contracts — sell protection    1     
Average notional value-buy protection        $1,100,000 
Average notional value-sell protection    $ 150,000     

 

3. Investment Advisory Agreement and Other Transactions
with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”), Bank of America
Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest
stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership
structure, PNC is an affiliate of the Funds for 1940 Act purposes, but
BAC and Barclays are not.

BHL, DVF, FRA and BLW entered into an Investment Advisory Agreement
with BlackRock Advisors, LLC (the “Manager”), the Funds’ investment advi-
sor, an indirect, wholly owned subsidiary of BlackRock, to provide invest-
ment advisory and administration services. The Manager is responsible for
the management of each Fund’s portfolio and provides the necessary per-
sonnel, facilities, equipment and certain other services necessary to the
operations of each Fund. For such services, each Fund pays the Manager a
monthly fee at an annual rate of each Fund’s average daily net assets, plus
the proceeds of any outstanding borrowings used for leverage as follows:

BHL  1.00% 
DVF  0.75% 
FRA  0.75% 
BLW  0.55% 

 

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, however
the Manager does not waive its investment advisory fees by the amount
of investment advisory fees paid through each Fund’s investment in other
affiliated investment companies, if any. These amounts are shown as fees
waived by advisor in the Statements of Operations. For the six months
ended February 28, 2011, the amounts waived were as follows:

BHL  $ 819 
DVF  $ 861 
FRA  $1,260 
BLW  $2,854 

 

The Manager, on behalf of BHL, DVF, FRA and BLW, entered into a sub-
advisory agreement with BlackRock Financial Management, Inc. (“BFM”),
an affiliate of the Manager. The Manager pays BFM for services it provides,
a monthly fee that is a percentage of the investment advisory fees paid by
each Fund to the Manager.

For the six months ended February 28, 2011, certain Funds reimbursed
the Manager for certain accounting services, which are included in
accounting services in the Statements of Operations. The reimbursements
were as follows:

BHL  $ 444 
DVF  $ 461 
FRA  $2,860 
BLW  $6,942 

 

Senior Floating Rate and Senior Floating Rate II entered into an
Administration Agreement with the Manager. The administration fee paid
to the Manager is calculated daily and paid monthly based on an annual
rate of 0.25% and 0.40%, respectively, of the average daily value of these
Fund’s net assets for the performance of administrative services (other
than investment advice and related portfolio activities) necessary for the
operation of these Funds.

For Senior Floating Rate II, the Manager voluntarily agreed to waive
expenses in order to limit total annual Fund operating expenses (excluding
interest expense, acquired fund fees and expenses and certain other
expenses) to 1.83% of the Fund’s average daily net assets. This voluntary
waiver may be reduced or discontinued at any time without notice.

Senior Floating Rate and Senior Floating Rate II entered into a separate
Distribution Agreement and Distribution Plan with BlackRock Investments,
LLC (“BRIL”), which is an affiliate of BlackRock.

For the six months ended February 28, 2011, BRIL received early with-
drawal charges for Senior Floating Rate and Senior Floating Rate II in the
amount of $57,184 and $3,990, respectively relating to the tender of each
Fund’s shares.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 69



Notes to Financial Statements (continued)

Senior Floating Rate and Senior Floating Rate II may earn income on
positive cash balances in demand deposit accounts that are maintained
by the transfer agent on behalf of the Funds. These amounts are included
in dividends – affiliated in the Statements of Operations.

Certain officers and/or trustees of the Funds are officers and/or directors
of BlackRock or its affiliates. The Funds reimburse the Manager for com-
pensation paid to the Funds’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments including paydowns and mortgage dol-
lar roll transactions and excluding short-term securities and US government
securities for the six months ended February 28, 2011, were as follows:

  Purchases  Sales 
BHL  $110,302,210  $ 82,285,931 
DVF  $115,481,381  $ 90,472,347 
FRA  $235,661,473  $188,787,497 
BLW  $487,497,672  $432,264,757 

 

For the six months ended February 28, 2011, purchases and sales
of US government securities for BLW were $2,513,922 and $3,382,238,
respectively.

For the six months ended February 28, 2011, purchases and sales for BLW
attributable to mortgage dollar rolls were $49,508,781 and $49,664,770,
respectively.

5. Commitments:

The Funds may invest in floating rate loan interests. In connection with
these investments, the Funds may also enter into unfunded loan commit-
ments (“commitments”). Commitments may obligate the Funds to furnish
temporary financing to a borrower until permanent financing can be

arranged. In connection with these commitments, the Funds earn a com-
mitment fee, typically set as a percentage of the commitment amount.
Such fee income, which is classified in the Statements of Operations as
facility and other fees, is recognized ratably over the commitment period.

As of February 28, 2011, the Funds had the following unfunded loan com-
mitments:

    Value of 
  Unfunded  Underlying 
Borrower  Commitment  Loan 
BHL     
Axcan  $ 333,333  $ 336,037 
CII Investment, LLC  $ 120,155  $ 121,811 
Delphi Holdings LLP  $ 122,764  $ 119,080 
Delta Airlines, Inc.  $ 950,000  $ 973,370 
Horizon Lines, LLC  $ 92,394  $ 91,518 
DVF     
Axcan  $ 350,000  $ 352,840 
CII Investment, LLC  $ 64,984  $ 65,345 
Delphi Holdings LLP  $ 122,764  $ 119,081 
Delta Airlines, Inc.  $1,025,000  $1,052,806 
Echostar  $1,395,000  $1,395,000 
Horizon Lines, LLC  $ 92,394  $ 91,317 
FRA     
Axcan  $ 733,333  $ 739,283 
CII Investment, LLC  $ 186,179  $ 190,448 
Delphi Holdings LLP  $ 306,911  $ 297,703 
Delta Airlines, Inc.  $ 925,000  $ 946,040 
Echostar  $2,860,000  $2,860,000 
Horizon Lines, LLC  $ 184,789  $ 182,915 
BLW     
Axcan  $ 500,000  $ 504,058 
Delphi Holdings LLP  $ 613,821  $ 595,407 
Delta Airlines, Inc.  $4,750,000  $4,876,883 
Echostar  $4,800,000  $4,800,000 

 

6. Capital Loss Carryforwards:

As of August 31, 2010, the Funds had capital carry loss carryforwards available to offset future realized capital gains through the indicated
expiration dates:

          Senior  Senior 
          Floating Rate  Floating Rate 
Expires August 31,  BHL  DVF  FRA  BLW  Fund  Fund II 
2011          $ 53,409,203  $17,719,049 
2012          34,221,818  6,383,383 
2013      $ 691,829    56,166,095   
2014    $ 1,755,694      945,546   
2015    2,237,399      2,561,691   
2016    1,444,704  475,453  $21,933,927  31,419,599  4,923,144 
2017  $1,063,204  20,249,830  20,954,032  9,996,868  16,221,457  7,728,284 
2018  5,362,244  52,502,532  43,990,722  37,509,275  40,888,146  19,009,722 
Total  $6,425,448  $78,190,159  $66,112,036  $69,440,070  $235,833,555  $55,763,582 

 

Under the recently enacted Regulated Investment Company Modernization
Act of 2010, capital losses incurred by the Funds after August 31, 2011
will not be subject to expiration. In addition, these losses must be utilized
prior to the losses incurred in pre-enactment taxable years.

70 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Notes to Financial Statements (continued)

7. Concentration, Market and Credit Risk:

In the normal course of business, the Funds invest in securities and
enter into transactions where risks exist due to fluctuations in the market
(market risk) or failure of the issuer of a security to meet all its obligations
(issuer credit risk). The value of securities held by the Funds may decline
in response to certain events, including those directly involving the issuers
whose securities are owned by the Funds; conditions affecting the general
economy; overall market changes; local, regional or global political, social
or economic instability; and currency and interest rate and price fluctua-
tions. Similar to issuer credit risk, the Funds may be exposed to counter-
party credit risk, or the risk that an entity with which the Funds have
unsettled or open transactions may fail to or be unable to perform on its
commitments. The Funds manage counterparty credit risk by entering into
transactions only with counterparties that they believe 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 generally approximated by their value
recorded in the Funds’ Statements of Assets and Liabilities, less any collat-
eral held by the Funds.

Certain Funds invest a significant portion of their assets in securities
backed by commercial or residential mortgage loans or in issuers that hold
mortgage and other asset-backed securities. Please see the Schedules of
Investments for these securities. Changes in economic conditions, including
delinquencies and/or defaults on assets underlying these securities, can
affect the value, income and/or liquidity of such positions.

8. Capital Share Transactions:

BHL and BLW are authorized to issue an unlimited number of shares, par
value $0.001, all of which were initially classified as Common Shares. DVF
and FRA are authorized to issue 200 million shares, par value $0.10, all of
which were initially classified as Common Shares. The Board is authorized,
however, to classify and reclassify any unissued shares without approval of
Common Shareholders.

For the six months ended February 28, 2011 and the year ended August
31, 2010, shares issued and outstanding increased by the following
amounts as a result of dividend reinvestment:

  Six Months Ended  Year Ended 
  February 28, 2011  August 31, 2010 
BHL  5,257   
DVF  28,241  52,693 
FRA  28,473  72,267 
BLW  18,738   

 

At February 28, 2011, the shares owned by affiliates of the Manager of the
Funds were as follows:

BHL  8,517 
FRA  9,017 

 

Transactions in capital shares, with respect to Senior Floating Rate and Senior Floating Rate II, were as follows:

  Six Months Ended  Year Ended   
  February 28, 2011                 August 31, 2009 
Senior Floating Rate  Shares  Amount  Shares    Amount 
Shares sold  1,471,679  $ 11,472,862  2,423,990  $ 18,308,182 
Shares issued to shareholders in reinvestment of dividends  53,539  416,519  135,475    1,019,194 
Total issued  1,525,218  11,889,381  2,559,465    19,327,376 
Shares tendered  (2,790,817)  (21,512,826)  (6,801,031)    (50,873,171) 
Net decrease  (1,265,599)  $ (9,623,445)  (4,241,566)  $ (31,545,795) 
Senior Floating Rate II           
Shares sold  837,185  $ 7,034,991  2,093,983  $ 17,121,260 
Shares issued to shareholders in reinvestment of dividends  18,664  157,289  77,460    629,469 
Total issued  855,849  7,192,280  2,171,443    17,750,729 
Shares tendered  (1,869,368)  (15,662,491)  (3,249,989)    (26,508,193) 
Net decrease  (1,013,519)  $ (8,470,211)  (1,078,546)  $ (8,757,464) 

 

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 71



Notes to Financial Statements (continued)

9. Borrowings:

On March 4, 2010, BHL, DVF and FRA entered into a senior committed
secured, 364-day revolving line of credit and a separate security agreement
(the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”).
The Funds have granted a security interest in substantially all of their
assets to SSB. The SSB Agreement allowed for the following maximum
commitment amounts:

  Commitment 
  Amounts 
BHL  $ 55,000,000 
DVF  $ 55,000,000 
FRA  $103,000,000 

 

Advances were made by SSB to the Funds, at the Funds’ option of (a)
the higher of (i) 1.0% above the Fed Funds rate and (ii) 1.0% above
the Overnight LIBOR or (b) 1.0% above the 7-day, 30-day, 60-day or
90-day LIBOR.

Effective March 3, 2011, the SSB Agreement was renewed for 364
days. The SSB Agreement allows for the following maximum commitment
amounts:

  Commitment 
  Amounts 
BHL  $ 63,300,000 
DVF  $ 66,800,000 
FRA  $137,200,000 

 

Advances are made by SSB to the Funds at the Funds’ option of (a) the
higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the
Overnight LIBOR or (b) 0.80% above the 7-day, 30-day, 60-day or 90-day
LIBOR. In addition, the Funds pay a facility fee and a commitment fee
based on SSB’s total commitment to the Funds. The fees associated with
each of the agreements are included in the Statements of Operations as
borrowing costs. Advances to the Funds as of February 28, 2011 are
shown in the Statements of Assets and Liabilities as loan payable.

The Funds 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%.

During the six months ended February 28, 2011, BLW borrowed under the
Term Asset-Backed Securities Loan Facility (“TALF”). The TALF program was
launched by the US Department of Treasury and the Federal Reserve Board
as a credit facility designed to restore liquidity to the market for asset-
backed securities. The Federal Reserve Bank of New York (“FRBNY”) pro-
vided up to $1 trillion in non-recourse loans to support the issuance of
certain AAA-rated asset-backed securities and commercial mortgage-
backed securities (“Eligible Securities”). The Fund posted as collateral
already-held Eligible Securities, which were all commercial mortgage-
backed securities, in return for non-recourse, 5-year term loans (“TALF
loans”) in an amount equal to approximately 85% of the value of such
Eligible Securities.

The non-recourse provision of the TALF loans allowed the Fund to satisfy
loan obligations with Eligible Securities, subject to certain conditions, even
if the value of the Eligible Securities falls below the outstanding amount of
the loan. The Fund can repay TALF loans prior to the maturity dates with no
penalty. Principal and interest due on the loans will typically be paid with
principal paydowns and interest received from the Eligible Securities. Credit
agreements underlying each loan contain provisions to address instances
in which interest payments on Eligible Securities fall short of amounts due
to the FRBNY. The Fund paid to the FRBNY a one time administration fee
of 0.20% of the amount borrowed, which was expensed as incurred in
the current period by the Fund and is included in borrowing costs in the
Statements of Operations. The Fund also paid a financing fee equal to
the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount
payable monthly, which is included in interest expense in the Statements
of Operations.

During the six months ended February 28, 2011, the Fund repaid its out-
standing TALF loans and the Eligible Securities posted as collateral were
returned to the Fund. The Fund financed the repayment of the TALF loans
by entering into reverse repurchase agreements.

Since the Fund had the ability to potentially satisfy TALF loan obligations
by surrendering Eligible Securities, potential losses by the Fund associated
with the TALF loans were limited to the difference between the amount
of Eligible Securities posted at the time of loan initiation and the loan
proceeds received by the Fund.

The Fund elected to account for the outstanding TALF loans at fair value.
The Fund elected to fair value its TALF loans to more closely align changes
in the value of the TALF loans with changes in the value of the Eligible
Securities and to reduce the potential volatility in the Statements of
Operations which could result if only the Eligible Securities were fair valued.
The TALF loans were valued utilizing quotations received from a board
approved pricing service. TALF-eligible Asset-Backed Securities/Collateralized
Mortgage-Backed Securities (“ABS/CMBS”) value may be affected by his-
toric defaults and prepayments on the asset pool, expected future defaults
and prepayments, current interest rate levels, current and forward modeled
ABS/CMBS spread levels. Accordingly, TALF loan valuation methodologies
may include, but are not limited to, the following inputs: (i) ABS/CMBS
prepayment assumptions, (ii) discount rates and (iii) the non-recourse
put option valuation. The resulting TALF loan valuation combines the
present value of the future loan cash flows, plus the value of the non-
recourse option.

For the six months ended February 28, 2011, the daily weighted average
interest rates for Funds with loans under the revolving credit agreements
were as follows:

  Daily Weighted 
  Average 
  Interest Rate 
BHL  1.25% 
DVF  1.24% 
FRA  1.26% 

 

72 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Notes to Financial Statements (concluded)

For the six months ended February 28, 2011, the daily weighted average
interest rate for BLW for reverse repurchase agreements and TALF loans was
as follows:

  Daily Weighted 
  Average 
  Interest Rate 
BLW  0.45% 

 

10. 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:

Each Fund paid a net investment income dividend on March 31, 2011 to
shareholders of record on March 15, 2011 as follows:

  Common Dividend 
  Per Share 
BHL  $0.0660 
DVF  $0.0635 
FRA  $0.0770 
BLW  $0.1000 

 

Senior Floating Rate and Senior Floating Rate II paid a net investment
income dividend on March 17, 2011 to shareholders of record on March
15, 2011 as follows:

  Common Dividend 
  Per Share 
Senior Floating Rate  $0.022941 
Senior Floating Rate II  $0.012695 

 

The Board and shareholders of each of Senior Floating Rate and Senior
Floating Rate II (individually, a “Target Fund” and collectively the “Target
Funds”) and the Board and shareholders of Floating Rate Income Portfolio,
a series of BlackRock Funds II (“Floating Rate Income Portfolio”), approved
the reorganizations of each Target Fund into Floating Rate Income Portfolio,
pursuant to which Floating Rate Income Portfolio acquired substantially all
of the assets and assumed substantially all of the liabilities of the Target
Funds in exchange for an equal aggregate value of the Floating Rate
Income Portfolio shares.

In connection with the acquisition, Floating Rate Income Portfolio is the
legal surviving entity in the reorganization. Senior Floating Rate is the
accounting or continuing portfolio for purposes of maintaining the financial
statements and performance history in the post-reorganization fund.

Each shareholder of the Target Funds received Floating Rate Income
Portfolio’s shares equal to the net asset value of their Target Fund shares,
as determined at the close of business on March 18, 2011. The Senior
Floating Rate’s Common Shares were exchanged for Floating Rate Income
Portfolio’s Investor A Shares and the Senior Floating Rate II’s Common
Shares were exchanged for Floating Rate Income Portfolio’s newly estab-
lished Investor C1 Shares.

The reorganizations were accomplished by a tax-free exchange of shares of
Floating Rate Income Portfolio in the following amounts and at the follow-
ing conversion ratios:

      Shares of  Share Class of 
  Shares Prior to         Conversion  Floating Rate  Floating Rate 
  Reorganization      Ratio            Income Portfolio    Income Portfolio 
Senior Floating         
Rate  38,219,473  0.76034411  29,059,951  Investor A 
Senior Floating         
Rate II  17,364,443  0.82468294  14,320,160  Investor C1 

 

Each Target Fund’s net assets and composition of net assets on March 18,
2011, the date of the merger, were as follows:

    Undistributed Accumulated   
      Net  Net  Net 
  Net  Paid-in  Investment  Realized  Unrealized 
  Assets  Capital  Income  Loss  Depreciation 
Senior           
Floating         
Rate  $299,965,486        $496,699,650  $175,714          $(186,646,731)         $(10,263,147) 
Senior           
Floating         
Rate II               $147,803,130         $191,685,602  $ 65,714  $ (39,557,380)          $ (4,390,806) 

 

For financial reporting purposes, assets received and shares issued by
Floating Rate Income Portfolio were recorded at fair value; however, the
cost basis of the investments received from the Target Funds was carried
forward to align ongoing reporting of Floating Rate Income Portfolio’s real-
ized and unrealized gains and losses with amounts distributable to share-
holders for tax purposes.

The aggregate net assets of Floating Rate Income Portfolio immediately
after the acquisition amounted to $773,541,752. Each Target Fund’s fair
value and cost of investments prior to the reorganization were as follows:

  Fair Value of  Cost of 
  Investments  Investments 
Senior Floating Rate  $301,386,890  $311,208,711 
Senior Floating Rate II  $148,276,050  $153,108,180 

 

The purpose of these transactions was to combine three funds managed
by the Manager with the same or substantially similar (but not identical)
investment objectives, investment policies, strategies, risks and restrictions.
Each reorganization was a tax-free event and was effective on
March 21, 2011.

Assuming the acquisition had been completed on September 1, 2010, the
beginning of the annual reporting period of Floating Rate Income Portfolio,
the pro forma results of operations for the six months ended February 28,
2011 are as follows:

Net investment income: $12,617,143

Net realized and change in unrealized gain/loss on investments:
$22,898,023

Net increase in net assets resulting from operations: $35,515,166

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 73



Master Portfolio Summary as of February 28, 2011
Master Senior Floating Rate LLC

Portfolio Composition

  Percent of 
  Long-Term Investments 
Asset Mix  2/28/11  8/31/10 
Floating Rate Loan Interests  88%  85% 
Corporate Bonds  12  15 

 

74 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments February 28, 2010 (Unaudited)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)

Common Stocks (a)  Shares  Value 
Chemicals — 0.0%     
GEO Specialty Chemicals, Inc. (b)  39,151  $ 15,030 
Wellman Holdings, Inc.  5,206  260 
    15,290 
Paper & Forest Products — 0.3%     
Ainsworth Lumber Co. Ltd. (b)  376,109  1,242,664 
Total Common Stocks — 0.3%    1,257,954 
  Par   
Corporate Bonds  (000)   
Airlines — 0.2%     
Air Canada, 9.25%, 8/01/15 (b)  USD 900  963,000 
Auto Components — 0.7%     
Icahn Enterprises LP, 7.75%, 1/15/16  3,250  3,355,625 
Chemicals — 0.6%     
Wellman Holdings, Inc., Subordinate Note (c):     
(Second Lien), 10.00%, 1/29/19  2,000  1,740,000 
(Third Lien), 5.00%, 1/29/19 (d)  2,440  951,581 
    2,691,581 
Commercial Banks — 1.0%     
CIT Group, Inc.:     
7.00%, 5/01/14  110  112,131 
7.00%, 5/01/16  290  292,538 
7.00%, 5/01/17  3,985  4,014,887 
    4,419,556 
Commercial Services & Supplies — 0.3%     
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b)  1,501  1,542,278 
Containers & Packaging — 0.4%     
Berry Plastics Corp., 8.25%, 11/15/15  1,700  1,821,125 
Diversified Financial Services — 0.9%     
Ally Financial, Inc., 2.51%, 12/01/14 (e)  3,650  3,586,691 
Reynolds Group Issuer, Inc., 6.88%, 2/15/21 (b)  630  631,575 
    4,218,266 
Diversified Telecommunication Services — 0.6%     
ITC Deltacom, Inc., 10.50%, 4/01/16  900  987,750 
Qwest Communications International, Inc.:     
8.00%, 10/01/15  1,200  1,309,500 
Series B, 7.50%, 2/15/14  477  484,155 
    2,781,405 
Electronic Equipment, Instruments     
& Components — 0.2%     
CDW LLC, 8.00%, 12/15/18 (b)  830  892,250 
Food Products — 0.2%     
Smithfield Foods, Inc., 10.00%, 7/15/14  582  686,760 
Health Care Providers & Services — 0.4%     
HCA, Inc., 7.25%, 9/15/20  1,695  1,828,481 
Hotels, Restaurants & Leisure — 0.3%     
MGM Resorts International, 11.13%, 11/15/17  1,030  1,187,075 
Household Durables — 0.6%     
Beazer Homes USA, Inc., 12.00%, 10/15/17  2,300  2,673,750 

 

    Par   
Corporate Bonds    (000)  Value 
Independent Power Producers & Energy Traders — 2.2%       
Calpine Construction Finance Co. LP,       
8.00%, 6/01/16 (b)  USD  2,270  $ 2,462,950 
Energy Future Holdings Corp., 10.00%, 1/15/20 (b)    1,400  1,457,893 
Energy Future Intermediate Holding Co. LLC,       
10.00%, 12/01/20    2,650  2,766,208 
NRG Energy, Inc., 7.63%, 1/15/18 (b)    3,250  3,384,062 
      10,071,113 
Media — 1.3%       
Clear Channel Worldwide Holdings, Inc.:       
9.25%, 12/15/17    735  815,850 
Series B, 9.25%, 12/15/17    2,540  2,825,750 
UPC Germany GmbH, 8.13%, 12/01/17 (b)    2,000  2,145,000 
      5,786,600 
Metals & Mining — 0.7%       
FMG Resources August 2006 Pty Ltd.,       
7.00%, 11/01/15 (b)    1,385  1,436,938 
Novelis, Inc., 8.38%, 12/15/17 (b)    1,535  1,692,337 
      3,129,275 
Oil, Gas & Consumable Fuels — 0.1%       
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)    484  527,560 
Wireless Telecommunication Services — 0.7%       
Cricket Communications, Inc., 7.75%, 5/15/16    2,825  2,987,437 
Total Corporate Bonds — 11.4%      51,563,137 
Floating Rate Loan Interests (e)       
Aerospace & Defense — 2.2%       
DynCorp International, Term Loan, 6.25%, 7/07/16    1,920  1,935,789 
Hawker Beechcraft Acquisition Co., LLC:       
Letter of Credit Linked Deposit, 0.20%, 3/26/14    115  102,536 
Term Loan, 2.26% – 2.30%, 3/26/14    1,990  1,778,072 
SI Organization, Inc., New Tranch B Term Loan,       
4.50%, 11/22/16    1,975  1,989,813 
Scitor Corp., Term Loan B, 5.75%, 2/01/17    1,900  1,892,875 
TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17    2,250  2,263,433 
      9,962,518 
Auto Components — 0.6%       
Armored Autogroup, Inc. (FKA Viking Aquisition, Inc.),       
Term Loan, 6.00%, 11/02/16    1,550  1,557,750 
UCI International, Inc., Term Loan, 5.50%, 7/06/17    950  953,266 
      2,511,016 
Biotechnology — 0.4%       
Grifols SA, Term Loan B, 6.00%, 10/01/16    1,800  1,821,001 
Building Products — 2.6%       
Armstrong World Industries, Inc., Term Loan B,       
5.00%, 5/17/16    2,200  2,224,728 
CPG International I, Inc., Term Loan B, 6.00%, 2/03/17    2,200  2,206,886 
Goodman Global, Inc., Initial Term Loan (First Lien),       
5.75%, 10/13/16    5,337  5,375,817 
Momentive Performance Materials (Blitz 06-103 GmbH):       
Tranche B-1 Term Loan, 3.81%, 12/04/13    782  779,414 
Tranche B-2B Term Loan, 4.36%, 5/05/15  EUR  770  1,033,885 
      11,620,730 

 

Portfolio Abbreviations         
To simplify the listings of portfolio holdings in the  CAD  Canadian Dollar  GBP  British Pound 
Schedule of Investments, the names and descriptions of  EUR  Euro  MSCI  Morgan Stanley Capital International 
many of the securities have been abbreviated according  FKA  Formerly Known As  USD  US Dollar 
to the following list:         

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 75



Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)

Par
Floating Rate Loan Interests (e)    (000)  Value 
Capital Markets — 1.8%       
American Capital Ltd., Term Loan B, 7.50%, 12/31/13  USD  803  $ 807,881 
HarbourVest Partners, Term Loan (First Lien),       
6.25%, 11/10/16    2,469  2,481,094 
Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14    755  613,494 
Nuveen Investments, Inc.:       
Extended Term Loan (First Lien),       
5.80% – 5.81%, 5/13/17    2,491  2,482,007 
Non Extended Term Loan (First Lien), 3.30%, 11/13/14  1,683  1,631,690 
      8,016,166 
Chemicals — 6.2%       
AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16    1,781  1,799,030 
Chemtura Corp., Term Facility, 5.50%, 8/16/16    2,500  2,519,793 
General Chemical Corp., Tranche B Term Loan,       
6.75% – 7.25%, 9/30/15    2,893  2,936,141 
MacDermid, Inc., Tranche C Term Loan,       
3.07%, 4/12/14  EUR  992  1,324,246 
Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17  USD  1,600  1,604,667 
PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term       
Facility (First Lien), 3.52% – 3.56%, 7/30/14    2,503  2,462,566 
Rockwood Specialties Group, Inc., Term Loan B,       
3.75%, 2/01/18    1,952  1,973,106 
Solutia, Inc., Term Loan, 4.50%, 3/17/17    1,300  1,301,642 
Styron Sarl, Term Loan B, 6.00%, 7/27/17    3,850  3,884,650 
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 12/24/15    4,375  4,411,444 
Univar, Inc., Term Loan B, 5.00%, 6/30/17    3,600  3,612,377 
      27,829,662 
Commercial Banks — 0.9%       
CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15    3,840  3,889,098 
Commercial Services & Supplies — 3.2%       
AWAS Finance Luxembourg Sarl, Loan,       
7.75%, 6/10/16    841  863,602 
Advanced Disposal Services, Inc., Term Loan (First Lien),       
6.00%, 1/14/15    1,287  1,295,044 
Altegrity, Inc., (FKA US Investigators Services, Inc.)       
Tranche D Term Loan, 7.75%, 2/21/15    1,990  2,029,800 
Casella Waste Systems, Inc., Term Loan B,       
7.00%, 4/09/14    1,504  1,503,743 
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16    2,350  2,370,142 
Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B       
Dollar Term Loan, 5.25%, 11/24/15    1,373  1,372,665 
Protection One, Inc., Term Loan, 6.00%, 6/04/16    1,169  1,171,580 
Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16    1,122  1,117,037 
Synagro Technologies, Inc., Term Loan (First Lien),       
2.27%, 4/02/14    2,674  2,487,208 
      14,210,821 
Communications Equipment — 1.5%       
Avaya, Inc., Term Loan B:       
3.06%, 10/24/14    1,742  1,688,348 
4.81%, 10/24/17    2,764  2,707,871 
CommScope, Inc., Term Loan B, 5.00%, 1/06/18    2,500  2,536,458 
      6,932,677 
Construction & Engineering — 0.3%       
Safway Services, LLC, First Out Tranche Loan,       
9.00%, 12/18/17    1,500  1,500,000 
Construction Materials — 0.3%       
Fairmount Minerals Ltd., Tranche B Term Loan,       
6.25% – 6.75%, 8/05/16    1,355  1,369,658 
Consumer Finance — 1.5%       
Springleaf Financial Funding Co. (FKA AGFS Funding       
Co.), Term Loan, 7.25%, 4/21/15    6,925  6,986,632 
Containers & Packaging — 0.6%       
Graham Packaging Co., LP:       
Term Loan C, 6.75%, 4/05/14    707  711,500 
Term Loan D, 6.00%, 9/16/16    2,194  2,211,352 
      2,922,852 

 

    Par   
Floating Rate Loan Interests (e)    (000)  Value 
Diversified Consumer Services — 3.1%       
Coinmach Service Corp., Term Loan,       
3.26% – 3.31%, 11/14/14  USD  4,802  $ 4,501,527 
Laureate Education:       
Closing Date Term Loan, 3.55%, 8/17/14    2,087  2,043,771 
Delayed Draw Term Loan, 3.55%, 8/15/14    313  305,980 
Series A New Term Loan, 7.00%, 8/15/14    3,972  3,994,774 
ServiceMaster Co.:       
Closing Date Term Loan, 2.76% – 2.81%, 7/24/14    2,828  2,783,707 
Delayed Draw Term Loan, 2.77%, 7/24/14    282  277,216 
      13,906,975 
Diversified Financial Services — 2.0%       
MSCI, Inc., Term Loan B, 4.75%, 6/01/16    1,878  1,887,772 
Reynolds Group Holdings, Inc., Term Loan E,       
4.25%, 2/09/18    5,047  5,073,301 
Whitelabel IV SA (Ontex):       
Facility B1, 6.75%, 8/11/17  EUR  565  788,938 
Facility B2, 6.75%, 8/11/17    935  1,305,589 
      9,055,600 
Diversified Telecommunication Services — 2.2%       
Hawaiian Telcom Communications, Inc., Term Loan,       
9.00%, 10/28/15  USD  1,901  1,933,361 
Integra Telecom Holdings, Inc., Term Loan,       
9.25%, 4/15/15    1,592  1,611,104 
Level 3 Financing, Inc.:       
Incremental Tranche A Term Loan, 2.55%, 3/13/14    3,850  3,753,750 
Term Loan B, 11.50%, 3/13/14    425  455,812 
US Telepacific Corp., Term Loan B, 5.75%, 2/18/17    2,025  2,036,391 
      9,790,418 
Electric Utilities — 1.1%       
New Development Holdings LLC, Term Loan,       
7.00%, 7/03/17    4,834  4,880,674 
Electronic Equipment, Instruments & Components — 0.9%     
CDW LLC (FKA CDW Corp.):       
Extended Term Loan B, 3.51%, 7/15/17    1,602  1,602,049 
Non Extended Term Loan, 4.26%, 10/10/14    2,370  2,364,734 
      3,966,783 
Energy Equipment & Services — 0.3%       
MEG Energy Corp., Tranche D Term Loan,       
6.00%, 4/03/16    1,461  1,473,889 
Food & Staples Retailing — 3.0%       
AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),       
Facility B1, 3.58%, 7/09/15  GBP  2,925  4,582,646 
Bolthouse Farms, Inc., Term Loan (First Lien),       
5.50%, 2/11/16  USD  1,817  1,828,145 
Pilot Travel Centers LLC, Initial Tranche B Term Loan,       
5.25%, 6/30/16    3,875  3,907,730 
Rite Aid Corp., Term Loan B, 6.00%, 7/09/14    792  792,392 
U.S. Foodservice, Inc., Term Loan B, 2.76%, 7/03/14    2,703  2,609,500 
      13,720,413 
Food Products — 4.6%       
Advance Pierre Foods, Term Loan (Second Lien),       
7.00%, 9/29/16    4,319  4,348,869 
Del Monte Corp., Term Loan B, 4.50%, 2/01/18    8,500  8,553,125 
Green Mountain Coffee Roasters, Inc., Term Loan B       
Facility, 5.50%, 11/09/16    1,500  1,509,845 
Michaels Stores, Inc., Term Loan B, 4.25%, 2/28/18    1,739  1,751,173 
Pinnacle Foods Finance LLC, Tranche D Term Loan,       
6.00%, 4/02/14    2,149  2,165,646 
Solvest, Ltd. (Dole):       
Tranche B-1 Term Loan, 5.00% – 5.50, 3/02/17    693  697,554 
Tranche C-1 Term Loan, 5.00% – 5.50%, 3/02/17    1,723  1,733,998 
      20,760,210 

 

See Notes to Financial Statements.

76 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (e)    (000)  Value 
Health Care Equipment & Supplies — 0.6%       
DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),     
Term Loan, 3.26%, 5/20/14  USD  1,149  $ 1,139,912 
Fresenius SE:       
Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14  1,124  1,129,322 
Tranche C-2 Term Loan, 4.50%, 9/10/14    601  604,167 
      2,873,401 
Health Care Providers & Services — 4.2%       
CHS/Community Health Systems, Inc.:       
Delayed Draw Term Loan, 2.51% – 2.56%, 7/25/14  186  184,533 
Extended Term Loan, 3.76% – 3.81%, 1/25/17  841  843,052 
Non Extended Term Loan, 2.51% – 2.56%, 7/25/14  3,612  3,582,465 
ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16  1,900  1,908,708 
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16  2,500  2,517,840 
HCA, Inc., Tranche B2 Term Loan, 3.55%, 3/31/17  100  100,265 
inVentiv Health, Inc. (FKA Ventive Health, Inc.):     
Term Loan B, 4.75%, 7/31/16    4,219  4,237,858 
Term Loan B2, 4.75%, 8/04/16    217  217,614 
Term Loan B2, 6.50%, 8/04/16    433  434,958 
Renal Advantage Holdings, Inc., Tranche B Term Loan,     
5.75%, 12/03/16    1,900  1,926,125 
Vanguard Health Holding Co. II, LLC (Vanguard Health     
Systems, Inc.), Initial Term Loan, 5.00%, 1/29/16  2,793  2,811,450 
      18,764,868 
Health Care Technology — 1.2%       
IMS Health, Inc., Tranche B Dollar Term Loan,       
5.25%, 2/26/16    3,437  3,465,697 
MedAssets, Inc., Term Loan B, 5.25%, 11/15/16  1,900  1,914,250 
      5,379,947 
Hotels, Restaurants & Leisure — 6.7%       
Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15  1,000  987,920 
Dunkin’ Brands, Inc., Term Loan B, 4.25%, 11/09/17  3,600  3,624,728 
Gateway Casinos & Entertainment, Ltd., Term Loan B,     
6.50% – 7.50%, 5/12/16  CAD  2,244  2,320,204 
Harrah’s Operating Co., Inc.:       
Term Loan B-1, 3.30%, 1/28/15  USD  500  464,236 
Term Loan B-2, 3.30%, 1/28/15    500  463,215 
Term Loan B-3, 3.30%, 1/28/15    10,556  9,800,871 
Term Loan B-4, 9.50%, 10/31/16    645  683,521 
Seaworld Parks & Entertainment, Inc. (FKA SW     
Acquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17  3,815  3,822,948 
Six Flags Theme Parks, Inc., Tranche B Term Loan     
(First Lien), 5.50%, 6/30/16    3,048  3,082,014 
Travelport LLC (FKA Travelport, Inc.), Extended Delayed     
Draw Term Loan, 4.96%, 8/21/15    791  768,493 
Universal City Development Partners Ltd., Term Loan,     
5.50%, 11/16/14    1,836  1,854,069 
VML US Finance LLC (FKA Venetian Macau):       
Term B Delayed Draw Project Loan, 4.79%, 5/25/12  319  319,361 
Term B Funded Project Loan, 4.79%, 5/27/13  1,887  1,889,548 
      30,081,128 
Household Durables — 1.0%       
Visant Corp. (FKA Jostens), Tranche B Term Loan,     
7.00%, 12/20/16    4,644  4,664,783 
IT Services — 3.7%       
Ceridian Corp., US Term Loan, 3.26%, 11/09/14  2,369  2,332,835 
EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16    422  425,440 
First Data Corp.:       
Initial Tranche B-1 Term Loan, 3.01%, 9/24/14  3,495  3,308,734 
Initial Tranche B-2 Term Loan, 3.01%, 9/24/14  5,688  5,385,054 
Initial Tranche B-3 Term Loan, 3.01%, 9/24/14  2,424  2,294,258 
TransUnion LLC, Replacement Term Loan, 4.75%, 2/03/18  2,985  3,001,417 
      16,747,738 

 

    Par   
Floating Rate Loan Interests (e)    (000)  Value 
Independent Power Producers & Energy Traders — 0.8%       
Texas Competitive Electric Holdings Co., LLC (TXU):       
Initial Tranche B-2 Term Loan,       
3.76% – 3.80%, 10/10/14  USD  3,080  $ 2,596,011 
Initial Tranche B-3 Term Loan,       
3.76% – 3.80%, 10/10/14    1,115  937,253 
      3,533,264 
Industrial Conglomerates — 1.2%       
Sequa Corp., Term Loan, 3.56%, 12/03/14    1,880  1,860,282 
Tomkins Plc, Term Loan A, 4.25%, 9/16/16    3,453  3,481,771 
      5,342,053 
Insurance — 0.7%       
CNO Financial Group, Inc., Term Loan, 7.50%, 9/30/16    3,100  3,118,082 
Machinery — 0.3%       
Navistar Financial Corp., Term Loan B, 4.55%, 12/16/12    1,300  1,295,125 
Marine — 0.2%       
Horizon Lines, LLC:       
Revolving Loan, 3.31%, 8/08/12    768  713,873 
Term Loan, 3.31%, 8/08/12    418  399,318 
      1,113,191 
Media — 16.2%       
Acosta, Inc., Term Loan, 4.75%, 2/03/18    2,900  2,921,750 
Affinion Group, Inc., Tranche B Term Loan:       
5.00%, 10/09/16    1,208  1,214,248 
5.00%, 10/31/16    1,500  1,505,625 
Atlantic Broadband Finance, LLC, Term Loan B,       
5.00%, 11/12/15    1,207  1,206,271 
Bresnan Telecommunications Co. LLC, Term Loan,       
4.50%, 11/30/17    3,825  3,848,375 
Cengage Learning Acquisitions, Inc. (Thomson Learning):       
Term Loan, 2.55%, 7/03/14    4,239  4,079,022 
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14    1,273  1,278,335 
Charter Communications Operating, LLC:       
Term Loan B, 7.25%, 3/06/14    559  564,058 
Term Loan C, 3.56%, 9/06/16    2,035  2,039,668 
Clarke American Corp., Term Facility B, 2.80%, 6/30/14    1,775  1,693,586 
FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15    1,539  1,536,486 
Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16    3,391  3,432,836 
HMH Publishing Co., Ltd., Tranche A Term Loan,       
6.01%, 6/12/14    2,714  2,577,372 
Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson       
Holdings, Ltd.), Tranche B Term Loan, 5.25%, 3/07/18    8,500  8,557,111 
Interactive Data Corp., Term Loan, 4.75%, 2/08/18    3,350  3,377,517 
Knology, Inc., Term Loan B:       
5.50%, 9/27/16    250  252,500 
4.00%, 8/31/17    1,450  1,459,062 
Mediacom Illinois, LLC (FKA Mediacom       
Communications, LLC), Tranche D Term Loan,       
5.50%, 3/31/17    1,481  1,490,508 
Newsday, LLC, Floating Rate Term Loan, 6.55%, 8/01/13    2,500  2,540,625 
Nielsen Finance LLC:       
Class A Dollar Term Loan, 2.26%, 8/09/13    67  66,523 
Class B Dollar Term Loan, 4.01%, 5/01/16    3,462  3,478,093 
Sinclair Television Group, Inc., New Tranche B Term Loan,       
5.50%, 10/29/15    1,841  1,860,852 
Springer Science+Business Media SA, Facility A1,       
6.75%, 7/01/16  EUR  3,400  4,738,774 
Sunshine Acquisition Ltd. (FKA HIT Entertainment),       
Term Facility, 5.56%, 6/01/12  USD  2,146  2,100,469 
UPC Broadband Holding B.V., Term U, 4.88%, 12/31/17 EUR  1,816  2,497,701 
Univision Communications, Inc., Extended First Lien       
Term Loan, 4.52%, 3/31/17  USD  3,243  3,153,421 
Virgin Media Investment Holdings Ltd., Facility B,       
4.53%, 12/31/15  GBP  3,000  4,876,500 
Weather Channel, Term Loan B, 4.25%, 2/01/17  USD  3,100  3,128,675 
Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,       
2.76%, 8/09/11    1,477  1,432,266 
      72,908,229 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 77



Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (e)    (000)  Value 
Metals & Mining — 1.4%       
Euramax International, Inc., Domestic Term Loan:       
10.00%, 6/29/13  USD  825  $ 793,714 
14.00%, 6/29/13    803  772,760 
Novelis Corp., Term Loan, 5.25%, 12/01/16    4,700  4,755,394 
      6,321,868 
Multi-Utilities — 0.0%       
Mach Gen, LLC, Synthetic Letter of Credit Loan       
(First Lien), 0.05%, 2/22/13    69  63,811 
Multiline Retail — 1.0%       
Hema Holding BV:       
Facility B, 2.91%, 7/06/15  EUR  861  1,177,863 
Facility C, 3.66%, 7/05/16    861  1,177,863 
The Neiman Marcus Group, Inc., Tranche B-2 Term Loan,       
4.30%, 4/06/16  USD  2,112  2,121,572 
      4,477,298 
Oil, Gas & Consumable Fuels — 0.4%       
EquiPower Resources Holdings, LLC, Term Loan B,       
5.75%, 1/11/18    1,800  1,813,500 
Paper & Forest Products — 0.0%       
Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12    2  1,982 
Personal Products — 0.8%       
NBTY, Inc., Term Loan B:       
6.25%, 9/20/17    1,800  1,818,374 
4.75%, 10/01/17    1,750  1,750,000 
      3,568,374 
Pharmaceuticals — 1.1%       
Axcan Intermediate Holdings, Inc., Term Loan,       
5.50%, 2/03/17    1,800  1,804,500 
Warner Chilcott Corp.:       
Additional Term Loan Corp. B-3, 6.25%, 4/30/15    769  773,931 
Delayed Draw Term Loan B, 6.25%, 4/30/15    554  557,513 
Term Loan A, 6.00%, 10/30/14    1,284  1,284,934 
Term Loan B-1, 6.25%, 4/30/15    333  334,872 
Term Loan B-3, 6.50%, 2/20/16    143  144,236 
      4,899,986 
Professional Services — 1.3%       
Booz Allen Hamilton, Inc., Tranche B Term Loan,       
4.00%, 8/01/17    3,625  3,659,437 
Fifth Third Processing Solutions, LLC, Term Loan B       
(First Lien), 5.50%, 10/21/16    2,200  2,217,050 
      5,876,487 
Real Estate Management & Development — 1.6%       
Mattamy Funding Partnership, Term Loan,       
2.56%, 4/11/13    387  369,884 
Realogy Corp.:       
Term Loan B, 4.56%, 10/16/16    6,818  6,538,538 
Term Loan C, 4.51%, 10/16/16    355  340,482 
      7,248,904 
Road & Rail — 0.2%       
Transtar Industries, Term Loan (First Lien), 6.25%, 12/07/16  800  812,000 
Semiconductors & Semiconductor Equipment — 0.7%       
Freescale Semiconductor, Inc., Term Loan B,       
4.51%, 12/01/16    1,299  1,296,294 
Microsemi Corp., Term Loan B, 5.00%, 10/25/17    1,700  1,704,250 
      3,000,544 
Software — 0.8%       
Rovi Corp., Term Loan B, 4.00%, 2/01/18    1,250  1,262,500 
Telcordia Technologies, Inc., Term Loan, 6.75%, 4/30/16    1,186  1,192,684 
Vertafore, Inc., New Term Loan B, 5.25%, 7/29/16    1,075  1,083,062 
      3,538,246 

 

  Par   
Floating Rate Loan Interests (e)  (000)  Value 
Specialty Retail — 2.9%     
Burlington Coat Factory Warehouse Corp., Term Loan B,     
6.25%, 2/18/17  USD 1,000  $ 1,003,335 
Gymboree Corp., Term Loan B, 5.00%, 2/11/18  1,750  1,755,250 
J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18  3,450  3,450,000 
Michaels Stores, Inc., Term Loan B-2,     
4.81% – 4.87%, 7/31/16  963  970,387 
Petco Animal Supplies, Inc., Term Loan B,     
4.75%, 11/24/17  3,300  3,300,000 
Toys ‘R’ Us Delaware, Inc., Initial Loan, 6.00%, 8/17/16  2,726  2,746,322 
    13,225,294 
Textiles, Apparel & Luxury Goods — 0.3%     
Philips Van Huesen Corp., US Tranche B Term Loan,     
5.25%, 5/06/16  1,317  1,320,991 
Total Floating Rate Loan Interests — 88.6%    399,118,887 
  Beneficial   
  Interest   
Other Interests (f)  (000)   
Diversified Financial Services — 0.4%     
J.G. Wentworth LLC Preferred Equity Interests (g)  1  2,022,221 
Total Other Interests — 0.4%    2,022,221 
Warrants (h)  Shares   
Media — 0.0%     
New Vision Holdings LLC:     
(Expires 9/30/14)  7,419  74 
(Expires 9/30/14)  41,217  412 
Total Warrants — 0.0%    486 
Total Long-Term Investments     
(Cost — $463,120,768) — 100.7%    453,962,685 
Short-Term Securities     
BlackRock Liquidity Funds, TempFund, Institutional     
Class, 0.15% (i)(j)  47,230,155  47,230,155 
Total Short-Term Securities     
(Cost — $47,230,155) — 10.5%    47,230,155 
Total Investments (Cost — $510,350,923*) — 111.2%    501,192,840 
Liabilities in Excess of Other Assets — (11.2)%    (50,520,804) 
Net Assets — 100.0%    $450,672,036 

 

* The cost and unrealized appreciation (depreciation) of investments as of February 28,
2011, as computed for federal income tax purposes, were as follows:

Aggregate cost  $ 505,669,750 
Gross unrealized appreciation  $ 12,071,513 
Gross unrealized depreciation  (16,548,423) 
Net unrealized depreciation  $ (4,476,910) 

 

See Notes to Financial Statements.

78 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Schedule of Investments (continued)
Master Senior Floating Rate LLC

(a) Non-income producing security.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(c) Convertible security.
(d) Represents a payment-in-kind security which may pay interest/dividends in
additional par/shares.
(e) Variable rate security. Rate shown is as of report date.
(f) Other interests represent beneficial interest in liquidation trusts and other reorgani-
zation entities and are non-income producing.
(g) The investment is held by a wholly owned taxable subsidiary of the Master LLC.
(h) Warrants entitle the Master LLC to purchase a predetermined number of shares of
common stock and are non-income producing. The purchase price and number of
shares are subject to adjustment under certain conditions until the expiration date,
if any.
(i) Investments in companies considered to be an affiliate of the Master LLC during the
period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as
amended, were as follows:

  Shares Held at  Net  Shares Held at   
Affiliate  August 31, 2010  Activity  February 28, 2011  Income 
BlackRock Liquidity       
Funds, TempFund,       
Institutional Class          23,631,517  23,598,638  47,230,155            $23,199 


(j) Represents the current yield as of report date.

Foreign currency exchange contracts as of February 28, 2011 were as follows:

Currency    Currency    Settlement  Unrealized 
Purchased    Sold  Counterparty  Date  Depreciation 
USD  2,808,329  CAD  2,784,500  Citibank NA  4/14/11  $ (54,881) 
USD  762,450  GBP  472,500  Deutsche Bank AG  4/14/11  (5,350) 
USD  7,074,055  GBP  4,534,500  Citibank NA  4/14/11  (294,384) 
USD          13,602,662  EUR  9,945,000  Royal Bank     
        of Scotland  4/27/11  (111,099) 
Total            $ (465,714) 


For Master LLC compliance purposes, the Master LLC’s industry classifications refer
to any one or more of the industry sub-classifications used by one or more widely
recognized market indexes or rating group indexes, and/or as defined by Master LLC
management. This definition may not apply for purposes of this report, which may
combine such industry sub-classifications for reporting ease.

Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivatives. These inputs are summarized in three broad levels for
financial statement purposes as follows:
Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 — other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other than
quoted prices that are observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs)
Level 3 — unobservable inputs based on the best information available in the cir-
cumstances, to the extent observable inputs are not available (including the
Master LLC’s own assumptions used in determining the fair value of investments
and derivatives)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Master LLC’s policy regarding valuation of investments and derivatives
and other significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements.

The following tables summarize the inputs used as of February 28, 2011 in deter-
mining the fair valuation of the Master LLC’s investments and derivatives:

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Assets:         
Investments in         
Securities:         
Long-Term         
Investments:         
Common Stocks .    $ 1,242,664  $ 15,290   $1,257,954 
Corporate Bonds    48,871,556  2,691,581  51,563,137 
Floating Rate         
Loan Interests .    364,737,402  34,381,485  399,118,887 
Other Interests      2,022,221  2,022,221 
Warrants      486  486 
Short Term         
Securities  $47,230,155      47,230,155 
Unfunded Loan         
Commitments    95,389    95,389 
Liabilities:         
Unfunded Loan         
Commitments      (3,318)  (3,318) 
Total  $47,230,155  $414,947,011  $39,107,745  $501,284,911 
Derivative Financial Instruments1

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Liabilities:         
Foreign currency         
exchange         
contracts  $ (465,714)  $ (465,714) 

1 Derivative financial instruments are foreign currency exchange contracts.
Foreign currency exchange contracts are valued at the unrealized appreciation/
depreciation on the instrument.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 79



Schedule of Investments (concluded) Master Senior Floating Rate LLC

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

  Common  Corporate  Floating Rate  Other     
  Stocks  Bonds  Loan Interests           Interests   Warrants  Total 
Assets:             
Balance, as of August 31, 2010  $ 15,290  $ 5,963,527  $ 48,595,625   $2,022,221  $ 486  $ 56,597,149 
Accrued discounts/premiums    102,408  264,686      367,094 
Net realized gain (loss)    963,249  92,694      1,055,943 
Net change in unrealized appreciation/depreciation2    560,730  1,874,032      2,434,762 
Purchases    59,188  23,453,984      23,513,172 
Sales    (4,957,521)  (41,785,384)      (46,742,905) 
Transfers in3      10,564,547      10,564,547 
Transfers out3      (8,678,699)      (8,678,699) 
Balance as of February 28, 2011  $ 15,290  $ 2,691,581  $ 34,381,485  $ 2,022,221  $ 486  $ 39,111,063 

2 Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in the unrealized appreciation/depreciation on securities
still held on February 28, 2011 was $735,928.
3 The Master LLC’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.

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

  Unfunded Loan 
  Commitments 
Liabilities:   
Balance, as of August 31, 2010  $ (142,101) 
Accrued discounts/premiums   
Net realized gain (loss)   
Net change in unrealized appreciation/depreciation4  138,783 
Purchases   
Sales   
Transfers in5   
Transfers out5   
Balance as of February 28, 2011  $ (3,318) 

4 Included in the related net change in unrealized appreciation/depreciation in the
Statement of Operations. The change in the unrealized appreciation/depreciation
on securities still held on February 28, 2011 was $138,783.
5 The Master LLC’s policy is to recognize transfers in and transfers out as of the
end of the period of the event or the change in circumstances that caused
the transfer.

80 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Statement of Assets and Liabilities Master Senior Floating Rate LLC

February 28, 2011 (Unaudited)   
Assets   
Investments at value — unaffiliated (cost — $463,120,768)  $ 453,962,685 
Investments at value — affiliated (cost — $47,230,155)  47,230,155 
Unrealized appreciation on unfunded loan commitments  95,389 
Foreign currency at value — (cost — $1,509,278)  1,531,372 
Investments sold receivable  13,467,516 
Interest receivable  2,762,615 
Contributions receivable from investors  812,675 
Principal paydowns receivable  5,632 
Commitment fees receivable  3,227 
Prepaid expenses  15,895 
Other assets  116 
Total assets  519,887,277 
Liabilities   
Unrealized depreciation on foreign currency exchange contracts  465,714 
Unrealized depreciation on unfunded loan commitments  3,318 
Investments purchased payable  68,101,287 
Investment advisory fees payable  324,253 
Deferred income  174,078 
Other affiliates payable  3,600 
Directors' fees payable  489 
Other accrued expenses payable  142,502 
Total liabilities  69,215,241 
Net Assets  $ 450,672,036 
Net Assets Consist of   
Investors' capital  $ 460,178,725 
Net unrealized appreciation/depreciation  (9,506,689) 
Net Assets  $ 450,672,036 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 81



Statement of Operations Master Senior Floating Rate LLC

Six Months Ended February 28, 2011 (Unaudited)   
Investment Income   
Interest  $ 12,665,823 
Facility and other fees  329,100 
Dividends — affiliated  23,199 
Total income  13,018,122 
Expenses   
Investment advisory  2,103,830 
Professional  81,357 
Accounting services  58,119 
Custodian  26,190 
Directors  22,286 
Transfer agent  8,413 
Printing  3,401 
Miscellaneous  1,200 
Total expenses  2,304,796 
Less fees waived by advisor  (8,321) 
Total expenses after fees waived  2,296,475 
Net investment income  10,721,647 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) from:   
Investments  4,912,157 
Foreign currency transactions  (1,609,103) 
  3,303,054 
Net change in unrealized appreciation/depreciation on:   
Investments  15,818,772 
Foreign currency transactions  (384,173) 
Unfunded loan commitements  234,172 
  15,668,771 
Total realized and unrealized gain  18,971,825 
Net Increase in Net Assets Resulting from Operations  $ 29,693,472 

 

Statements of Changes in Net Assets Master Senior Floating Rate LLC

  Six Months Ended   
  February 28,  Year Ended 
  2011  August 31, 
Increase (Decrease) in Net Assets:  (Unaudited)  2010 
Operations     
Net investment income  $ 10,721,647  $ 24,058,880 
Net realized gain (loss)  3,303,054  (24,674,495) 
Net change in unrealized appreciation/depreciation  15,668,771  51,531,816 
Net increase in net assets resulting from operations  29,693,472  50,916,201 
Capital Transactions     
Proceeds from contributions  18,507,852  35,429,443 
Value of withdrawals  (47,916,468)  (99,242,421) 
Net decrease in net assets derived from capital transactions  (29,408,616)  (63,812,978) 
Net Assets     
Total increase (decrease) in net assets  284,856  (12,896,777) 
Beginning of period  450,387,180  463,283,957 
End of period  $ 450,672,036  $ 450,387,180 

 

See Notes to Financial Statements.

82 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Statement of Cash Flows Master Senior Floating Rate LLC

Six Months Ended February 28, 2011 (Unaudited)   
Cash Provided by Operating Activities   
Net increase in net assets resulting from operations  $ 29,693,472 
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:   
Decrease in interest receivable  1,277,652 
Increase in other assets  (116) 
Increase in commitment fees receivable  (55) 
Decrease in investment advisory fees payable  (35,994) 
Increase in other affiliates payable  2,180 
Decrease in other liabilities  (19,041) 
Decrease in other accrued expenses payable  (67,474) 
Decrease in Directors’ fees payable  (11) 
Net realized and unrealized loss on investments  (20,310,456) 
Amortization of premium and accretion of discount on investments  (1,969,537) 
Paid-in-kind income  (155,037) 
Proceeds from sales and paydowns of long-term investments  292,071,722 
Purchases of long-term investments  (246,762,545) 
Net sales of short-term securities  (23,107,159) 
Cash provided by operating activities  30,617,601 
Cash Used for Financing Activities   
Cash receipts from contributions  18,673,960 
Cash payments on withdrawals  (47,916,468) 
Cash used for financing activities  (29,242,508) 
Cash Impact from Foreign Exchange Fluctuations   
Cash impact from foreign exchange fluctuations  25,133 
Cash   
Net increase in cash  1,400,226 
Cash and foreign currency at beginning of period  131,146 
Cash and foreign currency at end of period  $ 1,531,372 

 

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 83



Financial Highlights Master Senior Floating Rate LLC

Six Months
Ended
February 28,
  2011    Year Ended August 31,     
  (Unaudited)               2010  2009  2008    2007  2006 
Total Investment Return               
Total investment return  6.90%1  11.67%  (4.23)%  (1.08)%    3.49%  5.37% 
Ratios to Average Net Assets               
Total expenses  1.04%2  1.08%  1.05%  1.04%    1.04%  1.04% 
Total expenses after fees waived  1.04%2  1.07%  1.05%  1.04%    1.04%  1.04% 
Total expenses after fees waived and excluding interest expense  1.04%2  1.07%  1.04%  1.04%    1.02%  1.03% 
Net investment income  4.84%2  5.29%  6.44%  6.41%    7.07%  6.22% 
Supplemental Data               
Net assets, end of year (000)  $ 450,672  $ 450,387  $ 463,284   $588,748  $ 758,328  $ 925,910 
Portfolio turnover  63%  108%  47%  56%    46%  54% 
Average loan outstanding during the year (000)    $ 1,044  $ 420    $ 2,255  $ 1,932 
1 Aggregate total investment return.               
2 Annualized.               

 

See Notes to Financial Statements.

84 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Notes to Financial Statements (Unaudited)
Master Senior Floating Rate LLC

1. Organization and Significant Accounting Policies:

Master Senior Floating Rate LLC (the “Master LLC”) is registered under the
Investment Company Act of 1940, as amended (the “1940 Act”), and is
organized as a Delaware limited liability company. The Limited Liability
Company Agreement permits the Board of Directors (the “Board”) to issue
non transferable interests in the Master LLC, subject to certain limitations.
The Master LLC’s financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America
(“US GAAP”), which may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.

On September 2, 2010, the Board of each of Senior Floating Rate
and Senior Floating Rate II (the "Senior Floating Rate Funds") and on
September 17, 2010 the Board of Trustees of BlackRock Funds II approved
the reorganization of each Senior Floating Rate Fund into the BlackRock
Floating Rate Income Portfolio, a series of BlackRock Funds II, with the
BlackRock Floating Rate Income Portfolio being the surviving fund
(the “Reorganizations”).

Each Senior Floating Rate Fund is a "feeder" fund that invests all of its
assets in the Master LLC. In connection with the Reorganizations, the Board
of the Master LLC approved the liquidation and dissolution of the Master
LLC and the distribution of its assets.

The following is a summary of significant accounting policies followed by
the Master LLC:

Valuation: US GAAP defines fair value as the price the Master LLC would
receive to sell an asset or pay to transfer a liability in an orderly transaction
between market participants at the measurement date. The Master LLC fair
values its financial instruments at market value using independent dealers
or pricing services under policies approved by the Board. The Master LLC
values its bond investments on the basis of last available bid prices or cur-
rent market quotations provided by dealers or pricing services. Floating rate
loan interests are valued at the mean of the bid prices from one or more
brokers or dealers as obtained from a pricing service. In determining the
value of a particular investment, pricing services may use certain informa-
tion with respect to transactions in such investments, quotations from deal-
ers, pricing matrixes, market transactions in comparable investments,
various relationships observed in the market between investments and cal-
culated yield measures. Investments in open-end registered investment
companies are valued at net asset value each business day. Short-term
securities with remaining maturities of 60 days or less may be valued at
amortized cost, which approximates fair value.

Equity investments traded on a recognized securities exchange or the
NASDAQ Global Market System (“NASDAQ”) are valued at the last reported
sale price that day or the NASDAQ official closing price, if applicable. For
equity investments traded on more than one exchange, the last reported
sale 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 are valued at the last available bid price. If no bid
price is available, the prior day’s price will be used, unless it is determined
that such prior day’s price no longer reflects the fair value of the security.

Securities and other assets and liabilities denominated in foreign curren-
cies are translated into US dollars using exchange rates determined as of
the close of business on the New York Stock Exchange (“NYSE”). Foreign
currency exchange contracts are valued at the mean between the bid and
ask prices and are determined as of the close of business on the NYSE.
Interpolated values are derived when the settlement date of the contract
is an interim date for which quotations are not available.

In the event that application of these methods of valuation results in a
price for an investment which is deemed not to be representative of the
market value of such investment or is not available, the investment will
be valued in accordance with a policy approved by the Board as reflecting
fair value (“Fair Value Assets”). When determining the price for Fair Value
Assets, the investment advisor and/or the sub-advisor seeks to determine
the price that the Master LLC might reasonably expect to receive from the
current sale of that asset in an arm’s-length transaction. Fair value det-
erminations shall be based upon all available factors that the investment
advisor and/or sub-advisor deems relevant. The pricing of all Fair Value
Assets is subsequently reported to the Board or a committee thereof.

Generally, trading in foreign instruments is substantially completed
each day at various times prior to the close of business on the NYSE.
Occasionally, events affecting the values of such instruments may occur
between the foreign market close and the close of business on the NYSE
that may not be reflected in the computation of the Master LLC’s net
assets. If events (for example, a company announcement, market volatility
or a natural disaster) occur during such periods that are expected to mate-
rially affect the value of such instruments, those instruments may be Fair
Value Assets and be valued at their fair value, as determined in good faith
by the investment advisor using a pricing service and/or policies approved
by the Board.

Foreign Currency Transactions: The Master LLC’s books and records are
maintained in US dollars. Purchases and sales of investment securities are
recorded at the rates of exchange prevailing on the date the transactions
are entered into. Generally, when the US dollar rises in value against a for-
eign currency, the Master LLC’s investments denominated in that currency
will lose value because its currency is worth fewer US dollars; the opposite
effect occurs if the US dollar falls in relative value.

The Master LLC 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 treated as ordinary
income for federal income tax purposes.

Floating Rate Loan Interests: The Master LLC may invest in floating rate
loan interests. The floating rate loan interests the Master LLC holds are
typically issued to companies (the “borrower”) by banks, other financial
institutions, and 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

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 85



Notes to Financial Statements (continued)
Master Senior Floating Rate LLC

companies that are highly leveraged. The Master LLC may invest in obliga-
tions of borrowers who are in bankruptcy proceedings. 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. The base lending rates are generally the lending rate
offered by one or more European banks, such as LIBOR (London Inter Bank
Offered Rate), the prime rate offered by one or more US banks or the
certificate of deposit rate. Floating rate loan interests may involve foreign
borrowers, and investments may be denominated in foreign currencies.
The Master LLC considers these investments to be investments in debt
securities for purposes of its investment policies.

When the Master LLC buys 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, the Master LLC may receive a commitment fee
based on the undrawn portion of the underlying line of credit amount of a
floating rate loan interest. The Master LLC earns and/or pays facility and
other fees on floating rate loan interests, which are shown as facility and
other fees in the Statement of Operations. 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 the
Master LLC upon the prepayment of a floating rate loan interest by a bor-
rower, are recorded as realized gains. The Master LLC 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. The Master LLC may invest in such loans in the form of participa-
tions in loans (“Participations”) or assignments (“Assignments”) of all or a
portion of loans from third parties. Participations typically will result in the
Master LLC having a contractual relationship only with the lender, not with
the borrower. The Master LLC will have the right to receive payments of prin-
cipal, interest and any fees to which it is entitled only from the lender sell-
ing the Participation and only upon receipt by the lender of the payments
from the borrower. In connection with purchasing Participations, the Master
LLC 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, and the Master LLC may not benefit directly from any collateral
supporting the loan in which it has purchased the Participation. As a result,
the Master LLC will assume the credit risk of both the borrower and the
lender that is selling the Participation. The Master LLC’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, the Master LLC may be
treated as general creditors of the lender and may not benefit from any
offset between the lender and the borrower. Assignments typically result in
the Master LLC having a direct contractual relationship with the borrower,
and the Master LLC may enforce compliance by the borrower with the
terms of the loan agreement.

Segregation and Collateralization: In cases in which the 1940 Act and the
interpretive positions of the Securities and Exchange Commission (“SEC”)
require that the Master LLC either delivers collateral or segregates assets in
connection with certain investments (e.g., foreign currency exchange con-
tracts), the Master LLC will, consistent with SEC rules and/or certain inter-
pretive letters issued by the SEC, segregate collateral or designate on its
books and records cash or other liquid securities having a market value at
least equal to the amount that would otherwise be required to be physi-
cally segregated. Furthermore, based on requirements and agreements with
certain exchanges and third party broker-dealers, each party has require-
ments to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting
purposes, investment transactions are recorded on the dates the transac-
tions are entered into (the trade dates). Realized gains and losses on
investment transactions are determined on the identified cost basis.
Dividend income is recorded on the ex-dividend dates. Dividends from for-
eign securities where the ex-dividend date may have passed are subse-
quently recorded when the Master LLC is informed of the ex-dividend date.
Interest income, including amortization and accretion of premiums and dis-
counts on debt securities, is recognized on the accrual basis. Consent fees
are compensation for agreeing to changes in the terms of debt instruments
and are included in facility and other fees in the Statement of Operations.

Income Taxes: The Master LLC is classified as a partnership for federal
income tax purposes. As such, each investor in the Master LLC is treated
as the owner of its proportionate share of net assets, income, expenses
and realized and unrealized gains and losses of the Master LLC. Therefore,
no federal income tax provision is required. It is intended that the Master
LLC’s assets will be managed so an investor in the Master LLC can satisfy
the requirements of Subchapter M of the Internal Revenue Code of 1986,
as amended.

The Master LLC files US federal and various state and local tax returns. No
income tax returns are currently under examination. The statute of limita-
tions on the Master LLC’s US federal tax returns remains open for each of
the four years ended August 31, 2010. The statutes of limitations on the
Master LLC’s state and local tax returns may remain open for an additional
year depending upon the jurisdiction. Management does not believe there
are any uncertain tax positions that require recognition of a tax liability.

Other: Expenses directly related to the Master LLC are charged to the
Master LLC. Other operating expenses shared by several funds are pro
rated among those funds on the basis of relative net assets or other
appropriate methods. The Master LLC has an arrangement with the
custodian whereby fees may be reduced by credits earned on uninvested
cash balances, which if applicable are shown as fees paid indirectly in
the Statement of Operations. The custodian imposes fees on overdrawn
cash balances, which can be offset by accumulated credits earned or
may result in additional custody charges.

86 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Notes to Financial Statements (continued)
Master Senior Floating Rate LLC

2. Derivative Financial Instruments:

The Master LLC engages in various portfolio investment strategies using
derivative contracts both to increase the returns of the Master LLC and to
economically hedge, or protect, its exposure to certain risks such as credit
risk and foreign currency exchange rate risk. These contracts may be trans-
acted on an exchange or over–the-counter (“OTC”).

Losses may arise if the value of the contract decreases due to an unfavor-
able change in the market rates or values of the underlying instrument or
if the counterparty does not perform under the contract. The Master LLC’s
maximum risk of loss from counterparty credit risk on OTC derivatives is
generally the aggregate unrealized gain netted against any collateral
pledged by/posted to the counterparty.

The Master LLC may mitigate counterparty risk by procuring collateral and
through netting provisions included within an International Swaps and
Derivatives Association, Inc. (“ISDA”) Master Agreement implemented
between the Master LLC and each of its respective counterparties. The
ISDA Master Agreement allows the Master LLC to offset with each separate
counterparty certain derivative financial instrument’s payables and/or
receivables with collateral held. The amount of collateral moved to/from
applicable counterparties is generally based upon minimum transfer
amounts of up to $500,000. To the extent amounts due to the Master LLC
from its counterparties are not fully collateralized contractually or other-
wise, the Master LLC bears the risk of loss from counterparty non-perfor-
mance. See Note 1 “Segregation and Collateralization” for information
with respect to collateral practices. In addition, the Master LLC manages
counterparty risk by entering into agreements only with counterparties
that it believes have the financial resources to honor its obligations and
by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives
to terminate derivative contracts prior to maturity in the event the Master
LLC’s net assets decline by a stated percentage or the Master LLC fails
to meet the terms of its ISDA Master Agreements, which would cause
the Master LLC to accelerate payment of any net liability owed to
the counterparty.

Foreign Currency Exchange Contracts: The Master LLC enters into foreign
currency exchange contracts as an economic hedge against either specific
transactions or portfolio instruments or to obtain exposure to foreign cur-
rencies (foreign currency exchange rate risk). A foreign currency exchange
contract is an agreement between two parties to buy and sell a currency at
a set exchange rate on a future date. Foreign currency exchange contracts,
when used by the Master LLC, help to manage the overall exposure to the
currency backing some of the investments held by the Master LLC. The
contract is marked-to-market daily and the change in market value is
recorded by the Master LLC as an unrealized gain or loss. When the con-
tract is closed, the Master LLC records a realized gain or loss equal to the
difference between the value at the time it was opened and the value at
the time it was closed. The use of foreign currency exchange contracts
involves the risk that the value of a foreign currency exchange contract
changes unfavorably due to movements in the value of the referenced
foreign currencies and the risk that a counterparty to the contract does
not perform its obligations under the agreement.

Derivative Instruments Categorized by Risk Exposure
Fair Values of Derivative Instruments as of February 28, 2011
  Liability Derivatives 
  Statement of Assets   
  and Liabilities Location  Value 
  Unrealized depreciation   
Foreign currency exchange  on foreign currency   
contracts  exchange contracts  $ 465,714 
The Effect of Derivative Instruments in the Statement of Operations 
Six Months Ended February 28, 2011
Net Realized Loss from
    Foreign Currency 
    Transactions 
Foreign currency exchange contracts  $ (1,576,013) 
Net Change in Unrealized Appreciation/Depreciation on
    Foreign Currency 
    Transactions 
Foreign currency exchange contracts  $ (396,808) 

 

For the six months ended February 28, 2011, the average quarterly
balances of outstanding derivative financial instruments were as follows:

Foreign currency exchange contracts:   
Average number of contracts — US dollars purchased  5 
Average number of contracts — US dollars sold  1 
Average US dollar amounts purchased  $27,210,566 
Average US dollar amounts sold  $ 1,764,454 

 

3. Investment Advisory Agreement and Other Transactions
with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”), Bank of America
Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest
stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership
structure, PNC is an affiliate of the Master LLC for 1940 Act purposes,
but BAC and Barclays are not.

The Master LLC, entered into an Investment Advisory Agreement with
BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advi-
sor, an indirect, wholly owned subsidiary of BlackRock, to provide invest-
ment advisory and administration services. The Manager is responsible for

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 87



Notes to Financial Statements (concluded)
Master Senior Floating Rate LLC

the management of the Master LLC’s portfolio and provides the necessary
personnel, facilities, equipment and certain other services necessary to the
operations of the Master LLC. For such services, the Master LLC pays the
Manager a monthly fee at an annual rate of 0.95% of the Master LLC’s
average daily net assets.

The Manager voluntarily agreed to waive its investment advisory fees by the
amount of investment advisory fees the Master LLC pays to the Manager
indirectly through its investment in affiliated money market funds, however
the Manager does not waive its investment advisory fees by the amount of
investment advisory fees paid through the Master LLC’s investment in other
affiliated investment companies, if any. This amount is shown as fees
waived by advisor in the Statement of Operations.

The Manager entered into a sub-advisory agreement with BlackRock
Financial Management, Inc. (“BFM”) an affiliate of the Manager. The
Manager pays BFM for services it provides, a monthly fee that is a percent-
age of the investment advisory fees paid by the Master LLC to the Manager.

For the six months ended February 28, 2011, the Master LLC reimbursed
the Manager $4,580 for certain accounting services, which are included in
accounting services in the Statement of Operations.

Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock or its affiliates.

4. Investments:

Purchases and sales of investments including paydowns and excluding
short-term securities for the six months ended February 28, 2011, were
$280,936,066 and $292,119,631, respectively.

5. Commitments:

The Master LLC may invest in floating rate loan interests. In connection with
these investments, the Master LLC may also enter into unfunded loan com-
mitments (“commitments”). Commitments may obligate the Master LLC to
furnish temporary financing to a borrower until permanent financing can be
arranged. In connection with these commitments, the Master LLC earns a
commitment fee, typically set as a percentage of the commitment amount.
Such fee income, which is classified in the Statement of Operations as
facility and other fees, is recognized ratably over the commitment period.
As of February 28, 2011, the Master LLC had the following unfunded loan
commitments:

    Value of 
  Unfunded  Underlying 
Borrower  Commitment  Loan 
Axcan  $ 892,697  $ 900,000 
Delta Airlines, Inc.  $3,261,914  $3,350,000 
Horizon Lines, LLC  $ 292,051  $ 288,733 

 

6. Market and Credit Risk:

In the normal course of business, the Master LLC invests in securities and
enters into transactions where risks exist due to fluctuations in the market
(market risk) or failure of the issuer of a security to meet all its obligations
(issuer credit risk). The value of securities held by the Master LLC may
decline in response to certain events, including those directly involving the
issuers whose securities are owned by the Master LLC; conditions affecting
the general economy; overall market changes; local, regional or global
political, social or economic instability; and currency and interest rate and
price fluctuations. Similar to issuer credit risk, the Master LLC may be
exposed to counterparty credit risk, or the risk that an entity with which the
Master LLC has unsettled or open transactions may fail to or be unable to
perform on its commitments. The Master LLC manages counterparty credit
risk by entering into transactions only with counterparties that it believes
have the financial resources to honor their obligations and by monitoring
the financial stability of those counterparties. Financial assets, which
potentially expose the Master LLC to market, issuer and counterparty credit
risks, consist principally of financial instruments and receivables due from
counterparties. The extent of the Master LLC’s exposure to market, issuer
and counterparty credit risks with respect to these financial assets is gener-
ally approximated by their value recorded in the Master LLC’s Statement of
Assets and Liabilities, less any collateral held by the Master LLC.

7. Borrowings:

The Master LLC, along with certain other funds managed by the Manager
and its affiliates, is a party to a $500 million credit agreement with a group
of lenders, which expired in November 2010. The Master LLC may borrow
under the credit agreement to fund shareholder redemptions. Effective
November 2009, the credit agreement had the following terms: 0.02%
upfront fee on the aggregate commitment amount which was allocated to
the Master LLC based on its net assets as of October 31, 2009, a commit-
ment fee of 0.10% per annum based on the Master LLC’s pro rata share of
the unused portion of the credit agreement and interest at a rate equal to
the higher of (a) the one-month LIBOR plus 1.25% per annum and (b) the
Fed Funds rate plus 1.25% per annum on amounts borrowed. In addition,
the Master LLC paid administration and arrangement fees which were
allocated to the Master LLC based on its net assets as of October 31,
2009. Effective November 2010, the credit agreement was renewed until
November 2011 with the following terms: a commitment fee of 0.08% per
annum based on the Master LLC’s pro rata share of the unused portion of
the credit agreement and interest at a rate equal to the higher of (a) the
one-month LIBOR plus 1.00% per annum and (b) the Fed Funds rate plus
1.00% per annum on amounts borrowed. In addition, the Master LLC paid
administration and arrangement fees which were allocated to the Master
LLC based on its net assets as of October 31, 2010. The Master LLC did
not borrow under the credit agreement during the six months ended
February 28, 2011.

8. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the
Master LLC’s Financial statements was completed through the date the
Financial Statements were issued and the following items were noted:

As described in Note 1, pursuant to the Reorganization, on March 21,
2011, Floating Rate Income Portfolio acquired all of the assets and certain
stated liabilities of the Senior Floating Rate Funds. In connection with the
Reorganizations, the Master LLC distributed its assets and will be dissolved.

88 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Officers and Directors

Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee
and Director
Richard S. Davis, Director
Frank J. Fabozzi, Director and Member of the Audit Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Henry Gabbay, Director
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
John M. Perlowski, President and Chief Executive Officer
Brendan Kyne, Vice President
Anne F. Ackerley, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer
Ira Shapiro, Secretary

Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809

Sub-Advisor
BlackRock Financial
Management, Inc.
New York, NY 10055

Custodians
State Street Bank
and Trust Company1
Boston, MA 02111

The Bank of New York Mellon2
New York, NY 10286

Transfer Agents
Common Shares
Computershare Trust Company, N.A.1
Providence, RI 02940

BNY Mellon Shareowner Services2
Jersey City, NJ 07310

Accounting Agent
State Street Bank
and Trust Company
Princeton, NJ 08540

Independent Registered
Public Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540

Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036

Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809
1 For BHL, DVF, FRA, and BLW.
2 For Senior Floating Rate and
Senior Floating Rate II.

Effective February 11, 2011, John M. Perlowski became
President and Chief Executive Officer of the Funds and
Master LLC.

Effective November 10, 2010, Ira Shapiro became
Secretary of the Funds and Master LLC.

Additional Information

Section 19(a) Notices

These reported amounts and sources of distributions are estimates and are not provided for tax reporting purposes. The actual amounts and sources for tax
reporting purposes will depend upon each Fund’s investment results during the year and may be subject to changes based on tax regulations. Each Fund
will provide a Form 1099-DIV for the calendar year that will explain the character of these dividends and distributions for federal income tax purposes.

February 28, 2011                 
    Total Cumulative Distributions    % Breakdown of the Total Cumulative 
    for the Fiscal Year-to-Date    Distributions for the Fiscal Year-to-Date 
  Net  Net Realized    Total Per  Net  Net Realized    Total Per 
  Investment  Capital  Return of  Common  Investment  Capital  Return of  Common 
  Income  Gains  Capital  Share  Income  Gains  Capital  Share 
DVF.  $0.381      $0.381  100%  0%  0%  100% 
FRA  $0.462      $0.462  100%  0%  0%  100% 

 

Each Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be
a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder.
A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with ‘yield’ or ‘income.’

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 89



Additional Information (continued)

Proxy Results

The Annual Meeting of Shareholders was held on September 2, 2010 for shareholders of record on July 6, 2010, to elect trustee/director nominees for
each Trust/Fund. There were no broker non-votes with regard to any of the Trusts/Funds.

Approved the Class III Trustees as follows:                 
  Richard E. Cavanagh  Kathleen F. Feldstein    Henry Gabbay 
    Votes    Votes      Votes   
  Votes For  Withheld  Abstain  Votes For         Withheld  Abstain  Votes For  Withheld  Abstain 
BHL  8,356,414  153,402  0  8,369,170          140,646  0  8,425,441  84,375  0 
BLW  30,396,066  528,597  0  30,370,793         553,870  0  30,328,211  596,452  0 
    Jerrold B. Harris           
    Votes             
  Votes For  Withheld  Abstain           
BHL  8,365,232  144,584  0           
BLW  30,392,430  532,233  0           

 

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are
Richard S. Davis, Frank J. Fabozzi, James T. Flynn, R. Glenn Hubbard, W. Carl Kester and Karen P. Robards.

Approved the Directors as follows:                   
  Richard E. Cavanagh    Richard S. Davis    Frank J. Fabozzi 
    Votes      Votes      Votes   
  Votes For  Withheld  Abstain  Votes For  Withheld  Abstain  Votes For  Withheld  Abstain 
DVF  7,913,169  285,500  0  7,911,113  287,556  0  7,908,344  290,325  0 
FRA  11,690,894  121,683  0  11,691,131  121,446  0  11,686,628  125,949  0 
  Kathleen F. Feldstein    James T. Flynn      Henry Gabbay 
    Votes      Votes      Votes   
  Votes For  Withheld  Abstain  Votes For  Withheld  Abstain  Votes For  Withheld  Abstain 
DVF  7,901,869  296,800  0  7,907,743  290,926  0  7,912,755  285,914  0 
FRA  11,690,044  122,533  0  11,691,131  121,446  0  11,689,794  122,783  0 
    Jerrold B. Harris    R. Glenn Hubbard    W. Carl Kester 
    Votes      Votes      Votes   
  Votes For  Withheld  Abstain  Votes For  Withheld  Abstain  Votes For  Withheld  Abstain 
DVF  7,910,013  288,656  0  7,906,993  291,676  0  7,902,333  296,336  0 
FRA  11,690,031  122,546  0  11,691,100  121,477  0  11,686,391  126,186  0 
    Karen P. Robards             
    Votes               
  Votes For  Withheld  Abstain             
DVF  7,903,011  295,658  0             
FRA  11,692,644  119,933  0             

 

At a special meeting held on March 11, 2011, shareholders of Senior Floating Rate and Senior Floating Rate II approved the Reorganizations of Senior
Floating Rate and Senior Floating Rate II into Floating Rate Income Portfolio, pursuant to which Floating Rate Income Portfolio acquired substantially all of
the assets and assumed substantially all of the liabilities of Senior Floating Rate and Senior Floating Rate II in exchange for an equal aggregate value of the
Floating Rate Income Portfolio shares. The results were as follows:

    Votes   
  Votes For  Withheld  Abstain 
Senior Floating Rate  19,910,601  705,404  989,479 
Senior Floating Rate II  9,318,807  267,188  346,569 

 

Dividend Policy

The Funds’ dividend policy is to distribute all or a portion of their net
investment income to its shareholders on a monthly basis. In order to pro-
vide shareholders with a more stable level of dividend distributions, the
Funds may at times pay out less than the entire amount of net investment
income earned in any particular month and may at times in any particular
month pay out such accumulated but undistributed income in addition to
net investment income earned in that month. As a result, the dividends
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 Funds’ current accumulated but undistributed net investment income,
if any, is disclosed in the Statements of Assets and Liabilities, which com-
prises part of the financial information included in this report.

90 SEMI-ANNUAL REPORT FEBRUARY 28, 2011



Additional Information (concluded)

General Information

Electronic Delivery
Electronic copies of most financial reports are available on the Funds’ web-
sites or shareholders can sign up for e-mail notifications of quarterly state-
ments, annual and semi-annual reports by enrolling in the Funds’ electronic
delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks
or Brokerages:
Please contact your financial advisor to enroll. Please note that not all
investment advisors, banks or brokerages may offer this service.

Householding
The Funds will mail only one copy of shareholder documents, including
annual and semi-annual reports and proxy statements, to shareholders
with multiple accounts at the same address. This practice is commonly
called “householding” and is intended to reduce expenses and eliminate
duplicate mailings of shareholder documents. Mailings of your shareholder
documents may be householded indefinitely unless you instruct us
otherwise. If you do not want the mailing of these documents to be
combined with those for other members of your household, please
call (800) 441-7762.

Availability of Quarterly Schedule of Investments
Each Fund/Master LLC files its complete schedule of portfolio holdings with
the Securities and Exchange Commission (“SEC”) for the first and third
quarters of each fiscal year on Form N-Q. The Funds’/Master LLC’s Forms
N-Q are available on the SEC’s website at http://www.sec.gov and may
also be reviewed and copied at the SEC’s Public Reference Room in
Washington, DC. Information on the operation of the Public Reference
Room may be obtained by calling (800) SEC-0330. Each Fund’s/Master
LLC’s Forms N-Q may also be obtained upon request and without charge
by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that each Fund/Master LLC
uses to determine how to vote proxies relating to portfolio securities is
available (1) without charge, upon request, by calling (800) 441-7762; (2)
at www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record
Information about how the Funds/Master LLC voted proxies relating to
securities held in each Fund’s/Master LLC’s portfolio during the most
recent 12-month period ended June 30 is available upon request and
without charge (1) at www.blackrock.com or by calling (800) 441-7762
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. Investors and others are advised to periodically
check the website for updated performance information and the release of
other material information about the Funds.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and for-
mer fund investors and individual clients (collectively, “Clients”) and to
safeguarding their non-public personal information. The following infor-
mation 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 applica-
tions, 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 pro-
cedures relating to the proper storage and disposal of such information.

SEMI-ANNUAL REPORT FEBRUARY 28, 2011 91



This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless accompanied or

preceded by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation

of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth

more or less than their original cost. Statements and other information herein are as dated and are subject to change.




Item 2 – Code of Ethics – Not Applicable to this semi-annual report

Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under
Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous
Form N-CSR filing.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies –
Not Applicable to this semi-annual report

Item 8 – Portfolio Managers of Closed-End Management Investment Companies –
(a) Not Applicable to this semi-annual report
(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in
the most recent annual report on Form N-CSR.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated
Purchasers – Not Applicable

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these
procedures.

Item 11 – Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar
functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-
3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date
within 90 days of the filing of this report based on the evaluation of these controls and procedures required
by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as
amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule
30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this
report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal
control over financial reporting.

Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of
1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized.



BlackRock Limited Duration Income Trust

By: /S/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Limited Duration Income Trust

Date: May 4, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of
1940, this report has been signed below by the following persons on behalf of the registrant and in the
capacities and on the dates indicated.

By: /S/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Limited Duration Income Trust

Date: May 4, 2011

By: /S/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Limited Duration Income Trust

Date: May 4, 2011