BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-21413

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

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Strategies Fund, Inc., 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: 08/31/2016

Date of reporting period: 08/31/2016


Item 1 – Report to Stockholders


AUGUST 31, 2016

 

 

ANNUAL REPORT

 

    LOGO

 

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

     Page  

The Markets in Review

    3   

Annual Report:

 

Fund Summaries

    4   

The Benefits and Risks of Leveraging

    10   

Derivative Financial Instruments

    10   
Financial Statements  

Schedules of Investments

    11   

Statements of Assets and Liabilities

    65   

Statements of Operations

    67   

Statements of Changes in Net Assets

    68   

Statements of Cash Flows

    69   

Financial Highlights

    71   

Notes to Financial Statements

    74   

Report of Independent Registered Public Accounting Firm

    88   

Important Tax Information

    88   

Disclosure of Investment Advisory Agreements

    89   

Automatic Dividend Reinvestment Plans

    93   

Officers and Directors

    94   

Additional Information

    97   

 

                
2    ANNUAL REPORT    AUGUST 31, 2016   


The Markets in Review

 

Dear Shareholder,

Uneven economic outlooks and the divergence of monetary policies across regions have been the overarching themes driving financial markets over the past couple of years. In the latter half of 2015, investors were focused largely on the timing of the Federal Reserve’s (the “Fed”) decision to end its near-zero interest rate policy. The Fed ultimately hiked rates in December, while, in contrast, the European Central Bank and the Bank of Japan increased stimulus, even introducing negative interest rates. The U.S. dollar had strengthened considerably, causing profit challenges for U.S. companies that generate revenues overseas, and pressuring emerging market currencies and commodities prices. Also during this time period, oil prices collapsed due to excess global supply. China showed signs of slowing economic growth and declining confidence in the country’s policymakers stoked worries about the potential impact on the global economy. Risk assets (such as equities and high yield bonds) struggled as volatility increased.

The elevated market volatility spilled over into 2016, but as the first quarter wore on, fears of a global recession began to fade, allowing markets to calm and risk assets to rebound. Central bank stimulus in Europe and Japan, combined with a more tempered outlook for rate hikes in the United States, helped bolster financial markets. A softening in U.S. dollar strength brought relief to U.S. exporters and emerging market economies, and oil prices rebounded as the world’s largest producers agreed to reduce supply.

Volatility spiked in late June when the United Kingdom shocked investors with its vote to leave the European Union. Uncertainty around how the British exit might affect the global economy and political landscape drove investors to high-quality assets, pushing already low global yields to even lower levels. However, risk assets recovered swiftly in July as economic data suggested that the consequences had thus far been contained to the United Kingdom.

With a number of factors holding interest rates down — central bank accommodation, an aging population in need of income, and institutions such as insurance companies and pension plans needing to meet liabilities — assets offering decent yield have become increasingly scarce. As a result, income-seeking investors have stretched into riskier assets despite high valuations in many sectors.

Market volatility touched a year-to-date low in August, which may be a signal that investors have become complacent given persistent macro risks: Geopolitical turmoil continues to loom. A surprise move from the Fed — i.e., raising rates sooner than expected — has the potential to roil markets. And perhaps most likely to stir things up — the U.S. presidential election.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to adjust accordingly as market conditions change over time. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of August 31, 2016  
    6-month     12-month  

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

    13.60     12.55

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

    20.87        8.59   

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

    10.35        (0.12

Emerging market equities
(MSCI Emerging Markets Index)

    22.69        11.83   

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

    0.17        0.23   

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

    2.22        7.35   

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

    3.68        5.97   

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

    3.35        7.03   

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

    15.56        9.12   
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Fund Summary as of August 31, 2016    BlackRock Defined Opportunity Credit Trust

 

 

Fund Overview

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

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

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

 

Performance and Portfolio Management Commentary

 

Returns for the 12 months ended August 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BHL1,2

    8.79     3.91

Lipper Loan Participation Funds3

    10.37     3.86

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

 

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

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

What factors influenced performance?

 

 

Credit markets produced positive returns during the 12-month period, with initial declines during the first half of the period giving way to a rebound in the second half. Floating rate loan interests (bank loans) benefited from the steadily improving appetite for credit during the period, but underperformed high yield bonds. Commodity-focused assets make up less of the overall bank loan universe compared to the high yield bond market, and so the recovery in the energy and metals & mining industries during the period did not benefit loans to the same degree. The Fund’s tactical allocation to high yield bonds contributed to performance.

 

 

Leading positive contributors to the Fund’s absolute performance included loan holdings within technology, health care, and consumer services.

 

Primary detractors from the Fund’s performance included small positions in equities and equity-like assets, as well as credit positions in the oilfield services and integrated energy industries within the energy sector.

Describe recent portfolio activity.

 

 

During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. The Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. In order to capture momentum from the recovery in commodity-related assets, the Fund selectively added to its fixed rate high yield bond allocation. From a sector standpoint, the Fund added to names in the technology and health care sectors, while trimming exposure in the pharmaceuticals and lodging sectors.

Describe portfolio positioning at period end.

 

 

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

 

 

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

 

                
4    ANNUAL REPORT    AUGUST 31, 2016   


     BlackRock Defined Opportunity Credit Trust

 

 

Fund Information     

Symbol on New York Stock Exchange (“NYSE”)

  BHL

Initial Offering Date

  January 31, 2008

Current Distribution Rate on Closing Market Price as of August 31, 2016 ($13.42)1

  4.56%

Current Monthly Distribution per Common Share2

  $0.051

Current Annualized Distribution per Common Share2

  $0.612

Economic Leverage as of August 31, 20163

  26%

 

  1   

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

 

  2   

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

 

  3   

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

 

Market Price and Net Asset Value Per Share Summary

 

      8/31/16      8/31/15      Change      High      Low  

Market Price

   $ 13.42       $ 12.95         3.63    $ 13.61       $ 12.50   

Net Asset Value

   $ 13.70       $ 13.84         (1.01 )%     $ 13.87       $ 12.92   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments

 

Portfolio Composition   8/31/16     8/31/15  

Floating Rate Loan Interests

    95     94

Corporate Bonds

    4        3   

Asset-Backed Securities

    1        3   

Short-Term Securities4

             

Other5

             

 

  4   

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

 

  5   

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

Credit Quality Allocation6,7   8/31/16     8/31/15  

A

    4      1

BBB/Baa

    11     8   

BB/Ba

    45        45   

B

    39        40   

CCC/Caa

    2        3   

N/R

    3        3   

 

  6   

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

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

 

  7   

Excludes Short-Term Securities.

 

 

                
   ANNUAL REPORT    AUGUST 31, 2016    5


Fund Summary as of August 31, 2016    BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

Fund Overview

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

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

 

Performance and Portfolio Management Commentary

 

Returns for the 12 months ended August 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

FRA1, 2

    12.14     5.00

Lipper Loan Participation Funds3

    10.37     3.86

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

 

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

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

What factors influenced performance?

 

 

Credit markets produced positive returns during the 12-month period, with initial declines during the first half of the period giving way to a rebound in the second half. Floating rate loan interests (bank loans) benefited from the steadily improving appetite for credit during the period, but underperformed high yield bonds. Commodity-focused assets make up less of the overall bank loan universe compared to the high yield bond market, and so the recovery in the energy and metals & mining industries during the period did not benefit loans to the same degree. The Fund’s tactical allocation to high yield bonds also contributed to performance.

 

 

Leading positive contributors to the Fund’s absolute performance included loan holdings within technology, health care, and consumer services.

 

Primary detractors from the Fund’s performance included small positions in equities and equity-like assets, as well as credit positions in the oilfield services and integrated energy industries within the energy sector.

Describe recent portfolio activity.

 

 

During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. The Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. In order to capture momentum from the recovery in commodity-related assets, the Fund selectively added to its fixed rate high yield bond allocation. From a sector standpoint, the Fund added to positions in the technology and health care sectors, while trimming exposure in the pharmaceuticals and lodging sectors.

Describe portfolio positioning at period end.

 

 

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

 

 

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

 

                
6    ANNUAL REPORT    AUGUST 31, 2016   


     BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

Fund Information

Symbol on NYSE

  FRA

Initial Offering Date

  October 31, 2003

Current Distribution Rate on Closing Market Price as of August 31, 2016 ($13.70)1

  5.34%

Current Monthly Distribution per Common Share2

  $0.061

Current Annualized Distribution per Common Share2

  $0.732

Economic Leverage as of August 31, 20163

  29%

 

  1   

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

 

  2   

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

 

  3   

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

 

Market Price and Net Asset Value Per Share Summary

 

      8/31/16      8/31/15      Change      High      Low  

Market Price

     $13.70         $12.94         5.87%         $13.70         $11.97   

Net Asset Value

     $14.78         $14.91         (0.87)%         $14.94         $13.91   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments

 

Portfolio Composition   8/31/16     8/31/15  

Floating Rate Loan Interests

    93     92

Asset-Backed Securities

    3        4   

Corporate Bonds

    4        3   

Common Stocks

    4      1   

Short-Term Securities4

             

Other5

             

 

  4   

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

  5   

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

Credit Quality Allocation6,7   8/31/16     8/31/15  

A

    4      1

BBB/Baa

    11     8   

BB/Ba

    44        44   

B

    39        40   

CCC/Caa

    3        3   

N/R

    3        4   

 

  6   

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

 

  7   

Excludes Short-Term Securities.

 

 

                
   ANNUAL REPORT    AUGUST 31, 2016    7


Fund Summary as of August 31, 2016    BlackRock Limited Duration Income Trust

 

Fund Overview

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

 

 

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

 

 

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

 

 

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

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

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

 

Performance and Portfolio Management Commentary

 

Returns for the 12 months ended August 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BLW1,2

    17.59     7.78

Lipper High Yield Funds (Leveraged)3

    18.69     7.88

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

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

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

What factors influenced performance?

 

 

The largest contributors to the Fund’s absolute performance over the period were its exposures to high yield corporate bonds, senior loans, investment grade corporate bonds and capital securities. Allocations to domestic commercial mortgage-backed securities (“CMBS”) and asset backed securities (“ABS”) also supported returns.

 

 

The largest detractor from the Fund’s absolute performance over the period was its allocation to non-U.S.-domiciled CMBS, especially issuers located in the United Kingdom and Europe.

 

 

The Fund held derivatives during the period including Treasury futures, currency forwards, options and credit default swaps. The derivatives were

   

primarily used to adjust duration (sensitivity to interest rate movements) and yield curve exposure, and to manage credit and currency risk.

Describe recent portfolio activity.

 

 

Over the period, the Fund maintained a generally consistent spread duration (sensitivity to credit spreads) while rotating its sector exposure. Given the investment adviser’s view that interest rates will likely remain range-bound in the near term, the Fund’s allocation to collateralized loan obligations was reduced and was reallocated toward emerging market debt and high-beta sovereign names. This scenario would reduce the risk of a sharply rising U.S. dollar and expand the potential for emerging market countries to cut interest rates. In addition, the Fund’s high yield exposure was rotated toward European issuers to take advantage of favorable technical market conditions caused by the European Central Bank’s buying program, and to diversify away from U.S. commodity-related issuers. In addition, the Fund’s duration was increased and its exposure to floating rate securities was reduced, consistent with the investment adviser’s view that rates will not move materially higher any time soon.

Describe portfolio positioning at period end.

 

 

The Fund maintained a diversified exposure to non-government spread sectors including high yield, senior loans, investment grade corporate credit, CMBS, ABS, as well as agency and non-agency residential mortgage-backed securities.

 

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    ANNUAL REPORT    AUGUST 31, 2016   


     BlackRock Limited Duration Income Trust

 

 

Fund Information                              

 

Symbol on NYSE

  BLW

Initial Offering Date

  July 30, 2003

Current Distribution Rate on Closing Market Price as of August 31, 2016 ($15.74)1

  6.63%

Current Monthly Distribution per Common Share2

  $0.087

Current Annualized Distribution per Common Share2

  $1.044

Economic Leverage as of August 31, 20163

  30%

 

  1   

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

 

  2   

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

 

  3   

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

 

Market Price and Net Asset Value Per Share Summary                              

 

      8/31/16      8/31/15      Change      High      Low  

Market Price

   $ 15.74       $ 14.60         7.81    $ 15.82       $ 13.31   

Net Asset Value

   $ 16.84       $ 17.04         (1.17 )%     $ 17.10       $ 15.41   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments                              

 

Portfolio Composition   8/31/16     8/31/15  

Corporate Bonds

    42     38

Floating Rate Loan Interests

    26        26   

Asset-Backed Securities

    10        16   

Non-Agency Mortgage-Backed Securities

    8        10   

Preferred Securities

    8        8   

Foreign Agency Obligations

    4        1   

U.S. Government Sponsored Agency Securities

    1        1   

U.S. Treasury Obligations

    1          

Other4

             

 

  4   

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

Credit Quality Allocation5,6   8/31/16     8/31/15  

AAA/Aaa7

    4     2

AA/Aa

    1        2   

A

    7        8   

BBB/Baa

    19        17   

BB/Ba

    32        31   

B

    25        25   

CCC/Caa

    4        5   

N/R

    8        10   

 

  5   

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

 

  6   

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

 

  7  

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

 

 

                
   ANNUAL REPORT    AUGUST 31, 2016    9


The Benefits and Risks of Leveraging     

 

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

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

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

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

does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Funds’ intended leveraging strategy will be successful.

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

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

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

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

 

 

Derivative Financial Instruments     

 

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

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

 

 

                
10    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments August 31, 2016

  

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)

 

Common Stocks (a)

        
Shares
    Value  

Oil, Gas & Consumable Fuels — 0.0%

  

Vantage Drilling International

             46          

Specialty Retail — 0.0%

  

Things Remembered, Inc.

             215,057      $ 2   
      
                          
Asset-Backed Securities (b)(c)   

Par  

(000)

        

Asset-Backed Securities — 1.5%

  

ALM XIV Ltd., Series 2014-14A, Class C, 4.19%, 7/28/26

     USD        463        448,357   

ALM XVII Ltd., Series 2015-17A, Class C1, 4.83%, 1/15/28

       250        238,125   

Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 4.38%, 10/15/26

       250        236,643   

Atrium CDO Corp., Series 9A, Class D, 4.33%, 2/28/24

       250        243,816   

Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 5.20%, 1/20/25

       250        250,023   

Octagon Investment Partners XXI Ltd.,
Series 2014-1A, Class C, 4.47%, 11/14/26

       250        235,974   

Webster Park CLO Ltd., Series 2015-1A, Class B1, 3.80%, 1/20/27

             250        251,268   
Total Asset-Backed Securities — 1.5%                      1,904,206   
      
                          
Corporate Bonds                      

Airlines — 0.7%

  

American Airlines Pass-Through Trust,
Series 2013-2, Class C, 6.00%, 1/15/17 (b)

       244        246,633   

Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18

       37        38,180   

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

       590        611,387   
      

 

 

 
                       896,200   

Commercial Services & Supplies — 0.2%

  

ADT Corp., 4.13%, 6/15/23

       224        219,520   

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.59%, 12/01/17 (c)

       68        68,170   
      

 

 

 
                       287,690   

Communications Equipment — 0.1%

  

Avaya, Inc., 7.00%, 4/01/19 (b)

             85        63,325   

Containers & Packaging — 1.3%

  

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

      

3.86%, 12/15/19

       260        262,600   

4.07%, 5/15/21

       249        253,357   
Corporate Bonds    Par  
(000)
    Value  

Containers & Packaging (continued)

 

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer,
4.13%, 7/15/21 (b)(c)

     USD        1,160      $ 1,177,400   
      

 

 

 
                       1,693,357   

Diversified Telecommunication Services — 0.3%

  

Level 3 Financing, Inc.:

      

4.41%, 1/15/18 (c)

       228        229,140   

6.13%, 1/15/21

       127        131,763   
      

 

 

 
                       360,903   

Electric Utilities — 0.1%

  

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

             234        76,006   

Health Care Providers & Services — 0.1%

  

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

             75        76,406   

Independent Power and Renewable Electricity Producers — 0.3%

  

NRG Energy, Inc., 6.25%, 7/15/22

             340        347,225   

Media — 1.2%

  

Altice Financing SA (b):

      

6.63%, 2/15/23

       200        208,250   

7.50%, 5/15/26

       200        210,500   

Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22

       358        375,005   

SFR Group SA (b):

      

6.00%, 5/15/22

       200        204,400   

6.25%, 5/15/24

       240        241,800   

7.38%, 5/01/26

       255        263,288   
      

 

 

 
                       1,503,243   

Metals & Mining — 0.4%

      

Freeport-McMoRan, Inc., 2.38%, 3/15/18

             506        497,778   

Oil, Gas & Consumable Fuels — 1.1%

      

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

       155        165,850   

Concho Resources, Inc., 5.50%, 4/01/23

       20        20,650   

CONSOL Energy, Inc., 5.88%, 4/15/22

       376        340,280   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)

       20        20,800   

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

       50        50,500   

MEG Energy Corp., 7.00%, 3/31/24 (b)

       60        48,300   

Newfield Exploration Co., 5.63%, 7/01/24

       20        20,650   

NGPL PipeCo LLC, 7.12%, 12/15/17 (b)

       85        88,719   

RSP Permian, Inc., 6.63%, 10/01/22

       20        20,800   

Sabine Pass Liquefaction LLC:

      

5.63%, 4/15/23

       345        363,112   

5.88%, 6/30/26 (b)

       140        149,800   

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 9/15/24 (b)(e)

       70        71,750   
      

 

 

 
                       1,361,211   
Total Corporate Bonds — 5.8%                      7,163,344   
 

 

Portfolio Abbreviations

 

ABS    Asset-Backed Security      EUR    Euro    PIK    Payment-In-Kind
ADS    American Depositary Shares      GBP    British Pound    RUB    Russian Ruble
AUD    Australian Dollar      JPY    Japanese Yen    SEK    Swedish Krona
BRL    Brazilian Real      KRW    South Korean Won    SGD    Singapore Dollar
CAD    Canadian Dollar      LIBOR    London Interbank Offered Rate    S&P    Standard and Poor’s
CHF    Swiss Franc      LOC    Letter of Credit    USD    U.S. Dollar
CLO    Collateralized Loan Obligation      MXN    Mexican Peso    ZAR    South African Rand
DIP    Debtor-In-Possession      NOK    Norwegian Krone      
ETF    Exchange-Traded Fund      OTC    Over-the-Counter      

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    11


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Aerospace & Defense — 1.9%

      

BE Aerospace, Inc., 2014 Term Loan B, 3.75%, 12/16/21

     USD        507      $ 511,334   

Camp International Holding Co., 2016 1st Lien Term Loan, 4.75%, 8/11/23

       230        228,372   

Engility Corp.:

      

Term Loan B1, 4.88%, 8/12/20

       80        80,450   

Term Loan B2, 5.75%, 8/12/23

       155        156,363   

TransDigm, Inc.:

      

2015 Term Loan E, 3.75%, 5/14/22

       217        216,716   

2016 Delayed Draw Term Loan F, 3.75%, 6/09/23

       133        132,683   

2016 Extended Term Loan F, 3.75%, 6/09/23

       647        645,655   

2016 Term Loan F, 3.75%, 6/09/23

       148        147,425   

Term Loan D, 3.75%, 6/04/21

       259        257,939   
      

 

 

 
                       2,376,937   

Air Freight & Logistics — 1.0%

  

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

       156        124,243   

CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21

       161        128,072   

CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21

       25        20,059   

CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21

       222        176,651   

XPO Logistics, Inc., Term Loan B2, 4.25%, 10/30/21

       803        806,994   
      

 

 

 
                       1,256,019   

Airlines — 0.6%

  

Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18

       317        317,784   

Northwest Airlines, Inc.:

      

2.75%, 3/10/17

       60        59,108   

2.13%, 9/10/18

       136        132,844   

US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19

       252        252,044   
      

 

 

 
                       761,780   

Auto Components — 1.8%

  

Autoparts Holdings Ltd.:

      

1st Lien Term Loan, 7.00%, 7/29/17

       569        537,835   

2nd Lien Term Loan, 11.00%, 1/29/18

       200        171,570   

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

       322        273,014   

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

       1,088        1,070,745   

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19

       200        200,150   
      

 

 

 
                       2,253,314   

Automobiles — 0.6%

  

FCA US LLC, Term Loan B:

      

2018, 3.25%, 12/31/18

       109        109,454   

3.50%, 5/24/17

       602        602,550   
      

 

 

 
                       712,004   

Banks — 0.3%

  

Redtop Acquisitions Ltd.:

      

1st Lien Term Loan, 4.50%, 12/03/20

       254        253,183   

2nd Lien Term Loan, 8.25%, 6/03/21

       68        66,885   
      

 

 

 
                       320,068   

Biotechnology — 0.2%

      

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

             188        187,687   

Building Materials — 1.2%

      

USAGM HoldCo LLC:

      

2015 2nd Lien Term Loan, 9.50%, 7/28/23

       145        143,187   

2015 Term Loan, 4.75%, 7/28/22

       548        537,145   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Building Materials (continued)

      

USAGM HoldCo LLC (continued):

      

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

     USD        801      $ 799,985   
      

 

 

 
                       1,480,317   

Building Products — 2.8%

  

Continental Building Products LLC, 1st Lien Term Loan, 3.50%, 8/10/23

       259        259,615   

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

       1,172        1,169,533   

GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21

       267        266,050   

Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21

       416        418,359   

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

       289        289,244   

Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20

       503        504,512   

Wilsonart LLC:

      

Incremental Term Loan B2, 4.00%, 10/31/19

       107        107,116   

Term Loan B, 4.00%, 10/31/19

       489        488,598   
      

 

 

 
                       3,503,027   

Capital Markets — 0.7%

      

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

       145        140,019   

RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20

       776        780,362   
      

 

 

 
                       920,381   

Chemicals — 4.6%

  

Allnex (Luxembourg) & Cy SCA:

      

2016 Term Loan B2, 5.00%, 5/31/23

       97        97,380   

Term Loan B1, 4.50%, 10/03/19

       249        248,305   

Allnex USA, Inc.:

      

Term Loan B2, 4.50%, 10/03/19

       129        128,834   

Term Loan B3, 5.00%, 5/31/23

       73        73,365   

Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20

       459        461,087   

CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20

       26        26,383   

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

       257        258,970   

Chemours Co., Term Loan B, 3.75%, 5/12/22

       280        275,900   

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

       68        59,291   

Huntsman International LLC:

      

2013 Incremental Term Loan, 3.75%, 10/01/21

       303        304,040   

2016 Term Loan B, 4.25%, 4/01/23

       200        200,374   

Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/28/20

       268        269,159   

MacDermid, Inc.:

      

1st Lien Term Loan, 5.50%, 6/07/20

       387        386,358   

Term Loan B2, 5.50%, 6/07/20

       32        31,884   

Term Loan B3, 5.50%, 6/07/20

       722        721,645   

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

       720        684,186   

PQ Corp., Term Loan, 5.75%, 11/04/22

       314        315,906   

Royal Holdings, Inc.:

      

2015 1st Lien Term Loan, 4.50%, 6/19/22

       257        257,964   

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

       110        108,350   

Solenis International LP:

      

1st Lien Term Loan, 4.25%, 7/31/21

       349        344,815   

2nd Lien Term Loan, 7.75%, 7/31/22

       390        372,645   

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

       105        104,934   
      

 

 

 
                       5,731,775   

Commercial Services & Supplies — 7.3%

  

ADMI Corp., 2015 Term Loan B, 5.25%, 4/30/22

       262        263,438   

ADS Waste Holdings, Inc., Term Loan B2, 3.75%, 10/09/19

       700        698,830   
 

 

See Notes to Financial Statements.

 

                
12    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

 

Aramark Services, Inc.:

      

Term Loan E, 3.25%, 9/07/19

     USD        450      $ 450,877   

Term Loan F, 3.25%, 2/24/21

       192        192,109   

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20

       636        628,362   

Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21

       947        952,110   

Connolly Corp.:

      

1st Lien Term Loan, 4.50%, 5/14/21

       853        854,005   

2nd Lien Term Loan, 8.00%, 5/14/22

       35        35,266   

Creative Artists Agency LLC, Term Loan B, 5.00%, 12/17/21

       236        236,991   

Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21

       212        212,763   

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

       141        120,373   

GCA Services Group, Inc., 2016 Term Loan, 5.75%, 3/01/23

       429        431,426   

KAR Auction Services, Inc.:

      

Term Loan B2, 3.94%, 3/11/21

       302        303,958   

Term Loan B3, 4.25%, 3/09/23

       404        408,787   

Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19

       301        278,147   

Prime Security Services Borrower LLC:

      

1st Lien Term Loan, 4.75%, 7/01/21

       43        43,365   

2016 Incremental Term Loan B1, 4.75%, 5/02/22

       273        274,288   

PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21

       369        370,298   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

       981        971,359   

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

       230        231,150   

US Ecology, Inc., Term Loan, 3.75%, 6/17/21

       154        154,532   

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

       454        453,596   

Waste Industries USA, Inc., 2016 Term Loan, 3.50%, 2/27/20

       503        503,667   
      

 

 

 
                       9,069,697   

Communications Equipment — 1.9%

  

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.00%, 1/25/21

       176        176,323   

2nd Lien Term Loan, 7.50%, 1/24/22

       84        84,308   

CommScope, Inc., Term Loan B5, 3.75%, 12/29/22

       208        209,077   

Riverbed Technology, Inc., 2016 Term Loan, 5.00%, 4/24/22

       441        443,507   

Telesat Canada, Term Loan B2, 3.50%, 3/28/19

       139        139,106   

Zayo Group LLC, Term Loan B, 3.75%, 5/06/21

       1,270        1,271,276   
      

 

 

 
                       2,323,597   

Construction & Engineering — 0.8%

  

AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21

       84        84,176   

CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23

       284        285,234   

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

       655        655,000   
      

 

 

 
                       1,024,410   

Construction Materials — 1.5%

  

Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20

       795        793,558   

HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21

       839        843,106   

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

       163        162,519   

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

       99        96,150   
      

 

 

 
                       1,895,333   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Containers & Packaging — 2.1%

  

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19

     USD        503      $ 504,260   

Berry Plastics Holding Corp., Term Loan H, 3.75%, 10/03/22

       1,243        1,242,320   

BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20

       861        863,746   
      

 

 

 
                       2,610,326   

Distributors — 0.4%

  

ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20

       338        338,230   

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

       215        212,031   
      

 

 

 
                       550,261   

Diversified Consumer Services — 3.3%

  

AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22

       707        709,357   

Bright Horizons Family Solutions, Inc.:

      

Incremental Term Loan B1, 4.25%, 1/30/20

       79        78,918   

Term Loan B, 3.75%, 1/30/20

       622        624,081   

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

       272        266,150   

J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 5/24/23

       285        286,069   

Laureate Education, Inc., Term Loan B, 8.16%, 3/17/21

       55        54,787   

ROC Finance LLC, Term Loan, 5.00%, 6/20/19

       383        373,438   

ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21

       1,693        1,703,340   
      

 

 

 
                       4,096,140   

Diversified Financial Services — 0.9%

  

AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22

       432        433,896   

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

       222        217,931   

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

       402        400,677   
      

 

 

 
                       1,052,504   

Diversified Telecommunication Services — 3.6%

  

Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19

       510        511,543   

Integra Telecom, Inc.:

      

2015 1st Lien Term Loan, 5.25%, 8/14/20

       504        499,021   

2nd Lien Term Loan, 9.75%, 2/12/21

       168        158,692   

Level 3 Financing, Inc.:

      

2013 Term Loan B, 4.00%, 1/15/20

       2,330        2,341,650   

2019 Term Loan, 4.00%, 8/01/19

       350        350,995   

Telenet International Finance Sarl, Term Loan AD, 4.25%, 6/30/24

       550        551,071   
      

 

 

 
                       4,412,972   

Electrical Equipment — 0.7%

  

Texas Competitive Electric Holdings Co. LLC:

      

2016 DIP Term Loan B, 5.00%, 10/31/17

       614        615,789   

2016 DIP Term Loan C, 5.00%, 10/31/17

       140        140,375   

Extended Term Loan, 4.97%, 10/10/17 (a)(d)

       380        121,600   
      

 

 

 
                       877,764   

Electronic Equipment, Instruments & Components — 0.1%

  

CPI Acquisition, Inc., Term Loan B, 5.50%, 8/17/22

             176        171,092   

Energy Equipment & Services — 0.3%

  

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

       173        172,426   

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

       235        188,870   
      

 

 

 
                       361,296   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    13


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Food & Staples Retailing — 3.2%

  

Albertsons LLC:

      

2016 Term Loan B4, 4.50%, 8/25/21

     USD        1,011      $ 1,015,210   

2016 Term Loan B5, 4.75%, 12/21/22

       82        82,280   

Hostess Brands LLC:

      

1st Lien Term Loan, 4.50%, 8/03/22

       491        493,621   

2nd Lien Term Loan, 8.50%, 8/03/23

       16        15,645   

Rite Aid Corp.:

      

5.75%, 8/21/20

       278        279,088   

4.88%, 6/21/21

       562        562,364   

US Foods, Inc., 2016 Term Loan B, 4.00%, 6/27/23

       1,485        1,491,504   
      

 

 

 
                       3,939,712   

Food Products — 2.5%

  

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

       399        401,505   

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

       243        233,414   

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

       604        606,059   

Pinnacle Foods Finance LLC:

      

2016 Term Loan I, 3.27%, 1/13/23

       114        115,045   

Term Loan G, 3.25%, 4/29/20

       605        606,723   

Reddy Ice Corp., 1st Lien Term Loan, 6.75%, 5/01/19

       359        327,255   

Reynolds Group Holdings, Inc., 2016 Term Loan, 4.25%, 2/05/23

       791        791,966   
      

 

 

 
                       3,081,967   

Health Care Equipment & Supplies — 4.0%

  

Alere, Inc.:

      

2015 Term Loan A, 3.50%, 6/18/20

       106        104,255   

2015 Term Loan B, 4.25%, 6/18/22

       432        426,374   

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

       555        556,026   

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

       869        873,285   

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

       1,067        1,027,844   

Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18

       143        141,516   

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

       513        496,924   

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

       694        681,733   

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

       616        600,621   
      

 

 

 
                       4,908,578   

Health Care Providers & Services — 9.8%

  

Acadia Healthcare Co., Inc.:

      

Term Loan B, 3.75%, 2/11/22

       110        110,182   

Term Loan B2, 4.50%, 2/16/23

       488        489,378   

Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22

       103        101,894   

Amsurg Corp., 1st Lien Term Loan B, 3.50%, 7/16/21

       686        686,288   

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

       768        772,399   

Community Health Systems, Inc.:

      

Term Loan F, 4.08%, 12/31/18

       298        293,086   

Term Loan G, 3.75%, 12/31/19

       554        532,182   

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

       346        345,625   

DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21

       2,171        2,182,096   

Envision Healthcare Corp., Term Loan:

      

4.25%, 5/25/18

       965        965,363   

B2, 4.50%, 10/28/22

       204        204,167   

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

       326        326,570   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

 

HCA, Inc.:

      

Term Loan B6, 3.77%, 3/17/23

     USD        1,179      $ 1,192,253   

Term Loan B7, 3.57%, 2/15/24

       163        164,720   

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

       105        104,907   

NVA Holdings, Inc.:

      

1st Lien Term Loan, 4.75%, 8/14/21

       4        3,676   

2016 Term Loan, 5.50%, 8/14/21

       256        255,788   

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

       376        376,732   

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

       715        712,370   

Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20

       435        435,010   

Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22

       504        505,821   

Team Health, Inc., 2016 Term Loan, 3.75%, 11/23/22

       486        487,068   

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

       392        377,565   

Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23

       464        468,768   
      

 

 

 
                       12,093,908   

Health Care Technology — 0.8%

  

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

       55        54,897   

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

       943        942,902   
      

 

 

 
                       997,799   

Hotels, Restaurants & Leisure — 8.6%

  

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       575        568,835   

2nd Lien Term Loan, 8.00%, 8/01/22

       227        224,807   

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

       263        260,809   

Boyd Gaming Corp.:

      

Term Loan B, 4.00%, 8/14/20

       218        218,341   

Term Loan B2, 4.00%, 8/16/23

       480        481,800   

Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21

       1,073        1,076,891   

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

       1,733        1,693,403   

CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21

       316        317,871   

Diamond Resorts Corp., Term Loan, 7.00%, 5/09/21

       436        436,329   

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

       481        481,149   

ESH Hospitality, Inc., 2016 Term Loan B, 3.80%, 8/16/23

       730        731,518   

Hilton Worldwide Finance LLC:

      

2016 Term Loan B2, 3.21%, 10/26/23

       540        542,303   

Term Loan B1, 3.50%, 10/26/20

       53        52,822   

La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21

       188        186,194   

Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20

       585        586,831   

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

       620        626,460   

RHP Hotel Properties LP, Term Loan B, 3.50%, 1/15/21

       289        289,678   

Sabre, Inc.:

      

Incremental Term Loan, 4.50%, 2/19/19

       93        92,966   

Term Loan B, 4.00%, 2/19/19

       490        491,307   

Scientific Games International, Inc.:

      

2014 Term Loan B1, 6.00%, 10/18/20

       266        265,908   

2014 Term Loan B2, 6.00%, 10/01/21

       181        180,875   

Station Casinos LLC, 2016 Term Loan B, 3.75%, 6/08/23

       574        574,242   
 

 

See Notes to Financial Statements.

 

                
14    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

 

Yum! Brands, Inc., 1st Lien Term Loan B, 3.26%, 6/16/23

     USD        330      $ 331,944   
      

 

 

 
                       10,713,283   

Household Products — 0.8%

  

Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20

       180        178,902   

Spectrum Brands, Inc., Term Loan, 3.50%, 6/23/22

       833        836,327   
      

 

 

 
                       1,015,229   

Independent Power and Renewable Electricity Producers — 4.1%

  

Aria Energy Operating LLC, Term Loan, 5.50%, 5/27/22

       280        268,513   

Calpine Construction Finance Co., LP, Term Loan B1, 3.00%, 5/03/20

       362        357,332   

Calpine Corp.:

      

Term Loan B5, 3.50%, 5/27/22

       116        115,586   

Term Loan B6, 4.00%, 1/15/23

       483        484,886   

Term Loan B7, 3.64%, 5/02/23

       299        299,662   

Dynegy, Inc., Escrow, 5.00%, 6/27/23

       800        800,128   

Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 12/19/16

       1,370        1,375,256   

Granite Acquisition, Inc.:

      

Term Loan B, 5.00%, 12/19/21

       750        729,996   

Term Loan C, 5.00%, 12/19/21

       33        32,610   

NRG Energy, Inc., 2016 Term Loan B, 3.50%, 6/30/23

       385        384,457   

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

       346        292,096   
      

 

 

 
                       5,140,522   

Industrial Conglomerates — 0.1%

  

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

             111        95,610   

Insurance — 2.0%

  

AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20

       144        144,964   

Asurion LLC:

      

2nd Lien Term Loan, 8.50%, 3/03/21

       245        244,020   

Term Loan B1, 5.00%, 5/24/19

       622        621,974   

Term Loan B4, 5.00%, 8/04/22

       444        443,508   

Sedgwick Claims Management Services, Inc.:

      

2016 1st Lien Term Loan, 5.25%, 3/01/21

       205        206,154   

1st Lien Term Loan, 3.75%, 3/01/21

       450        444,030   

2nd Lien Term Loan, 6.75%, 2/28/22

       410        405,215   
      

 

 

 
                       2,509,865   

Internet & Catalog Retail — 0.6%

  

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.00%, 8/19/23

             692        692,949   

Internet Software & Services — 0.7%

  

Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21

       564        565,878   

WaveDivision Holdings LLC, Term Loan B, 4.00%, 10/15/19

       334        334,135   
      

 

 

 
                       900,013   

IT Services — 5.0%

  

Abacus Innovations Corp., Term Loan B, 3.57%, 1/26/23

       918        922,305   

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

       280        265,650   

First Data Corp., 2021 Extended Term Loan, 4.52%, 3/24/21

       3,003        3,017,196   

Global Payments Inc., Term Loan B, 4.02%, 4/22/23

       660        663,869   

Vantiv LLC, 2014 Term Loan B, 3.50%, 6/13/21

       383        384,221   

WEX, Inc., Term Loan B, 4.25%, 7/01/23

       910        916,334   
      

 

 

 
                       6,169,575   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Machinery — 2.1%

  

Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19

     USD        272      $ 272,051   

Faenza Acquisition GmbH:

      

Term Loan B1, 4.25%, 8/30/20

       237        238,021   

Term Loan B3, 4.25%, 8/30/20

       72        72,750   

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

       336        336,300   

Mueller Water Products, Inc., Term Loan B, 4.00%, 11/26/21

       177        177,596   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20

       528        527,561   

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

       808        718,711   

Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22

       200        200,211   
      

 

 

 
                       2,543,201   

Manufacture Goods — 0.1%

  

KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/28/20

             114        115,025   

Media — 13.4%

  

Altice U.S. Finance I Corp., Extended Term Loan, 4.25%, 12/14/22

       1,070        1,073,604   

Cengage Learning Acquisitions, Inc., 2016 Term
Loan B, 5.25%, 6/07/23

       511        509,795   

Charter Communications Operating LLC:

      

2016 Term Loan H, 3.25%, 8/24/21

       239        240,099   

2016 Term Loan I, 3.50%, 1/24/23

       1,881        1,890,744   

CSC Holdings LLC, 2015 Term Loan B, 5.00%, 10/09/22

       1,107        1,115,762   

Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20

       365        364,073   

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

       555        550,303   

iHeartCommunications, Inc.:

      

Extended Term Loan E, 8.02%, 7/30/19

       110        84,059   

Term Loan D, 7.27%, 1/30/19

       1,321        1,012,527   

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

       759        719,823   

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22

       275        270,875   

Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20

       112        112,048   

MCC Iowa LLC, Term Loan J, 3.75%, 6/30/21

       123        122,705   

Mediacom Communications Corp., Term Loan F, 2.95%, 3/31/18

       249        248,951   

MGOC, Inc., Term Loan B, 4.00%, 7/31/20

       484        483,961   

Numericable Group SA, Term Loan B5, 4.56%, 7/31/22

       85        84,802   

Numericable U.S. LLC:

      

Term Loan B6, 4.75%, 2/10/23

       925        927,801   

Term Loan B7, 5.00%, 1/15/24

       279        280,766   

SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21

       1,022        1,020,633   

Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20

       39        38,962   

Trader Corp., Term Loan, 5.50%, 8/09/23

       350        350,220   

Tribune Media Co., Term Loan, 3.75%, 12/27/20

       888        890,055   

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

       1,782        1,780,799   

UPC Financing Partnership, Term Loan AN, 3.00%, 8/31/24

       345        343,761   

Virgin Media Investment Holdings Ltd.:

      

Term Loan E, 4.25%, 6/30/23

     GBP        650        852,412   

Term Loan F, 3.65%, 6/30/23

     USD        525        525,117   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    15


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)    Par  
(000)
    Value  

Media (continued)

 

Ziggo Financing Partnership:

      

Term Loan B1, 3.65%, 1/15/22

     USD        280      $ 278,124   

Term Loan B2A, 3.70%, 1/15/22

       182        181,320   

Term Loan B3, 3.70%, 1/15/22

       299        297,775   
      

 

 

 
                       16,651,876   

Metals & Mining — 0.8%

  

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

       100        12,000   

FMG Resources August 2006 Property Ltd., Term
Loan B, 3.75%, 6/30/19

       74        73,998   

Freeport McMoran Copper & Gold Inc., Term Loan A, 3.28%, 5/31/18

       151        149,826   

Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22

       781        781,881   
      

 

 

 
                       1,017,705   

Multiline Retail — 2.2%

  

BJ’s Wholesale Club, Inc.:

      

1st Lien Term Loan, 4.50%, 9/26/19

       800        798,735   

2nd Lien Term Loan, 8.50%, 3/26/20

       199        199,380   

Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22

       856        857,538   

Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 9/30/22

       497        497,406   

Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20

       372        349,186   
      

 

 

 
                       2,702,245   

Oil, Gas & Consumable Fuels — 4.2%

  

California Resources Corp.:

      

Second Out Term Loan, 11.50%, 8/04/21

       570        597,075   

Term Loan A, 3.70%, 10/01/19

       403        383,113   

Chesapeake Energy Corp., Term Loan, 8.50%, 8/15/21

       739        761,721   

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

       238        239,063   

Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21

       230        105,510   

Energy Transfer Equity LP, Term Loan:

      

2015, 4.04%, 12/02/19

       225        223,031   

3.29%, 12/02/19

       47        45,792   

EP Energy LLC, 2016 Term Loan, 9.75%, 8/16/21

       106        104,308   

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

       132        131,954   

Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21

       205        193,213   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

       715        656,255   

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

       319        302,974   

Power Buyer LLC, 1st Lien Term Loan, 4.25%, 5/06/20

       114        113,602   

PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20

       105        103,950   

Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/20

       60        52,211   

Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21

       12        9,750   

Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22

       179        181,657   

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

       471        473,080   

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

       575        568,778   
      

 

 

 
                       5,247,037   

Personal Products — 1.0%

  

Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21

       541        543,164   

Revlon Consumer Products Corp., 2016 Term Loan B, 1.00%, 7/22/23

       680        678,980   
      

 

 

 
                       1,222,144   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Pharmaceuticals — 6.1%

  

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

     USD        563      $ 567,780   

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

       207        206,892   

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

       1,499        1,492,835   

Endo Luxembourg Finance Co. I Sarl, 2015 Term
Loan B, 3.75%, 9/26/22

       515        511,830   

Grifols Worldwide Operations USA, Inc., Term Loan B, 3.44%, 2/27/21

       1,412        1,421,064   

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

       1,314        1,317,913   

NBTY, Inc., Term Loan B, 5.00%, 5/05/23

       400        399,640   

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 4.28%, 10/20/18

       120        120,385   

Series A4 Tranche A, 4.26%, 4/01/20

       130        129,086   

Series C2 Term Loan B, 5.25%, 12/11/19

       884        884,726   

Series D2 Term Loan B, 5.00%, 2/13/19

       350        349,792   

Series E Term Loan B, 5.25%, 8/05/20

       209        208,638   
      

 

 

 
                       7,610,581   

Professional Services — 2.9%

  

Advantage Sales & Marketing, Inc.:

      

2014 1st Lien Term Loan, 4.25%, 7/23/21

       581        576,474   

2014 2nd Lien Term Loan, 7.50%, 7/25/22

       160        152,133   

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

       816        815,275   

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

       367        365,249   

TransUnion LLC, Term Loan B2, 3.50%, 4/09/21

       1,667        1,672,144   
      

 

 

 
                       3,581,275   

Real Estate Investment Trusts (REITs) — 1.5%

  

Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22

       539        538,738   

MGM Growth Properties LLC, 2016 Term Loan B, 4.00%, 4/25/23

       1,248        1,258,304   
      

 

 

 
                       1,797,042   

Real Estate Management & Development — 1.6%

  

CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20

       489        491,618   

DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21

       545        542,161   

Realogy Corp.:

      

2016 Term Loan B, 3.75%, 7/20/22

       714        717,864   

Term Loan A, 2.50%, 10/23/20

       252        249,254   
      

 

 

 
                       2,000,897   

Semiconductors & Semiconductor Equipment — 2.8%

  

Avago Technologies Cayman Ltd., Term Loan B3, 3.51%, 2/01/23

       2,046        2,063,758   

Cavium, Inc., Term Loan B, 3.75%, 8/16/22

       210        210,525   

Microsemi Corp., 2015 Term Loan B, 3.75%, 1/15/23

       100        100,692   

NXP BV, 2015 Term Loan B, 3.75%, 12/07/20

       1,010        1,015,446   

ON Semiconductor Corp., Term Loan B, 5.25%, 3/31/23

       125        126,540   
      

 

 

 
                       3,516,961   

Software — 6.2%

  

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

       236        225,035   

Evertec Group LLC, Term Loan B, 3.25%, 4/17/20

       114        112,204   

Infor US, Inc., Term Loan B5, 3.75%, 6/03/20

       842        831,989   

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

       923        890,798   

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

       142        120,372   
 

 

See Notes to Financial Statements.

 

                
16    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Software (continued)

  

Kronos, Inc.:

      

2nd Lien Term Loan, 9.75%, 4/30/20

     USD        409      $ 417,420   

Initial Incremental Term Loan, 4.50%, 10/30/19

       485        486,933   

Mitchell International, Inc.:

      

1st Lien Term Loan, 4.50%, 10/13/20

       491        489,336   

2nd Lien Term Loan, 8.50%, 10/11/21

       350        339,063   

SolarWinds, Inc., 2016 Term Loan, 5.50%, 2/03/23

       730        732,373   

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

       239        240,683   

Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22

       403        403,067   

SS&C Technologies, Inc.:

      

2015 Term Loan B1, 4.00%, 7/08/22

       1,136        1,142,609   

2015 Term Loan B2, 4.00%, 7/08/22

       144        144,964   

Vertafore, Inc., 2016 1st Lien Term Loan, 4.75%, 6/30/23

       1,085        1,086,660   
      

 

 

 
                       7,663,506   

Specialty Retail — 2.4%

  

Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20

       294        294,976   

Leslie’s Poolmart, Inc., 2016 Term Loan, 5.25%, 7/27/23

       275        276,719   

Michaels Stores, Inc.:

      

Incremental 2014 Term Loan B2, 4.00%, 1/28/20

       534        537,590   

Term Loan B, 3.75%, 1/28/20

       507        509,026   

Party City Holdings, Inc., 2015 Term Loan B, 4.49%, 8/19/22

       705        705,404   

Petco Animal Supplies, Inc.:

      

2016 Term Loan B1, 5.00%, 1/26/23

       179        180,567   

2016 Term Loan B2, 5.00%, 1/26/23

       373        375,748   

Things Remembered, Inc., 2016 Term Loan, 1.00%, 2/29/20

       215        94,517   
      

 

 

 
                       2,974,547   

Technology Hardware, Storage & Peripherals — 1.3%

  

Dell International LLC, Term Loan B2, 4.00%, 4/29/20

       314        314,893   

Dell, Inc.:

      

2016 Term Loan B, 4.00%, 5/24/23

       575        578,082   

Term Loan C, 3.75%, 10/29/18

       514        513,339   

Linxens France SA, Term Loan, 5.00%, 10/14/22

       179        179,213   
      

 

 

 
                       1,585,527   

Textiles, Apparel & Luxury Goods — 0.6%

  

Ascend Performance Materials Operations LLC, Term Loan B, 6.75%, 8/12/22

       552        543,584   

J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21

       77        60,521   

Samsonite International SA, Term Loan B, 4.00%, 5/12/23

       115        116,150   
      

 

 

 
                       720,255   

Thrifts & Mortgage Finance — 0.4%

  

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

             494        494,836   

Trading Companies & Distributors — 0.3%

  

Beacon Roofing Supply, Inc., Term Loan B, 4.00%, 10/01/22

       317        317,573   

Nexeo Solutions LLC, 2016 Term Loan, 5.25%, 6/09/23

       60        60,188   
      

 

 

 
                       377,761   

Transportation — 0.2%

  

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

             289        257,713   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Wireless Telecommunication Services — 2.7%

  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 6/15/20 (a)(d)(f)

     USD        1,677      $ 1,521,934   

LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20

       1,132        1,130,388   

T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22

       631        635,133   
      

 

 

 
                       3,287,455   
Total Floating Rate Loan Interests — 133.6%                      165,575,300   
      
                          
Non-Agency Mortgage-Backed Securities — 0.3%  

Collateralized Mortgage Obligations — 0.3%

  

Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c)

             304        304,763   
      
                          
Investment Companies           Shares         

Capital Markets — 0.4%

      

Eaton Vance Floating-Rate Income Trust

       12        169   

Eaton Vance Senior Income Trust

       3,347        21,086   

iShares iBoxx $ High Yield Corporate Bond ETF (g)

             5,864        508,467   
Total Investment Companies — 0.4%                      529,722   
      
                          
Warrants — 0.0%  

Software — 0.0%

  

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

             691        1,408   
Total Long-Term Investments
(Cost — $176,025,294) — 141.6%
                     175,478,745   
      
                          
Short-Term Securities  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.33% (g)(h)

             220,100        220,100   
Total Short-Term Securities
(Cost — $220,100) — 0.2%
                     220,100   
Total Investments (Cost — $176,245,394) — 141.8%        175,698,845   

Liabilities in Excess of Other Assets — (41.8)%

  

    (51,782,581
      

 

 

 
Net Assets — 100.0%      $ 123,916,264   
      

 

 

 
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    17


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

 

Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

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

 

(c)   Variable rate security. Rate as of period end.

 

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

 

(e)   When-issued security.

 

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

 

(g)   During the year ended August 31, 2016, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Shares
Purchased
       Shares
Sold
       Shares Held
at August 31,
2016
    Value at
August 31,
2016
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       254,052                     (33,952 )1         220,100      $ 220,100         $ 1,098   

iShares iBoxx $ High Yield Corporate Bond ETF

                 5,864                     5,864        508,467           2,015   

Total

                      $ 728,567         $ 3,113   
                     

 

 

 

1   Represents net shares sold.

      

      

 

(h)   Current yield as of period end.

 

 

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

 

Derivative Financial Instruments Outstanding as of Period End                              

Futures Contracts

 

Contracts
Short
    Issue   Expiration   Notional Value   Unrealized
Depreciation
 
  (4   10-Year U.S. Treasury Note   December 2016   $523,688   $ (340

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
        
USD        857,832           GBP           651,000      HSBC Bank PLC     9/06/16         $ 2,920     
USD        853,722           GBP           651,000      Royal Bank of Scotland PLC     10/05/16           (1,833        
Total                         $ 1,087     
                       

 

 

 

OTC Total Return Swaps

 

Reference Entity   Fixed Rate/
Floating Rate
  Counterparty   Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
(Received)
   

Unrealized
Appreciation

        

IBoxx USD Liquid High Yield Index

  3-Month LIBOR Plus 0.00%1   JPMorgan Chase Bank N.A.     N/A        12/20/16      USD     125      $ 6,714             $ 6,714           

1    Fund pays the total return of the reference entity and receives the floating rate.

         

 

See Notes to Financial Statements.

 

                
18    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Forward foreign currency exchange contracts

   Net unrealized appreciation on forward foreign currency exchange contracts                            $ 2,920                       $ 2,920   

Swaps — OTC

   Unrealized appreciation on OTC swaps                                    $ 6,714                 6,714   
     

 

 

 

Total

                              $ 2,920       $ 6,714               $ 9,634   
     

 

 

 
Liabilities — Derivative Financial Instruments                                                        

Futures contracts

   Net unrealized depreciation1                                    $ 340               $ 340   

Forward foreign currency exchange contracts

   Net unrealized depreciation on forward foreign currency exchange contracts                            $ 1,833                         1,833   
     

 

 

 

Total

                              $ 1,833       $ 340               $ 2,173   
     

 

 

 

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

        

For the year ended August 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                                  $ (22,589            $ (22,589

Forward foreign currency exchange contracts

                          $ 156,900                         156,900   

Swaps

          $ (20,991                      (113              (21,104
 

 

 

 

Total

          $ (20,991            $ 156,900       $ (22,702            $ 113,207   
 

 

 

 
                   
Net Change in Unrealized Appreciation (Depreciation) on:                                                  

Futures contracts

                                  $ (843            $ (843

Forward foreign currency exchange contracts

                          $ (10,253                      (10,253

Swaps

          $ 7,012                         6,714                 13,726   
 

 

 

 

Total

          $ 7,012               $ (10,253    $ 5,871               $ 2,630   
 

 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      

 

Futures contracts:     

Average notional value of contracts — short

     $ 517,563   
Forward foreign currency exchange contracts:     

Average amounts purchased — in USD

     $ 1,534,673   
Credit default swaps:     

Average notional value — sell protection

     $ 1,243,500 1 

Total return swaps:

    

Average notional value

     $ 62,500   

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    19


Schedule of Investments (continued)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

 

Derivative Financial Instruments — Offsetting as of Period End

 

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

 

   
     Assets     Liabilities  
Derivative Financial Instruments:    

Forward foreign currency exchange contracts

  $ 2,920      $ 1,833   

Swaps — OTC

    6,714          
 

 

 

 

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

    9,634        1,833   
 

 

 

 

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

             
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 9,634      $ 1,833   
 

 

 

 

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

 

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

HSBC Bank PLC

  $ 2,920                                       $ 2,920     

JPMorgan Chase Bank N.A.

    6,714                                         6,714     
 

 

 

 
  $ 9,634                                       $ 9,634     
 

 

 

 

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available for
Offset
       Non-cash
Collateral
Pledged
       Cash Collateral
Pledged
       Net
Amount of
Derivative
Liabilities2
 

Royal Bank of Scotland PLC

  $ 1,833                                       $ 1,833   

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

       

2    Net amount represents the net amount payable due to the counterparty in the event of default.

       

 

Fair Value Hierarchy as of Period End

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

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

            $ 1,414,813         $ 489,393         $ 1,904,206   

Common Stocks

                        2           2   

Corporate Bonds

              7,163,344                     7,163,344   

Floating Rate Loan Interests

              157,782,588           7,792,712           165,575,300   

Investment Companies

  $ 529,722                               529,722   

Non-Agency Mortgage-Backed Securities

              304,763                     304,763   

Warrants

                        1,408           1,408   

Unfunded Floating Rate Loan Interests1

              1,293                     1,293   

Short-Term Securities

    220,100                               220,100   
 

 

 

 

Total

  $ 749,822         $ 166,666,801         $ 8,283,515         $ 175,700,138   
 

 

 

 
                
Derivative Financial Instruments2                                         

Assets:

                

Foreign currency exchange contracts

            $ 2,920                   $ 2,920   

Interest rate contracts

              6,714                     6,714   

Liabilities:

  

Foreign currency exchange contracts

              (1,833                  (1,833

Interest rate contracts

  $ (340                            (340
 

 

 

 

Total

  $ (340      $ 7,801                   $ 7,461   
 

 

 

 

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

       

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

        

 

See Notes to Financial Statements.

 

                
20    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Defined Opportunity Credit Trust (BHL)

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 94,917                             $ 94,917   

Cash pledged for futures contracts

    5,700                               5,700   

Foreign currency at value

    669                               669   

Liabilities:

                

Bank borrowings payable

            $ (44,000,000                  (44,000,000
 

 

 

 

Total

  $ 101,286         $ (44,000,000                $ (43,898,714
 

 

 

 

During the year ended August 31, 2016, there were no transfers between Level 1 and Level 2.

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

 

    

Common

Stocks

       Asset-Backed
Securities
       Floating
Rate Loan
Interests
       Warrants        Total  

Assets:

                     

Opening balance, as of August 31, 2015

            $ 1,801,100         $ 7,593,019         $ 5,940         $ 9,400,059   

Transfers into Level 31

                        4,221,805                     4,221,805   

Transfers out of Level 32

                        (2,415,126                  (2,415,126

Accrued discounts/premiums

              3,467           9,159                     12,626   

Net realized gain (loss)

              (234,932        (395,383                  (630,315

Net change in unrealized appreciation (depreciation)3,4

  $ 2           (429        166,252           (4,532        161,293   

Purchases

              488,209           3,326,862                     3,815,071   

Sales

              (1,568,022        (4,713,876                  (6,281,898

Closing balance, as of August 31, 2016

  $ 2         $ 489,393         $ 7,792,712         $ 1,408         $ 8,283,515   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 20164

            $ 835         $ 42,253         $ (4,532      $ 38,556   
 

 

 

 

1    As of August 31, 2015, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

         

2    As of August 31, 2015, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2016, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

         

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

       

4    Any difference between net change in unrealized appreciation (depreciation) on investments still held at August 31, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

        

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    21


Consolidated Schedule of Investments August 31, 2016

  

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

(Percentages shown are based on Net Assets)

 

Common Stocks (a)               
Shares
    Value  

Chemicals — 0.0%

  

GEO Specialty Chemicals, Inc.

       143,928      $ 4,318   

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

       23,849        715   
      

 

 

 
                       5,033   

Diversified Financial Services — 0.0%

  

Kcad Holdings I Ltd.

             309,827,230        105,341   

Health Care Management Services — 0.0%

  

New Millennium HoldCo, Inc.

             14,906        11,299   

Oil, Gas & Consumable Fuels — 0.0%

  

Southcross Holdings LP

       99        29,700   

Vantage Drilling International

       189          
      

 

 

 
                       29,700   

Semiconductors & Semiconductor Equipment — 0.0%

  

SunPower Corp.

             1,860        18,526   

Specialty Retail — 0.0%

  

Things Remembered, Inc.

  

    932,803        9   
Total Common Stocks — 0.0%                      169,908   
      
                          
Asset-Backed Securities (b)(c)   

Par  

(000)

        

ALM Loan Funding:

      

Series 2012-5A, Class BR, 3.68%, 10/18/27

     USD        250        250,316   

Series 2013-7RA, Class C, 4.16%, 4/24/24

       825        803,373   

Series 2013-7RA, Class D, 5.71%, 4/24/24

       900        842,512   

ALM XIV Ltd., Series 2014-14A, Class C, 4.19%, 7/28/26

       463        448,357   

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class B, 3.58%, 7/15/27

       1,000        987,702   

ALM XVII Ltd., Series 2015-17A, Class C1, 4.83%, 1/15/28

       500        476,250   

AMMC CLO Ltd., Series 2014-15A, Class D, 5.03%, 12/09/26

       250        244,375   

Ares CLO Ltd., Series 2014-32A, Class C, 5.02%, 11/15/25

       1,000        999,939   

Ares XXXVII CLO Ltd., Series 2015-4A, Class C, 4.93%, 10/15/26

       350        349,925   

Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 4.38%, 10/15/26

       860        814,053   

Atrium CDO Corp., Series 9A, Class D, 4.33%, 2/28/24

       1,350        1,316,606   

Atrium X, Series 10A, Class D, 4.18%, 7/16/25

       250        239,501   

Atrium XII, Series 12A, Class D, 4.60%, 10/22/26

       250        248,300   

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

      

Class B, 3.70%, 1/20/28

       500        500,720   

Class C, 4.60%, 1/20/28

       500        471,385   

BlueMountain CLO Ltd., Series 2013-1A, Class C, 4.22%, 5/15/25

       500        484,589   

Carlyle Global Market Strategies CLO Ltd.:

      

Series 2012-4A, Class D, 5.20%, 1/20/25

       700        700,065   

Series 2013-1A, Class C, 4.82%, 2/14/25

       250        248,868   

CIFC Funding Ltd.:

      

Series 2013-4A, Class D, 4.33%, 11/27/24

       250        242,282   
Asset-Backed Securities (b)(c)   

Par  

(000)

    Value  

CIFC Funding Ltd. (continued):

      

Series 2014-2A, Class A3L, 3.68%, 5/24/26

     USD        280      $ 277,784   

Series 2014-3A, Class C1, 3.50%, 7/22/26

       250        249,754   

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

       1,000        662,450   

Madison Park Funding XI Ltd., Series 2013-11A, Class D, 4.21%, 10/23/25

       620        587,091   

Octagon Investment Partners XXI Ltd.,
Series 2014-1A, Class C, 4.47%, 11/14/26

       500        471,948   

OZLM Funding Ltd., Series 2012-2A, Class C, 5.11%, 10/30/23

       500        499,960   

OZLM VII Ltd., Series 2014-7A, Class C, 4.28%, 7/17/26

       250        235,136   

Regatta Funding LP, Series 2013-2A, Class C, 4.68%, 1/15/25

       500        472,457   

Seneca Park CLO Ltd., Series 2014-1A, Class C, 3.58%, 7/17/26

       250        248,774   

Sound Point CLO III Ltd., Series 2013-2A, Class D, 4.58%, 7/15/25

       250        244,301   

Treman Park CLO LLC, Series 2015-1A, Class D, 4.56%, 4/20/27

       1,400        1,379,620   

Voya CLO Ltd., Series 2014-4A, Class C, 4.67%, 10/14/26

       1,000        982,723   

Webster Park CLO Ltd., Series 2015-1A, Class C, 4.75%, 1/20/27

       500        498,240   

Wind River CLO, Ltd., Series 2012-1A Class D, 5.68%, 1/15/24

   

    250        250,575   
Total Asset-Backed Securities — 3.2%                      17,729,931   
      
                          
Corporate Bonds                      

Airlines — 0.7%

  

American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)

       1,111        1,124,648   

Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18

       148        152,719   

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

       2,605        2,699,431   
      

 

 

 
                       3,976,798   

Banks — 0.0%

  

CIT Group, Inc., 5.00%, 8/01/23

             135        143,100   

Capital Markets — 0.2%

  

Blackstone CQP Holdco LP, 2.32%, 3/19/19

             1,011        1,021,454   

Chemicals — 0.3%

  

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

  

    1,650        1,527,870   

Commercial Services & Supplies — 0.2%

  

ADT Corp., 4.13%, 6/15/23

       1,059        1,037,820   

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.59%, 12/01/17 (c)

       295        295,738   
      

 

 

 
                       1,333,558   

Communications Equipment — 0.0%

  

Avaya, Inc., 7.00%, 4/01/19 (b)

             365        271,925   

Containers & Packaging — 1.5%

  

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

      

3.86%, 12/15/19

       1,425        1,439,250   

4.07%, 5/15/21

       1,108        1,127,390   

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer,
4.13%, 7/15/21 (b)(c)

       5,360        5,440,400   
      

 

 

 
                       8,007,040   
 

 

See Notes to Financial Statements.

 

                
22    ANNUAL REPORT    AUGUST 31, 2016   


Consolidated Schedule of Investments (continued)

  

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

 

Corporate Bonds   

Par  

(000)

    Value  

Electric Utilities — 0.1%

  

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

     USD        1,034      $ 336,009   

Health Care Providers & Services — 0.1%

  

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

             325        331,094   

Hotels, Restaurants & Leisure — 0.0%

  

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(e)

             120          

Independent Power and Renewable Electricity Producers — 0.3%

  

NRG Energy, Inc., 6.25%, 7/15/22

             1,505        1,536,981   

IT Services — 0.0%

  

Millennium Corp., 12/31/49

             3,115          

Media — 1.3%

  

Altice Financing SA (b):

      

6.63%, 2/15/23

       550        572,688   

7.50%, 5/15/26

       835        878,837   

Altice US Finance I Corp., 5.38%, 7/15/23 (b)

       715        748,069   

Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22

       1,671        1,750,372   

SFR Group SA (b):

      

6.00%, 5/15/22

       842        860,524   

6.25%, 5/15/24

       1,040        1,047,800   

7.38%, 5/01/26

       1,330        1,373,225   
      

 

 

 
                       7,231,515   

Metals & Mining — 0.4%

  

Freeport-McMoRan, Inc., 2.38%, 3/15/18

             2,246        2,209,502   

Oil, Gas & Consumable Fuels — 1.1%

  

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

       670        716,900   

Concho Resources, Inc., 5.50%, 4/01/23

       80        82,600   

CONSOL Energy, Inc., 5.88%, 4/15/22

       1,772        1,603,660   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)

       80        83,200   

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

       210        212,100   

MEG Energy Corp., 7.00%, 3/31/24 (b)

       325        261,625   

Newfield Exploration Co., 5.63%, 7/01/24

       80        82,600   

NGPL PipeCo LLC, 7.12%, 12/15/17 (b)

       381        397,669   

RSP Permian, Inc., 6.63%, 10/01/22

       85        88,400   

Sabine Pass Liquefaction LLC:

      

5.63%, 4/15/23

       1,535        1,615,587   

5.88%, 6/30/26 (b)

       600        642,000   

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 9/15/24 (b)

       310        317,750   

Vantage Drilling International, 10.00%, 12/31/20

       3          
      

 

 

 
                       6,104,091   
Total Corporate Bonds — 6.2%                      34,030,937   
      
                          
Floating Rate Loan Interests (c)                      

Aerospace & Defense — 2.0%

      

BE Aerospace, Inc., 2014 Term Loan B, 3.75%, 12/16/21

       2,217        2,237,740   

Camp International Holding Co.:

      

2016 1st Lien Term Loan, 4.75%, 8/11/23

       1,035        1,027,672   

2016 2nd Lien Term Loan, 8.25%, 8/12/24

       315        314,212   

Engility Corp.:

      

Term Loan B1, 4.88%, 8/12/20

       355        356,999   

Term Loan B2, 5.75%, 8/12/23

       689        693,859   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Aerospace & Defense (continued)

      

Transdigm, Inc.:

      

2015 Term Loan E, 3.75%, 5/14/22

     USD       869      $ 866,865   

2016 Delayed Draw Term Loan F, 3.75%, 6/09/23

       592        589,701   

2016 Extended Term Loan F, 3.75%, 6/09/23

       2,948        2,940,374   

2016 Term Loan F, 3.75%, 6/09/23

       658        655,224   

Term Loan D, 3.75%, 6/04/21

       1,143        1,139,471   
      

 

 

 
                       10,822,117   

Air Freight & Logistics — 1.2%

      

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

       968        771,094   

CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21

       999        795,493   

CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21

       157        124,839   

CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21

       1,379        1,098,739   

XPO Logistics, Inc., Term Loan B2, 4.25%, 10/30/21

       3,573        3,588,976   
      

 

 

 
                       6,379,141   

Airlines — 0.6%

      

Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18

       1,400        1,402,677   

Northwest Airlines, Inc.:

      

2.75%, 3/10/17

       261        258,933   

2.13%, 9/10/18

       598        583,375   

US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19

       1,116        1,114,808   
      

 

 

 
                       3,359,793   

Auto Components — 1.8%

      

Autoparts Holdings Ltd.:

      

1st Lien Term Loan, 7.00%, 7/29/17

       2,541        2,399,571   

2nd Lien Term Loan, 11.00%, 1/29/18

       907        779,590   

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

       1,520        1,289,994   

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

       4,898        4,818,666   

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19

       873        873,154   

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

      

12.25%, 3/30/12

       1,097          

PIK, 13.00%, 3/30/12 (f)

       18          
      

 

 

 
                       10,160,975   

Automobiles — 0.6%

      

FCA US LLC, Term Loan B:

      

2018, 3.25%, 12/31/18

       475        475,261   

3.50%, 5/24/17

       2,706        2,709,213   
      

 

 

 
                       3,184,474   

Banks — 0.3%

      

Redtop Acquisitions Ltd.:

      

1st Lien Term Loan, 4.50%, 12/03/20

       1,136        1,134,455   

2nd Lien Term Loan, 8.25%, 6/03/21

       302        296,205   
      

 

 

 
                       1,430,660   

Biotechnology — 0.1%

      

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

             813        813,313   

Building Materials — 1.2%

  

USAGM HoldCo LLC:

      

2015 2nd Lien Term Loan, 9.50%, 7/28/23

       645        636,938   

2015 Term Loan, 4.75%, 7/28/22

       2,442        2,392,774   

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

       3,636        3,629,564   
      

 

 

 
                       6,659,276   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    23


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Building Products — 2.8%

  

Continental Building Products LLC, 1st Lien Term Loan, 3.50%, 8/10/23

     USD        1,129      $ 1,130,463   

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

       5,140        5,126,687   

GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21

       1,180        1,177,444   

Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21

       1,885        1,895,978   

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

       1,290        1,291,132   

Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20

       2,219        2,225,269   

Wilsonart LLC:

      

Incremental Term Loan B2, 4.00%, 10/31/19

       492        491,760   

Term Loan B, 4.00%, 10/31/19

       2,262        2,259,600   
      

 

 

 
                       15,598,333   

Capital Markets — 0.7%

  

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

       642        618,111   

RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20

       3,352        3,369,903   
      

 

 

 
                       3,988,014   

Chemicals — 4.5%

  

Allnex (Luxembourg) & Cy SCA:

      

2016 Term Loan B2, 5.00%, 5/31/23

       422        423,888   

Term Loan B1, 4.50%, 10/03/19

       1,082        1,079,172   

Allnex USA, Inc.:

      

Term Loan B2, 4.50%, 10/03/19

       561        559,930   

Term Loan B3, 5.00%, 5/31/23

       318        319,353   

Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20

       2,022        2,030,528   

CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20

       114        114,782   

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

       967        973,537   

Chemours Co., Term Loan B, 3.75%, 5/12/22

       1,243        1,224,685   

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

       304        263,757   

Huntsman International LLC:

      

2013 Incremental Term Loan, 3.75%, 10/01/21

       1,364        1,368,177   

2016 Term Loan B, 4.25%, 4/01/23

       798        801,495   

Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/28/20

       1,144        1,149,826   

MacDermid, Inc.:

      

1st Lien Term Loan, 5.50%, 6/07/20

       1,686        1,685,368   

Term Loan B2, 5.50%, 6/07/20

       143        143,049   

Term Loan B3, 5.50%, 6/07/20

       3,267        3,264,988   

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

       3,041        2,889,034   

PQ Corp., Term Loan, 5.75%, 11/04/22

       1,392        1,400,449   

Royal Holdings, Inc.:

      

2015 1st Lien Term Loan, 4.50%, 6/19/22

       1,124        1,126,111   

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

       465        458,025   

Solenis International LP:

      

1st Lien Term Loan, 4.25%, 7/31/21

       1,518        1,500,673   

2nd Lien Term Loan, 7.75%, 7/31/22

       1,725        1,648,238   

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

       460        458,602   
      

 

 

 
                       24,883,667   

Commercial Services & Supplies — 7.3%

  

 

ADMI Corp., 2015 Term Loan B, 5.25%, 4/30/22

       1,163        1,170,521   

ADS Waste Holdings, Inc., Term Loan B2, 3.75%, 10/09/19

       3,075        3,070,279   

Aramark Services, Inc.:

      

Term Loan E, 3.25%, 9/07/19

       1,986        1,989,889   

Term Loan F, 3.25%, 2/24/21

       850        852,174   

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20

       2,832        2,795,946   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

  

 

Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21

     USD        4,192      $ 4,213,424   

Connolly Corp.:

      

1st Lien Term Loan, 4.50%, 5/14/21

       3,768        3,774,200   

2nd Lien Term Loan, 8.00%, 5/14/22

       164        162,767   

Creative Artists Agency LLC, Term Loan B, 5.00%, 12/17/21

       946        947,964   

Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21

       1,005        1,006,378   

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

       626        535,304   

GCA Services Group, Inc., 2016 Term Loan, 5.75%, 3/01/23

       1,895        1,906,299   

KAR Auction Services, Inc.:

      

Term Loan B2, 3.94%, 3/11/21

       1,326        1,333,492   

Term Loan B3, 4.25%, 3/09/23

       1,766        1,786,550   

Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19

       1,319        1,220,260   

Prime Security Services Borrower LLC:

      

1st Lien Term Loan, 4.75%, 7/01/21

       189        190,607   

2016 Incremental Term Loan B1, 4.75%, 5/02/22

       1,202        1,209,382   

PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21

       1,625        1,629,313   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

       4,529        4,482,127   

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

       1,015        1,020,075   

US Ecology, Inc., Term Loan, 3.75%, 6/17/21

       651        652,469   

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

       2,004        2,000,202   

Waste Industries USA, Inc., 2016 Term Loan, 3.50%, 2/27/20

       2,105        2,109,105   
      

 

 

 
                       40,058,727   

Communications Equipment — 2.0%

  

 

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.00%, 1/25/21

       774        775,082   

2nd Lien Term Loan, 7.50%, 1/24/22

       376        376,905   

CommScope, Inc., Term Loan B5, 3.75%, 12/29/22

       908        910,980   

Riverbed Technology, Inc., 2016 Term Loan, 5.00%, 4/24/22

       1,963        1,973,995   

Telesat Canada:

      

Term Loan A, 3.99%, 3/28/17

     CAD        1,688        1,280,359   

Term Loan B2, 3.50%, 3/28/19

     USD        254        253,372   

Zayo Group LLC, Term Loan B, 3.75%, 5/06/21

       5,660        5,664,728   
      

 

 

 
                       11,235,421   

Construction & Engineering — 0.8%

  

 

AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21

       368        370,374   

CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23

       1,332        1,336,097   

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

       2,900        2,900,000   
      

 

 

 
                       4,606,471   

Construction Materials — 1.5%

  

 

Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20

       3,560        3,552,381   

HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21

       3,728        3,746,597   

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

       728        727,802   

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

       437        426,268   
      

 

 

 
                       8,453,048   

Containers & Packaging — 2.0%

  

 

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19

       1,818        1,824,370   
 

 

See Notes to Financial Statements.

 

                
24    ANNUAL REPORT    AUGUST 31, 2016   


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Containers & Packaging (continued)

  

 

Berry Plastics Holding Corp., Term Loan H, 3.75%, 10/03/22

     USD        5,491      $ 5,487,492   

BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20

       3,826        3,838,258   
      

 

 

 
                       11,150,120   

Distributors — 0.4%

  

 

ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20

       1,506        1,508,806   

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

       939        928,106   
      

 

 

 
                       2,436,912   

Diversified Consumer Services — 3.5%

  

 

AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22

       3,137        3,147,034   

Bright Horizons Family Solutions, Inc.:

      

Incremental Term Loan B1, 4.25%, 1/30/20

       236        236,755   

Term Loan B, 3.75%, 1/30/20

       2,726        2,733,376   

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

       1,190        1,166,302   

J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 5/24/23

       1,260        1,264,725   

Laureate Education, Inc., Term Loan B, 8.16%, 3/17/21

       239        237,409   

ROC Finance LLC, Term Loan, 5.00%, 6/20/19

       1,694        1,652,372   

ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21

       7,458        7,503,044   

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

       1,393        1,394,067   
      

 

 

 
                       19,335,084   

Diversified Financial Services — 1.3%

  

 

AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22

       1,906        1,915,128   

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

       960        944,365   

Jefferies Finance LLC, Term Loan, 4.50%, 5/14/20

       2,747        2,706,041   

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

       1,765        1,757,814   
      

 

 

 
                       7,323,348   

Diversified Telecommunication Services — 3.9%

  

 

Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19

       2,662        2,668,709   

Integra Telecom, Inc.:

      

2nd Lien Term Loan, 9.75%, 2/12/21

       750        709,940   

2015 1st Lien Term Loan, 5.25%, 8/14/20

       2,256        2,231,963   

Level 3 Financing, Inc.:

      

2013 Term Loan B, 4.00%, 1/15/20

       10,260        10,311,300   

2019 Term Loan, 4.00%, 8/01/19

       3,105        3,117,898   

Telenet International Finance Sarl, Term Loan AD, 4.25%, 6/30/24

       2,435        2,441,563   
      

 

 

 
                       21,481,373   

Electric Utilities — 0.1%

  

 

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

             642        640,789   

Electrical Equipment — 0.7%

  

Texas Competitive Electric Holdings Co. LLC:

      

2016 DIP Term Loan B, 5.00%, 10/31/17

       2,723        2,729,442   

2016 DIP Term Loan C, 5.00%, 10/31/17

       621        622,712   

Extended Term Loan,
4.97%, 10/10/17 (a)(e)

       1,710        547,200   
      

 

 

 
                       3,899,354   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Electronic Equipment, Instruments & Components — 0.1%

  

 

CPI Acquisition, Inc., Term Loan B, 5.50%, 8/17/22

     USD        787      $ 764,675   

Energy Equipment & Services — 0.6%

  

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

       765        764,238   

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

       1,046        839,785   

Weatherford International Ltd., Term Loan, 1.95%, 7/13/20

       1,931        1,815,563   
      

 

 

 
                       3,419,586   

Food & Staples Retailing — 3.2%

  

 

Albertsons LLC:

      

2016 Term Loan B4, 4.50%, 8/25/21

       4,515        4,532,135   

2016 Term Loan B5, 4.75%, 12/21/22

       371        372,577   

Hostess Brands LLC:

      

1st Lien Term Loan, 4.50%, 8/03/22

       2,174        2,183,899   

2nd Lien Term Loan, 8.50%, 8/03/23

       516        517,054   

Rite Aid Corp.:

      

5.75%, 8/21/20

       1,247        1,249,252   

4.88%, 6/21/21

       2,373        2,377,038   

US Foods, Inc., 2016 Term Loan B, 4.00%, 6/27/23

       6,575        6,603,798   
      

 

 

 
                       17,835,753   

Food Products — 2.5%

  

 

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

       1,763        1,774,861   

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

       1,061        1,018,940   

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

       2,633        2,640,885   

Pinnacle Foods Finance LLC:

      

2016 Term Loan I, 3.27%, 1/13/23

       502        505,198   

Term Loan G, 3.25%, 4/29/20

       2,638        2,643,577   

Reddy Ice Corp.:

      

1st Lien Term Loan, 6.75%, 5/01/19

       1,599        1,458,157   

2nd Lien Term Loan, 10.75%, 11/01/19

       532        409,640   

Reynolds Group Holdings, Inc., 2016 Term Loan, 4.25%, 2/05/23

       3,246        3,248,936   
      

 

 

 
                       13,700,194   

Health Care Equipment & Supplies — 4.0%

  

 

Alere, Inc.:

      

2015 Term Loan A, 3.52%, 6/18/20

       471        463,757   

2015 Term Loan B, 4.25%, 6/18/22

       1,905        1,881,372   

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

       2,457        2,463,121   

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

       3,855        3,872,808   

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

       4,814        4,637,554   

Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18

       625        617,426   

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

       2,284        2,213,588   

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

       3,132        3,077,911   

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

       2,732        2,665,030   
      

 

 

 
                       21,892,567   

Health Care Providers & Services — 9.5%

  

 

Acadia Healthcare Co., Inc.:

      

Term Loan B, 3.75%, 2/11/22

       462        461,388   

Term Loan B2, 4.50%, 2/16/23

       2,149        2,157,259   

Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22

       468        461,010   

Amsurg Corp., 1st Lien Term Loan B, 3.50%, 7/16/21

       3,035        3,036,732   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    25


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

  

 

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

     USD        3,416      $ 3,435,672   

Community Health Systems, Inc.:

      

Term Loan F, 4.08%, 12/31/18

       1,407        1,385,500   

Term Loan G, 3.75%, 12/31/19

       2,467        2,368,400   

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

       1,580        1,580,000   

DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21

       9,521        9,570,684   

Envision Healthcare Corp., Term Loan:

      

4.25%, 5/25/18

       2,872        2,872,301   

B2, 4.50%, 10/28/22

       886        886,382   

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

       1,441        1,442,935   

HCA, Inc.:

      

Term Loan B6, 3.77%, 3/17/23

       5,211        5,270,750   

Term Loan B7, 3.57%, 2/15/24

       763        769,642   

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

       488        488,122   

NVA Holdings, Inc.:

      

1st Lien Term Loan, 4.75%, 8/14/21

       17        16,483   

2016 Term Loan, 5.50%, 8/14/21

       1,438        1,438,497   

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

       1,650        1,655,164   

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

       3,087        3,077,045   

Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20

       1,844        1,843,795   

Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22

       2,275        2,282,074   

Team Health, Inc., 2016 Term Loan, 3.75%, 11/23/22

       1,822        1,825,618   

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

       1,673        1,610,335   

Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23

       2,060        2,081,734   
      

 

 

 
                       52,017,522   

Health Care Technology — 0.6%

  

 

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

             3,294        3,294,181   

Hotels, Restaurants & Leisure — 9.1%

  

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       2,758        2,728,188   

2nd Lien Term Loan, 8.00%, 8/01/22

       1,036        1,028,405   

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

       1,167        1,157,279   

Boyd Gaming Corp.:

      

Term Loan B, 4.00%, 8/14/20

       2,001        2,005,155   

Term Loan B2, 4.00%, 8/16/23

       1,755        1,761,581   

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20

       2,447        2,190,396   

Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21

       4,711        4,728,224   

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

       7,609        7,435,779   

CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21

       1,397        1,403,585   

Diamond Resorts Corp., Term Loan, 7.00%, 5/09/21

       1,917        1,916,755   

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

       2,078        2,078,418   

ESH Hospitality, Inc., 2016 Term Loan B, 3.80%, 8/16/23

       3,245        3,251,750   

Hilton Worldwide Finance LLC:

      

2016 Term Loan B2, 3.21%, 10/26/23

       2,359        2,369,914   

Term Loan B1, 3.50%, 10/26/20

       230        230,836   

La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21

       831        821,448   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

  

Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20

     USD        2,438      $ 2,445,129   

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

       2,740        2,768,551   

RHP Hotel Properties LP, Term Loan B, 3.50%, 1/15/21

       1,259        1,261,819   

Sabre, Inc.:

      

Incremental Term Loan, 4.50%, 2/19/19

       411        412,286   

Term Loan B, 4.00%, 2/19/19

       2,173        2,180,696   

Scientific Games International, Inc.:

      

2014 Term Loan B1, 6.00%, 10/18/20

       1,150        1,149,939   

2014 Term Loan B2, 6.00%, 10/01/21

       805        804,445   

Station Casinos LLC, 2016 Term Loan B, 3.75%, 6/08/23

       2,545        2,546,467   

Yum! Brands, Inc., 1st Lien Term Loan B, 3.26%, 6/16/23

       1,455        1,463,570   
      

 

 

 
                       50,140,615   

Household Products — 0.8%

  

 

Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20

       779        774,506   

Spectrum Brands, Inc., Term Loan, 3.50%, 6/23/22

       3,588        3,601,069   
      

 

 

 
                       4,375,575   

Independent Power and Renewable Electricity Producers — 4.1%

  

 

Aria Energy Operating LLC, Term Loan, 5.50%, 5/27/22

       1,246        1,196,105   

Calpine Construction Finance Co., LP, Term Loan B1, 3.00%, 5/03/20

       1,608        1,585,964   

Calpine Corp.:

      

Term Loan B5, 3.50%, 5/27/22

       515        514,717   

Term Loan B6, 4.00%, 1/15/23

       2,139        2,149,497   

Term Loan B7, 3.64%, 5/02/23

       1,305        1,309,680   

Dynegy, Inc., Escrow, 5.00%, 6/27/23

       3,540        3,540,566   

Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 12/19/16

       5,791        5,813,178   

Granite Acquisition, Inc.:

      

Term Loan B, 5.00%, 12/19/21

       3,320        3,232,461   

Term Loan C, 5.00%, 12/19/21

       148        144,394   

NRG Energy, Inc., 2016 Term Loan B, 3.50%, 6/30/23

       1,710        1,707,589   

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

       1,518        1,281,940   
      

 

 

 
                       22,476,091   

Industrial Conglomerates — 0.1%

  

 

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

             511        439,437   

Insurance — 2.4%

  

Acrisure LLC, 2015 1st Lien Term Loan, 6.50%, 5/19/22

       511        511,706   

Alliant Holdings I, Inc., Incremental Term Loan B2, 5.00%, 8/12/22

       1,680        1,680,000   

AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20

       610        615,803   

Asurion LLC:

      

2nd Lien Term Loan, 8.50%, 3/03/21

       1,095        1,090,620   

Term Loan B1, 5.00%, 5/24/19

       2,780        2,781,274   

Term Loan B4, 5.00%, 8/04/22

       2,051        2,050,727   

Sedgwick Claims Management Services, Inc.:

      

1st Lien Term Loan, 3.75%, 3/01/21

       1,984        1,959,521   

2nd Lien Term Loan, 6.75%, 2/28/22

       1,805        1,783,936   

2016 1st Lien Term Loan, 5.25%, 3/01/21

       905        910,095   
      

 

 

 
                       13,383,682   
 

 

See Notes to Financial Statements.

 

                
26    ANNUAL REPORT    AUGUST 31, 2016   


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Internet & Catalog Retail — 0.6%

  

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.00%, 8/19/23

     USD        3,062      $ 3,067,388   

Internet Software & Services — 0.7%

  

Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21

       2,499        2,509,546   

WaveDivision Holdings LLC, Term Loan B, 4.00%, 10/15/19

       1,458        1,456,416   
      

 

 

 
                       3,965,962   

IT Services — 4.9%

  

Abacus Innovations Corp., Term Loan B, 3.57%, 1/26/23

       4,072        4,091,098   

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

       1,230        1,166,963   

First Data Corp., 2021 Extended Term Loan, 4.52%, 3/24/21

       13,082        13,142,829   

Global Payments Inc., Term Loan B, 4.02%, 4/22/23

       2,925        2,944,388   

Vantiv LLC, 2014 Term Loan B, 3.50%, 6/13/21

       1,685        1,691,408   

WEX, Inc., Term Loan B, 4.25%, 7/01/23

       4,025        4,053,014   
      

 

 

 
                       27,089,700   

Leisure Products — 0.2%

  

Bauer Performance Sports Ltd., Term Loan B, 4.50%, 4/15/21

             1,085        870,920   

Machinery — 2.3%

  

Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19

       1,195        1,197,025   

Faenza Acquisition GmbH:

      

Term Loan B1, 4.25%, 8/30/20

       1,032        1,035,544   

Term Loan B3, 4.25%, 8/30/20

       315        316,511   

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

       1,130        1,137,062   

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

       1,503        1,502,928   

Mueller Water Products, Inc., Term Loan B, 4.00%, 11/26/21

       788        789,316   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20

       2,425        2,424,094   

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

       3,586        3,189,532   

Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22

       917        915,957   
      

 

 

 
                       12,507,969   

Manufacture Goods — 0.1%

  

KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/28/20

             489        491,378   

Media — 13.1%

  

Altice U.S. Finance I Corp., Extended Term Loan, 4.25%, 12/14/22

       4,772        4,789,716   

Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 5.25%, 6/07/23

       2,272        2,267,252   

Charter Communications Operating LLC:

      

2016 Term Loan H, 3.25%, 8/24/21

       1,057        1,060,437   

2016 Term Loan I, 3.50%, 1/24/23

       8,339        8,380,481   

CSC Holdings LLC, 2015 Term Loan B, 5.00%, 10/09/22

       4,728        4,764,604   

Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20

       1,586        1,582,430   

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

       2,449        2,429,095   

iHeartCommunications, Inc.:

      

Extended Term Loan E, 8.02%, 7/30/19

       515        393,548   

Term Loan D, 7.27%, 1/30/19

       5,966        4,572,833   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Media (continued)

  

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

     USD        3,290      $ 3,120,045   

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22

       1,215        1,196,775   

Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20

       486        487,164   

MCC Iowa LLC, Term Loan J, 3.75%, 6/30/21

       515        515,359   

Mediacom Communications Corp., Term Loan F, 2.95%, 3/31/18

       1,095        1,093,432   

MGOC, Inc., Term Loan B, 4.00%, 7/31/20

       2,076        2,075,601   

Numericable Group SA, Term Loan B5, 4.56%, 7/31/22

       289        289,323   

Numericable U.S. LLC:

      

Term Loan B6, 4.75%, 2/10/23

       3,966        3,975,475   

Term Loan B7, 5.00%, 1/15/24

       1,227        1,233,366   

SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21

       4,449        4,441,122   

Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20

       197        196,891   

Trader Corp., Term Loan, 5.50%, 8/09/23

       1,565        1,565,986   

Tribune Media Co., Term Loan, 3.75%, 12/27/20

       3,928        3,935,101   

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

       7,095        7,090,562   

UPC Financing Partnership, Term Loan AN, 3.00%, 8/31/24

       1,510        1,504,579   

Virgin Media Investment Holdings Ltd.:

      

Term Loan E, 4.25%, 6/30/23

     GBP        2,840        3,724,384   

Term Loan F, 3.65%, 6/30/23

     USD        2,299        2,299,070   

Ziggo Financing Partnership:

      

Term Loan B1, 3.65%, 1/15/22

       1,232        1,225,590   

Term Loan B2A, 3.70%, 1/15/22

       803        798,940   

Term Loan B3, 3.70%, 1/15/22

       1,319        1,312,075   
      

 

 

 
                       72,321,236   

Metals & Mining — 1.0%

  

FMG Resources August 2006 Property Ltd., Term Loan B, 3.75%, 6/30/19

       335        332,571   

Freeport McMoran Copper & Gold Inc., Term Loan A, 3.28%, 5/31/18

       662        655,910   

Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22

       3,533        3,538,949   

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 7/13/23

       750        750,622   
      

 

 

 
                       5,278,052   

Multiline Retail — 2.2%

  

BJ’s Wholesale Club, Inc.:

      

1st Lien Term Loan, 4.50%, 9/26/19

       3,511        3,507,793   

2nd Lien Term Loan, 8.50%, 3/26/20

       866        867,302   

Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22

       3,654        3,659,650   

Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 9/30/22

       2,208        2,211,352   

Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20

       1,846        1,730,767   
      

 

 

 
                       11,976,864   

Oil, Gas & Consumable Fuels — 4.7%

  

California Resources Corp.:

      

Second Out Term Loan, 11.50%, 8/04/21

       2,560        2,681,600   

Term Loan A, 3.70%, 10/01/19

       1,770        1,681,092   

Chesapeake Energy Corp., Term Loan, 8.50%, 8/15/21

       3,286        3,389,181   

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

       1,066        1,072,071   

Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21

       1,023        468,589   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    27


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

  

Energy Transfer Equity LP, Term Loan:

      

3.29%, 12/02/19

     USD        207      $ 202,792   

2015, 4.04%, 12/02/19

       1,057        1,047,355   

EP Energy LLC, 2016 Term Loan, 9.75%, 8/16/21

       471        463,046   

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

       590        591,350   

Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21

       895        843,538   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

       3,150        2,890,661   

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

       1,408        1,337,748   

Power Buyer LLC, 1st Lien Term Loan, 4.25%, 5/06/20

       505        503,798   

PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20

       470        465,300   

Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21

       1,451        1,306,005   

Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/20

       263        228,537   

Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21

       54        43,257   

Southcross Holdings Borrower LP, Exit Term Loan B, 3.50%, 4/13/23

       89        75,460   

Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22

       793        807,219   

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

       1,978        1,986,234   

Ultra Resources, Inc., Revolver, 3.75%, 10/06/16

       1,222        1,130,350   

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

       2,544        2,515,318   
      

 

 

 
                       25,730,501   

Personal Products — 1.0%

  

Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21

       2,240        2,248,154   

Revlon Consumer Products Corp., 2016 Term Loan B, 1.00%, 7/22/23

       2,995        2,990,507   
      

 

 

 
                       5,238,661   

Pharmaceuticals — 5.7%

  

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

       2,483        2,505,026   

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

       897        894,928   

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

       6,087        6,060,021   

Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22

       2,285        2,271,818   

Grifols Worldwide Operations USA, Inc., Term Loan B, 3.44%, 2/27/21

       4,197        4,225,712   

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

       5,842        5,857,938   

NBTY, Inc., Term Loan B, 5.00%, 5/05/23

       1,757        1,757,264   

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 4.28%, 10/20/18

       533        532,226   

Series A4 Tranche A, 4.26%, 4/01/20

       564        559,371   

Series C2 Term Loan B, 5.25%, 12/11/19

       3,964        3,969,068   

Series D2 Term Loan B, 5.00%, 2/13/19

       1,097        1,095,464   

Series E Term Loan B, 5.25%, 8/05/20

       1,405        1,402,371   
      

 

 

 
                       31,131,207   

Professional Services — 3.3%

  

Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21

       698        678,129   

Advantage Sales & Marketing, Inc.:

      

2014 1st Lien Term Loan, 4.25%, 7/23/21

       2,607        2,585,231   

2014 2nd Lien Term Loan, 7.50%, 7/25/22

       880        836,730   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Professional Services (continued)

  

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

     USD       3,178      $ 3,174,356   

SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19

       1,742        1,713,559   

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

       1,630        1,620,790   

TransUnion LLC, Term Loan B2, 3.50%, 4/09/21

       7,368        7,389,424   
      

 

 

 
                       17,998,219   

Real Estate Investment Trusts (REITs) — 1.4%

  

Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22

       2,382        2,381,706   

MGM Growth Properties LLC, 2016 Term Loan B, 4.00%, 4/25/23

       5,444        5,487,786   
      

 

 

 
                       7,869,492   

Real Estate Management & Development — 1.6%

  

CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20

       2,154        2,164,736   

DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21

       2,431        2,418,190   

Realogy Corp.:

      

2016 Term Loan B, 3.75%, 7/20/22

       3,143        3,159,180   

Term Loan A, 2.50%, 10/23/20

       1,116        1,104,539   
      

 

 

 
                       8,846,645   

Road & Rail — 0.2%

  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 5.00%, 6/13/23

             1,245        1,249,980   

Semiconductors & Semiconductor Equipment — 3.0%

  

Avago Technologies Cayman Ltd., Term Loan B3, 3.51%, 2/01/23

       9,927        10,012,301   

Cavium, Inc., Term Loan B, 3.75%, 8/16/22

       930        932,325   

Microsemi Corp., 2015 Term Loan B, 3.75%, 1/15/23

       496        499,080   

NXP BV, 2015 Term Loan B, 3.75%, 12/07/20

       4,439        4,462,356   

ON Semiconductor Corp., Term Loan B, 5.25%, 3/31/23

       675        683,316   
      

 

 

 
                       16,589,378   

Software — 6.2%

  

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

       1,046        997,403   

Evertec Group LLC, Term Loan B, 3.25%, 4/17/20

       497        490,033   

Infor US, Inc., Term Loan B5, 3.75%, 6/03/20

       3,702        3,659,329   

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

       4,092        3,948,927   

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

       619        525,992   

Kronos, Inc.:

      

2nd Lien Term Loan, 9.75%, 4/30/20

       1,786        1,822,395   

Initial Incremental Term Loan, 4.50%, 10/30/19

       2,133        2,140,361   

Mitchell International, Inc.:

      

1st Lien Term Loan, 4.50%, 10/13/20

       2,121        2,115,609   

2nd Lien Term Loan, 8.50%, 10/11/21

       1,600        1,550,000   

SolarWinds, Inc., 2016 Term Loan, 5.50%, 2/03/23

       3,245        3,255,546   

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

       998        1,002,847   

Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22

       1,920        1,921,056   

SS&C Technologies, Inc.:

      

2015 Term Loan B1, 4.00%, 7/08/22

       5,001        5,032,092   

2015 Term Loan B2, 4.00%, 7/08/22

       638        641,829   

Vertafore, Inc., 2016 1st Lien Term Loan, 4.75%, 6/30/23

       4,800        4,807,344   
      

 

 

 
                       33,910,763   

Specialty Retail — 2.4%

  

Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20

       1,296        1,301,263   
 

 

See Notes to Financial Statements.

 

                
28    ANNUAL REPORT    AUGUST 31, 2016   


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Specialty Retail (continued)

  

Leslie’s Poolmart, Inc., 2016 Term Loan, 5.25%, 7/27/23

     USD        1,215      $ 1,222,594   

Michaels Stores, Inc.:

      

Incremental 2014 Term Loan B2, 4.00%, 1/28/20

       2,346        2,360,548   

Term Loan B, 3.75%, 1/28/20

       2,207        2,215,396   

Party City Holdings, Inc., 2015 Term Loan B, 4.49%, 8/19/22

       3,111        3,114,705   

Petco Animal Supplies, Inc.:

      

2016 Term Loan B1, 5.00%, 1/26/23

       831        837,629   

2016 Term Loan B2, 5.00%, 1/26/23

       1,617        1,628,242   

Things Remembered, Inc., 2016 Term Loan, 1.00%, 2/29/20

       933        409,967   
      

 

 

 
                       13,090,344   

Technology Hardware, Storage & Peripherals — 1.3%

  

Dell International LLC, Term Loan B2, 4.00%, 4/29/20

       1,403        1,407,598   

Dell, Inc.:

      

2016 Term Loan B, 4.00%, 5/24/23

       2,590        2,603,883   

Term Loan C, 3.75%, 10/29/18

       2,177        2,173,924   

Linxens France SA, Term Loan, 5.00%, 10/14/22

       791        791,523   
      

 

 

 
                       6,976,928   

Textiles, Apparel & Luxury Goods — 0.6%

  

Ascend Performance Materials Operations LLC, Term Loan B, 6.75%, 8/12/22

       2,434        2,397,174   

J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21

       341        268,494   

Samsonite International SA, Term Loan B, 4.00%, 5/12/23

       495        499,950   
      

 

 

 
                       3,165,618   

Thrifts & Mortgage Finance — 0.4%

  

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

             2,176        2,178,927   

Trading Companies & Distributors — 0.3%

  

Beacon Roofing Supply, Inc., Term Loan B, 4.00%, 10/01/22

       1,391        1,393,990   

Nexeo Solutions LLC, 2016 Term Loan, 5.25%, 6/09/23

       250        250,783   
      

 

 

 
                       1,644,773   

Transportation — 0.2%

  

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

             1,264        1,128,604   

Wireless Telecommunication Services — 2.8%

  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 6/15/20 (a)(e)(f)

       7,469        6,777,672   

LTS Buyer LLC:

      

1st Lien Term Loan, 4.00%, 4/13/20

       4,915        4,906,970   

2nd Lien Term Loan, 8.00%, 4/12/21

       887        885,992   

T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22

       2,783        2,800,603   
      

 

 

 
                       15,371,237   
Total Floating Rate Loan Interests — 136.5%                      751,331,034   
      
                          
Non-Agency Mortgage-Backed Securities               

Collateralized Mortgage Obligations — 0.2%

  

Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c)

             991        993,487   
Investment Companies   

Shares

    Value  

Capital Markets — 0.5%

  

Eaton Vance Floating-Rate Income Trust

       54      $ 759   

Eaton Vance Senior Income Trust

       13,945        87,853   

iShares iBoxx $ High Yield Corporate Bond ETF (g)

             27,839        2,413,920   
Total Investment Companies — 0.5%                      2,502,532   
      
                          
Other Interests (h)           Beneficial
Interest
(000)
        

Auto Components — 0.0%

  

Intermet Liquidating Trust, Class A

     USD        256        3   

Household Durables — 0.3%

  

Stanley Martin, Class B Membership Units (i)

             1,250        1,562,500   
Total Other Interests — 0.3%                      1,562,503   
      
                          
Preferred Securities           Shares         

Trust Preferred — 0.3%

  

Diversified Financial Services — 0.3%

  

GMAC Capital Trust I, Series 2, 6.41%, 2/15/40 (c)

             60,894        1,533,845   
Total Preferred Securities — 0.3%                      1,533,845   
      
                          
Warrants — 0.0%  

Software — 0.0%

  

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

             2,406        4,902   
Total Long-Term Investments
(Cost — $817,343,942) — 147.2%
                     809,859,079   
      
                          
Short-Term Securities  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.33% (g)(j)

             1,859,207        1,859,207   
Total Short-Term Securities
(Cost — $1,859,207) — 0.3%
                     1,859,207   
Options Purchased
(Cost — $43,022) — 0.0%
          

Total Investments (Cost — $819,246,171) — 147.5%

  

    811,718,286   

Liabilities in Excess of Other Assets — (47.5)%

  

    (261,447,473
      

 

 

 
Net Assets — 100.0%      $ 550,270,813   
      

 

 

 
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    29


Consolidated Schedule of Investments (continued)

  

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

 

 

Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

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

 

(c)   Variable rate security. Rate as of period end.

 

(d)   Convertible security.

 

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

 

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

 

(g)   During the year ended August 31, 2016, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
      

Shares
Purchased

      

Shares
Sold

       Shares Held
at August 31,
2016
    Value at
August 31,
2016
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

                 1,859,207 1                   1,859,207      $ 1,859,207         $ 2,369   

iShares iBoxx $ High Yield Corporate Bond ETF

                 27,839                     27,839        2,413,920           8,741   

Total

       $ 4,273,127         $ 11,110   
      

 

 

      

 

 

 

1   Represents net shares purchased.

      

      

 

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

 

(i)   All or a portion of Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary.

 

(j)   Current yield as of period end.

 

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

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
    Issue   Expiration   Notional
Value
  Unrealized
Depreciation
 
  (17   10-Year U.S. Treasury Note   December 2016   $2,225,672   $ (1,521

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
        
USD        829,928           CAD           1,082,000      Westpac Banking Corp.     9/06/16         $ 4,833     
USD        3,747,581           GBP           2,844,000      HSBC Bank PLC     9/06/16           12,757     
USD        820,236           CAD           1,076,000      Westpac Banking Corp.     10/05/16           (406  
USD        3,729,624           GBP           2,844,000      Royal Bank of Scotland PLC     10/05/16           (8,010        
Total                         $ 9,174     
                       

 

 

 

OTC Options Purchased

 

Description      Put/
Call
     Counterparty        Expiration
Date
       Strike
Price
       Contracts        Value  
Marsico Parent Superholdco LLC      Call        Goldman Sachs & Co.           12/14/19         $ 942.86           44             

OTC Total Return Swaps

 

Reference Entity  

Fixed Rate/

Floating Rate

    Counterparty     Expiration
Date
    Effective
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
   

Unrealized

Appreciation

 

IBoxx USD Liquid High Yield Index

    3-Month LIBOR Plus 0.00 %1      JPMorgan Chase Bank N.A.        12/20/16        N/A      $ 570      $ 30,617             $ 30,617   

1   Fund pays the floating rate and receives the total return of the reference entity.

      

     

 

See Notes to Financial Statements.

 

                
30    ANNUAL REPORT    AUGUST 31, 2016   


Consolidated Schedule of Investments (continued)

  

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

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

Assets — Derivative Financial Instruments  

Commodity

Contracts

   

Credit

Contracts

    Equity
Contracts
   

Foreign

Currency

Exchange

Contracts

   

Interest

Rate

Contracts

   

Other

Contracts

    Total  

Forward foreign currency exchange contracts

   Unrealized appreciation on forward foreign currency exchange contracts                        $ 17,590                    $ 17,590   

Swap — OTC

  

Unrealized appreciation on

OTC swaps

                              $ 30,617               30,617   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

                          $ 17,590      $ 30,617             $ 48,207   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Liabilities — Derivative Financial Instruments                                                 

Futures contracts

  

Net unrealized

depreciation1

                              $ 1,521             $ 1,521   

Forward foreign currency exchange contracts

   Unrealized depreciation on forward foreign currency exchange contracts                        $ 8,416                      8,416   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

                          $ 8,416      $ 1,521             $ 9,937   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

        

For the year ended August 31, 2016, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:

 

Net Realized Gain (Loss) from:  

Commodity

Contracts

      

Credit

Contracts

       Equity
Contracts
      

Foreign

Currency

Exchange

Contracts

      

Interest

Rate

Contracts

      

Other

Contracts

       Total  

Futures contracts

                                          $ (95,510                $ (95,510

Forward foreign currency exchange contracts

                                $ 704,086                               704,086   

Swaps

            $ (93,335                            (513                  (93,848
 

 

 

 

Total

            $ (93,335                $ 704,086         $ (96,023                $ 514,728   
 

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                

Futures contracts

                                          $ (3,734                $ (3,734

Forward foreign currency exchange contracts

                                $ (55,944                            (55,944

Swaps

            $ 31,556                               30,617                     62,173   
 

 

 

 

Total

            $ 31,556                   $ (55,944      $ 26,883                   $ 2,495   
 

 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      

For the year ended August 31, 2016, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

Futures contracts:           

Average notional value of contracts — short

     $ 2,199,641   
Forward foreign currency exchange contracts:     

Average amounts purchased — in USD

     $ 8,622,227   

Average amounts sold — in USD

     $ 279,860 1 
Credit default swaps:     

Average notional value — buy protection

     $ 2,600,000 1 

Average notional value — sell protection

     $ 2,895,750 1 

Total return swaps:

    

Average notional value

     $ 285,000   

1    Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

    

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    31


Consolidated Schedule of Investments (continued)

  

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

 

 

Derivative Financial Instruments — Offsetting as of Period End

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

 

     Assets     Liabilities  

Forward foreign currency exchange contracts

  $ 17,590      $ 8,416   

Swaps — OTC

    30,617          
 

 

 

 

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

    48,207        8,416   
 

 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

             
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 48,207      $ 8,416   
 

 

 

 

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

 

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

HSBC Bank PLC

  $ 12,757                                       $ 12,757     

JPMorgan Chase Bank N.A

    30,617                                         30,617     

Westpac Banking Corp

    4,833         $ (406                            4,427     
 

 

 

 

Total

  $ 48,207         $ (406                          $ 47,801     
 

 

 

 

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available for
Offset
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
       Net
Amount of
Derivative
Liabilities2
        

Royal Bank of Scotland PLC

  $ 8,010                                       $ 8,010     

Westpac Banking Corp

    406         $ (406                                
 

 

 

 

Total

  $ 8,416         $ (406                          $ 8,010     
 

 

 

 

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

       

 

2   Net amount represents the net amount payable to the counterparty in the event of default.

      

 

 

Fair Value Hierarchy as of Period End

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

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

            $ 15,511,471         $ 2,218,460         $ 17,729,931   

Common Stocks

  $ 18,526           11,299           140,083           169,908   

Corporate Bonds

              32,503,067           1,527,870           34,030,937   

Floating Rate Loan Interests

              706,335,728           44,995,306           751,331,034   

Investment Companies

    2,502,532                               2,502,532   

Non-Agency Mortgage-Backed Securities

              993,487                     993,487   

Other Interests

                        1,562,503           1,562,503   

Preferred Securities

    1,533,845                               1,533,845   

Warrants

                        4,902           4,902   

Unfunded floating rate loan interests1

              11,116                     11,116   

Short-Term Securities

    1,859,207                               1,859,207   
 

 

 

 

Total

  $ 5,914,110         $ 755,366,168         $ 50,449,124         $ 811,729,402   
 

 

 

 
                

 

See Notes to Financial Statements.

 

                
32    ANNUAL REPORT    AUGUST 31, 2016   


Consolidated Schedule of Investments (concluded)

  

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

 

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2                                         

Assets:

                

Foreign currency exchange contracts

            $ 17,590                   $ 17,590   

Interest rate contracts

              30,617                     30,617   

Liabilities:

  

Foreign currency exchange contracts

              (8,416                  (8,416

Interest rate contracts

  $ (1,521                            (1,521
 

 

 

 

Total

  $ (1,521      $ 39,791                   $ 38,270   
 

 

 

 

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

       

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

        

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

 

Cash

  $ 960,528                             $ 960,528   

Cash pledged for futures contracts

    23,000                               23,000   

Foreign currency at value

    8,783                               8,783   

Liabilities:

 

Bank borrowings payable

            $ (225,000,000                  (225,000,000
 

 

 

 

Total

  $ 992,311         $ (225,000,000                $ (224,007,689
 

 

 

 

During the year ended August 31, 2016, there were no transfers between Level 1 and Level 2.

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

 

     Common
Stocks
    Asset-
Backed
Securities
    Corporate
Bonds
    Floating Rate
Loan Interests
    Other
Interests
    Warrants     Total  

Assets:

             

Opening balance, as of August 31, 2015

  $ 345,687      $ 10,022,033      $ 2,987,102      $ 33,105,389      $ 1,715,003      $ 20,682      $ 48,195,896   

Transfers into Level 31

                         16,958,026                      16,958,026   

Transfers out of Level 32

           (5,666,402     (944,697     (12,418,640                   (19,029,739

Accrued discounts/premiums

           5,741        771        59,590                      66,102   

Net realized gain (loss)

           (255,337            (1,146,500                   (1,401,837

Net change in unrealized appreciation (depreciation)3,4

    (215,446     (10,757     (606,007     420,579        (51,079     (15,780     (478,490

Purchases

    11,281        1,930,939        90,701        18,037,514                      20,070,435   

Sales

    (1,439     (3,807,757            (10,020,652     (101,421            (13,931,269
 

 

 

 

Closing Balance, as of August 31, 2016

  $ 140,083      $ 2,218,460      $ 1,527,870      $ 44,995,306      $ 1,562,503      $ 4,902      $ 50,449,124   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 20164

  $ (127,650   $ 1,471      $ (606,007   $ 6,476      $ (51,079   $ (15,780   $ (792,569
 

 

 

 

1   As of August 31, 2015, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

        

2   As of August 31, 2015, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2016, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

        

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

      

4   Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at August 31, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

       

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    33


Schedule of Investments August 31, 2016

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Common Stocks         
Shares
    Value  

Chemicals — 0.0%

  

LyondellBasell Industries NV, Class A

             37      $ 2,919   

Construction & Engineering — 0.2%

  

USI United Subcontractors

             6,454        968,096   

Diversified Financial Services — 0.0%

  

Kcad Holdings I Ltd. (a)

             546,753,936        185,897   

Health Care Management Services — 0.0%

  

New Millennium HoldCo, Inc.

             8,511        6,451   

Household Durables — 0.0%

  

Berkline Benchcraft Equity LLC (a)(b)

             3,155          

Oil, Gas & Consumable Fuels — 0.0%

  

Denbury Resources, Inc. (a)

       40,280        121,753   

Southcross Holdings LP

       40        12,000   

Vantage Drilling International (a)

       191          

Whiting Petroleum Corp.

       12,947        94,384   
      

 

 

 
        228,137   

Real Estate Investment Trusts (REITs) — 0.0%

  

Ovation Acquisition I LLC, (Acquired 12/28/15, cost $15,599) (c)

   

    1,013        1,013   
Total Common Stocks — 0.2%                      1,392,513   
      
                          
Asset-Backed Securities — 14.7%          

Par

(000)

        

ACAS CLO Ltd., Series 2014-1A, Class C, 3.58%, 7/18/26 (d)(e)

     USD        1,000        991,675   

Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3,
0.76%, 5/10/32 (d)(e)

       55        55,137   

ALM Loan Funding, Series 2013-7RA, Class D, 5.71%, 4/24/24 (d)(e)

       1,040        973,569   

ALM VI Ltd., Series 2012-6A, Class B2R, 3.48%, 7/15/26 (d)(e)

       1,000        993,775   

ALM XIV Ltd., Series 2014-14A, Class C, 4.19%, 7/28/26 (d)

       3,140        3,043,979   

AmeriCredit Automobile Receivables Series 2014-3, Class C, 2.58%, 9/08/20

       4,850        4,921,391   

AMMC CLO Ltd., Series 2014-15A, Class D, 4.86%, 12/09/26 (d)(e)

       2,000        1,955,000   

Apidos CLO XVII, Series 2014-17A, Class B, 3.53%, 4/17/26 (d)(e)

       1,000        989,187   

Ares CLO Ltd. (d)(e):

      

Series 2012-2A, Class CR, 3.37%, 10/12/23

       1,000        997,810   

Series 2014 32A, Class B, 4.07%, 11/15/25

       1,250        1,267,746   

Atrium CDO Corp., Series 9A, Class D, 4.33%, 2/28/24 (d)(e)

       1,850        1,804,238   

Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class B,
3.50%, 7/20/26 (d)(e)

       1,250        1,237,500   

Carlyle Global Market Strategies CLO Ltd., Class C (d)(e):

      

Series 2013-1A, 4.82%, 2/14/25

       250        248,868   

Series 2014-5A, 4.83%, 10/16/25

       2,000        1,999,917   

Series 2015-1A, 3.85%, 4/20/27

       500        504,244   

CIFC Funding 2014-IV Ltd., Series 2014-4A, Class C1, 3.58%, 10/17/26 (d)(e)

       2,850        2,825,596   

CIFC Funding Ltd., Class D (d)(e):

      

Series 2014-3A, 4.10%, 7/22/26

       420        387,750   

Series 2015-1A, 4.70%, 1/22/27

       600        576,936   
Asset-Backed Securities   

Par  

(000)

    Value  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (e)

     USD        1,469      $ 1,391,211   

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

       3,157        3,101,522   

Flagship CLO, Series 2014-8A, Class C, 3.81%, 1/16/26 (d)(e)

       1,000        990,014   

Gramercy Park CLO Ltd., Series 2012-1AR, Class CR, 4.73%, 7/17/23 (d)(e)

       5,000        4,989,680   

GSAA Trust, Series 2007-3, Class 1A2, 0.69%, 3/25/47 (d)

       2,457        1,188,442   

Litigation Fee Residual Funding, 4.00%, 10/30/27

       1,806        1,803,967   

Madison Park Funding Ltd., Series 2012-10A, Class D, 4.95%, 1/20/25 (d)(e)

       700        704,586   

Madison Park Funding XI Ltd., Series 2013-11A, Class D, 4.21%, 10/23/25 (d)(e)

       420        397,707   

Madison Park Funding XV Ltd., Series 2014-15A, Class B1, 3.98%, 1/27/26 (d)(e)

       1,500        1,520,866   

Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class B, 3.97%, 11/14/25 (d)(e)

       1,000        1,000,046   

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 7/18/25 (e)

       4,000        3,979,770   

OZLM Funding Ltd., Series 2012-2A, Class C, 5.11%, 10/30/23 (d)(e)

       500        499,960   

OZLM IX Ltd., Series 2014-9A, Class C, 4.30%, 1/20/27 (d)(e)

       1,000        945,458   

OZLM VII Ltd., Series 2014-7A, Class C, 4.28%, 7/17/26 (d)(e)

       780        733,623   

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

      

Class B, 3.68%, 10/17/26

       2,500        2,499,507   

Class C, 4.18%, 10/17/26

       500        467,638   

OZLM XII Ltd., Series 2015-12A, Class C, 4.46%, 4/30/27 (d)(e)

       1,000        928,064   

Regatta Funding LP, Series 2013-2A, Class C, 4.68%, 1/15/25 (d)(e)

       500        472,457   

Regatta V Funding Ltd., Series 2014-1A, Class B, 3.71%, 10/25/26 (d)(e)

       2,000        1,993,955   

Santander Drive Auto Receivables Trust: (e)

      

Series 2014-3, Class D, 2.65%, 8/17/20

       4,015        4,054,097   

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

       4,500        4,549,656   

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

       4,500        4,580,124   

Series 2014-S4, 0.00%, 4/16/19

       3        11,542,500   

Sound Point CLO Ltd., Series 2014-3A, Class D, 4.31%, 1/23/27 (d)(e)

       2,000        1,895,545   

Symphony CLO XV Ltd., Series 2014-15A, Class C, 3.88%, 10/17/26 (d)(e)

       4,000        4,000,075   

Venture XXI CLO Ltd., Series 2015-21A, Class D, 4.28%, 7/15/27 (d)(e)

       400        367,297   

Voya CLO Ltd., Series 2014-4A, Class C, 4.67%, 10/14/26 (d)(e)

       2,500        2,456,808   

World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22

       3,000        3,082,063   
      

 

 

 
                       91,910,956   

Interest Only Asset-Backed Securities — 0.1%

  

Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30

       4,835        342,970   

Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29

       6,867        472,126   
      

 

 

 
                       815,096   
Total Asset-Backed Securities — 14.8%                      92,726,052   
 

 

See Notes to Financial Statements.

 

                
34    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Aerospace & Defense — 0.9%

  

Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (e)(g)

     USD        560      $ 432,600   

Bombardier, Inc. (e):

      

5.50%, 9/15/18

       229        235,298   

6.00%, 10/15/22

       28        26,460   

6.13%, 1/15/23

       210        197,400   

7.50%, 3/15/25

       682        647,900   

KLX, Inc., 5.88%, 12/01/22 (e)

       305        320,097   

Moog, Inc., 5.25%, 12/01/22 (e)

       270        278,100   

TransDigm, Inc.:

      

7.50%, 7/15/21

       263        278,944   

6.00%, 7/15/22 (g)

       1,825        1,898,000   

6.50%, 7/15/24 (g)

       680        705,500   

6.38%, 6/15/26 (e)

       428        436,560   
      

 

 

 
                       5,456,859   

Air Freight & Logistics — 0.2%

  

XPO Logistics, Inc.:

      

5.75%, 6/15/21

     EUR        100        116,307   

6.50%, 6/15/22 (e)(g)

     USD        1,100        1,142,625   

6.13%, 9/01/23 (e)

       230        236,325   
      

 

 

 
                       1,495,257   

Airlines — 2.2%

  

Air Canada Pass-Through Trust (e):

      

Series 2013-1, Class C, 6.63%, 5/15/18

       651        672,157   

Series 2015-1, Class B, 3.88%, 9/15/24 (g)

       1,455        1,402,341   

American Airlines Group, Inc., 4.63%, 3/01/20 (e)

       315        315,788   

American Airlines Pass-Through Trust,
Series 2013-2 (g):

      

Class A, 4.95%, 7/15/24

       3,087        3,376,382   

Class B, 5.60%, 1/15/22 (e)

       595        623,664   

Continental Airlines Pass-Through Trust,
Series 2012-3, Class C, 6.13%, 4/29/18 (g)

       780        819,000   

Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18

       176        180,972   

United Airlines Pass-Through Trust (g):

      

Series 2014-2, Class B, 4.63%, 3/03/24

       2,187        2,209,049   

Series 2015-1, Class A, 3.70%, 6/01/24

       2,430        2,539,350   

US Airways Pass-Through Trust, Series 2011-1, Class B, 9.75%, 4/22/20

       352        393,753   

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

      

Class A, 5.00%, 4/23/25

       510        531,309   

Class C, 7.13%, 10/23/18

       617        625,021   
      

 

 

 
                       13,688,786   

Auto Components — 0.6%

  

Adient Global Holdings Ltd., 4.88%, 8/15/26 (e)

       303        307,166   

CNH Industrial Finance Europe SA, 2.88%, 5/17/23

     EUR        175        201,818   

Fiat Chrysler Finance Europe:

      

4.75%, 3/22/21

       100        124,463   

4.75%, 7/15/22

       100        123,609   

Goodyear Tire & Rubber Co., 5.00%, 5/31/26

     USD        67        70,140   

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (g)

       1,314        1,307,430   

Schaeffler Holding Finance BV (h):

      

(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21

     EUR        69        83,412   

(6.25% Cash), 6.25%, 11/15/19 (e)(g)

     USD        804        834,150   

(6.75% Cash), 6.75%, 11/15/22 (e)(g)

       576        636,102   

(6.88% Cash), 6.88%, 8/15/18

     EUR        141        160,782   
      

 

 

 
                       3,849,072   

Automobiles — 0.4%

  

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

     USD        2,478        2,552,893   
Corporate Bonds   

Par  

(000)

    Value  

Banks — 1.6%

  

Allied Irish Banks PLC, 4.13%, 11/26/25 (d)

     EUR        100      $ 105,968   

Banco Espirito Santo SA (a)(b):

      

4.75%, 1/15/18

       100        25,655   

4.00%, 1/21/19

       100        25,655   

Bank of Ireland, 4.25%, 6/11/24 (d)

       100        111,575   

Bankia SA, 4.00%, 5/22/24 (d)

       100        111,181   

Barclays Bank PLC, 3.65%, 3/16/25 (g)

     USD        3,600        3,578,710   

CIT Group, Inc.:

      

5.50%, 2/15/19 (e)(g)

       1,195        1,265,206   

5.00%, 8/01/23

       235        249,100   

Commerzbank AG, 7.75%, 3/16/21

     EUR        100        134,765   

Ibercaja Banco SA, 5.00%, 7/28/25 (d)

       100        103,652   

Nordea Bank AB, 4.50%, 3/26/20

       1,020        1,298,274   

Santander Holdings USA, Inc., 4.50%, 7/17/25 (g)

     USD        1,750        1,833,258   

Santander UK Group Holdings PLC,
2.88%, 8/05/21 (g)

       950        947,486   
      

 

 

 
                       9,790,485   

Beverages — 0.5%

  

Anheuser-Busch InBev Finance, Inc., 3.30%, 2/01/23 (g)

       3,000        3,150,363   

Constellation Brands, Inc., 7.25%, 5/15/17

       82        85,177   

Verallia Packaging SASU, 5.13%, 8/01/22

     EUR        100        119,409   
      

 

 

 
                       3,354,949   

Building Materials — 0.0%

  

Titan Global Finance PLC, 3.50%, 6/17/21

             100        114,885   

Building Products — 0.9%

  

American Builders & Contractors Supply Co., Inc. (e):

      

5.63%, 4/15/21

     USD        190        197,125   

5.75%, 12/15/23

       210        222,075   

Builders FirstSource, Inc., 5.63%, 9/01/24 (e)

       223        226,902   

Building Materials Corp. of America, 6.00%, 10/15/25 (e)(g)

       535        586,494   

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

       1,030        1,050,600   

HeidelbergCement AG, 2.25%, 3/30/23

     EUR        75        89,767   

Masonite International Corp.,
5.63%, 3/15/23 (e)(g)

     USD        404        428,240   

Ply Gem Industries, Inc., 6.50%, 2/01/22

       904        933,380   

Standard Industries, Inc. (e)(g):

      

5.13%, 2/15/21

       140        147,875   

5.50%, 2/15/23

       229        243,026   

USG Corp.:

      

9.50%, 1/15/18 (g)

       1,460        1,598,700   

5.88%, 11/01/21 (e)

       70        73,413   

5.50%, 3/01/25 (e)

       15        16,275   
      

 

 

 
                       5,813,872   

Capital Markets — 0.6%

  

American Capital Ltd., 6.50%, 9/15/18 (e)(g)

       975        992,453   

BCD Acquisition, Inc., 9.63%, 9/15/23 (e)

       80        83,600   

Blackstone CQP Holdco LP, 9.30%, 3/19/19

       1,173        1,184,277   

E*Trade Financial Corp. (g):

      

5.38%, 11/15/22

       272        292,060   

4.63%, 9/15/23

       405        420,333   

Morgan Stanley, 4.00%, 7/23/25 (g)

       965        1,042,959   
      

 

 

 
                       4,015,682   

Chemicals — 0.7%

  

Axalta Coating Systems LLC, 4.88%, 8/15/24 (e)

       239        249,157   

Chemours Co.:

      

6.63%, 5/15/23

       302        289,920   

7.00%, 5/15/25

       195        186,591   

Huntsman International LLC:

      

4.88%, 11/15/20

       133        137,987   

5.13%, 4/15/21

     EUR        100        119,911   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    35


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Chemicals (continued)

  

Ineos Finance PLC, 4.00%, 5/01/23

     EUR        100      $ 114,334   

Inovyn Finance PLC, 6.25%, 5/15/21

       100        117,959   

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

     USD        720        595,044   

NOVA Chemicals Corp., 5.25%, 8/01/23 (e)

       130        134,875   

Platform Specialty Products Corp. (e):

      

10.38%, 5/01/21

       53        55,650   

6.50%, 2/01/22 (g)

       1,592        1,508,420   

PQ Corp., 6.75%, 11/15/22 (e)

       319        338,140   

WR Grace & Co-Conn (e):

      

5.13%, 10/01/21

       41        43,665   

5.63%, 10/01/24

       200        216,000   
      

 

 

 
                       4,107,653   

Commercial Services & Supplies — 0.8%

  

ADS Waste Holdings, Inc., 8.25%, 10/01/20

       247        258,424   

ADT Corp.:

      

3.50%, 7/15/22

       456        436,620   

4.13%, 6/15/23

       78        76,440   

Aviation Capital Group Corp., 4.63%, 1/31/18 (e)(g)

       1,000        1,040,000   

Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (e)

       689        687,277   

Iron Mountain, Inc., 6.00%, 10/01/20 (e)

       315        334,691   

Mobile Mini, Inc., 5.88%, 7/01/24

       400        416,000   

Modular Space Corp., 10.25%, 1/31/19 (e)(g)

       1,253        513,730   

S&P Global, Inc., 2.50%, 8/15/18

       445        452,264   

Silk Bidco AS, 7.50%, 2/01/22

     EUR        120        143,425   

United Rentals North America, Inc.:

      

7.63%, 4/15/22

     USD        128        136,480   

5.75%, 11/15/24 (g)

       579        605,055   

Verisure Holding AB, 6.00%, 11/01/22

     EUR        125        152,677   
      

 

 

 
                       5,253,083   

Communications Equipment — 0.9%

  

Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 (g)

     USD        1,525        1,658,437   

Avaya, Inc., 7.00%, 4/01/19

       125        93,125   

CommScope Technologies Finance LLC, 6.00%, 6/15/25 (e)(g)

       564        598,545   

CommScope, Inc., 4.38%, 6/15/20 (e)(g)

       465        481,275   

Motorola Solutions, Inc., 3.75%, 5/15/22 (g)

       1,500        1,540,950   

Nokia OYJ, 6.63%, 5/15/39

       200        218,000   

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

      

6.00%, 4/01/23

       649        674,960   

6.38%, 5/15/25

       589        621,519   
      

 

 

 
                       5,886,811   

Construction & Engineering — 0.3%

  

AECOM Co.:

      

5.75%, 10/15/22

       150        159,000   

5.88%, 10/15/24

       344        376,250   

Aeropuerto Internacional de Tocumen SA, 5.63%, 5/18/36 (g)

       449        471,450   

BlueLine Rental Finance Corp.,
7.00%, 2/01/19 (e)(g)

       575        497,375   

Engility Corp., 8.88%, 9/01/24 (e)

       152        154,660   

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23

       320        294,400   
      

 

 

 
                       1,953,135   

Construction Materials — 0.8%

  

Beacon Roofing Supply, Inc., 6.38%, 10/01/23

       305        327,875   

HD Supply, Inc. (g):

      

7.50%, 7/15/20

       1,548        1,611,855   

5.25%, 12/15/21 (e)

       1,828        1,947,953   

5.75%, 4/15/24 (e)

       647        689,055   

LKQ Italia Bondco SpA, 3.88%, 4/01/24

     EUR        100        120,748   
Corporate Bonds   

Par  

(000)

    Value  

Construction Materials (continued)

  

PulteGroup, Inc., 5.50%, 3/01/26

     USD        228      $ 243,960   

Rexel SA, 3.50%, 6/15/23

     EUR        116        134,891   
      

 

 

 
                       5,076,337   

Consumer Finance — 1.5%

  

Alliance Data Systems Corp., 5.25%, 12/01/17 (e)

     USD        28        28,630   

Ally Financial, Inc. (g):

      

4.63%, 3/30/25

       1,891        1,961,912   

8.00%, 11/01/31

       2,750        3,444,375   

General Motors Financial Co., Inc., 2.63%, 7/10/17 (g)

       2,760        2,786,286   

Navient Corp.:

      

5.00%, 10/26/20

       310        311,550   

6.63%, 7/26/21

       155        159,844   

5.50%, 1/25/23

       25        23,750   

6.13%, 3/25/24

       115        110,400   

5.88%, 10/25/24

       125        117,813   

5.63%, 8/01/33

       95        77,900   

OneMain Financial Holdings LLC (e):

      

6.75%, 12/15/19

       101        106,050   

7.25%, 12/15/21

       117        122,557   
      

 

 

 
                       9,251,067   

Containers & Packaging — 1.2%

  

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

      

6.75%, 1/31/21 (e)

       605        626,931   

4.07%, 5/15/21 (d)

       200        203,500   

4.25%, 1/15/22

     EUR        120        138,874   

6.75%, 5/15/24

       100        120,747   

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

      

4.63%, 5/15/23

     USD        206        209,605   

7.25%, 5/15/24 (g)

       1,053        1,120,129   

Bahia Sul Holdings GmbH, 5.75%, 7/14/26 (e)

       600        613,500   

Ball Corp., 5.00%, 3/15/22 (g)

       360        388,800   

Crown Americas LLC/Crown Americas
Capital Corp. IV, 4.50%, 1/15/23

       128        133,760   

Crown European Holdings SA, 4.00%, 7/15/22

     EUR        149        186,163   

Fibria Overseas Finance Ltd., 5.25%, 5/12/24

     USD        496        512,715   

JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (h)

     EUR        200        239,469   

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

      

4.13%, 7/15/21 (d)

     USD        1,060        1,075,900   

5.13%, 7/15/23 (e)

       125        129,688   

7.00%, 7/15/24 (e)

       498        533,482   

Sealed Air Corp.:

      

4.88%, 12/01/22 (e)

       80        84,000   

4.50%, 9/15/23

     EUR        100        124,306   

5.13%, 12/01/24 (e)

     USD        151        161,570   

6.88%, 7/15/33 (e)

       99        107,168   

SGD Group SAS, 5.63%, 5/15/19

     EUR        100        114,831   

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (e)

     USD        24        24,480   

Suzano Trading Ltd., 5.88%, 1/23/21 (e)

       495        524,081   
      

 

 

 
                       7,373,699   

Diversified Consumer Services — 0.4%

  

ADT Corp., 4.88%, 7/15/32 (e)

       120        102,600   

APX Group, Inc.:

      

6.38%, 12/01/19

       81        83,125   

8.75%, 12/01/20

       113        108,621   

7.88%, 12/01/22 (e)

       130        136,825   
 

 

See Notes to Financial Statements.

 

                
36    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Diversified Consumer Services (continued)

  

Laureate Education, Inc., 9.25%, 9/01/19 (e)

     USD        495      $ 454,781   

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

       758        825,273   

Service Corp. International, 5.38%, 5/15/24 (g)

       500        536,250   
      

 

 

 
                       2,247,475   

Diversified Financial Services — 1.0%

  

Aircastle Ltd.:

      

6.25%, 12/01/19 (g)

       367        405,994   

5.13%, 3/15/21

       16        17,360   

5.50%, 2/15/22

       219        237,889   

5.00%, 4/01/23

       100        106,000   

Deutsche Bank AG, 4.50%, 5/19/26

     EUR        100        107,916   

FBM Finance, Inc., 8.25%, 8/15/21 (e)

     USD        115        120,463   

Garfunkelux Holdco 3 SA, 8.50%, 11/01/22

     GBP        100        135,254   

General Motors Financial Co., Inc.,
4.38%, 9/25/21 (g)

     USD        530        565,700   

HSH Nordbank AG, 0.54%, 2/14/17 (d)

     EUR        103        110,594   

International Lease Finance Corp. (g):

      

5.88%, 4/01/19

     USD        160        172,600   

8.25%, 12/15/20

       150        179,437   

4.63%, 4/15/21

       147        155,893   

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

      

7.38%, 4/01/20

       290        276,950   

6.88%, 4/15/22 (g)

       480        435,600   

Mercury Bondco PLC, (8.25% Cash, 9.00% PIK), 8.25%, 5/30/21 (h)

     EUR        100        116,576   

MSCI, Inc., 5.75%, 8/15/25 (e)

     USD        201        217,834   

Reynolds Group Issuer, Inc.:

      

5.75%, 10/15/20 (g)

       1,062        1,095,187   

6.88%, 2/15/21

       210        217,875   

8.25%, 2/15/21

       795        826,800   

UniCredit SpA:

      

6.95%, 10/31/22

     EUR        100        127,408   

5.75%, 10/28/25 (d)

       100        117,000   

4.38%, 1/03/27 (d)

       100        111,100   

WMG Acquisition Corp., 5.00%, 8/01/23 (e)

     USD        72        73,980   
      

 

 

 
                       5,931,410   

Diversified Telecommunication Services — 1.8%

  

CenturyLink, Inc., 6.45%, 6/15/21

       456        489,915   

Consolidated Communications, Inc., 6.50%, 10/01/22

       100        97,000   

Frontier Communications Corp.:

      

7.13%, 3/15/19

       170        183,175   

6.25%, 9/15/21

       45        43,889   

7.13%, 1/15/23 (g)

       170        160,225   

7.63%, 4/15/24 (g)

       496        466,240   

6.88%, 1/15/25 (g)

       1,018        913,655   

11.00%, 9/15/25 (g)

       395        426,600   

Level 3 Financing, Inc.:

      

4.41%, 1/15/18 (d)

       411        413,055   

5.38%, 8/15/22 (g)

       240        250,836   

5.13%, 5/01/23 (g)

       905        940,069   

5.38%, 1/15/24

       240        251,700   

5.38%, 5/01/25 (g)

       391        410,550   

5.25%, 3/15/26 (e)

       167        173,054   

OTE PLC, 3.50%, 7/09/20

     EUR        100        114,735   

SoftBank Group Corp., 4.75%, 7/30/25

       122        153,946   

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD        130        134,387   

6.00%, 9/30/34

       630        633,213   

7.20%, 7/18/36

       160        171,400   

Telecom Italia Finance SA, 7.75%, 1/24/33

     EUR        37        56,474   

Telecom Italia SpA:

      

6.38%, 6/24/19

     GBP        200        294,093   

5.88%, 5/19/23

       100        156,031   
Corporate Bonds   

Par  

(000)

    Value  

Diversified Telecommunication Services (continued)

  

Telenet Finance V Luxembourg SCA, 6.75%, 8/15/24

     EUR        129      $ 161,160   

Verizon Communications, Inc. (g):

      

3.65%, 9/14/18

     USD        3,855        4,032,847   

4.50%, 9/15/20

       145        159,850   
      

 

 

 
                       11,288,099   

Electric Utilities — 0.6%

  

AES Corp., 4.88%, 5/15/23

       270        273,375   

AES Gener SA, 5.00%, 7/14/25 (e)(g)

       657        680,377   

Black Hills Corp., 3.15%, 1/15/27

       305        308,639   

Exelon Corp., 3.40%, 4/15/26 (g)

       140        147,503   

Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 (g)

       197        177,069   

Southern Co., 2.95%, 7/01/23 (g)

       1,920        1,983,731   

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

      

10.50%, 11/01/16

       31        2,077   

11.50%, 10/01/20 (e)

       292        95,007   

Series A, 10.25%, 11/01/15

       47        3,149   
      

 

 

 
                       3,670,927   

Electrical Equipment — 0.0%

  

Belden, Inc., 5.50%, 4/15/23

     EUR        149        177,022   

Electronic Equipment, Instruments & Components — 0.3%

  

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22 (g)

     USD        615        660,356   

5.00%, 9/01/23

       122        126,423   

5.50%, 12/01/24 (g)

       815        873,435   
      

 

 

 
                       1,660,214   

Energy Equipment & Services — 0.4%

  

Ensco PLC:

      

4.70%, 3/15/21

       75        64,725   

4.50%, 10/01/24 (g)

       138        98,239   

5.20%, 3/15/25 (g)

       43        30,960   

Genesis Energy LP/Genesis Energy Finance Corp.:

      

5.75%, 2/15/21

       30        29,775   

6.75%, 8/01/22

       282        287,640   

Halliburton Co., 3.80%, 11/15/25 (g)

       100        103,301   

Noble Holding International Ltd.:

      

4.63%, 3/01/21

       35        29,316   

6.95%, 4/01/25

       55        44,825   

Transocean, Inc.:

      

3.75%, 10/15/17 (g)

       414        412,965   

6.00%, 3/15/18 (g)

       740        740,925   

7.38%, 4/15/18

       30        30,300   

8.13%, 12/15/21

       212        198,750   

5.05%, 10/15/22

       285        227,287   

Weatherford International Ltd., 7.75%, 6/15/21

       186        184,140   
      

 

 

 
                       2,483,148   

Environmental, Maintenance, & Security Service — 0.0%

  

Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18

     EUR        100        113,776   

Food & Staples Retailing — 1.1%

  

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

      

6.63%, 6/15/24

     USD        226        242,634   

5.75%, 3/15/25

       440        455,400   

Casino Guichard Perrachon SA:

      

3.31%, 1/25/23

     EUR        100        121,797   

3.25%, 3/07/24

       200        239,701   

2.33%, 2/07/25

       100        112,581   

CVS Health Corp., 4.75%, 12/01/22 (g)

     USD        165        186,877   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    37


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Food & Staples Retailing (continued)

  

Dollar Tree, Inc.:

      

5.25%, 3/01/20

     USD        58      $ 60,392   

5.75%, 3/01/23 (g)

       2,211        2,379,589   

Rite Aid Corp. (g):

      

9.25%, 3/15/20

       1,095        1,155,225   

6.13%, 4/01/23 (e)

       1,570        1,694,941   

Tesco PLC, 5.00%, 3/24/23

     GBP        100        145,451   
      

 

 

 
                       6,794,588   

Food Products — 0.8%

  

Acosta, Inc., 7.75%, 10/01/22 (e)

     USD        464        428,620   

Aramark Services, Inc.:

      

5.13%, 1/15/24 (g)

       729        755,882   

5.13%, 1/15/24 (e)

       138        143,089   

FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, 8/15/26 (e)

       200        206,750   

JBS USA LLC/JBS USA Finance, Inc.:

      

7.25%, 6/01/21

       40        41,400   

5.75%, 6/15/25

       465        471,975   

Pinnacle Foods Finance Corp., 5.88%, 1/15/24 (e)

       62        66,805   

Post Holdings, Inc. (e):

      

7.75%, 3/15/24 (g)

       844        937,895   

8.00%, 7/15/25

       416        475,280   

5.00%, 8/15/26

       390        389,025   

Smithfield Foods, Inc., 5.88%, 8/01/21 (e)

       193        201,685   

TreeHouse Foods, Inc., 6.00%, 2/15/24 (e)(g)

       383        416,512   

WhiteWave Foods Co., 5.38%, 10/01/22

       168        189,420   
      

 

 

 
                       4,724,338   

Forest Products — 0.2%

  

Arcor SAIC, 6.00%, 7/06/23 (e)

       302        324,197   

Marfrig Holdings Europe BV, 8.00%, 6/08/23 (e)(g)

       610        633,638   

Tereos Finance Groupe I SA, 4.13%, 6/16/23

     EUR        100        116,559   
      

 

 

 
                       1,074,394   

Health Care Equipment & Supplies — 0.7%

  

Crimson Merger Sub, Inc., 6.63%, 5/15/22 (e)

     USD        810        724,950   

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (e)(g)

       1,261        1,109,680   

Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24 (e)

       245        262,150   

Fresenius US Finance II, Inc., 4.50%, 1/15/23 (e)

       260        274,950   

Hologic, Inc., Series 2010, 2.00%, 12/15/37 (i)(j)

       265        444,869   

IDH Finance PLC, 6.25%, 8/15/22

     GBP        100        130,711   

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

      

4.88%, 4/15/20 (g)

     USD        284        290,390   

5.75%, 8/01/22

       330        331,237   

Teleflex, Inc.:

      

3.88%, 8/01/17 (i)

       100        297,812   

5.25%, 6/15/24

       250        261,875   

4.88%, 6/01/26

       96        100,080   

Thermo Fisher Scientific, Inc., 3.00%, 4/15/23 (g)

       305        312,640   
      

 

 

 
                       4,541,344   

Health Care Providers & Services — 2.9%

  

Acadia Healthcare Co., Inc.:

      

5.13%, 7/01/22

       105        104,738   

5.63%, 2/15/23

       375        381,563   

6.50%, 3/01/24

       61        64,126   

Aetna, Inc., 2.80%, 6/15/23 (g)

       340        347,890   

Alere, Inc., 6.38%, 7/01/23 (e)

       471        481,597   

Amsurg Corp., 5.63%, 7/15/22 (g)

       618        638,085   

Centene Corp.:

      

5.63%, 2/15/21

       359        381,886   

4.75%, 5/15/22 (g)

       384        398,880   

6.13%, 2/15/24

       213        232,170   
Corporate Bonds   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

  

CHS/Community Health Systems, Inc., 6.88%, 2/01/22 (g)

     USD        414      $ 343,620   

DaVita HealthCare Partners, Inc. (g):

      

5.13%, 7/15/24

       715        738,237   

5.00%, 5/01/25

       161        163,174   

Envision Healthcare Corp., 5.13%, 7/01/22 (e)

       165        166,650   

HCA Holdings, Inc., 6.25%, 2/15/21

       35        37,888   

HCA, Inc.:

      

3.75%, 3/15/19 (g)

       786        810,562   

6.50%, 2/15/20 (g)

       125        138,125   

7.50%, 2/15/22 (g)

       342        389,880   

5.88%, 3/15/22 (g)

       82        90,200   

4.75%, 5/01/23

       38        39,758   

5.88%, 5/01/23

       70        74,375   

5.00%, 3/15/24 (g)

       335        355,100   

5.38%, 2/01/25 (g)

       828        852,840   

5.25%, 4/15/25 (g)

       1,230        1,317,637   

5.88%, 2/15/26

       426        450,495   

5.25%, 6/15/26 (g)

       123        131,456   

4.50%, 2/15/27

       388        391,395   

HealthSouth Corp.:

      

5.75%, 11/01/24 (g)

       720        746,640   

5.75%, 9/15/25

       207        216,574   

2.00%, 12/01/43 (i)

       335        394,672   

Hologic, Inc., 5.25%, 7/15/22 (e)(g)

       720        765,900   

MEDNAX, Inc., 5.25%, 12/01/23 (e)(g)

       201        211,553   

MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (e)

       307        330,025   

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

       496        505,300   

Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (e)

       104        108,688   

Surgery Center Holdings, Inc., 8.88%, 4/15/21 (e)

       71        75,793   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18 (g)

       264        281,820   

4.75%, 6/01/20 (g)

       520        533,000   

4.15%, 6/15/20 (d)(g)

       805        806,006   

6.00%, 10/01/20

       241        254,556   

6.75%, 6/15/23 (g)

       1,361        1,294,651   

UnitedHealth Group, Inc., 3.75%, 7/15/25 (g)

       1,470        1,629,485   

Voyage Care Bondco PLC, 6.50%, 8/01/18

     GBP        255        333,011   
      

 

 

 
                       18,010,001   

Hotels, Restaurants & Leisure — 4.3%

  

Boyd Gaming Corp., 6.88%, 5/15/23

     USD        261        281,880   

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20 (g)

       2,076        2,107,140   

Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (e)(h)

       204        202,980   

Cemex Finance LLC, 9.38%, 10/12/22 (e)

       246        272,752   

Codere Finance 2 Luxembourg SA (h):

      

9.00%, 6/30/21 (e)

       24        24,720   

9.00%, 6/30/21

       12        12,553   

CPUK Finance Ltd., 7.00%, 2/28/42

     GBP        100        140,323   

Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (i)

       100        103,476   

ESH Hospitality, Inc., 5.25%, 5/01/25 (e)(g)

     USD        686        685,787   

Gala Electric Casinos Ltd., 11.50%, 6/01/19

     GBP        64        86,200   

GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (g)

     USD        357        371,280   

International Game Technology PLC, 4.75%, 2/15/23

     EUR        125        153,137   

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

      

5.00%, 6/01/24

     USD        35        36,705   

5.25%, 6/01/26

       222        235,875   
 

 

See Notes to Financial Statements.

 

                
38    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

  

McDonald’s Corp., 3.70%, 1/30/26 (g)

     USD        405      $ 437,161   

MGM Resorts International:

      

8.63%, 2/01/19

       149        168,556   

5.25%, 3/31/20

       368        393,760   

6.75%, 10/01/20

       363        405,652   

6.63%, 12/15/21 (g)

       960        1,077,600   

4.63%, 9/01/26

       229        226,710   

MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc., 5.63%, 5/01/24 (e)(g)

       1,411        1,530,935   

New Red Finance, Inc., 6.00%, 4/01/22 (e)(g)

       1,095        1,145,644   

PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20

     EUR        100        116,329   

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/21 (g)

     USD        630        650,475   

Sabre GLBL, Inc. (e):

      

5.38%, 4/15/23

       192        198,480   

5.25%, 11/15/23

       242        248,655   

Scientific Games International, Inc.:

      

7.00%, 1/01/22 (e)(g)

       524        556,750   

10.00%, 12/01/22

       303        280,275   

Six Flags Entertainment Corp. (e):

      

5.25%, 1/15/21 (g)

       486        503,010   

4.88%, 7/31/24

       31        31,620   

Spirit Issuer PLC:

      

Series A1, 1.10%, 12/28/28 (d)

     GBP        445        409,396   

Series A2, 3.25%, 12/28/31 (d)

       1,800        2,127,274   

Series A5, 5.47%, 12/28/28

       4,500        5,967,962   

Series A6, 2.35%, 12/28/36 (d)

       2,670        3,295,725   

Station Casinos LLC, 7.50%, 3/01/21 (g)

     USD        1,025        1,089,979   

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(b)

       375          

Unique Pub Finance Co. PLC:

      

Series A4, 5.66%, 6/30/27

     GBP        712        968,208   

Series N, 6.46%, 3/30/32

       100        107,888   

Yum! Brands, Inc.:

      

3.75%, 11/01/21

     USD        68        68,850   

3.88%, 11/01/23

       30        29,700   
      

 

 

 
                       26,751,402   

Household Durables — 0.6%

  

Beazer Homes USA, Inc., 6.63%, 4/15/18

       250        254,687   

Berkline/Benchcraft LLC, 4.50%, 6/01/17 (a)(b)

       200          

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (e)

       259        260,295   

CalAtlantic Group, Inc.:

      

8.38%, 1/15/21

       140        166,950   

5.25%, 6/01/26

       35        35,525   

DR Horton, Inc., 4.00%, 2/15/20 (g)

       340        356,150   

Lennar Corp.:

      

4.50%, 11/15/19

       370        390,812   

4.75%, 4/01/21

       158        169,534   

4.88%, 12/15/23

       122        127,795   

4.75%, 5/30/25

       260        269,750   

PulteGroup, Inc., 6.38%, 5/15/33 (g)

       600        631,500   

Riverbed Technology, Inc., 8.88%, 3/01/23 (e)

       165        176,963   

Standard Pacific Corp., 5.88%, 11/15/24

       45        48,600   

TRI Pointe Group, Inc.:

      

4.38%, 6/15/19

       110        113,025   

4.88%, 7/01/21

       190        195,700   

5.88%, 6/15/24 (g)

       340        355,300   
      

 

 

 
                       3,552,586   

Household Products — 0.3%

  

Prestige Brands, Inc., 6.38%, 3/01/24 (e)

       150        160,125   

Spectrum Brands, Inc.:

      

6.38%, 11/15/20

       190        197,363   
Corporate Bonds   

Par  

(000)

    Value  

Household Products (continued)

  

Spectrum Brands, Inc. (continued):

      

6.63%, 11/15/22 (g)

     USD        815      $ 872,050   

6.13%, 12/15/24

       75        80,906   

5.75%, 7/15/25 (g)

       396        429,165   

Tempur Sealy International, Inc., 5.50%, 6/15/26 (e)

       136        142,052   
      

 

 

 
                       1,881,661   

Independent Power and Renewable Electricity Producers — 0.7%

  

Calpine Corp.:

      

6.00%, 1/15/22 (e)

       48        50,340   

5.38%, 1/15/23 (g)

       254        254,157   

5.88%, 1/15/24 (e)

       108        114,210   

Dynegy, Inc.:

      

6.75%, 11/01/19 (g)

       610        625,250   

7.38%, 11/01/22

       324        319,950   

5.88%, 6/01/23

       35        31,763   

7.63%, 11/01/24

       35        34,300   

NRG Energy, Inc.:

      

8.25%, 9/01/20

       30        30,825   

7.88%, 5/15/21 (g)

       380        396,150   

6.25%, 7/15/22

       600        612,750   

6.63%, 3/15/23

       40        40,800   

6.25%, 5/01/24

       40        39,700   

7.25%, 5/15/26 (e)

       208        216,008   

6.63%, 1/15/27 (e)

       707        708,322   

NRG Yield Operating LLC, 5.38%, 8/15/24 (g)

       135        140,738   

QEP Resources, Inc., 5.38%, 10/01/22 (g)

       545        539,550   
      

 

 

 
                       4,154,813   

Insurance — 1.3%

  

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

       360        372,989   

American International Group, Inc., 3.75%, 7/10/25 (g)

       2,705        2,855,566   

Aon PLC, 3.88%, 12/15/25 (g)

       1,115        1,200,571   

Assicurazioni Generali SpA, 5.00%, 6/08/48 (d)

     EUR        100        115,031   

Forethought Financial Group, Inc., 8.63%, 4/15/21 (e)(g)

     USD        750        834,389   

HUB International Ltd. (e):

      

9.25%, 2/15/21

       129        136,095   

7.88%, 10/01/21 (g)

       678        693,255   

Lincoln National Corp., 3.35%, 3/09/25 (g)

       845        859,926   

Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (d)

     EUR        400        531,993   

Trader Corp., 9.88%, 8/15/18 (e)(g)

     USD        112        114,800   

Wayne Merger Sub LLC, 8.25%, 8/01/23 (e)

       435        449,627   
      

 

 

 
                       8,164,242   

Internet Software & Services — 0.2%

  

Equinix, Inc., 5.88%, 1/15/26 (g)

       828        901,998   

Netflix, Inc., 5.75%, 3/01/24 (g)

       600        648,000   
      

 

 

 
                       1,549,998   

IT Services — 1.0%

  

Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (e)(g)

       219        226,665   

First Data Corp. (e)(g):

      

5.38%, 8/15/23

       1,093        1,133,988   

7.00%, 12/01/23

       2,271        2,378,872   

5.75%, 1/15/24

       2,289        2,343,364   

Millennium Corp., 12/31/49

       1,779          

Western Digital Corp., 10.50%, 4/01/24 (e)

       108        122,040   

WEX, Inc., 4.75%, 2/01/23 (e)

       220        216,700   
      

 

 

 
                       6,421,629   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    39


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Machinery — 0.1%

  

Gardner Denver, Inc., 6.88%, 8/15/21 (e)

     USD        135      $ 124,538   

SPX FLOW, Inc. (e):

      

5.63%, 8/15/24

       292        300,030   

5.88%, 8/15/26

       157        162,102   
      

 

 

 
                       586,670   

Media — 7.2%

  

Altice Financing SA:

      

6.50%, 1/15/22 (e)(g)

       335        352,587   

5.25%, 2/15/23

     EUR        100        117,686   

6.63%, 2/15/23

     USD        350        364,437   

7.50%, 5/15/26

       237        249,443   

Altice Luxembourg SA:

      

7.75%, 5/15/22 (e)(g)

       465        494,934   

6.25%, 2/15/25

     EUR        175        192,764   

7.63%, 2/15/25 (e)(g)

     USD        286        293,865   

Altice US Finance I Corp. (e):

      

5.38%, 7/15/23 (g)

       1,146        1,199,002   

5.50%, 5/15/26

       439        463,145   

AMC Networks, Inc.:

      

4.75%, 12/15/22

       70        72,100   

5.00%, 4/01/24

       267        273,675   

Cablevision Systems Corp.:

      

8.63%, 9/15/17

       114        121,154   

7.75%, 4/15/18

       464        495,320   

8.00%, 4/15/20

       125        133,125   

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22 (g)

       595        624,750   

5.13%, 2/15/23

       270        283,500   

5.13%, 5/01/23 (e)(g)

       561        590,279   

5.88%, 4/01/24 (e)(g)

       566        609,865   

5.75%, 2/15/26 (e)(g)

       323        345,610   

5.50%, 5/01/26 (e)

       419        443,616   

5.88%, 5/01/27 (e)(g)

       1,025        1,096,750   

Cellnex Telecom SA, 2.38%, 1/16/24

     EUR        100        115,070   

Cequel Communications Holdings I LLC/Cequel Capital Corp. (e):

      

6.38%, 9/15/20

     USD        150        155,063   

5.13%, 12/15/21

       56        56,630   

5.13%, 12/15/21 (g)

       540        544,725   

7.75%, 7/15/25 (g)

       1,276        1,394,030   

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25 (e)(g)

       2,425        2,675,793   

Clear Channel International BV, 8.75%, 12/15/20 (e)

       425        450,500   

Clear Channel Worldwide Holdings, Inc. (g):

      

6.50%, 11/15/22

       3,039        3,143,187   

Series B, 7.63%, 3/15/20

       952        959,140   

Columbus Cable Barbados Ltd., 7.38%,
3/30/21 (e)(g)

       686        734,020   

CSC Holdings LLC:

      

10.13%, 1/15/23 (e)

       426        486,439   

5.25%, 6/01/24 (g)

       690        671,453   

6.63%, 10/15/25 (e)(g)

       445        483,381   

10.88%, 10/15/25 (e)

       421        493,622   

Discovery Communications LLC (g):

      

3.25%, 4/01/23

       1,490        1,492,144   

3.45%, 3/15/25

       170        167,253   

DISH DBS Corp.:

      

4.25%, 4/01/18 (g)

       670        688,881   

5.88%, 7/15/22

       18        18,360   

5.88%, 11/15/24 (g)

       308        303,765   

7.75%, 7/01/26 (e)(g)

       632        674,338   

DISH Network Corp., 3.38%, 8/15/26 (e)(i)

       274        285,816   

eircom Finance DAC, 4.50%, 5/31/22

     EUR        100        114,029   
Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

  

Gray Television, Inc., 5.88%, 7/15/26 (e)

     USD        80      $ 83,400   

Hughes Satellite Systems Corp. (e):

      

5.25%, 8/01/26 (g)

       218        216,254   

6.63%, 8/01/26

       162        160,785   

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       380        307,325   

9.00%, 3/01/21

       50        37,500   

9.00%, 9/15/22 (g)

       755        553,037   

10.63%, 3/15/23 (g)

       944        696,200   

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       496        385,640   

5.50%, 8/01/23 (g)

       501        341,933   

Lamar Media Corp., 5.75%, 2/01/26

       234        253,013   

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance,
7.88%, 5/15/24 (e)

       91        97,370   

MDC Partners, Inc., 6.50%, 5/01/24 (e)

       420        399,000   

Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (e)

       245        256,638   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (e)(g)

       345        350,175   

National CineMedia LLC, 5.75%, 8/15/26 (e)

       88        90,310   

Nexstar Escrow Corp., 5.63%, 8/01/24 (e)

       258        263,160   

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (e)(g)

       635        652,380   

Numericable Group SA, 5.38%, 5/15/22

     EUR        110        128,761   

Outfront Media Capital LLC/Outfront Media Capital Corp.:

      

5.25%, 2/15/22

     USD        300        314,250   

5.63%, 2/15/24

       439        466,986   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (e)(g)

       450        479,812   

SFR Group SA:

      

6.00%, 5/15/22 (g)

       370        378,140   

5.63%, 5/15/24

     EUR        113        133,609   

6.25%, 5/15/24

     USD        500        503,750   

7.38%, 5/01/26 (g)

       2,543        2,625,647   

Sirius XM Radio, Inc. (e):

      

5.75%, 8/01/21 (g)

       424        443,080   

4.63%, 5/15/23

       40        40,450   

Sterling Entertainment Corp., 9.75%, 12/15/19

       1,175        1,163,250   

TEGNA, Inc.:

      

5.13%, 10/15/19

       197        202,664   

4.88%, 9/15/21 (e)

       70        72,625   

Tribune Media Co., 5.88%, 7/15/22 (g)

       786        803,685   

United Group BV, 7.88%, 11/15/20

     EUR        100        117,167   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

5.50%, 1/15/23 (e)

     USD        210        221,025   

4.00%, 1/15/25

     EUR        136        161,198   

5.00%, 1/15/25 (e)(g)

     USD        749        780,832   

Univision Communications, Inc. (e)(g):

      

5.13%, 5/15/23

       1,128        1,173,120   

5.13%, 2/15/25

       1,218        1,272,810   

Virgin Media Finance PLC:

      

6.38%, 10/15/24

     GBP        100        142,201   

5.75%, 1/15/25 (e)

     USD        255        259,463   

Virgin Media Secured Finance PLC:

      

6.00%, 4/15/21

     GBP        382        525,351   

5.25%, 1/15/26 (e)(g)

     USD        355        362,987   

5.50%, 8/15/26 (e)(g)

       200        209,000   

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (e)(g)

       790        824,562   

Wind Acquisition Finance SA, 7.38%, 4/23/21 (e)

       200        206,000   
 

 

See Notes to Financial Statements.

 

                
40    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

  

Ziggo Bond Finance BV:

      

4.63%, 1/15/25

     EUR        137      $ 154,727   

5.88%, 1/15/25 (e)(g)

     USD        470        472,350   
      

 

 

 
                       44,708,868   

Metals & Mining — 2.8%

  

Alcoa, Inc. (g):

      

5.87%, 2/23/22

       630        681,975   

5.13%, 10/01/24

       498        525,390   

Anglo American Capital PLC:

      

2.75%, 6/07/19

     EUR        100        114,620   

1.50%, 4/01/20

       100        108,745   

4.45%, 9/27/20 (e)

     USD        206        208,060   

4.13%, 4/15/21 (e)

       200        198,000   

3.50%, 3/28/22

     EUR        100        112,726   

4.13%, 9/27/22 (e)

     USD        200        195,500   

ArcelorMittal:

      

6.13%, 6/01/18

       370        391,275   

10.85%, 6/01/19

       145        172,913   

7.25%, 2/25/22

       22        24,750   

8.00%, 10/15/39

       94        101,050   

7.75%, 3/01/41

       287        298,480   

Constellium NV (e):

      

8.00%, 1/15/23

       300        306,000   

5.75%, 5/15/24 (g)

       1,127        1,042,475   

First Quantum Minerals Ltd. (e):

      

7.00%, 2/15/21

       119        103,233   

7.25%, 5/15/22

       356        305,270   

FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (e)

       189        218,295   

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       286        280,995   

2.38%, 3/15/18 (g)

       2,716        2,671,865   

3.10%, 3/15/20

       160        147,200   

4.00%, 11/14/21

       290        265,350   

3.55%, 3/01/22

       705        615,112   

3.88%, 3/15/23

       1,188        1,018,710   

5.40%, 11/14/34

       126        98,280   

5.45%, 3/15/43

       571        436,815   

Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (e)

       172        189,200   

Kaiser Aluminum Corp., 5.88%, 5/15/24 (e)

       112        118,720   

Novelis Corp., 6.25%, 8/15/24 (e)

       1,109        1,156,132   

Novelis, Inc., 8.75%, 12/15/20 (g)

       1,019        1,067,402   

Steel Dynamics, Inc.:

      

5.13%, 10/01/21 (g)

       645        670,800   

6.38%, 8/15/22 (g)

       555        585,525   

5.25%, 4/15/23 (g)

       200        208,000   

5.50%, 10/01/24

       56        59,080   

Teck Resources Ltd.:

      

3.00%, 3/01/19 (g)

       208        201,760   

8.00%, 6/01/21 (e)

       131        141,398   

3.75%, 2/01/23

       350        300,125   

8.50%, 6/01/24 (e)

       445        500,625   

6.00%, 8/15/40 (g)

       339        274,590   

6.25%, 7/15/41 (g)

       315        260,466   

5.20%, 3/01/42 (g)

       140        102,550   

United States Steel Corp., 8.38%, 7/01/21 (e)

       320        348,000   

Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (e)(g)

       388        399,640   
      

 

 

 
                       17,227,097   

Multi-Utilities — 0.3%

  

Brooklyn Union Gas Co., 3.41%, 3/10/26 (e)(g)

             1,475        1,567,767   

Multiline Retail — 0.1%

  

Neiman Marcus Group Ltd.,
8.00%, 10/15/21 (e)(g)

             646        552,782   
Corporate Bonds   

Par  

(000)

    Value  

Offshore Drilling & Other Services — 0.1%

  

Lam Research Corp., 3.90%, 6/15/26 (g)

     USD        355      $ 370,963   

Sensata Technologies BV, 5.63%, 11/01/24 (e)

       179        189,740   
      

 

 

 
                       560,703   

Oil, Gas & Consumable Fuels — 6.4%

  

Antero Resources Corp., 5.63%, 6/01/23

       39        39,098   

California Resources Corp., 8.00%, 12/15/22 (e)(g)

       847        571,725   

Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 (g)

       695        686,312   

Cenovus Energy, Inc.:

      

5.70%, 10/15/19

       44        47,287   

5.20%, 9/15/43

       20        17,585   

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

       973        1,041,110   

Chesapeake Energy Corp.:

      

6.50%, 8/15/17

       40        40,300   

3.93%, 4/15/19 (d)

       1,289        1,166,545   

6.63%, 8/15/20

       140        124,600   

6.88%, 11/15/20

       155        136,012   

Concho Resources, Inc., 5.50%, 4/01/23

       50        51,625   

ConocoPhillips Co., 4.20%, 3/15/21 (g)

       290        312,939   

CONSOL Energy, Inc.:

      

5.88%, 4/15/22 (g)

       2,581        2,335,805   

8.00%, 4/01/23

       19        18,525   

Continental Resources, Inc.:

      

5.00%, 9/15/22

       97        93,848   

4.50%, 4/15/23

       197        185,672   

3.80%, 6/01/24 (g)

       425        383,562   

4.90%, 6/01/44

       98        81,830   

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

      

6.00%, 12/15/20

       35        34,475   

6.25%, 4/01/23

       35        34,125   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (g)

       1,070        1,112,800   

DCP Midstream LLC (e):

      

6.45%, 11/03/36

       143        138,352   

6.75%, 9/15/37

       227        220,190   

Denbury Resources, Inc., 9.00%, 5/15/21 (e)(g)

       578        593,895   

Diamondback Energy, Inc., 7.63%, 10/01/21 (g)

       471        499,554   

Encana Corp. (g):

      

3.90%, 11/15/21

       147        145,340   

6.50%, 8/15/34

       54        54,515   

6.63%, 8/15/37

       161        163,198   

6.50%, 2/01/38

       465        465,386   

5.15%, 11/15/41

       193        169,361   

Energy Transfer Equity LP (g):

      

7.50%, 10/15/20

       429        469,755   

5.88%, 1/15/24

       582        596,550   

5.50%, 6/01/27

       500        501,250   

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

       356        359,560   

Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.88%, 2/15/23

       270        262,575   

Gazprom OAO Via Gaz Capital SA,
4.95%, 7/19/22 (e)

       411        426,968   

Genesis Energy LP/Genesis Energy Finance Corp., 5.63%, 6/15/24

       83        79,888   

GNL Quintero SA:

      

4.63%, 7/31/29 (e)(g)

       462        480,480   

4.63%, 7/31/29

       240        249,600   

Gulfport Energy Corp.:

      

7.75%, 11/01/20

       218        226,720   

6.63%, 5/01/23

       21        21,578   

Halcon Resources Corp., 8.63%, 2/01/20

       140        133,000   

Hilcorp Energy I LP/Hilcorp Finance Co. (e):

      

7.63%, 4/15/21

       45        46,238   

5.00%, 12/01/24 (g)

       377        365,690   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    41


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

  

Matador Resources Co., 6.88%, 4/15/23

     USD        390      $ 402,675   

MEG Energy Corp. (g):

      

6.50%, 3/15/21 (e)

       384        314,880   

7.00%, 3/31/24

       1,669        1,343,545   

Memorial Resource Development Corp., 5.88%, 7/01/22 (g)

       470        474,700   

Murphy Oil Corp., 6.88%, 8/15/24 (g)

       165        172,549   

Newfield Exploration Co., 5.63%, 7/01/24

       50        51,625   

NGPL PipeCo LLC:

      

7.12%, 12/15/17 (g)

       2,353        2,455,944   

9.63%, 6/01/19 (e)

       353        370,650   

7.77%, 12/15/37 (e)

       129        138,514   

Oasis Petroleum, Inc.:

      

7.25%, 2/01/19

       40        39,400   

6.50%, 11/01/21

       407        375,457   

6.88%, 3/15/22 (g)

       90        83,700   

6.88%, 1/15/23

       175        161,437   

ONEOK, Inc.:

      

4.25%, 2/01/22

       70        67,725   

7.50%, 9/01/23

       70        77,525   

Parsley Energy LLC/Parsley Finance Corp. (e):

      

7.50%, 2/15/22 (g)

       515        543,325   

6.25%, 6/01/24

       110        113,575   

PDC Energy, Inc., 7.75%, 10/15/22

       245        257,250   

Petrobras Argentina SA, 7.38%, 7/21/23 (e)(g)

       570        584,250   

Petrobras Global Finance BV (g):

      

8.38%, 5/23/21

       643        691,836   

6.85%, 6/05/49

       621        517,759   

QEP Resources, Inc.:

      

6.88%, 3/01/21

       74        77,367   

5.25%, 5/01/23

       35        34,300   

Range Resources Corp.:

      

5.75%, 6/01/21

       161        163,415   

5.00%, 3/15/23

       275        271,562   

Rockies Express Pipeline LLC (e):

      

6.85%, 7/15/18

       183        193,751   

6.00%, 1/15/19

       20        21,050   

5.63%, 4/15/20 (g)

       550        575,437   

6.88%, 4/15/40

       55        55,550   

RSP Permian, Inc., 6.63%, 10/01/22

       291        302,640   

Sabine Pass Liquefaction LLC:

      

5.63%, 2/01/21

       145        152,250   

6.25%, 3/15/22

       100        107,000   

5.63%, 4/15/23 (g)

       1,662        1,749,255   

5.75%, 5/15/24 (g)

       584        620,500   

5.63%, 3/01/25 (g)

       252        266,490   

5.88%, 6/30/26

       354        378,780   

Sabine Pass LNG LP, 7.50%, 11/30/16 (g)

       2,249        2,279,924   

Sanchez Energy Corp.:

      

7.75%, 6/15/21

       50        43,500   

6.13%, 1/15/23 (g)

       1,351        1,067,290   

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

       579        586,961   

Seven Generations Energy Ltd. (e):

      

8.25%, 5/15/20 (g)

       955        1,015,881   

6.75%, 5/01/23

       186        190,185   

SM Energy Co.:

      

6.13%, 11/15/22 (g)

       13        12,643   

5.00%, 1/15/24

       10        9,138   

Southwestern Energy Co.:

      

7.50%, 2/01/18

       38        39,948   

5.80%, 1/23/20

       206        206,000   

4.10%, 3/15/22

       198        180,180   

6.70%, 1/23/25

       55        56,513   

Sunoco Logistics Partners Operations LP, 3.90%, 7/15/26 (g)

       235        236,953   
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 9/15/24

     USD        307      $ 314,675   

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

      

6.88%, 2/01/21

       73        75,555   

6.38%, 8/01/22

       85        87,763   

5.25%, 5/01/23

       15        15,225   

6.75%, 3/15/24 (e)

       73        77,563   

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

      

5.88%, 10/01/20 (g)

       138        141,967   

6.13%, 10/15/21

       39        40,853   

6.38%, 5/01/24

       111        118,493   

Transcanada Trust, Series 16-A, 5.88%, 8/15/76 (d)

       180        191,812   

Vantage Drilling International, 10.00%, 12/31/20

       3          

Weatherford International LLC, 6.80%, 6/15/37

       27        20,115   

Weatherford International Ltd.:

      

6.50%, 8/01/36

       75        55,500   

5.95%, 4/15/42

       71        49,878   

Whiting Petroleum Corp.:

      

1.25%, 6/05/20 (i)

       675        580,085   

5.75%, 3/15/21

       2        1,793   

5.75%, 3/15/21 (i)

       400        373,626   

6.25%, 4/01/23 (i)

       177        164,057   

Williams Cos., Inc.:

      

3.70%, 1/15/23

       58        56,260   

4.55%, 6/24/24

       332        339,470   

5.75%, 6/24/44

       181        185,977   

WPX Energy, Inc.:

      

5.25%, 1/15/17

       40        40,200   

7.50%, 8/01/20

       70        71,881   

6.00%, 1/15/22

       284        276,190   

8.25%, 8/01/23

       190        197,600   

5.25%, 9/15/24

       225        207,562   

YPF SA:

      

8.50%, 7/28/25

       83        89,092   

8.50%, 7/28/25 (e)

       859        922,051   
      

 

 

 
                       40,013,450   

Paper & Forest Products — 0.0%

  

Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (e)

             260        234,000   

Pharmaceuticals — 1.8%

  

AbbVie, Inc., 3.60%, 5/14/25 (g)

       695        735,505   

Actavis Funding SCS, 3.45%, 3/15/22 (g)

       2,460        2,576,646   

Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (e)(h)

       121        122,210   

DPx Holdings BV, 7.50%, 2/01/22 (e)

       110        116,895   

Endo Finance LLC/Endo Finco, Inc. (e):

      

7.25%, 1/15/22

       121        117,370   

6.00%, 7/15/23 (g)

       433        392,948   

6.50%, 2/01/25 (g)

       398        353,225   

Ephios Bondco PLC, 6.25%, 7/01/22

     EUR        100        121,026   

Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (g)

     USD        479        500,555   

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (e)(g)

       1,179        1,235,002   

NBTY, Inc., 7.63%, 5/15/21 (e)

       745        761,762   

Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 (g)

       775        779,178   

Valeant Pharmaceuticals International, Inc. (e):

      

6.75%, 8/15/18

       1,044        1,047,028   

5.38%, 3/15/20

       594        559,845   

6.38%, 10/15/20

       749        715,295   

7.50%, 7/15/21

       335        329,241   

5.63%, 12/01/21

       341        307,753   

5.50%, 3/01/23

       16        13,960   
 

 

See Notes to Financial Statements.

 

                
42    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Pharmaceuticals (continued)

  

Valeant Pharmaceuticals International, Inc. (e) (continued):

  

 

5.88%, 5/15/23

     USD        266      $ 234,080   

6.13%, 4/15/25

       400        351,500   
      

 

 

 
                       11,371,024   

Real Estate — 0.3%

  

AvalonBay Communities, Inc., 3.45%, 6/01/25 (g)

       1,245        1,310,913   

Prologis LP, 3.75%, 11/01/25 (g)

       255        275,657   
      

 

 

 
                       1,586,570   

Real Estate Investment Trusts (REITs) — 0.7%

  

ERP Operating LP, 3.38%, 6/01/25 (g)

       1,015        1,065,424   

Hilton Escrow Issuer LLC/Hilton Escrow Issuer Corp., 4.25%, 9/01/24 (e)

       309        314,987   

iStar, Inc., 4.00%, 11/01/17

       250        250,312   

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
4.50%, 9/01/26 (e)

       391        390,756   

Ventas Realty LP, 4.13%, 1/15/26 (g)

       650        704,164   

Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (g)

       1,300        1,447,302   
      

 

 

 
                       4,172,945   

Real Estate Management & Development — 0.5%

  

Realogy Group LLC/Realogy Co-Issuer Corp. (e):

      

4.50%, 4/15/19 (g)

       301        312,288   

5.25%, 12/01/21

       873        914,467   

4.88%, 6/01/23

       1,542        1,561,275   

Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (e)

       220        223,300   
      

 

 

 
                       3,011,330   

Road & Rail — 1.1%

  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (e):

      

5.13%, 6/01/22

       205        208,588   

6.38%, 4/01/24

       30        31,665   

5.25%, 3/15/25 (g)

       930        920,700   

Florida East Coast Holdings Corp., 6.75%, 5/01/19 (e)(g)

       701        722,030   

Herc Rentals, Inc. (e):

      

7.50%, 6/01/22

       175        182,000   

7.75%, 6/01/24

       12        12,540   

Hertz Corp. (g):

      

6.75%, 4/15/19

       405        413,100   

5.88%, 10/15/20

       435        450,769   

7.38%, 1/15/21

       225        234,281   

Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (e)(g)

       3,000        3,333,750   

Loxam SAS, 3.50%, 5/03/23

     EUR        100        116,565   

Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (e)

     USD        319        319,797   
      

 

 

 
                       6,945,785   

Semiconductors & Semiconductor Equipment — 0.8%

  

Advanced Micro Devices, Inc., 7.50%, 8/15/22

       115        111,550   

Analog Devices, Inc., 3.90%, 12/15/25 (g)

       375        400,361   

Applied Materials, Inc., 3.90%, 10/01/25 (g)

       285        316,437   

Micron Technology, Inc. (e):

      

5.25%, 8/01/23

       306        296,055   

5.63%, 1/15/26

       74        70,670   

Microsemi Corp., 9.13%, 4/15/23 (e)

       37        42,365   

NXP BV/NXP Funding LLC (e):

      

4.13%, 6/15/20 (g)

       1,037        1,073,295   

4.13%, 6/01/21

       200        209,200   

3.88%, 9/01/22

       200        203,250   

4.63%, 6/01/23

       224        236,320   
Corporate Bonds   

Par  

(000)

    Value  

Semiconductors & Semiconductor Equipment (continued)

  

ON Semiconductor Corp., Series B, 2.63%, 12/15/26 (i)

     USD        250      $ 272,969   

QUALCOMM, Inc., 3.45%, 5/20/25 (g)

       1,570        1,695,481   

Sensata Technologies BV, 5.00%, 10/01/25 (e)(g)

       332        343,620   
      

 

 

 
                       5,271,573   

Software — 0.9%

  

ACI Worldwide, Inc., 6.38%, 8/15/20 (e)

       360        371,700   

BMC Software Finance, Inc., 8.13%, 7/15/21 (e)

       635        558,800   

Ensemble S Merger Sub, Inc., 9.00%, 9/30/23 (e)

       303        313,226   

Hewlett Packard Enterprise Co., 4.90%, 10/15/25 (e)(g)

       375        400,858   

Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 8/01/22 (e)

       46        40,250   

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (e)(g)(h)

       545        510,937   

Infor US, Inc., 6.50%, 5/15/22 (g)

       1,089        1,103,974   

Informatica LLC, 7.13%, 7/15/23 (e)

  

    437        412,965   

Nuance Communications, Inc. (e):

      

5.38%, 8/15/20 (g)

       85        87,019   

6.00%, 7/01/24

       160        166,400   

PTC, Inc., 6.00%, 5/15/24

       106        114,613   

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

       824        912,580   

SS&C Technologies Holdings, Inc., 5.88%, 7/15/23 (g)

       568        597,820   

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 2/01/23

     EUR        100        107,641   
      

 

 

 
                       5,698,783   

Specialty Retail — 0.5%

  

Asbury Automotive Group, Inc.,
6.00%, 12/15/24 (g)

       660        686,400   

Group 1 Automotive, Inc., 5.00%, 6/01/22 (g)

     USD       550        552,750   

JC Penney Corp., Inc.:

      

6.38%, 10/15/36

       49        41,160   

7.40%, 4/01/37

       42        37,800   

L Brands, Inc., 6.88%, 11/01/35 (g)

       515        562,637   

Penske Automotive Group, Inc.:

      

5.38%, 12/01/24 (g)

       551        560,643   

5.50%, 5/15/26

       190        190,118   

Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23

       243        258,795   

THOM Europe SAS, 7.38%, 7/15/19

     EUR        100        117,680   
      

 

 

 
                       3,007,983   

Technology Hardware, Storage & Peripherals — 0.2%

  

Diamond 1 Finance Corp./Diamond 2 Finance Corp. (e):

      

4.42%, 6/15/21 (g)

     USD        130        135,933   

5.88%, 6/15/21

       208        219,927   

7.13%, 6/15/24

       253        274,089   

6.02%, 6/15/26 (g)

       135        144,440   

8.35%, 7/15/46 (g)

       130        151,497   

Western Digital Corp., 7.38%, 4/01/23 (e)(g)

       444        481,740   
      

 

 

 
                       1,407,626   

Textiles, Apparel & Luxury Goods — 0.1%

  

BiSoho SAS, 5.88%, 5/01/23

     EUR        100        118,863   

Hanesbrands, Inc., 4.88%, 5/15/26 (e)

     USD        180        188,100   

Wolverine World Wide, Inc., 5.00%, 9/01/26 (e)

       65        65,081   
      

 

 

 
                       372,044   

Thrifts & Mortgage Finance — 0.1%

  

MGIC Investment Corp., 5.75%, 8/15/23

       163        170,742   

Radian Group, Inc., 5.25%, 6/15/20 (g)

       355        375,590   
      

 

 

 
                       546,332   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    43


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds   

Par  

(000)

    Value  

Tobacco — 0.1%

  

Reynolds American, Inc., 3.25%, 6/12/20 (g)

     USD        396      $ 416,363   

Trading Companies & Distributors — 0.0%

  

Ashtead Capital, Inc., 5.63%, 10/01/24 (e)(g)

             220        231,275   

Transportation Infrastructure — 1.2%

  

CEVA Group PLC, 7.00%, 3/01/21 (e)

       460        374,900   

Jack Cooper Enterprises, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (e)(h)

       968        261,282   

Onorato Armatori SpA, 7.75%, 2/15/23

     EUR        100        114,635   

Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (e)(g)

     USD        6,155        6,308,481   

Transurban Finance Co., 4.13%, 2/02/26 (e)(g)

       435        464,341   
      

 

 

 
                       7,523,639   

Utilities — 0.1%

  

ContourGlobal Power Holdings SA, 5.13%, 6/15/21

     EUR        100        118,795   

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23 (e)

     USD        495        508,217   
      

 

 

 
                       627,012   

Wireless Telecommunication Services — 1.9%

  

Communications Sales & Leasing, Inc./CSL Capital LLC:

      

6.00%, 4/15/23 (e)

       69        71,760   

8.25%, 10/15/23 (g)

       975        1,016,438   

Digicel Ltd., 6.00%, 4/15/21 (e)(g)

       2,073        1,894,204   

GEO Group, Inc.:

      

5.88%, 1/15/22

       50        47,250   

5.13%, 4/01/23

       340        303,450   

6.00%, 4/15/26

       64        57,360   

Matterhorn Telecom SA, 3.88%, 5/01/22

     EUR        100        111,532   

Rogers Communications, Inc., 5.00%, 3/15/44 (g)

     USD        545        651,666   

SBA Communications Corp., 5.63%, 10/01/19

       209        215,270   

Sprint Capital Corp.:

      

6.90%, 5/01/19

       135        136,350   

6.88%, 11/15/28 (g)

       1,131        1,017,900   

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (e)(g)

       1,454        1,601,217   

7.00%, 8/15/20

       455        448,175   

Sprint Corp.:

      

7.25%, 9/15/21

       105        103,819   

7.88%, 9/15/23

       255        247,857   

7.13%, 6/15/24 (g)

       1,503        1,401,547   

7.63%, 2/15/25

       163        154,748   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21 (g)

       228        238,830   

6.13%, 1/15/22

       75        79,125   

6.73%, 4/28/22

       173        181,866   

6.00%, 3/01/23 (g)

       513        543,801   

6.84%, 4/28/23

       55        58,988   

6.50%, 1/15/24 (g)

       535        575,125   

6.38%, 3/01/25

       135        145,125   

6.50%, 1/15/26 (g)

       448        490,280   

Wind Acquisition Finance SA, 4.00%, 7/15/20

     EUR        195        220,775   
      

 

 

 
                       12,014,458   
Total Corporate Bonds — 60.0%                      373,883,671   
      
                          
Floating Rate Loan Interests (d)                      

Aerospace & Defense — 0.5%

      

BE Aerospace, Inc., 2014 Term Loan B, 3.75%, 12/16/21

     USD        618        623,541   

Camp International Holding Co.:

      

2016 1st Lien Term Loan, 4.75%, 8/11/23

       300        297,876   

2016 2nd Lien Term Loan, 8.25%, 8/12/24

       140        139,650   
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Aerospace & Defense (continued)

      

Engility Corp.:

      

Term Loan B1, 4.88%, 8/12/20

     USD        115      $ 115,647   

Term Loan B2, 5.75%, 8/12/23

       223        224,771   

TransDigm, Inc.:

      

2015 Term Loan E, 3.75%, 5/14/22

       637        635,701   

2016 Delayed Draw Term Loan F, 3.75%, 6/09/23

       164        163,642   

2016 Extended Term Loan F, 3.75%, 6/09/23

       697        695,414   

2016 Term Loan F, 3.75%, 6/09/23

       183        181,825   

Term Loan D, 3.75%, 6/04/21

       336        334,858   
      

 

 

 
                       3,412,925   

Air Freight & Logistics — 0.3%

  

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

       295        235,287   

CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21

       304        242,538   

CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21

       52        41,817   

CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21

       420        334,535   

XPO Logistics, Inc., Term Loan B2, 4.25%, 10/30/21

       1,118        1,122,796   
      

 

 

 
                       1,976,973   

Airlines — 0.1%

  

Northwest Airlines, Inc.:

      

2.75%, 3/10/17

       150        149,316   

2.13%, 9/10/18

       345        336,375   

US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19

       7        6,659   
      

 

 

 
                       492,350   

Auto Components — 0.5%

  

Autoparts Holdings Ltd.:

      

1st Lien Term Loan, 7.00%, 7/29/17

       876        827,438   

2nd Lien Term Loan, 11.00%, 1/29/18

       480        412,800   

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

       1,748        1,719,155   
      

 

 

 
                       2,959,393   

Automobiles — 0.2%

  

FCA US LLC, Term Loan B:

      

3.50%, 5/24/17

       300        300,375   

2018, 3.25%, 12/31/18

       758        758,377   
      

 

 

 
                       1,058,752   

Banks — 0.1%

  

Redtop Acquisitions Ltd.:

      

1st Lien Term Loan, 4.50%, 12/03/20

       410        408,988   

2nd Lien Term Loan, 8.25%, 6/03/21

       346        339,203   
      

 

 

 
                       748,191   

Building Materials — 0.3%

  

USAGM HoldCo LLC:

      

2015 2nd Lien Term Loan, 9.50%, 7/28/23

       290        286,375   

2015 Term Loan, 4.75%, 7/28/22

       981        961,429   

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

       888        886,476   
      

 

 

 
                       2,134,280   

Building Products — 0.8%

  

Continental Building Products LLC, 1st Lien Term Loan, 3.50%, 8/10/23

       600        600,433   

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

       1,274        1,270,324   

GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21

       710        708,135   

Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21

       562        565,235   

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

       539        539,881   

Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20

       580        581,543   
 

 

See Notes to Financial Statements.

 

                
44    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Building Products (continued)

  

Wilsonart LLC, Term Loan B, 4.00%, 10/31/19

     USD        662      $ 661,144   
      

 

 

 
                       4,926,695   

Capital Markets — 0.2%

  

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

       215        206,828   

RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20

       1,126        1,131,816   
      

 

 

 
                       1,338,644   

Chemicals — 1.1%

  

Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.00%, 5/31/23

       183        183,303   

Allnex USA, Inc., Term Loan B3, 5.00%, 5/31/23

       137        138,099   

Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20

       605        607,739   

Chemours Co., Term Loan B, 3.75%, 5/12/22

       85        83,743   

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

       47        40,631   

Huntsman International LLC:

      

2013 Incremental Term Loan, 3.75%, 10/01/21

       404        405,385   

2016 Term Loan B, 4.25%, 4/01/23

       349        350,654   

MacDermid, Inc.:

      

1st Lien Term Loan, 5.50%, 6/07/20

       650        649,497   

Term Loan B3, 5.50%, 6/07/20

       800        800,058   

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

       1,055        1,002,285   

PQ Corp., Term Loan, 5.75%, 11/04/22

       618        621,751   

Royal Holdings, Inc.:

      

2015 1st Lien Term Loan, 4.50%, 6/19/22

       460        460,861   

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

       185        182,225   

Solenis International LP:

      

1st Lien Term Loan, 4.25%, 7/31/21

       511        505,081   

2nd Lien Term Loan, 7.75%, 7/31/22

       600        573,300   

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

       519        516,899   
      

 

 

 
                       7,121,511   

Commercial Services & Supplies — 1.9%

  

ADMI Corp., 2015 Term Loan B, 5.25%, 4/30/22

       185        185,804   

ADS Waste Holdings, Inc., Term Loan B2, 3.75%, 10/09/19

       946        944,742   

Aramark Services, Inc.:

      

Term Loan E, 3.25%, 9/07/19

       552        553,091   

Term Loan F, 3.25%, 2/24/21

       455        456,621   

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20

       1,010        997,476   

Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21

       1,377        1,384,271   

Connolly Corp.:

      

1st Lien Term Loan, 4.50%, 5/14/21

       1,290        1,292,087   

2nd Lien Term Loan, 8.00%, 5/14/22

       55        54,256   

Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21

       231        231,161   

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

       269        230,410   

GCA Services Group, Inc., 2016 Term Loan, 5.75%, 3/01/23

       574        576,906   

KAR Auction Services, Inc., Term Loan B3, 4.25%, 3/09/23

       434        439,067   

Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19

       331        306,424   

Prime Security Services Borrower LLC:

      

1st Lien Term Loan, 4.75%, 7/01/21

       80        80,680   

2016 Incremental Term Loan B1, 4.75%, 5/02/22

       920        926,035   

PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21

       349        349,987   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

       1,354        1,340,521   

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

       340        341,700   

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

       605        603,990   
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

  

Waste Industries USA, Inc., 2016 Term Loan, 3.50%, 2/27/20

     USD        683      $ 684,523   
      

 

 

 
                       11,979,752   

Communications Equipment — 0.8%

  

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.00%, 1/25/21

       265        265,773   

2nd Lien Term Loan, 7.50%, 1/24/22

       262        262,842   

Avaya, Inc., Term Loan B7, 6.25%, 5/29/20

       242        180,403   

Checkout Holding Corp., 1st Lien Term Loan, 4.50%, 4/09/21

       55        48,428   

CommScope, Inc., Term Loan B5, 3.75%, 12/29/22

       496        497,803   

Riverbed Technology, Inc., 2016 Term Loan, 5.00%, 4/24/22

       687        691,192   

Telesat Canada, Term Loan A, 3.99%, 3/28/17

     CAD        1,239        939,783   

Zayo Group LLC, Term Loan B, 3.75%, 5/06/21

     USD        1,820        1,821,780   
      

 

 

 
                       4,708,004   

Construction & Engineering — 0.2%

  

CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23

       574        575,472   

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

       835        835,000   
      

 

 

 
                       1,410,472   

Construction Materials — 0.3%

  

Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20

       796        794,168   

HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21

       1,290        1,296,701   
      

 

 

 
                       2,090,869   

Containers & Packaging — 0.6%

  

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19

       902        905,591   

Berry Plastics Holding Corp., Term Loan H, 3.75%, 10/03/22

       1,845        1,843,701   

BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20

       1,191        1,194,265   
      

 

 

 
                       3,943,557   

Distributors — 0.1%

  

ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20

       546        547,428   

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

       222        219,503   
      

 

 

 
                       766,931   

Diversified Consumer Services — 0.8%

  

AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22

       985        988,749   

Bright Horizons Family Solutions, Inc., Term Loan B, 3.75%, 1/30/20

       1,189        1,192,255   

Laureate Education, Inc., Term Loan B, 8.16%, 3/17/21

       105        103,955   

ROC Finance LLC, Term Loan, 5.00%, 6/20/19

       615        599,569   

ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21

       2,261        2,274,595   
      

 

 

 
                       5,159,123   

Diversified Financial Services — 0.2%

  

AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22

       799        802,957   

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

       170        169,004   
      

 

 

 
                       971,961   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    45


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Diversified Telecommunication Services — 1.1%

  

Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19

     USD        700      $ 701,590   

Integra Telecom, Inc.:

      

2015 1st Lien Term Loan, 5.25%, 8/14/20

       840        831,293   

2nd Lien Term Loan, 9.75%, 2/12/21

       360        340,903   

Level 3 Financing, Inc.:

      

2013 Term Loan B, 4.00%, 1/15/20

       3,040        3,055,200   

2019 Term Loan, 4.00%, 8/01/19

       1,034        1,037,863   

Telenet International Finance Sarl, Term Loan AD, 4.25%, 6/30/24

       827        829,433   
      

 

 

 
                       6,796,282   

Electrical Equipment — 0.2%

  

Texas Competitive Electric Holdings Co. LLC:

      

2016 DIP Term Loan B, 5.00%, 10/31/17

       819        821,052   

2016 DIP Term Loan C, 5.00%, 10/31/17

       187        187,320   

Extended Term Loan, 4.97%, 10/10/17 (a)(b)

       780        249,600   
      

 

 

 
                       1,257,972   

Energy Equipment & Services — 0.2%

  

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

       293        292,318   

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

       455        364,817   

Weatherford International Ltd., Term Loan, 1.95%, 7/13/20

       663        623,251   
      

 

 

 
                       1,280,386   

Food & Staples Retailing — 1.0%

  

Albertsons LLC:

      

2016 Term Loan B4, 4.50%, 8/25/21

       1,477        1,482,685   

2016 Term Loan B5, 4.75%, 12/21/22

       109        109,513   

Hostess Brands LLC:

      

1st Lien Term Loan, 4.50%, 8/03/22

       1,082        1,087,364   

2nd Lien Term Loan, 8.50%, 8/03/23

       230        230,562   

Rite Aid Corp.:

      

5.75%, 8/21/20

       240        240,526   

4.88%, 6/21/21

       815        816,222   

US Foods, Inc., 2016 Term Loan B, 4.00%, 6/27/23

       2,025        2,033,869   
      

 

 

 
                       6,000,741   

Food Products — 0.7%

  

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

       569        573,365   

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

       697        699,188   

Pinnacle Foods Finance LLC:

      

2016 Term Loan I, 3.27%, 1/13/23

       368        370,145   

Term Loan G, 3.25%, 4/29/20

       438        438,746   

Reddy Ice Corp.:

      

1st Lien Term Loan, 6.75%, 5/01/19

       649        591,241   

2nd Lien Term Loan, 10.75%, 11/01/19

       233        179,410   

Reynolds Group Holdings, Inc., 2016 Term Loan, 4.25%, 2/05/23

       1,620        1,621,098   
      

 

 

 
                       4,473,193   

Health Care Equipment & Supplies — 1.4%

  

Alere, Inc.:

      

2015 Term Loan A, 3.50%, 6/18/20

       373        366,691   

2015 Term Loan B, 4.25%, 6/18/22

       487        480,957   

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

       1,044        1,046,840   

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

       1,256        1,261,411   

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

       1,397        1,345,910   
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Health Care Equipment & Supplies (continued)

  

Hill-Rom Holdings, Inc., Term Loan B, 3.50%, 9/08/22

     USD        880      $ 884,770   

Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18

       167        165,146   

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

       589        571,353   

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

       1,178        1,157,758   

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

       1,162        1,133,654   
      

 

 

 
                       8,414,490   

Health Care Providers & Services — 2.5%

  

Acadia Healthcare Co., Inc.:

      

Term Loan B, 3.75%, 2/11/22

       234        234,137   

Term Loan B2, 4.50%, 2/16/23

       647        649,175   

Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22

       197        193,796   

Amsurg Corp., 1st Lien Term Loan B, 3.50%, 7/16/21

       1,146        1,146,595   

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

       983        988,069   

Community Health Systems, Inc.:

      

Term Loan F, 4.08%, 12/31/18

       503        495,098   

Term Loan G, 3.75%, 12/31/19

       749        718,634   

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

       790        790,000   

DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21

       1,746        1,754,841   

Envision Healthcare Corp., Term Loan:

      

4.25%, 5/25/18

       436        436,312   

B2, 4.50%, 10/28/22

       687        687,944   

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

       595        596,233   

HCA, Inc.:

      

Term Loan B6, 3.77%, 3/17/23

       1,395        1,410,721   

Term Loan B7, 3.57%, 2/15/24

       135        136,320   

NVA Holdings, Inc.:

      

1st Lien Term Loan, 4.75%, 8/14/21

       6        5,692   

2016 Term Loan, 5.50%, 8/14/21

       370        369,970   

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

       550        551,722   

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

       968        964,668   

Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20

       399        399,320   

Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22

       713        715,465   

Team Health, Inc., 2016 Term Loan, 3.75%, 11/23/22

       1,321        1,323,420   

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

       560        539,413   

Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23

       648        655,267   
      

 

 

 
                       15,762,812   

Health Care Technology — 0.1%

  

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

             695        694,670   

Hotels, Restaurants & Leisure — 2.5%

  

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       832        823,037   

2nd Lien Term Loan, 8.00%, 8/01/22

       246        243,845   

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

       508        503,768   

Boyd Gaming Corp.:

      

Term Loan B, 4.00%, 8/14/20

       775        776,299   

Term Loan B2, 4.00%, 8/16/23

       380        381,425   
 

 

See Notes to Financial Statements.

 

                
46    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

  

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20

     USD        1,083      $ 968,890   

Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21

       1,722        1,728,160   

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

       2,577        2,518,501   

CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21

       649        652,254   

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

       967        967,240   

ESH Hospitality, Inc., 2016 Term Loan B, 3.80%, 8/16/23 (f)

       875        876,820   

Hilton Worldwide Finance LLC:

      

2016 Term Loan B2, 3.10%, 10/25/23

       438        439,655   

Term Loan B1, 3.50%, 10/26/20

       43        42,824   

La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21

       241        237,748   

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

       1,175        1,187,243   

RHP Hotel Properties LP, Term Loan B, 3.50%, 1/15/21

       546        546,914   

Sabre, Inc.:

      

Incremental Term Loan, 4.50%, 2/19/19

       323        323,362   

Term Loan B, 4.00%, 2/19/19

       580        582,107   

Scientific Games International, Inc.:

      

2014 Term Loan B1, 6.00%, 10/18/20

       380        380,484   

2014 Term Loan B2, 6.00%, 10/01/21

       233        232,839   

Station Casinos LLC, 2016 Term Loan B, 3.75%, 6/08/23

       869        869,146   

Yum! Brands, Inc., 1st Lien Term Loan B, 3.26%, 6/16/23

       450        452,651   
      

 

 

 
                       15,735,212   

Household Products — 0.2%

  

Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20

       358        356,497   

Spectrum Brands, Inc., Term Loan, 3.50%, 6/23/22

       1,008        1,011,592   
      

 

 

 
                       1,368,089   

Independent Power and Renewable Electricity Producers — 1.1%

  

Calpine Construction Finance Co., LP, Term Loan B1, 3.00%, 5/03/20

       754        743,763   

Calpine Corp.:

      

Term Loan B5, 3.50%, 5/27/22

       258        258,147   

Term Loan B6, 4.00%, 1/15/23

       274        274,936   

Term Loan B7, 3.64%, 5/02/23

       658        660,191   

Dynegy, Inc., Escrow, 5.00%, 6/27/23

       1,200        1,200,192   

Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 12/19/16

       1,969        1,976,769   

Granite Acquisition, Inc.:

      

Term Loan B, 5.00%, 12/19/21

       1,099        1,070,156   

Term Loan C, 5.00%, 12/19/21

       49        47,804   

NRG Energy, Inc., 2016 Term Loan B, 3.50%, 6/30/23

       580        579,182   
      

 

 

 
        6,811,140   

Industrial Conglomerates — 0.0%

  

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

             200        172,264   

Insurance — 0.7%

  

AmWINS Group, LLC, 2016 Term Loan B, 4.75%, 9/06/19

       723        726,881   

Asurion LLC:

      

2nd Lien Term Loan, 8.50%, 3/03/21

       405        403,380   

Term Loan B1, 5.00%, 5/24/19

       1,067        1,067,606   

Term Loan B4, 5.00%, 8/04/22

       231        230,917   
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Insurance (continued)

  

Sedgwick Claims Management Services, Inc.:

      

2016 1st Lien Term Loan, 5.25%, 3/01/21

     USD        265      $ 266,492   

1st Lien Term Loan, 3.75%, 3/01/21

       807        797,141   

2nd Lien Term Loan, 6.75%, 2/28/22

       765        756,072   
      

 

 

 
        4,248,489   

Internet & Catalog Retail — 0.1%

  

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.00%, 8/19/23

             924        925,547   

Internet Software & Services — 0.2%

  

Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21

       1,087        1,091,966   

WaveDivision Holdings LLC, Term Loan B, 4.00%, 10/15/19

       385        384,600   
      

 

 

 
        1,476,566   

IT Services — 1.3%

  

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

       535        507,581   

First Data Corp., 2021 Extended Term Loan, 4.52%, 3/24/21

       4,379        4,399,472   

Global Payments Inc., Term Loan B, 4.02%, 4/22/23

       876        881,609   

Vantiv LLC, 2014 Term Loan B, 3.50%, 6/13/21

       791        793,500   

WEX, Inc., Term Loan B, 4.25%, 7/01/23

       1,295        1,304,013   
      

 

 

 
        7,886,175   

Machinery — 0.5%

  

Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19

       448        448,581   

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

       490        493,062   

Mueller Water Products, Inc., Term Loan B, 4.00%, 11/26/21

       300        300,927   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20

       857        856,868   

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

       1,406        1,250,506   
      

 

 

 
        3,349,944   

Media — 3.5%

  

Altice U.S. Finance I Corp., Extended Term Loan, 4.25%, 12/14/22

       1,803        1,809,271   

Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 5.25%, 6/07/23

       733        731,629   

Charter Communications Operating LLC, 2016 Term Loan I, 3.50%, 1/24/23

       2,579        2,591,430   

CSC Holdings LLC, 2015 Term Loan B, 5.00%, 10/09/22

       1,551        1,563,072   

Gray Television, Inc., 2014 Term Loan B, 3.94%, 6/13/21

       259        259,971   

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

       923        915,821   

iHeartCommunications, Inc.:

      

Extended Term Loan E, 8.02%, 7/30/19

       215        164,297   

Term Loan D, 7.27%, 1/30/19

       1,972        1,511,273   

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

       1,176        1,115,786   

MGOC, Inc., Term Loan B, 4.00%, 7/31/20

       692        691,732   

Numericable U.S. LLC:

      

Term Loan B6, 4.75%, 2/10/23

       1,149        1,152,098   

Term Loan B7, 5.00%, 1/15/24

       1,626        1,634,461   

SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21

       682        680,974   

Trader Corp., Term Loan, 5.50%, 8/09/23

       455        455,287   

Tribune Media Co., Term Loan, 3.75%, 12/27/20

       1,298        1,300,898   

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

       2,117        2,115,425   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    47


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Media (continued)

  

UPC Financing Partnership, Term Loan AN, 3.00%, 8/31/24

     USD        480      $ 478,277   

Virgin Media Investment Holdings Ltd.:

      

Term Loan E, 4.25%, 6/30/23

     GBP        305        399,978   

Term Loan F, 3.65%, 6/30/23

     USD        1,076        1,075,911   

Ziggo Financing Partnership:

      

Term Loan B1, 3.65%, 1/15/22

       366        364,222   

Term Loan B2A, 3.60%, 1/15/22

       250        248,320   

Term Loan B3, 3.70%, 1/15/22

       410        407,970   
      

 

 

 
        21,668,103   

Metals & Mining — 0.4%

  

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

       255        30,600   

FMG Resources August 2006 Property Ltd., Term Loan B, 3.75%, 6/30/19

       148        147,331   

Freeport McMoran Copper & Gold Inc., Term Loan A, 3.28%, 5/31/18

       774        766,816   

Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22

       1,075        1,076,586   

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 7/13/23

       235        235,195   
      

 

 

 
        2,256,528   

Multiline Retail — 0.8%

  

BJ’s Wholesale Club, Inc.:

      

1st Lien Term Loan, 4.50%, 9/26/19

       1,229        1,227,510   

2nd Lien Term Loan, 8.50%, 3/26/20

       572        573,217   

Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22

       1,602        1,604,101   

Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 9/30/22

       966        967,082   

Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20

       495        463,829   
      

 

 

 
        4,835,739   

Oil, Gas & Consumable Fuels — 1.4%

  

California Resources Corp.:

      

Second Out Term Loan, 11.50%, 8/04/21

       845        885,138   

Term Loan A, 3.70%, 10/01/19

       588        558,670   

Chesapeake Energy Corp., Term Loan, 8.50%, 8/15/21

       1,194        1,231,083   

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

       347        348,622   

Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21

       444        203,245   

Energy Transfer Equity LP, Term Loan:

      

3.29%, 12/02/19

       87        85,042   

2015, 4.04%, 12/02/19

       244        241,667   

EP Energy LLC, 2016 Term Loan, 9.75%, 6/30/21

       204        200,438   

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

       293        293,231   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

       1,232        1,130,946   

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

       633        601,287   

PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20

       275        272,250   

Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21

       262        235,716   

Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/20

       103        89,705   

Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21

       23        18,615   

Southcross Holdings Borrower LP, Exit Term Loan B, 3.50%, 4/13/23

       36        30,198   

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

       921        924,307   

Ultra Resources, Inc., Revolver, 4.75%, 10/06/16

       531        491,175   
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

  

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

     USD       823      $ 813,586   
      

 

 

 
        8,654,921   

Personal Products — 0.2%

  

Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21

       464        466,047   

Revlon Consumer Products Corp., 2016 Term Loan B, 1.00%, 7/22/23

       915        913,627   
      

 

 

 
        1,379,674   

Pharmaceuticals — 1.6%

  

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

       609        614,060   

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

       1,640        1,633,231   

Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22

       754        749,093   

Grifols Worldwide Operations USA, Inc., Term Loan B, 3.44%, 2/27/21

       1,613        1,623,836   

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

       1,996        2,001,489   

NBTY, Inc., Term Loan B, 5.00%, 5/05/23

       993        993,567   

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 4.28%, 10/20/18

       152        152,065   

Series A4 Tranche A, 4.26%, 4/01/20

       226        223,749   

Series C2 Term Loan B, 5.25%, 12/11/19

       1,556        1,557,734   

Series E Term Loan B, 5.25%, 8/05/20

       472        471,246   
      

 

 

 
        10,020,070   

Professional Services — 0.9%

  

Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21

       146        141,799   

Advantage Sales & Marketing, Inc.:

      

2014 1st Lien Term Loan, 4.25%, 7/23/21

       595        590,096   

2014 2nd Lien Term Loan, 7.50%, 7/25/22

       605        575,252   

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

       1,044        1,042,585   

SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19

       452        444,694   

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

       589        585,625   

TransUnion LLC, Term Loan B2, 3.50%, 4/09/21

       2,342        2,348,749   
      

 

 

 
        5,728,800   

Real Estate Investment Trusts (REITs) — 0.4%

  

Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22

       781        781,115   

MGM Growth Properties LLC, 2016 Term Loan B, 4.00%, 4/25/23

       1,396        1,407,354   
      

 

 

 
        2,188,469   

Real Estate Management & Development — 0.5%

  

CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20

       756        759,945   

DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21

       1,044        1,038,377   

Realogy Corp.:

      

2016 Term Loan B, 3.75%, 7/20/22

       824        828,149   

Term Loan A, 2.50%, 10/23/20

       479        474,072   
      

 

 

 
        3,100,543   

Semiconductors & Semiconductor Equipment — 0.9%

  

Avago Technologies Cayman Ltd., Term Loan B3, 3.51%, 2/01/23

       3,808        3,841,157   

Cavium, Inc., Term Loan B, 3.75%, 8/16/22

       270        270,675   

Microsemi Corp., 2015 Term Loan B, 3.75%, 1/15/23

       183        183,871   

NXP BV, 2015 Term Loan B, 3.75%, 12/07/20

       908        913,137   
 

 

See Notes to Financial Statements.

 

                
48    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Semiconductors & Semiconductor Equipment (continued)

  

ON Semiconductor Corp., Term Loan B, 5.25%, 3/31/23

     USD        210      $ 212,587   
      

 

 

 
        5,421,427   

Software — 1.7%

  

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

       453        431,954   

Infor US, Inc., Term Loan B5, 3.75%, 6/03/20

       1,372        1,356,067   

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

       893        861,986   

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

       339        288,321   

Kronos, Inc.:

      

2nd Lien Term Loan, 9.75%, 4/30/20

       666        679,879   

Initial Incremental Term Loan, 4.50%, 10/30/19

       492        493,194   

Mitchell International, Inc.:

      

1st Lien Term Loan, 4.50%, 10/13/20

       611        608,949   

2nd Lien Term Loan, 8.50%, 10/11/21

       600        581,250   

SolarWinds, Inc., 2016 Term Loan, 5.50%, 2/03/23

       920        922,990   

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

       439        441,252   

Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22

       502        501,971   

SS&C Technologies, Inc.:

      

2015 Term Loan B1, 4.00%, 7/08/22

       1,814        1,824,936   

2015 Term Loan B2, 4.00%, 7/08/22

       231        232,548   

Vertafore, Inc., 2016 1st Lien Term Loan, 4.75%, 6/30/23

       1,460        1,462,234   
      

 

 

 
        10,687,531   

Specialty Retail — 0.6%

  

Leslie’s Poolmart, Inc., 2016 Term Loan, 5.25%, 7/27/23

       370        372,312   

Michaels Stores, Inc.:

      

Incremental 2014 Term Loan B2, 4.00%, 1/28/20

       559        562,830   

Term Loan B, 3.75%, 1/28/20

       594        596,006   

Party City Holdings, Inc., 2015 Term Loan B, 4.49%, 8/19/22

       1,211        1,212,102   

Petco Animal Supplies, Inc.:

      

2016 Term Loan B1, 5.00%, 1/26/23

       358        361,134   

2016 Term Loan B2, 5.00%, 1/26/23

       448        450,898   
      

 

 

 
        3,555,282   

Technology Hardware, Storage & Peripherals — 0.4%

  

Dell International LLC, Term Loan B2, 4.00%, 4/29/20

       993        995,685   

Dell, Inc.:

      

2016 Term Loan B, 4.00%, 5/24/23

       795        799,261   

Term Loan C, 3.75%, 10/29/18

       576        575,576   
      

 

 

 
        2,370,522   

Textiles, Apparel & Luxury Goods — 0.2%

  

Ascend Performance Materials Operations LLC, Term Loan B, 6.75%, 8/12/22

       712        701,584   

J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21

       147        116,091   

Samsonite International SA, Term Loan B, 4.00%, 5/12/23

       170        171,700   
      

 

 

 
        989,375   

Thrifts & Mortgage Finance — 0.1%

  

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

             840        840,809   

Trading Companies & Distributors — 0.2%

  

Beacon Roofing Supply, Inc., Term Loan B, 4.00%, 10/01/22

       845        847,391   

Nexeo Solutions LLC, 2016 Term Loan, 5.25%, 6/09/23

       110        110,344   
      

 

 

 
        957,735   
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Transportation — 0.1%

  

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

     USD        498      $ 444,332   

Wireless Telecommunication Services — 0.8%

  

Ligado Networks LLC (a)(b):

      

2015 2nd Lien Term Loan, 13.50%, 12/07/20

       28        19,756   

PIK Exit Term Loan (9.75% PIK), 9.75%, 6/15/20 (h)

       2,518        2,285,340   

LTS Buyer LLC:

      

1st Lien Term Loan, 4.00%, 4/13/20

       1,702        1,699,819   

2nd Lien Term Loan, 8.00%, 4/12/21

       360        359,470   

T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22

       695        699,006   
      

 

 

 
        5,063,391   
Total Floating Rate Loan Interests — 37.5%        234,017,606   
      
                          
Foreign Agency Obligations  

Argentine Republic Government International Bond (e):

      

6.25%, 4/22/19

       2,269        2,415,350   

7.50%, 4/22/26 (g)

       3,008        3,353,920   

7.63%, 4/22/46 (g)

       2,422        2,736,860   

Brazilian Government International Bond, 5.00%, 1/27/45

       513        477,090   

Cyprus Government International Bond, 4.63%, 2/03/20 (e)

     EUR        2,600        3,106,953   

Egypt Government International Bond, 5.88%, 6/11/25

     USD        1,649        1,558,437   

Iceland Government International Bond, 5.88%, 5/11/22

       3,030        3,538,531   

Portugal Government International Bond, 5.13%, 10/15/24 (e)

       4,680        4,697,475   

Turkey Government International Bond:

      

6.75%, 4/03/18

       3,580        3,813,452   

7.00%, 3/11/19

       833        908,387   

7.50%, 11/07/19

             2,190        2,456,111   
Total Foreign Agency Obligations — 4.7%        29,062,566   
      
                          
Investment Companies — 0.1%  

Capital Markets — 0.1%

  

iShares iBoxx $ High Yield Corporate Bond ETF (k)

             8,500        737,035   
      
                          
Non-Agency Mortgage-Backed Securities  

Collateralized Mortgage Obligations — 1.9%

  

Countrywide Alternative Loan Trust,
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

       3,396        2,981,733   

Countrywide Home Loan Mortgage Pass-Through Trust:

      

Series 2005-17, Class 1A6, 5.50%, 9/25/35

       731        727,790   

Series 2006-17, Class A2, 6.00%, 12/25/36

       1,760        1,548,542   

Series 2007-HY5, Class 3A1,
4.68%, 9/25/37 (d)

       1,255        1,123,436   

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.18%, 10/25/35 (d)

       1,219        1,070,520   

Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (d)

       4,162        4,172,446   
      

 

 

 
        11,624,467   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    49


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Commercial Mortgage-Backed Securities — 9.7%

  

Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.93%, 2/10/51 (d)

     USD       1,422      $ 1,457,793   

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 4/14/33 (d)(e)

       4,830        5,006,398   

Citigroup Commercial Mortgage Trust,
Series 2015-SSHP, Class D,
3.56%, 9/15/27 (d)(e)

       2,825        2,772,643   

Commercial Mortgage Pass-Through Certificates (d)(e):

      

Series 2013-LC13, Class D, 5.21%, 8/10/46

       3,530        3,301,248   

Series 2014-PAT, Class E, 3.66%, 8/13/27

       1,000        985,561   

Series 2014-PAT, Class F, 2.95%, 8/13/27

       2,000        1,866,360   

Commercial Mortgage Trust:

      

Series 2013-LC6, Class B, 3.74%, 1/10/46

       1,110        1,185,905   

Series 2015-3BP, Class A,
3.18%, 2/10/35 (e)

       5,930        6,298,416   

Series 2015-CR22, Class B, 3.93%, 3/10/48 (d)

       5,000        5,361,604   

Core Industrial Trust, Series 2015-TEXW, Class D, 3.98%, 2/10/34 (d)(e)

       3,615        3,688,222   

Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39

       1,850        1,856,762   

Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class AAB, 5.62%, 9/15/40 (d)

       123        123,344   

CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B, 4.04%, 4/15/50 (d)

       890        974,193   

GAHR Commercial Mortgage Trust, Series 2015-NRF (d)(e):

      

Class DFX, 3.49%, 12/15/34

       4,830        4,860,732   

Class GFX, 3.49%, 12/15/34

       2,500        2,300,472   

Goldman Sachs Mortgage Securities Trust, Series 2014-GSFL, Class D,
4.41%, 7/15/31 (d)(e)

       1,140        1,105,993   

Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.96%, 7/10/38 (d)

       716        715,246   

GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (e)

       1,995        2,125,985   

JPMorgan Chase Commercial Mortgage Securities Corp.:

      

Series 2004-LN2, Class A2, 5.12%, 7/15/41

       49        48,633   

Series 2007-CB19, Class A4, 5.88%, 2/12/49 (d)

       2,076        2,108,632   

Series 2012-LC9, Class XA, 1.98%, 12/15/47 (d)

       13,918        944,430   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.44%, 6/12/47

       1,663        1,675,179   

LB-UBS Commercial Mortgage Trust,
Series 2007-C6, Class A4,
5.86%, 7/15/40 (d)

       3,566        3,624,199   

Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 6.02%, 6/12/50 (d)

       1,339        1,361,996   

Wachovia Bank Commercial Mortgage Trust,
Series 2007-C33, Class A4,
6.16%, 2/15/51 (d)

       1,733        1,760,680   

WF-RBS Commercial Mortgage Trust,
Series 2012-C8:

      

Class B, 4.31%, 8/15/45

       1,085        1,187,945   

Class C, 5.04%, 8/15/45 (d)

       1,395        1,508,190   
      

 

 

 
        60,206,761   

Interest Only Commercial Mortgage-Backed Securities — 0.3%

  

Commercial Mortgage Loan Trust,
Series 2015-LC21, Class XA,
1.02%, 7/10/48 (d)

       16,125        776,437   
Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Interest Only Commercial Mortgage-Backed Securities (continued)

  

WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class XA, 1.35%, 5/15/47 (d)

     USD        14,551      $ 862,430   
      

 

 

 
        1,638,867   
Total Non-Agency Mortgage-Backed Securities — 11.9%        73,470,095   
      
                          
Other Interests (l)     Beneficial
Interest
(000)
        

Auto Components — 0.0%

  

Lear Corp. Escrow

             1,000        10   

Construction Materials — 0.0%

  

USI Senior Holdings

             6        193,619   
Total Other Interests — 0.0%        193,629   
      
                          
Preferred Securities  
Capital Trusts   

Par   
(000)

        

Banks — 4.5%

  

Banco Bilbao Vizcaya Argentaria SA,
6.75% (d)(m)

       200        209,705   

Banco Nacional de Comercio Exterior SNC, 3.80% (d)(e)(m)

       509        511,494   

Banco Popular Espanol SA, 8.25% (d)(m)

       200        204,072   

Banco Santander SA, 6.25% (d)(m)

       200        202,454   

BNP Paribas SA, 7.38% (d)(e)(g)(m)

       200        203,500   

Capital One Financial Corp., Series E,
5.55% (d)(g)(m)

       3,000        3,069,450   

Citigroup, Inc. (d)(g)(m):

      

5.90%

       5,000        5,188,050   

5.95%

       1,370        1,424,800   

Series R, 6.13%

       950        991,230   

Cooperatieve Rabobank UA, 6.63% (d)(m)

       200        238,088   

Intesa Sanpaolo SpA, 7.00% (d)(m)

       200        218,628   

JPMorgan Chase & Co. (d)(g)(m):

      

Series U, 6.13%

       6,690        7,162,481   

Series V, 5.00%

       4,060        4,049,850   

Wells Fargo & Co. (d)(g)(m)

      

Series S, 5.90%

       3,000        3,191,250   

Series U, 5.88%

       1,110        1,225,939   
      

 

 

 
        28,090,991   

Capital Markets — 1.2%

  

Goldman Sachs Group, Inc. (d)(g)(m):

  

   

5.30%

       135        138,038   

Series L, 5.70%

       1,089        1,112,414   

Series M, 5.38%

       1,730        1,749,030   

Morgan Stanley, Series H, 5.45% (d)(g)(m)

       2,546        2,552,365   

State Street Corp., Series F, 5.25% (d)(g)(m)

       1,625        1,694,225   

UBS Group AG, 5.75% (d)(m)

       200        232,571   
      

 

 

 
        7,478,643   

Diversified Financial Services — 1.4%

  

Bank of America Corp. (d)(g)(m):

      

Series AA, 6.10%

       1,241        1,304,601   

Series U, 5.20%

       1,250        1,227,125   

Series V, 5.13%

       510        502,605   

Series X, 6.25%

       1,929        2,025,450   

Barclays PLC, 7.88% (d)(m)

       200        200,450   

Credit Agricole SA, 6.50% (d)(m)

       100        111,545   

Macquarie Bank Ltd., 10.25% (d)(m)

  

    1,450        1,526,415   

Royal Bank of Scotland Group PLC, 8.63% (d)(m)

       200        203,750   
 

 

See Notes to Financial Statements.

 

                
50    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Capital Trusts   

Par  

(000)

    Value  

Diversified Financial Services (continued)

  

Societe Generale SA, 6.00% (d)(e)(g)(m)

     USD        2,000      $ 1,850,160   
      

 

 

 
                       8,952,101   

Diversified Telecommunication Services — 0.1%

  

Telefonica Europe BV (d)(m):

      

4.20%

       200        231,187   

5.00%

       100        118,195   
      

 

 

 
                       349,382   

Electric Utilities — 0.0%

  

Enel SpA (d):

      

5.00%, 1/15/75

     EUR        100        120,584   

7.75%, 9/10/75

     GBP        100        148,162   
      

 

 

 
                       268,746   

Insurance — 1.6%

  

Hartford Financial Services Group, Inc., 8.13% (d)(g)(m)

       2,500        2,731,250   

Prudential Financial, Inc., 5.63% (d)(g)(m)

       3,250        3,485,625   

Voya Financial, Inc., 5.65% (d)(g)(m)

  

    3,500        3,500,000   
      

 

 

 
                       9,716,875   

Oil, Gas & Consumable Fuels — 0.1%

  

DCP Midstream LLC, 5.85%, 5/21/43 (d)(e)

       40        30,600   

Gas Natural Fenosa Finance BV, 3.38% (d)(m)

       100        108,477   

Repsol International Finance BV, 4.50% (d)(m)

       100        103,458   

TOTAL SA, 3.88% (d)(m)

       100        119,802   
      

 

 

 
                       362,337   
Total Capital Trusts — 8.9%        55,219,075   
      
                          
Preferred Stocks     Shares         

Capital Markets — 1.6%

  

CF-B L2 (D) LLC, (Aquired 4/08/15, cost $11,497) (c)

       127,973        105,693   

Goldman Sachs Group, Inc., Series J,
5.50% (d)(m)

       202,526        5,478,328   

Morgan Stanley, 6.86% (d)(m)

       120,000        3,594,000   

SCE Trust III, 5.75% (d)(m)

             21,200        661,228   
Total Preferred Stocks — 1.6%        9,839,249   
      
                          
Trust Preferred — 0.4%                

Diversified Financial Services — 0.4%

  

GMAC Capital Trust I,
Series 2, 8.13%, 2/15/40 (d)

             105,753        2,663,787   
Total Preferred Securities — 10.9%        67,722,111   
U.S. Government Sponsored Agency Securities   

Par  

(000)

    Value  

Interest Only Collateralized Mortgage Obligations — 0.7%

  

Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.20%, 12/25/17 (d)

     USD        12,438      $ 392,629   

Freddie Mac Mortgage-Backed Securities, Class X1 (d):

      

Series K042, 1.19%, 12/25/24

       34,869        2,537,342   

Series K707, 1.67%, 12/25/18

       41,129        1,210,018   
      

 

 

 
                       4,139,989   

Mortgage-Backed Securities — 0.4%

  

Fannie Mae Mortgage-Backed Securities, 5.00%, 7/1/20 - 8/1/23 (g)

             2,278        2,360,842   
Total U.S. Government Sponsored Agency Securities — 1.1%        6,500,831   
      
                          
U.S. Treasury Obligations — 0.8%         

U.S. Treasury Bonds, 2.50%, 2/15/46 (g)

             5,000        5,283,010   
      
                          
Warrants — 0.0%     Shares         

Software — 0.0%

  

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

             3,100        6,316   
Total Long-Term Investments
(Cost — $881,024,434) — 142.0%
        884,995,435   
      
                          
Short-Term Securities                      

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.33% (k)(n)

             2,911,779        2,911,779   
Total Short-Term Securities
(Cost — $2,911,779) — 0.5%
        2,911,779   
Options Purchased
(Cost — $467,877) — 0.0%
                 173,775  
Total Investments Before Options Written
(Cost — $884,404,090) — 142.5%
    888,080,989  
Options Written
(Premiums Received — $328,503) — (0.0)%
        (212,314
Total Investments, Net of Options Written
(Cost — $884,075,587) — 142.5%
        887,868,675   
Liabilities in Excess of Other Assets — (42.5)%        (264,649,931
      

 

 

 

Net Assets — 100.0%

       $ 623,218,744   
      

 

 

 
 
Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

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

 

(c)   Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $106,706 and an original cost of $27,096, which was less than 0.05% of its net assets.

 

(d)   Variable rate security. Rate as of period end.

 

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

 

(f)   When-issued security.

 

(g)   All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    51


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

(i)   Convertible security.

 

(j)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(k)   During the year ended August 31, 2016, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
      

Shares
Purchased

       Shares
Sold
       Shares Held
at August 31,
2016
    Value at
August 31,
2016
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       5,757,976                     (2,846,197 )1         2,911,779      $ 2,911,779         $ 20,284   

iShares iBoxx $ High Yield Corporate Bond ETF

                 8,500                     8,500        737,035           1,533   
                      $ 3,648,814         $ 21,817   
                     

 

 

 

1   Represents net shares sold.

      

    

 

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

 

(m)   Perpetual security with no stated maturity date.

 

(n)   Current yield as of period end.

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate
     Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of
Underlying
Collateral
   Remaining
Contractual
Maturity of
the Agreements1

Barclays Capital, Inc.

     0.55      12/17/15         Open       $ 3,189,062       $ 3,201,633       Capital Trusts    Open/Demand

Barclays Capital, Inc.

     0.80      12/17/15         Open         1,206,752         1,213,671       Capital Trusts    Open/Demand

Barclays Capital, Inc.

     0.80      12/17/15         Open         867,775         872,750       Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     0.70      12/17/15         Open         904,618         909,157       Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     0.70      12/17/15         Open         5,839,556         5,868,171       Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     0.70      12/17/15         Open         1,283,750         1,290,194       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.65      12/17/15         Open         1,318,000         1,324,140       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.65      12/17/15         Open         2,353,000         2,363,961       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.65      12/17/15         Open         788,000         791,671       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.65      12/17/15         Open         2,560,000         2,571,925       Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     0.65      12/17/15         Open         3,326,000         3,341,494       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.80      12/17/15         Open         3,360,000         3,379,264       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.90      12/17/15         Open         1,437,000         1,446,269       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.90      12/17/15         Open         314,000         316,025       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         334,800         336,336       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         1,706,250         1,714,076       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         239,700         240,799       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         405,638         407,498       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         2,079,000         2,088,536       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         648,087         651,060       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         619,125         621,965       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         1,164,075         1,169,414       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      12/17/15         Open         1,447,950         1,454,591       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      12/17/15         Open         78,720         79,143       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      12/17/15         Open         321,300         323,027       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      12/17/15         Open         355,100         357,390       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      12/17/15         Open         520,838         524,197       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      12/17/15         Open         638,625         642,744       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      12/17/15         Open         394,088         396,629       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      12/17/15         Open         510,435         513,727       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      12/17/15         Open         1,607,350         1,617,717       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      12/17/15         Open         536,000         539,457       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      12/17/15         Open         719,510         724,409       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      12/17/15         Open         486,735         490,049       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      12/17/15         Open         603,000         607,105       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         417,300         420,291       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         675,360         680,200       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         225,060         226,673       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         469,463         472,827       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         1,109,400         1,117,351       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         220,100         221,677       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         376,875         379,576       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         285,488         287,533       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      12/17/15         Open         396,375         399,216       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.05      12/17/15         Open         584,600         588,999       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.80      12/18/15         Open         309,000         310,751       Corporate Bonds    Open/Demand

 

See Notes to Financial Statements.

 

                
52    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
     Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of
Underlying
Collateral
   Remaining
Contractual
Maturity of
the Agreements1

HSBC Securities (USA), Inc.

     0.80      12/18/15         Open       $ 1,083,000       $ 1,089,137       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.90      12/18/15         Open         153,000         153,975       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.80      12/29/15         Open         2,340,000         2,352,792       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.80      12/29/15         Open         2,950,000         2,966,127       Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     0.80      12/29/15         Open         510,000         512,788       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.85      12/29/15         Open         5,910,000         5,944,327       Capital Trusts    Open/Demand

RBC Capital Markets LLC

     0.95      1/13/16         Open         724,496         728,932       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      1/14/16         Open         1,264,000         1,272,076       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      1/14/16         Open         305,000         306,949       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      1/26/16         Open         863,785         869,040       Corporate Bonds    Open/Demand

UBS Ltd.

     0.75      2/2/16         Open         1,278,700         1,284,342       Corporate Bonds    Open/Demand

UBS Ltd.

     0.75      2/2/16         Open         2,482,500         2,493,454       Capital Trusts    Open/Demand

UBS Ltd.

     0.75      2/2/16         Open         2,850,000         2,862,576       Capital Trusts    Open/Demand

UBS Ltd.

     1.00      2/2/16         Open         4,450,000         4,476,082       Capital Trusts    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         420,323         422,728       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         1,016,170         1,021,985       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         1,485,362         1,493,862       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         1,075,275         1,081,428       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         301,750         303,477       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         766,875         771,263       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         506,300         509,197       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         177,285         178,299       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      2/5/16         Open         922,500         927,779       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      2/8/16         Open         923,550         926,932       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      2/8/16         Open         1,295,555         1,300,300       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      2/9/16         Open         745,000         749,242       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      2/10/16         Open         229,000         230,298       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      2/10/16         Open         840,000         844,760       Capital Trusts    Open/Demand

RBC Capital Markets LLC

     0.95      2/11/16         Open         298,560         300,151       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      2/17/16         Open         825,000         829,515       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      2/18/16         Open         443,000         445,400       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      3/1/16         Open         368,950         370,741       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      3/1/16         Open         1,492,500         1,500,128       Capital Trusts    Open/Demand

RBC Capital Markets LLC

     0.64      3/2/16         Open         1,053,675         1,057,103       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      3/2/16         Open         713,125         716,750       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      3/2/16         Open         681,225         684,688       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      3/2/16         Open         519,750         522,392       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      3/3/16         Open         850,000         854,297       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.65      3/15/16         Open         1,414,000         1,418,340       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.65      3/15/16         Open         588,000         589,805       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      3/16/16         Open         369,000         370,712       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      3/16/16         Open         909,922         913,956       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      3/17/16         Open         991,850         996,143       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      3/22/16         Open         542,000         544,331       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      3/22/16         Open         95,500         95,777       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      3/22/16         Open         288,563         289,399       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      3/22/16         Open         381,563         382,668       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      3/22/16         Open         477,225         478,608       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      3/22/16         Open         215,833         216,565       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      3/22/16         Open         190,950         191,598       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      3/22/16         Open         244,900         245,732       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      3/23/16         Open         308,000         309,317       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      3/28/16         Open         174,000         174,716       Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     0.95      3/30/16         Open         411,000         412,659       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      3/30/16         Open         192,500         193,236       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      3/30/16         Open         597,600         600,140       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      4/1/16         Open         366,000         367,525       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      4/4/16         Open         1,485,000         1,490,839       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      4/6/16         Open         554,000         556,164       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      4/6/16         Open         534,000         536,086       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      4/6/16         Open         123,970         124,350       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      4/6/16         Open         160,125         160,615       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      4/6/16         Open         138,180         138,603       Corporate Bonds    Open/Demand

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    53


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
     Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of
Underlying
Collateral
   Remaining
Contractual
Maturity of
the Agreements1

RBC Capital Markets LLC

     0.75      4/6/16         Open       $ 152,000       $ 152,466       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      4/6/16         Open         114,358         114,708       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      4/6/16         Open         129,850         130,248       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      4/6/16         Open         117,968         118,329       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      4/6/16         Open         124,688         125,069       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      4/6/16         Open         360,800         362,200       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      4/6/16         Open         808,350         811,651       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.10      4/6/16         Open         139,375         140,001       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.10      4/6/16         Open         227,500         228,522       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      4/7/16         Open         134,135         134,535       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      4/20/16         Open         322,920         324,104       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         493,000         494,898       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         701,000         703,699       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         601,000         603,314       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         565,000         567,175       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         405,000         406,559       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         606,000         608,333       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         393,000         394,513       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         464,000         465,786       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         379,000         380,459       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      4/21/16         Open         432,000         433,663       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     0.80      4/21/16         Open         967,087         969,924       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     0.85      4/21/16         Open         283,000         283,882       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.05      4/21/16         Open         828,000         831,188       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.05      4/21/16         Open         134,000         134,516       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.08      4/22/16         Open         443,000         444,666       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      4/22/16         Open         1,043,125         1,046,648       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      4/27/16         Open         302,120         303,169       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      4/28/16         Open         520,160         521,923       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.25      4/29/16         Open         288,576         288,818       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      4/29/16         Open         524,400         526,074       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      5/2/16         Open         493,850         495,496       Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     0.42      5/3/16         Open         4,850,000         4,852,668       U.S. Treasury Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/4/16         Open         673,126         675,333       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/4/16         Open         480,967         482,544       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/4/16         Open         702,720         705,062       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      5/4/16         Open         527,363         529,091       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      5/4/16         Open         436,800         438,232       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/5/16         Open         2,445,000         2,453,082       Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     0.95      5/5/16         Open         356,000         357,080       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      5/5/16         Open         971,355         974,458       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      5/5/16         Open         502,500         504,105       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      5/5/16         Open         579,438         581,288       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.10      5/5/16         Open         1,924,672         1,931,436       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      5/5/16         Open         1,010,970         1,014,199       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      5/6/16         Open         1,039,000         1,042,126       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/10/16         Open         1,020,000         1,023,173       Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     1.25      5/11/16         Open         1,904,297         1,911,769       Foreign Agency Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

     1.25      5/11/16         Open         2,462,800         2,472,463       Foreign Agency Obligations    Open/Demand

UBS Ltd.

     1.00      5/11/16         Open         292,530         293,448       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/12/16         Open         509,230         510,758       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      5/13/16         Open         372,000         373,050       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      5/13/16         Open         500,822         502,367       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.05      5/16/16         Open         1,552,000         1,556,844       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     0.75      5/18/16         Open         400,000         400,875       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     0.85      5/18/16         Open         574,000         575,423       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.04      5/18/16         Open         966,000         968,930       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.04      5/18/16         Open         1,310,000         1,313,974       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      5/18/16         Open         916,000         918,805       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.05      5/18/16         Open         598,000         599,831       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      5/19/16         Open         261,120         261,853       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/20/16         Open         308,015         308,871       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     1.08      5/23/16         Open         564,000         565,677       Corporate Bonds    Open/Demand

 

See Notes to Financial Statements.

 

                
54    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
     Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of
Underlying
Collateral
   Remaining
Contractual
Maturity of
the Agreements1

Deutsche Bank Securities, Inc.

     1.00      5/23/16         Open       $ 161,370       $ 161,823       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      5/23/16         Open         437,750         438,894       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/24/16         Open         287,000         287,781       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      5/24/16         Open         460,000         461,190       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      5/24/16         Open         196,080         196,560       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      5/25/16         Open         2,238,390         2,243,007       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      5/26/16         Open         484,544         485,863       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      5/27/16         Open         2,935,000         2,942,501       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      5/31/16         Open         571,200         572,644       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      6/3/16         Open         538,670         539,957       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.05      6/6/16         Open         385,000         385,954       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.05      6/7/16         Open         670,000         671,642       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      6/7/16         Open         324,530         325,249       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.65      6/13/16         Open         181,000         181,261       Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     0.95      6/13/16         Open         157,000         157,323       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      6/15/16         Open         79,000         79,167       Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

     0.78      6/16/16         Open         3,901,000         3,907,043       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.05      6/27/16         Open         718,000         719,382       Corporate Bonds    Open/Demand

UBS Ltd.

     1.00      6/29/16         Open         264,128         264,590       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     0.80      7/7/16         Open         2,862,000         2,865,498       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     0.80      7/7/16         Open         1,535,000         1,536,876       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         2,114,000         2,117,230       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         671,000         672,025       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,290,000         1,291,971       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         945,000         946,444       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         362,000         362,553       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,476,000         1,478,255       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,715,000         1,717,620       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,104,000         1,105,687       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,279,000         1,280,954       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         665,000         666,016       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,870,000         1,872,857       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         645,000         645,985       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         604,000         604,923       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         464,000         464,709       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         719,000         720,098       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         543,000         543,830       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,149,000         1,150,755       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         542,000         542,828       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         343,000         343,524       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         131,000         131,200       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         918,000         919,403       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         620,000         620,947       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,072,000         1,073,638       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         298,000         298,455       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         363,000         363,555       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         1,437,000         1,439,195       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/7/16         Open         423,000         423,646       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/15/16         Open         578,550         579,044       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/15/16         Open         1,881,600         1,883,206       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      7/18/16         Open         235,950         236,232       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     (0.25 )%       7/21/16         Open         535,973         535,820       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/25/16         Open         327,590         327,811       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/25/16         Open         463,594         463,907       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/25/16         Open         357,059         357,300       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/25/16         Open         225,318         225,470       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/25/16         Open         296,735         296,935       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/25/16         Open         654,635         655,077       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/25/16         Open         139,825         139,919       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.64      7/25/16         Open         154,019         154,123       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.75      7/25/16         Open         52,380         52,419       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      7/25/16         Open         113,940         114,060       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.00      7/27/16         Open         392,241         392,612       Corporate Bonds    Open/Demand

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    55


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of
Underlying
Collateral
  Remaining
Contractual
Maturity of
the Agreements1

Deutsche Bank Securities, Inc.

    1.05     7/27/16        Open      $ 40,225      $ 40,266      Corporate Bonds   Open/Demand

UBS Ltd.

    1.00     7/27/16        Open        220,800        221,009      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.75     7/28/16        Open        446,220        446,536      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.90     7/28/16        Open        342,785        343,076      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.90     7/28/16        Open        315,000        315,268      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.90     7/28/16        Open        322,560        322,834      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.90     7/28/16        Open        892,080        892,838      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.90     7/28/16        Open        549,450        549,917      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.95     7/28/16        Open        882,090        882,881      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.95     7/28/16        Open        715,145        715,787      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     7/28/16        Open        321,100        321,403      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     7/28/16        Open        238,080        238,305      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     7/28/16        Open        1,118,380        1,119,436      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     7/28/16        Open        905,580        906,435      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     7/28/16        Open        1,396,000        1,397,318      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     7/28/16        Open        833,000        833,787      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.05     7/29/16        Open        1,447,000        1,448,266      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    (3.00 )%      7/29/16        Open        81,675        81,464      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.95     7/29/16        Open        295,375        295,609      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    0.95     8/1/16        Open        2,855,000        2,857,336      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     8/1/16        Open        2,232,000        2,234,018      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     8/1/16        Open        378,750        378,945      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.90     8/1/16        Open        174,400        174,526      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     8/1/16        Open        384,225        384,535      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.05     8/2/16        Open        331,000        331,270      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.90     8/2/16        Open        427,735        428,034      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.95     8/2/16        Open        414,200        414,506      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     8/3/16        Open        528,352        528,748      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     8/8/16        Open        11,000        11,007      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.60     8/10/16        9/14/16        2,269,000        2,269,795      U.S. Government Sponsored
Agency Securities
  Up to 30 Days

Deutsche Bank Securities, Inc.

    (0.25 )%      8/10/16        Open        989,000        988,856      Capital Trusts   Open/Demand

BNP Paribas Securities Corp.

    1.05     8/15/16        Open        1,392,000        1,392,690      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.05     8/15/16        Open        824,000        824,409      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.05     8/15/16        Open        633,000        633,314      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.05     8/15/16        Open        2,384,000        2,385,182      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     8/15/16        Open        1,511,000        1,511,714      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     8/15/16        Open        999,000        999,472      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     8/15/16        Open        923,000        923,436      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     8/15/16        Open        914,000        914,432      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     8/15/16        Open        2,152,000        2,152,965      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     8/15/16        Open        1,029,000        1,029,462      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     8/15/16        Open        709,000        709,318      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     8/15/16        Open        1,003,850        1,004,324      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     8/16/16        Open        227,000        227,084      Corporate Bonds   Open/Demand

UBS Ltd.

    1.00     8/16/16        Open        919,647        920,005      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.65     8/19/16        Open        109,000        109,026      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     8/19/16        Open        344,000        344,082      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     8/19/16        Open        559,090        559,230      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.00     8/19/16        Open        1,061,580        1,061,845      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/22/16        Open        422,000        422,129      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/22/16        Open        475,000        475,145      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/22/16        Open        569,000        569,174      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/22/16        Open        518,000        518,158      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.65     8/22/16        Open        986,000        986,178      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    0.75     8/24/16        Open        730,438        730,559      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    0.75     8/24/16        Open        382,773        382,836      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.65     8/24/16        Open        893,000        893,000      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    (1.50 )%      8/29/16        Open        602,640        602,565      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     8/29/16        Open        128,700        128,707      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     8/29/16        Open        137,025        137,032      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.64     8/29/16        Open        144,300        144,308      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.75     8/29/16        Open        91,425        91,431      Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    0.75     8/29/16        Open        121,155        121,163      Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
56    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (concluded)

 

Counterparty    Interest
Rate
     Trade
Date
     Maturity
Date1
     Face Value      Face Value
Including
Accrued
Interest
     Type of
Underlying
Collateral
   Remaining
Contractual
Maturity of
the Agreements1

RBC Capital Markets LLC

     0.75      8/29/16         Open       $ 156,750       $ 156,760       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.90      8/29/16         Open         1,194,885         1,194,975       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.95      8/29/16         Open         473,000         473,037       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/29/16         Open         351,480         351,509       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/29/16         Open         466,830         466,869       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/29/16         Open         830,850         830,919       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/29/16         Open         864,640         864,712       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/29/16         Open         133,630         133,634       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.10      8/29/16         Open         832,416         832,492       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.10      8/29/16         Open         1,650,420         1,650,571       Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     (0.50 )%       8/30/16         Open         83,030         83,029       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         189,000         189,006       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         210,000         210,006       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         83,000         83,003       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         338,000         338,010       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         362,000         362,011       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         225,000         225,007       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         165,000         165,005       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         170,000         170,005       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/30/16         Open         294,000         294,009       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/30/16         Open         516,030         516,059       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/30/16         Open         172,000         172,010       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/30/16         Open         405,810         405,833       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/30/16         Open         133,450         133,457       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/30/16         Open         396,800         396,822       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/30/16         Open         365,375         365,395       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/30/16         Open         843,375         843,422       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/31/16         Open         443,000         443,014       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/31/16         Open         490,000         490,015       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/31/16         Open         412,000         412,013       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/31/16         Open         451,000         451,014       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/31/16         Open         450,000         450,014       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/31/16         Open         452,000         452,014       Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/31/16         Open         407,000         407,012       Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.10      8/31/16         Open         484,000         484,015       Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00      8/31/16         Open         739,530         739,530       Corporate Bonds    Open/Demand
  

 

 

Total

            $ 262,656,941       $ 263,444,872         
           

 

 

       

 

1    Certain agreements have no stated maturity and can be terminated by either party at any time.

  

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Long (Short)
    Issue        Expiration   Notional
Value
   

Unrealized
Appreciation

(Depreciation)

 
  178      2-Year U.S. Treasury Note     December 2016     USD  38,859,625      $ (2,858
  270      5-Year U.S. Treasury Note     December 2016     USD  32,737,500        (33,491
  (580   10-Year U.S. Treasury Note     December 2016     USD  75,934,688        168,685   
  (64   10-Year U.S. Ultra Long Treasury Note     December 2016     USD    9,240,000        (8,650
  (82   Long U.S. Treasury Bond     December 2016     USD  13,970,750        709   
  9      Ultra Long U.S. Treasury Bond       December 2016     USD    1,687,219        1,663   

 

Total

  

  $ 126,058   
         

 

 

 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    57


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Forward Foreign Currency Exchange Contracts

 

Currency

Purchased

      

Currency

Sold

       Counterparty  

Settlement

Date

    Unrealized
Appreciation
(Depreciation)
        
MXN        8,651,883           USD           464,000         Morgan Stanley & Co. International PLC     9/01/16      $ (3,956  
MXN        2,159,959           USD           116,000         Northern Trust Co.     9/01/16        (1,149  
USD        290,000           MXN           5,498,553         Goldman Sachs International     9/01/16        (2,373  
USD        290,000           MXN           5,499,415         Morgan Stanley & Co. International PLC     9/01/16        (2,419  
BRL        26,066,250           USD           8,044,394         Goldman Sachs International     9/02/16        27,652     
BRL        26,753,347           USD           8,071,000         Royal Bank of Scotland PLC     9/02/16        213,822     
BRL        141,676           USD           44,271         State Street Bank & Trust Co.     9/02/16        (398  
USD        8,115,271           BRL           26,066,250         Goldman Sachs International     9/02/16        43,225     
USD        8,256,441           BRL           26,753,347         Royal Bank of Scotland PLC     9/02/16        (28,381  
USD        43,723           BRL           141,676         State Street Bank & Trust Co.     9/02/16        (150  
KRW        436,747,000           USD           391,000         HSBC Bank PLC     9/06/16        511     
MXN        10,438,125           USD           570,000         Deutsche Bank AG     9/06/16        (15,185  
USD        104,529           CAD           135,000         Goldman Sachs International     9/06/16        1,583     
USD        797,712           CAD           1,040,000         Westpac Banking Corp.     9/06/16        4,645     
USD        4,558,669           EUR           4,094,000         Royal Bank of Scotland PLC     9/06/16        (8,616  
USD        10,817,653           EUR           9,715,000         Royal Bank of Scotland PLC     9/06/16        (20,445  
USD        59,322           EUR           53,000         Royal Bank of Scotland PLC     9/06/16        195     
USD        403,221           GBP           306,000         HSBC Bank PLC     9/06/16        1,373     
USD        11,338,938           GBP           8,605,000         HSBC Bank PLC     9/06/16        38,599     
USD        4,044,067           GBP           3,069,000         HSBC Bank PLC     9/06/16        13,766     
USD        570,000           MXN           10,437,840         UBS AG     9/06/16        15,200     
USD        350,000           ZAR           4,919,320         Morgan Stanley & Co. International PLC     9/06/16        15,660     
ZAR        4,794,459           USD           350,000         Goldman Sachs International     9/06/16        (24,146  
RUB        26,945,200           USD           410,000         Deutsche Bank AG     9/08/16        1,515     
USD        410,000           RUB           26,692,640         BNP Paribas S.A.     9/08/16        2,342     
RUB        329,926,347           USD           5,057,040         Deutsche Bank AG     9/09/16        (19,528  
AUD        1,210,000           CAD           1,187,577         Citibank N.A.     9/14/16        3,465     
AUD        2,010,000           CAD           1,992,011         HSBC Bank PLC     9/14/16        (8,931  
AUD        2,040,000           CAD           2,003,994         JPMorgan Chase Bank N.A.     9/14/16        4,470     
CAD        2,051,161           AUD           2,080,000         BNP Paribas S.A.     9/14/16        1,446     
CAD        1,623,711           AUD           1,620,000         Citibank N.A.     9/14/16        21,085     
CAD        1,567,883           AUD           1,600,000         Deutsche Bank AG     9/14/16        (6,463  
CAD        2,011,026           AUD           2,040,000         Deutsche Bank AG     9/14/16        892     
USD        519,113           GBP           400,000         Citibank N.A.     9/16/16        (6,305  
AUD        1,610,000           USD           1,234,501         HSBC Bank PLC     9/22/16        (25,100  
EUR        550,000           SEK           5,199,416         Citibank N.A.     9/22/16        6,069     
SEK        10,439,017           EUR           1,100,000         Citibank N.A.     9/22/16        (7,439  
USD        1,240,304           AUD           1,610,000         Citibank N.A.     9/22/16        30,902     
JPY        78,724,179           EUR           695,000         UBS AG     9/26/16        (14,356  
RUB        167,296,000           USD           2,560,000         Deutsche Bank AG     9/26/16        (16,133  
BRL        26,314,659           USD           8,115,271         Goldman Sachs International     10/04/16        (41,268  
USD        892,541           CAD           1,173,000         Credit Suisse International     10/05/16        (2,082  
USD        10,610,687           EUR           9,510,000         Morgan Stanley & Co. International PLC     10/05/16        (12,491  
USD        4,567,004           EUR           4,094,000         Royal Bank of Scotland PLC     10/05/16        (6,212  
USD        3,593,521           GBP           2,740,000         Bank of America N.A.     10/05/16        (7,434  
USD        401,320           GBP           306,000         Bank of America N.A.     10/05/16        (830  
USD        11,284,606           GBP           8,605,000         Royal Bank of Scotland PLC     10/05/16        (24,234  
NOK        25,699,157           USD           3,050,000         Citibank N.A.     10/07/16        34,337     
USD        3,050,000           NOK           25,708,326         Goldman Sachs International     10/07/16        (35,437  
CHF        606,719           USD           630,000         Goldman Sachs International     10/25/16        (11,195  
CHF        600,902           USD           620,000         JPMorgan Chase Bank N.A.     10/25/16        (7,127  
SEK        13,098,715           USD           1,560,000         Citibank N.A.     10/25/16        (25,903  
USD        1,560,000           SEK           13,034,719         Goldman Sachs International     10/25/16        33,398     
MXN        11,108,408           USD           590,000         Citibank N.A.     2/03/17        (8,031  
USD        980,000           MXN           18,009,891         HSBC Bank PLC     2/03/17        36,462     
USD        3,600,000           MXN           69,307,848         JPMorgan Chase Bank N.A.     2/03/17        (31,037        
Total                         $ 127,860     
                       

 

 

 

 

See Notes to Financial Statements.

 

                
58    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Options Purchased

 

Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Contracts     Value  

USD Currency

  Call   Deutsche Bank AG     09/02/16      KRW     1,115.00      USD     690             $ 3,393   

USD Currency

  Call   Deutsche Bank AG     09/06/16      RUB     67.60      USD     390               216   

USD Currency

  Call   BNP Paribas S.A.     09/09/16      JPY     105.00      USD     990               2,131   

AUD Currency

  Call   Deutsche Bank AG     09/12/16      CAD     1.01      AUD     8,205               2,559   

AUD Currency

  Call   UBS AG     09/22/16      NZD     1.07      AUD     12,250               4,023   

AUD Currency

  Call   Barclays Bank PLC     10/20/16      CAD     1.00      AUD     12,265               55,887   

Marsico Parent Superholdco LLC

  Call   Goldman Sachs & Co.     12/14/19      USD     942.86                 46          

EUR Currency

  Put   Deutsche Bank AG     09/20/16      SEK     9.35      EUR     8,360               3,786   

EUR Currency

  Put   Deutsche Bank AG     09/22/16      JPY     113.00      EUR     5,365               24,955   

USD Currency

  Put   Goldman Sachs International     10/20/16      BRL     3.22      USD     370               5,586   

USD Currency

  Put   UBS AG     10/21/16      SEK     8.25      USD     9,345               24,998   

USD Currency

  Put   JPMorgan Chase Bank N.A.     02/01/17      MXN     17.06      USD     14,215               46,241   

Total

  

  $ 173,775   
                 

 

 

 

OTC Options Written

 

Description   Put/
Call
 
Counterparty
  Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

USD Currency

  Call   BNP Paribas S.A.     09/06/16      RUB     67.60      USD     390      $ (216

USD Currency

  Call   BNP Paribas S.A.     09/09/16      JPY     109.00      USD     990        (55

AUD Currency

  Call   Barclays Bank PLC     10/20/16      CAD     1.01      AUD     12,265        (32,659

USD Currency

  Call   Goldman Sachs International     10/20/16      BRL     3.50      USD     370        (2,553

USD Currency

  Call   JPMorgan Chase Bank N.A.     02/01/17      MXN     21.22      USD     14,215        (150,636

USD Currency

  Put   BNP Paribas S.A.     09/06/16      RUB     66.60      USD     390        (7,757

USD Currency

  Put   UBS AG     10/21/16      CHF     0.94      USD     9,345        (18,438

Total

  

  $ (212,314
 

 

 

 

Centrally Cleared Credit Default Swaps — Buy Protection

 

Index   Pay
Fixed Rate
    Expiration
Date
    Notional
Amount
(000)
    Unrealized
Depreciation
 

Markit iTraxx XO, Series 25, Version 1

    5.00     6/20/21        EUR        502      $ (18,711

Centrally Cleared Interest Rate Swaps

 

Fixed Rate  

Floating
Rate

   

Effective
Date

 

Expiration
Date

   

Notional
Amount
(000)

    Unrealized
Appreciation
(Depreciation)
        

2.54%1

    3-Month LIBOR      N/A     9/04/24        USD        18,700      $ 1,722,369     

2.60%2

    3-Month LIBOR      N/A     9/04/24        USD        18,700        (1,726,724        

Total

  

  $ (4,355  
 

 

 

 

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

       

 

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

       

 

OTC Credit Default Swaps — Buy Protection

 

Issuer   Pay
Fixed Rate
    Counterparty   Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
    Unrealized
Depreciation
 

Australia & New Zealand Banking Group Ltd.

    1.00   Deutsche Bank AG     9/20/17        USD        1      $ (6   $ 3      $ (9

Westpac Banking Corp.

    1.00   Deutsche Bank AG     9/20/17        USD        1        (6     3        (9

Federation of Russia

    1.00   Bank of America N.A.     6/20/21        USD        574        29,268        35,147        (5,879

Federation of Russia

    1.00   HSBC Bank PLC     6/20/21        USD        576        29,369        33,487        (4,118

Total

            $ 58,625      $ 68,640      $ (10,015
           

 

 

 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    59


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Credit Default Swaps — Sell Protection

 

Issuer/Index   Receive
Fixed Rate
 
Counterparty
  Expiration
Date
    Credit
Rating1
  Notional
Amount
(000)2
   
Value
    Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

CNH Industrial NV

  5.00%   BNP Paribas S.A.     12/20/20      BB+     EUR        21      $ 3,049      $ 2,139      $ 910   

Markit CMBX North America, Series 8

  3.00%   Barclays Bank PLC     10/17/57      BBB-     USD        5,000        (820,502     (528,977     (291,525

Markit CMBX North America, Series 8

  3.00%   Credit Suisse International     10/17/57      BBB-     USD        2,500        (410,251     (261,322     (148,929

Total

  

  $ (1,227,704   $ (788,160   $ (439,544
 

 

 

   

 

 

   

 

 

 

1    Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

       

   

2    The maximum potential amount the Fund may pay should a negative credit event take place, as defined under the terms of the agreement.

       

 

Transactions in Options Written for the Period Ended August 31, 2016
              Calls
Notional
(000)
 
          Contracts     AUD     EUR     NZD     USD     Premiums
Received
 

Outstanding options, beginning of year

                                           

Options written

             31,970        11,175        21,965        21,925      $ 724,769   

Options exercised

                           (21,965            (100,984

Options expired

             (19,705     (11,175            (5,960     (358,857

Options closed

                                           
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Outstanding options, end of year

             12,265                      15,965      $ 264,928   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

                Puts
Notional
(000)
 
            Contracts     AUD     CAD     EUR     GBP     NZD     USD     Premiums
Received
 

Outstanding options, beginning of year

                                                         

Options written

             11,610        11,820        38,335        18,530        90,945        33,100      $ 1,105,874   

Options exercised

                           (2,910                   (5,915     (38,369

Options expired

                    (11,820     (24,465     (18,530     (61,315     (5,960     (683,840

Options closed

             (11,610            (10,960            (29,630     (11,490     (320,090
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Outstanding options, end of year

                                                9,735      $ 63,575   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure     

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

 

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

Futures contracts

   Net unrealized appreciation1                               $ 171,057             $ 171,057   

Forward foreign currency exchange contracts

   Unrealized appreciation on forward foreign currency exchange contracts                        $ 552,614                      552,614   

Options purchased

   Investments at value — unaffiliated2                          173,775                      173,775   

Swaps — OTC

   Unrealized appreciation on OTC swaps; Swap premiums paid          $ 71,689                                    71,689   

Swaps — centrally cleared

   Net unrealized appreciation1                                 1,722,369               1,722,369   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

            $ 71,689             $ 726,389      $ 1,893,426             $ 2,691,504   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Notes to Financial Statements.

 

                
60    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Liabilities — Derivative Financial Instruments

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

Futures contracts

   Net unrealized depreciation1                               $ 44,999             $ 44,999   

Forward foreign currency exchange contracts

   Unrealized depreciation on forward foreign currency exchange contracts                        $ 424,754                      424,754   

Options written

   Options written at value                          212,314                      212,314   

Swaps — OTC

   Unrealized depreciation on OTC swaps; Swap premiums received          $ 1,240,768                                    1,240,768   

Swaps — centrally cleared

   Net unrealized depreciation1            18,711                      1,726,724               1,745,435   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

            $ 1,259,479             $ 637,068      $ 1,771,723             $ 3,668,270   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

        

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

       

For the year ended August 31, 2016, the effect of derivative financial instruments in the Statement of Operation was as follows:

 

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

Futures contracts

                                    $ (3,721,228            $ (3,721,228

Forward foreign currency exchange contracts

                            $ 2,626,542                         2,626,542   

Options purchased1

                              (1,352,951                      (1,352,951

Options written

                              1,229,506                         1,229,506   

Swaps

          $ 164,088                           (13,840              150,248   
 

 

 

    

 

 

    

 

 

      

 

 

    

 

 

    

 

 

    

 

 

 

Total

          $ 164,088                 $ 2,503,097       $ (3,735,068            $ (1,067,883
 

 

 

    

 

 

    

 

 

      

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                          

Futures contracts

                                    $ (358,633            $ (358,633

Forward foreign currency exchange contracts

                            $ 51,192                         51,192   

Options purchased1

                              (249,124                      (249,124

Options written

                              116,190                         116,190   

Swaps

          $ (465,601                        (445              (466,046
 

 

 

    

 

 

    

 

 

      

 

 

    

 

 

    

 

 

    

 

 

 

Total

          $ (465,601              $ (81,742    $ (359,078            $ (906,421
 

 

 

    

 

 

    

 

 

      

 

 

    

 

 

    

 

 

    

 

 

 

1    Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

      

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

  

Average notional value of contracts — long

  $ 68,332,901   

Average notional value of contracts — short

  $ 82,770,703   
Forward foreign currency exchange contracts:   

Average amounts purchased — in USD

  $ 99,955,914   

Average amounts sold — in USD

  $ 31,150,140   
Options:   

Average value of option contracts purchased

  $ 256,310   

Average value of option contracts written

  $ 188,303   
Credit default swaps:   

Average notional value — buy protection

  $ 428,492   

Average notional value — sell protection

  $ 5,708,668   
Interest rate swaps:   

Average notional value — pays fixed rate

  $ 18,700,000   

Average notional value — receives fixed rate

  $ 18,700,000   

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    61


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

Derivative Financial Instruments — Offsetting as of Period End

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

 

     Assets     Liabilities  

Futures contracts

  $ 6,468        —     

Forward foreign currency exchange contracts

    552,614      $ 424,754   

Options

    173,775 1      212,314   

Swaps — Centrally cleared

    829        —     

Swaps — OTC2

    71,689        1,240,768   
 

 

 

 

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

  $ 805,375      $ 1,877,836   
 

 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

    (7,297     —     
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 798,078      $ 1,877,836   
 

 

 

 

1    Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

        

2    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid (received) in the Statements of Assets and Liabilities.

       

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

 

Counterparty   Derivative Assets
Subject to an MNA
by Counterparty
    Derivatives
Available for
Offset1
    Non-cash
Collateral
Received
    Cash
Collateral
Received
    Net
Amount of
Derivative
Assets2
        

Bank of America N.A.

  $ 35,147      $ (14,143     —          —        $ 21,004     

Barclays Bank PLC

    55,887        (55,887     —          —          —       

BNP Paribas S.A.

    8,968        (8,028     —          —          940     

Citibank N.A.

    95,858        (47,678     —          —          48,180     

Deutsche Bank AG

    37,322        (37,322     —          —          —       

Goldman Sachs International

    111,444        (111,444     —          —          —       

HSBC Bank PLC

    124,198        (38,149     —          —          86,049     

JPMorgan Chase Bank N.A.

    50,711        (50,711     —          —          —       

Morgan Stanley & Co. International PLC

    15,660        (15,660     —          —          —       

Royal Bank of Scotland PLC

    214,017        (87,888     —          —          126,129     

UBS AG

    44,221        (32,794     —          —          11,427     

Westpac Banking Corp.

    4,645        —          —          —          4,645     
 

 

 

 

Total

  $ 798,078      $ (499,704     —          —        $ 298,374     
 

 

 

 

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
    Derivatives
Available for
Offset1
    Non-cash
Collateral
Pledged
    Cash
Collateral
Pledged3
    Net
Amount of
Derivative
Liabilities4
        

Bank of America N.A.

  $ 14,143      $ (14,143                       

Barclays Bank PLC

    853,161        (55,887          $ (797,274         

BNP Paribas S.A.

    8,028        (8,028                       

Citibank N.A.

    47,678        (47,678                       

Credit Suisse International

    412,333                      (412,333         

Deutsche Bank AG

    57,327        (37,322            (20,005         

Goldman Sachs International

    116,972        (111,444                 $ 5,528     

HSBC Bank PLC

    38,149        (38,149                       

JPMorgan Chase Bank N.A.

    188,800        (50,711                   138,089     

Morgan Stanley & Co. International PLC

    18,866        (15,660                   3,206     

Northern Trust Co.

    1,149                             1,149     

Royal Bank of Scotland PLC

    87,888        (87,888                       

State Street Bank & Trust Co.

    548                             548     

UBS AG

    32,794        (32,794                       
 

 

 

 

Total

  $ 1,877,836      $ (499,704          $ (1,229,612   $ 148,520     
 

 

 

 

1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

       

 

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

       

 

3    Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

       

 

4    Net amount represents the net amount payable due to the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

        

 

 

See Notes to Financial Statements.

 

                
62    ANNUAL REPORT    AUGUST 31, 2016   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

Fair Value Hierarchy as of Period End

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

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

 

     Level 1        Level 2        Level 3     Total  

Assets:

             
Investments:              

Long-Term Investments:

             

Asset-Backed Securities

            $ 74,374,179         $ 18,351,873      $ 92,726,052   

Common Stocks

  $ 97,303           128,204           1,167,006        1,392,513   

Corporate Bonds

              372,614,728           1,163,250        373,777,978   

Floating Rate Loan Interests

              221,787,284           12,230,322        234,017,606   

Foreign Agency Obligations

              29,062,566                  29,062,566   

Investment Companies

    737,035                            737,035   

Non-Agency Mortgage-Backed Securities

              73,470,095                  73,470,095   

Other Interests

                        193,629        193,629   

Preferred Securities

    12,397,344           55,324,767                  67,722,111   

U.S. Government Sponsored Agency Securities

              6,500,831                  6,500,831   

U.S. Treasury Obligations

              5,283,010                  5,283,010   

Warrants

                        6,316        6,316   

Unfunded Floating Rate Loan Interests1

              1,433                  1,433   

Short-Term Securities

    2,911,779                            2,911,779   

Options Purchased

              173,775                  173,775   
 

 

 

      

 

 

      

 

 

   

 

 

 

Subtotal

  $ 16,143,461         $ 838,720,872         $ 33,112,396      $ 887,976,729   
 

 

 

      

 

 

      

 

 

   

 

 

 

Investments valued at NAV2

                105,693   
             

 

 

 

Total

              $ 888,082,422   
             

 

 

 

 

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments3                 

Assets:

                

Foreign currency exchange contracts

            $ 552,614                   $ 552,614   

Credit rate contracts

              910                     910   

Interest rate contracts

  $ 171,057           1,722,369                     1,893,426   

Liabilities:

                

Foreign currency exchange contracts

              (637,068                  (637,068

Credit rate contracts

              (469,180                  (469,180

Interest rate contracts

    (44,999        (1,726,724                  (1,771,723
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 126,058         $ (557,079                $ (431,021
 

 

 

      

 

 

      

 

 

      

 

 

 

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

      

2   As of August 31, 2016, certain of the Fund’s investments were fair valued using net asset value (“NAV”) per share as no quoted market value is available and have been excluded from the fair value hierarchy.

       

3   Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

 

       

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

  

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 146,903                             $ 146,903   

Foreign currency at value

    1,110,690                               1,110,690   

Cash pledged:

                

Futures contracts

    973,470                               973,470   

Centrally cleared swaps

    21,170                               21,170   

OTC — derivatives

    1,680,000                               1,680,000   

Liabilities:

                

Cash received as collateral for reverse repurchase agreements

            $ (1,678,000                  (1,678,000

Reverse repurchase agreements

              (263,444,872                  (263,444,872
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 3,932,233         $ (265,122,872                $ (261,190,639
 

 

 

      

 

 

      

 

 

      

 

 

 

During the year ended August 31, 2016, there were no transfers between Level 1 and Level 2.

  

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    63


Schedule of Investments (concluded)

  

BlackRock Limited Duration Income Trust (BLW)

 

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

 

     Asset-Backed
Securities
    Common
Stocks
   

Corporate

Bonds

    Floating
Rate Loan
Interests
    Other
Interests
    Warrants     Grand Total  
Assets:              

Opening balance, as of August 31, 20151

  $ 57,724,413      $ 620,087      $ 2,293,812      $ 11,940,990      $ 144,283      $ 26,648      $ 72,750,233   

Transfers into Level 32

                         7,516,959                      7,516,959   

Transfers out of Level 33

    (8,840,280            (1,095,312     (4,200,042                   (14,135,634

Accrued discounts/premiums

    (130,331            2,409        22,494                      (105,428

Net realized gain (loss)

    (9,169,698            389        (355,349                   (9,524,658

Net change in unrealized appreciation (depreciation)4

    (170,260     527,343        (37,659     210,206        49,346        (20,332     558,644   

Purchases

    13,081,500        19,576               5,998,854                      19,099,930   

Sales

    (34,143,471            (389     (8,903,790                   (43,047,650
 

 

 

   

 

 

 

Closing Balance, as of August 31, 2016

  $ 18,351,873      $ 1,167,006      $ 1,163,250      $ 12,230,322      $ 193,629      $ 6,316      $ 33,112,396   
 

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 20164

  $ (457,361   $ 527,343      $ (37,659   $ 228,553      $ 49,346      $ (20,332   $ 289,890   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

1   The opening balance of preferred securities has been adjusted to exclude certain investments amounting to $105,693 that were valued using NAV per share as no quoted market value is available. The fair value of those investments have been excluded from the fair value hierarchy due to the adoption of the Accounting Standard Update related to Fair Value Measurement: Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

        

2   As of August 31, 2015, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

        

3   As of August 31, 2015, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2016, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

        

4   Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at August 31, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

       

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

 

See Notes to Financial Statements.

 

                
64    ANNUAL REPORT    AUGUST 31, 2016   


Statements of Assets and Liabilities     

 

August 31, 2016   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
    BlackRock
Floating Rate
Income Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited Duration
Income Trust
(BLW)
 
     
Assets                        

Investments at value — unaffiliated2

  $ 174,970,278      $ 807,445,159      $ 884,432,175   

Investments at value — affiliated3

    728,567        4,273,127        3,648,814   

Cash

    94,917        960,528        146,903   
Cash pledged:   

Futures contracts

    5,700        23,000        973,470   

Collateral — OTC derivatives

                  1,680,000   

Centrally cleared swaps

                  21,170   

Foreign currency at value4

    669        8,783        1,110,690   
Receivables:   

Investments sold

    2,175,524        8,470,239        4,769,396   

Dividends — unaffiliated

                  31   

Interest — unaffiliated

    846,108        3,881,765        9,037,456   

Variation margin on futures contracts

                  6,468   

Variation margin on centrally cleared swaps

                  829   

Reverse repurchase agreements

                  1,323,530   

Dividends — affiliated

    131        610        1,237   

Swap premiums paid

                  70,779   
Unrealized appreciation on:   

Forward foreign currency exchange contracts

    2,920        17,590        552,614   

OTC derivatives

    6,714        30,617        910   

Unfunded floating rate loan interests

    1,293        11,116        1,433   

Prepaid expenses

    4,401        9,353        9,926   
 

 

 

 

Total assets

    178,837,222        825,131,887        907,787,831   
 

 

 

 
     
Liabilities                        

Cash received as collateral for reverse repurchase agreements

                  1,678,000   

Swap premiums received

                  790,299   

Options written at value5

                  212,314   

Reverse repurchase agreements

                  263,444,872   
Payables:   

Bank borrowings

    44,000,000        225,000,000          

Income dividends

    71,451        94,014        94,887   

Investment advisory fees

    282,025        968,935        806,440   

Investments purchased

    10,369,090        48,226,398        15,084,600   

Officer’s and Directors’ fees

    2,815        12,452        366,624   

Interest expense

    44,563        226,240          

Reverse repurchase agreements

                  937,370   

Other accrued expenses

    149,181        324,619        278,458   
Unrealized depreciation on:      

OTC derivatives

                  450,469   

Forward foreign currency exchange contracts

    1,833        8,416        424,754   

Commitments and contingencies

           9      9 
 

 

 

 

Total liabilities

    54,920,958        274,861,074        284,569,087   
 

 

 

 

Net Assets

  $ 123,916,264      $ 550,270,813      $ 623,218,744   
 

 

 

 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2016    65


Statements of Assets and Liabilities (concluded)     

 

 

August 31, 2016   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
    BlackRock
Floating Rate
Income Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited Duration
Income Trust
(BLW)
 
     
Net Assets Consist of   

Paid-in capital6,7,8

  $ 128,319,712      $ 659,688,373      $ 701,014,215   

Undistributed net investment income

    782,070        3,653,152        8,760,255   

Accumulated net realized loss

    (4,649,419     (105,600,349     (90,169,850

Net unrealized appreciation (depreciation)

    (536,099     (7,470,363     3,614,124   
 

 

 

 

Net Assets

  $ 123,916,264      $ 550,270,813      $ 623,218,744   
 

 

 

 

Net asset value per share

  $ 13.70      $ 14.78      $ 16.84   
 

 

 

 

1    Consolidated Statement of Assets and Liabilities

     

2    Investments at cost — unaffiliated

  $ 175,522,906      $ 814,999,576      $ 880,758,653   

3    Investments at cost — affiliated

  $ 722,488      $ 4,246,595      $ 3,645,437   

4    Foreign currency at cost

  $ 763      $ 8,850      $ 1,119,059   

5    Premiums received

                $ 328,503   

6    Par value per share

  $ 0.001      $ 0.100      $ 0.001   

7    Shares outstanding

    9,044,041        37,232,488        37,003,854   

8    Shares authorized

    unlimited        200 million        unlimited   

9    See Note 4 and Note 12 of the Notes to Financial Statements for details of commitments and contingencies.

     

 

 

See Notes to Financial Statements.      
                
66    ANNUAL REPORT    AUGUST 31, 2016   


Statements of Operations     

 

Year Ended August 31, 2016   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
    BlackRock
Floating Rate
Income Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited Duration
Income Trust
(BLW)
 
     
Investment Income                        

Interest — unaffiliated

  $ 8,124,625      $ 36,751,730      $ 55,559,738   

Dividends — affiliated

    3,113        11,110        21,817   

Dividends — unaffiliated

    1,390        9,102        709,523   
 

 

 

 

Total income

    8,129,128        36,771,942        56,291,078   
 

 

 

 
     
Expenses                        

Investment advisory

    1,614,703        5,475,116        4,669,403   

Professional

    95,050        190,254        162,711   

Custodian

    64,556        216,172        161,922   

Accounting services

    28,701        95,793        86,111   

Transfer agent

    24,356        66,634        82,104   

Officer and Directors

    12,929        57,386        99,507   

Printing

    9,014        16,534        19,248   

Registration

    8,252        12,645        12,594   

Miscellaneous

    35,699        27,213        113,338   
 

 

 

 

Total expenses excluding interest expense

    1,893,260        6,157,747        5,406,938   

Interest expense

    455,497        2,178,604        1,941,294   
 

 

 

 

Total expenses

    2,348,757        8,336,351        7,348,232   
Less:      

Fees waived by the Manager

    (250     (568     (4,931

Fees paid indirectly

           (991     (1,893
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    2,348,507        8,334,792        7,341,408   
 

 

 

 

Net investment income

    5,780,621        28,437,150        48,949,670   
 

 

 

 
     
Realized and Unrealized Gain (Loss)                        
Net realized gain (loss) from:      

Investments

    (2,938,897     (10,199,924     (26,718,422

Futures contracts

    (22,589     (95,510     (3,721,228

Foreign currency transactions

    140,736        589,212        3,026,449   

Options written

                  1,229,506   

Swaps

    (21,104     (93,848     150,248   
 

 

 

 
    (2,841,854     (9,800,070     (26,033,447
 

 

 

 
Net change in unrealized appreciation (depreciation) on:      

Investments — unaffiliated

    1,583,771        4,448,262        18,529,435   

Investments — affiliated

    6,079        26,532        3,378   

Futures contracts

    (843     (3,734     (358,633

Foreign currency translations

    (8,461     (47,765     93,769   

Options written

                  116,190   

Swaps

    13,726        62,173        (466,046

Unfunded floating rate loan interests

    1,409        11,635        1,641   
 

 

 

 
    1,595,681        4,497,103        17,919,734   
 

 

 

 

Net realized and unrealized loss

    (1,246,173     (5,302,967     (8,113,713
 

 

 

 

Net Increase in Net Assets Resulting from Operations

  $ 4,534,448      $ 23,134,183      $ 40,835,957   
 

 

 

 

1    Consolidated Statement of Operations.

       

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2016    67


Statements of Changes in Net Assets     

 

    BlackRock Defined Opportunity
Credit Trust (BHL)
    BlackRock Floating Rate Income
Strategies Fund, Inc. (FRA)1
 
    Year Ended August 31,     Year Ended August 31,  
Increase (Decrease) in Net Assets:   2016     2015     2016     2015  
       
Operations                                

Net investment income

  $ 5,780,621      $ 6,399,689      $ 28,437,150      $ 30,344,551   

Net realized loss

    (2,841,854     (1,005,912     (9,800,070     (9,533,662

Net change in unrealized appreciation (depreciation)

    1,595,681        (2,405,881     4,497,103        (7,959,758
 

 

 

   

 

 

 

Net increase in net assets resulting from operations

    4,534,448        2,987,896        23,134,183        12,851,131   
 

 

 

   

 

 

 
       
Distributions to Shareholders2                                

From net investment income

    (5,800,975     (6,869,345     (27,967,481     (30,210,441

From net realized gain

           (1,286,571              
 

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (5,800,975     (8,155,916     (27,967,481     (30,210,441
 

 

 

   

 

 

 
       
Net Assets                                

Total decrease in net assets

    (1,266,527     (5,168,020     (4,833,298     (17,359,310

Beginning of year

    125,182,791        130,350,811        555,104,111        572,463,421   
 

 

 

   

 

 

 

End of year

  $ 123,916,264      $ 125,182,791      $ 550,270,813      $ 555,104,111   
 

 

 

   

 

 

 

Undistributed net investment income, end of year

  $ 782,070      $ 88,186      $ 3,653,152      $ 101,791   
 

 

 

   

 

 

 

 

    BlackRock Limited Duration
Income Trust (BLW)
 
    Year Ended August 31,  
Increase (Decrease) in Net Assets:  

2016

   

20151

 
   
Operations   

Net investment income

  $ 48,949,670      $ 43,078,518   

Net realized loss

    (26,033,447     (5,195,669

Net change in unrealized appreciation (depreciation)

    17,919,734        (29,105,235
 

 

 

 

Net increase in net assets resulting from operations

    40,835,957        8,777,614   
 

 

 

 
   
Distributions to Shareholders2            

From net investment income

    (48,005,248     (47,771,976
 

 

 

 
   
Net Assets           

Total decrease in net assets

    (7,169,291     (38,994,362

Beginning of year

    630,388,035        669,382,397   
 

 

 

 

End of year

  $ 623,218,744      $ 630,388,035   
 

 

 

 

Undistributed net investment income, end of year

  $ 8,760,255      $ 2,805,013   
 

 

 

 

1    Consolidated Statement of Changes in Net Assets.

   

2    Distributions for annual periods determined in accordance with federal income tax regulations.

   

 

 

See Notes to Financial Statements.      
                
68    ANNUAL REPORT    AUGUST 31, 2016   


Statements of Cash Flows     

 

Year Ended August 31, 2016   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
    BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited
Duration
Income Trust
(BLW)
 
     
Cash Provided by (Used for) Operating Activities                        

Net increase in net assets resulting from operations

  $ 4,534,448      $ 23,134,183      $ 40,835,957   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

     

Proceeds from sales of long-term investments and principal paydowns

    84,800,228        361,425,692        453,728,400   

Purchases of long-term investments

    (88,471,269     (398,049,875     (461,574,455

Net proceeds from sales of short-term securities

    33,952               2,846,197   

Net purchases of short-term securities

           (1,859,207       

Amortization of premium and accretion of discount on investments

    (221,355     (946,341     926,467   

Premiums paid on closing options written

                  (132,227

Premiums received from options written

                  1,830,643   

Net realized loss on investments and options written

    2,977,829        10,383,145        25,538,065   

Net unrealized gain on investments, options written, swaps, foreign currency translations, and unfunded floating rate loan interests

    (1,589,512     (4,469,281     (18,297,523

(Increase) Decrease in Assets:

     

Cash Pledged:

     

Collateral — reverse repurchase agreements

                  2,380,000   

Collateral — OTC derivatives

                  (1,590,000

Centrally cleared swaps

    40,000        170,000        (19,900

Futures contracts

    6,000        22,000        (101,760

Receivables:

     

Dividends — affiliated

    (131     (610     (1,237

Dividends — unaffiliated

                  21   

Interest — unaffiliated

    149,424        556,324        (108,613

Swaps

                  1,531   

Variation margin on futures contracts

    563        2,531        139,456   

Variation margin on centrally cleared swaps

                  16,055   

Swap premiums paid

                  (55,920

Prepaid expenses

    (652     (1,143     (1,048

Other assets

                  258,043   

Increase (Decrease) in Liabilities:

     

Cash received as collateral for reverse repurchase agreements

                  1,678,000   

Payables:

     

Swaps

                  (1,879

Interest expense

    9,040        65,004        119,042   

Investment advisory fees

    (5,757     9,205        (50,963

Officer’s and Directors’ fees

    994        4,458        45,410   

Other accrued expenses

    (3,822     (5,927     (27,484

Variation margin on futures contracts

                  (38,884

Variation margin on centrally cleared swaps

    (1,640     (7,382     (16,815

Swap premiums received

                  783,356   
 

 

 

 

Net cash provided by (used for) operating activities

    2,258,340        (9,567,224     49,107,935   
 

 

 

 
     
Cash Provided by (Used for) Financing Activities                        

Dividends paid to Common Shareholders

    (5,805,074     (28,001,081     (48,011,140

Payments for offering costs

           (785     (785

Increase (decrease) in bank overdraft

                  (41,790

Payments on bank borrowings

    (63,000,000     (245,000,000       

Proceeds from bank borrowings

    62,000,000        274,000,000          

Net borrowing of reverse repurchase agreements

                  (190,545
 

 

 

 

Net cash provided by (used for) financing activities

    (6,805,074     998,134        (48,244,260
 

 

 

 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2016    69


Statements of Cash Flows (concluded)     

 

 

Year Ended August 31, 2016   BlackRock
Defined
Opportunity
Credit Trust
(BHL)
    BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited
Duration
Income Trust
(BLW)
 
     
Cash Impact from Foreign Exchange Fluctuations   

Cash impact from foreign exchange fluctuations

  $ 2      $ (24   $ (3,526
 

 

 

 
     
Cash and Foreign Currency   

Net increase in cash and foreign currency at value

    (4,546,732     (8,569,114     860,149   

Cash and foreign currency at value at beginning of year

    4,642,318        9,538,425        397,444   
 

 

 

 

Cash and foreign currency at value at end of year

  $ 95,586      $ 969,311      $ 1,257,593   
 

 

 

 
     
Supplemental Disclosure of Cash Flow Information   

Cash paid during the year for interest expense

  $ 446,457      $ 2,113,600      $ 1,822,252   
 

 

 

 

1    Consolidated Statement of Cash Flows.

     

 

 

 

See Notes to Financial Statements.      
                
70    ANNUAL REPORT    AUGUST 31, 2016   


Financial Highlights    BlackRock Defined Opportunity Credit Trust (BHL)

 

    Year Ended August 31,  
    2016     2015     2014     2013     2012  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 13.84      $ 14.41      $ 14.44      $ 14.12      $ 13.17   
 

 

 

 

Net investment income1

    0.64        0.71        0.77        0.87        0.85   

Net realized and unrealized gain (loss)

    (0.14     (0.38     0.03        0.30        0.90   
 

 

 

 

Net increase from investment operations

    0.50        0.33        0.80        1.17        1.75   
 

 

 

 
Distributions: 2          

From net investment income

    (0.64     (0.76     (0.83     (0.85     (0.80

From net realized gain

           (0.14                     
 

 

 

 

Total distributions

    (0.64     (0.90     (0.83     (0.85     (0.80
 

 

 

 

Net asset value, end of year

  $ 13.70      $ 13.84      $ 14.41      $ 14.44      $ 14.12   
 

 

 

 

Market price, end of year

  $ 13.42      $ 12.95      $ 13.84      $ 13.77      $ 13.94   
 

 

 

 
         
Total Return3                                        

Based on net asset value

    3.91%        2.80%        5.98%        8.52%        13.94%   
 

 

 

 

Based on market price

    8.79%        0.15%        6.75%        4.82%        17.12%   
 

 

 

 
         
Ratios to Average Net Assets   

Total expenses

    1.93%        2.01%        1.92%        1.92%        1.91%   
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    1.93%        2.01%        1.92%        1.92%        1.91%   
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense

    1.56%        1.64%        1.60%        1.58% 4      1.61% 4 
 

 

 

 

Net investment income

    4.75%        5.03%        5.31%        6.04%        6.24%   
 

 

 

 
         
Supplemental Data   

Net assets, end of year (000)

  $  123,916      $  125,183      $  130,351      $  130,599      $  127,455   
 

 

 

 

Borrowings outstanding, end of year (000)

  $ 44,000      $ 45,000      $ 55,000      $ 49,000      $ 55,000   
 

 

 

 

Asset coverage, end of year per $1,000 of bank borrowings

  $ 3,816      $ 3,782      $ 3,370      $ 3,665      $ 3,317   
 

 

 

 

Portfolio turnover rate

    51%        42%        59%        85%        53%   
 

 

 

 

 

  1  

Based on average shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4  

For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing cost was 1.57% and 1.52%, respectively.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2016    71


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

 

    Year Ended August 31,  
    2016     2015     2014     2013     2012  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 14.91      $ 15.38      $ 15.36      $ 14.98      $ 14.04   
 

 

 

 

Net investment income1

    0.76        0.81        0.87        0.99        0.97   

Net realized and unrealized gain (loss)

    (0.14     (0.47     0.04        0.42        0.90   
 

 

 

 

Net increase from investment operations

    0.62        0.34        0.91        1.41        1.87   
 

 

 

 

Distributions from net investment income2

    (0.75     (0.81     (0.89     (1.03     (0.93
 

 

 

 

Net asset value, end of year

  $ 14.78      $ 14.91 3    $ 15.38      $ 15.36      $ 14.98   
 

 

 

 

Market price, end of year

  $ 13.70      $ 12.94      $ 14.26      $ 14.96      $ 15.20   
 

 

 

 
         
Total Return4                                        

Based on net asset value

    5.00%        2.88% 3      6.45%        9.68%        13.91%   
 

 

 

 

Based on market price

    12.14%        (3.71)%        1.33%        5.28%        21.74%   
 

 

 

 
         
Ratios to Average Net Assets   

Total expenses

    1.54%        1.56%        1.48%        1.54% 5      1.67% 6 
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    1.54%        1.56%        1.48%        1.52% 5      1.67% 6 
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense

    1.14%        1.19%        1.15%        1.15% 5,7      1.35% 6,7 
 

 

 

 

Net investment income

    5.27%        5.39%        5.65%        6.49%        6.67%   
 

 

 

 
         
Supplemental Data   

Net assets, end of year (000)

  $ 550,271      $ 555,104      $ 572,463      $ 571,802      $ 276,990   
 

 

 

 

Borrowings outstanding, end of year (000)

  $  225,000      $  196,000      $  235,000      $  214,000      $  117,000   
 

 

 

 

Asset coverage, end of year per $1,000 of bank borrowings

  $ 3,446      $ 3,832      $ 3,436      $ 3,672      $ 3,367   
 

 

 

 

Portfolio turnover rate

    48%        43%        58%        88%        53%   
 

 

 

 

 

  1  

Based on average shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3  

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

 

  4  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5  

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or paid indirectly and total expenses after fees waived and/or paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.

 

  6  

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or paid indirectly and total expenses after fees waived and/or paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively.

 

  7  

For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and/or paid indirectly and excluding interest expense and borrowing costs were 1.14% and 1.26%, respectively.

 

 

 

See Notes to Financial Statements.      
                
72    ANNUAL REPORT    AUGUST 31, 2016   


Financial Highlights    BlackRock Limited Duration Income Trust (BLW)

 

    Year Ended August 31,  
    2016     20151     20141     20131     20121  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 17.04      $ 18.09      $ 17.54      $ 17.38      $ 16.52   
 

 

 

 

Net investment income2

    1.32        1.16        1.26        1.30        1.31   

Net realized and unrealized gain (loss)

    (0.22     (0.92     0.51        0.25        0.88   
 

 

 

 

Net increase from investment operations

    1.10        0.24        1.77        1.55        2.19   
 

 

 

 

Distributions from net investment income3

    (1.30     (1.29     (1.22     (1.39     (1.33
 

 

 

 

Net asset value, end of year

  $ 16.84      $ 17.04 4    $ 18.09      $ 17.54      $ 17.38   
 

 

 

 

Market price, end of year

  $ 15.74      $ 14.60      $ 16.81      $ 16.89      $ 18.00   
 

 

 

 
         
Total Return5                                        

Based on net asset value

    7.78%        2.23% 4      10.77%        9.13%        13.86%   
 

 

 

 

Based on market price

    17.59%        (5.74)%        6.89%        1.47%        21.68%   
 

 

 

 
         
Ratios to Average Net Assets   

Total expenses

    1.21%        1.15%        1.14%        1.12%        1.05%   
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    1.21%        1.15%        1.14%        1.12%        1.05%   
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense

    0.89%        0.92%        0.92%        0.90%        0.89%   
 

 

 

 

Net investment income

    8.04%        6.65%        7.00%        7.34%        7.82%   
 

 

 

 
         
Supplemental Data   

Net assets, end of year (000)

  $ 623,219      $ 630,388      $ 669,382      $ 649,120      $ 642,391   
 

 

 

 

Borrowings outstanding, end of year (000)

  $  263,445      $  264,036      $  293,890      $  273,347      $  296,476   
 

 

 

 

Portfolio turnover rate

    54%        47%        57%        71%        54%   
 

 

 

 

 

  1  

Consolidated Financial Highlights.

 

  2  

Based on average shares outstanding.

 

  3  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

 

  5  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2016    73


Notes to Financial Statements     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually, a “Fund”:

 

Fund Name   Herein Referred To As      Organized      Diversification Classification  

BlackRock Defined Opportunity Credit Trust

    BHL         Delaware         Diversified   

BlackRock Floating Rate Income Strategies Fund, Inc.

    FRA         Maryland         Diversified   

BlackRock Limited Duration Income Trust

    BLW         Delaware         Diversified   

The Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset value (“NAV”) of their Common Shares on a daily basis.

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (“the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of FRA include the accounts of FRA Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly owned taxable subsidiary of FRA, the Taxable Subsidiary enables FRA to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for FRA. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for FRA. FRA may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Taxable Subsidiary as of period end were $2,087,439, which is 0.4% of FRA’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to FRA.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Foreign Currency: Each Fund’s books and records are maintained in U.S. dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

 

                
74    ANNUAL REPORT    AUGUST 31, 2016   


Notes to Financial Statements (continued)     

 

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

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

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, if applicable. Deferred compensation liabilities are included in officer’s and directors’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: In April 2015, the Financial Accounting Standards Board issued “Disclosures for Investments in Certain Entities that Calculate Net Asset Value (“NAV”) per Share” which eliminates the requirement to categorize investments within the fair value hierarchy when fair value is based on the NAV per share and no quoted market value is available. As of August 31, 2016, certain investments of BLW were valued using NAV per share as no quoted market value is available and have been excluded from the fair value hierarchy.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Through May 31, 2016, the Funds had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned may be utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Funds no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time.) U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each Fund’s assets and liabilities:

 

 

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

 

Bond investments are valued 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 information 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 estimated 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.

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 Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign

 

                
   ANNUAL REPORT    AUGUST 31, 2016    75


Notes to Financial Statements (continued)     

 

exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Futures contracts traded on exchanges are valued at their last sale price.

 

 

Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of 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 (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

 

Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access

 

 

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

 

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each Fund’s investments and derivative financial instruments has been included in the Schedules of Investments.

 

                
76    ANNUAL REPORT    AUGUST 31, 2016   


Notes to Financial Statements (continued)     

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a Fund may subsequently have to reinvest the proceeds at lower interest rates. If a Fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”), there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a Fund’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    77


Notes to Financial Statements (continued)     

 

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

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a Fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale to not be readily available for a Fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a Fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a Fund’s investment policies.

When a Fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a Fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A Fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A Fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a Fund having a contractual relationship only with the lender, not with the borrower. A Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A Fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a Fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A Fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a Fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a Fund having a direct contractual relationship with the borrower, and a Fund may enforce compliance by the borrower with the terms of the loan agreement.

 

                
78    ANNUAL REPORT    AUGUST 31, 2016   


Notes to Financial Statements (continued)     

 

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:

 

Borrower   Par      Commitment
Amount
     Value      Unrealized
Appreciation
 

BHL

  $ 159,025       $ 157,435       $ 158,728       $ 1,293   

FRA

  $ 1,034,089       $ 1,022,211       $ 1,033,327       $ 11,116   

BLW

  $ 176,218       $ 174,456       $ 175,889       $ 1,433   

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Fund may be required to pay more at settlement than the security is worth. In addition, a Fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Commitments: Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate a Fund to make future cash payments. As of August 31, 2016, BLW had outstanding commitments of $5,600,000 in connection with the Chapter 11 cases of Energy Future Holding Corp., et al. These commitments are not included in the net assets of BLW as of August 31, 2016.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a Fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A Fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a Fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a Fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a Fund would still be required to pay the full repurchase price. Further, a Fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a Fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to a Fund.

For the year ended August 31, 2016, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $240,524,888 and 0.81%, respectively.

Reverse repurchase transactions are entered into by a Fund under Master Repurchase Agreements (each, an “MRA”), which permit a Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. With reverse repurchase transactions, typically a Fund and the counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    79


Notes to Financial Statements (continued)     

 

As of period end, the following table is a summary of BLW’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

Counterparty  

Reverse

Repurchase

Agreements

    

Fair Value of

Non-cash

Collateral Pledged

Including Accrued Interest1

    

Cash

Collateral

Pledged

    

Net

Amount

 

Barclays Capital, Inc.

  $ 5,371,083       $ (5,371,083                

BNP Paribas Securities Corp.

    21,768,754         (21,768,754                

Credit Suisse Securities (USA) LLC

    18,418,497         (18,418,497                

Deutsche Bank Securities, Inc.

    68,744,083         (68,744,083                

HSBC Securities (USA), Inc.

    46,200,850         (46,200,850                

RBC Capital Markets LLC

    79,898,500         (79,898,500                

UBS Ltd.

    23,043,105         (23,043,105                
 

 

 

 

Total

  $ 263,444,872       $ (263,444,872                
 

 

 

 

 

  1   

Net collateral with a value of $305,114,783 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.

5. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: The Funds invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Funds enter into forward foreign currency exchange contracts to gain or reduce exposure, to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

 

                
80    ANNUAL REPORT    AUGUST 31, 2016   


Notes to Financial Statements (continued)     

 

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

 

 

Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

 

Foreign Currency options — Certain Funds purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: The Funds enter into swap contracts to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

 

Credit default swaps — Certain Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    81


Notes to Financial Statements (continued)     

 

 

 

Total return swaps — Certain Funds enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.

 

 

Interest rate swaps — Certain Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

 

                
82    ANNUAL REPORT    AUGUST 31, 2016   


Notes to Financial Statements (continued)     

 

For such services, FRA pays the Manager a monthly fee based on an annual rate of 0.75% of the average daily value of the Fund’s net assets, plus the proceeds of any outstanding debt securities or borrowings used for leverage. For purposes of calculating this fee, “net assets” means the total assets of the Fund minus the sum of the accrued liabilities.

For such services, BLW pays the Manager a monthly fee based on an annual rate of 0.55% of the average weekly value of the Fund’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Fund minus the sum of the accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, BHL pays the Manager a monthly fee based on an annual rate of 1.00% of the average daily value of the Fund’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes).

The Manager provides investment management and other services to the Taxable Subsidiary. The Manager does not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, the Funds pay the Manager based on the Funds’ net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiary.

Distribution Fees: FRA and BLW have entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA and BLW Common Shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, FRA and BLW will compensate BRIL with respect to sales of Common Shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA and BLW’s Common Shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL.

Waivers: The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund’s investments in other affiliated investment companies, if any. For the year ended August 31, 2016, the amounts waived were as follows:

 

     BHL      FRA      BLW  

Amounts waived

  $ 250       $ 568       $ 4,931   

Officers and Directors: Certain officers and/or directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Officer and Directors in the Statements of Operations.

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended August 31, 2016, the purchase and sale transactions which resulted in net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized Gain  

BLW

  $ 103,625       $ 17,594       $ 1,122   

7. Purchases and Sales:

For the year ended August 31, 2016, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases   BHL      FRA      BLW  

Non-U.S. Government Securities

  $ 91,566,994       $ 413,673,956       $ 453,040,270   

U.S. Government Securities

                    14,110,026   
 

 

 

 

Total Purchases

  $ 91,566,994       $ 413,673,956       $ 467,150,296   
 

 

 

 
Sales   BHL      FRA      BLW  

Non-U.S. Government Securities (includes paydowns)

  $ 85,155,757       $ 361,928,249       $ 447,520,852   

U.S. Government Securities

                    9,328,317   
 

 

 

 

Total Sales

  $ 85,155,757       $ 361,928,249       $ 456,849,169   
 

 

 

 

8. Income Tax Information:

It is the Funds’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required, except with the respect to any taxes related to the Taxable Subsidiaries.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    83


Notes to Financial Statements (continued)     

 

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2016. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of August 31, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

U.S. GAAP require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAVs per share. As of period end, the following permanent differences attributable to the accounting for swap agreements, amortization methods on fixed income securities, the classification of investments, foreign currency transactions, limitations on the utilization of capital loss carryforwards and the expiration of capital loss carryforwards were reclassified to the following accounts:

 

     BHL      FRA      BLW  

Paid-in capital

          $ (116,203    $ (284,006

Undistributed net investment income

  $ 714,238       $ 3,081,692       $ 5,010,820   

Accumulated net realized loss

  $ (714,238    $ (2,965,489    $ (4,726,814

The tax character of distributions paid was as follows:

 

             BHL      FRA      BLW  

Ordinary income

    8/31/2016       $ 5,800,975       $ 27,967,481       $ 48,005,248   
    8/31/2015       $ 6,869,345       $ 30,210,441       $ 47,771,976   

Long term Capital Gains

    8/31/2016                           
    8/31/2015       $ 1,286,571                   
 

 

 

 

Total

    8/31/2016       $ 5,800,975       $ 27,967,481       $ 48,005,248   
 

 

 

 
    8/31/2015       $ 8,155,916       $ 30,210,441       $ 47,771,976   
 

 

 

 

As of period end the tax components of accumulated net losses were as follows:

 

     BHL      FRA      BLW  

Undistributed ordinary income

  $ 795,743       $ 4,056,368       $ 7,679,559   

Capital loss carryforwards

    (4,624,408      (102,534,281      (88,633,611

Net unrealized gains (losses)1

    (574,783      (10,939,647      3,158,581   
 

 

 

 

Total

  $ (4,403,448    $ (109,417,560    $ (77,795,471
 

 

 

 

 

  1   

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, the tax deferral of losses on straddles, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the accounting for swap agreements, the deferral of compensation to directors, the classification of investments and investments in wholly owned subsidiaries.

As of August 31, 2016, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires   BHL      FRA      BLW  

No expiration date1

  $ 4,624,408       $ 21,876,470       $ 41,127,468   

2017

            50,735,721         9,996,868   

2018

            27,716,009         37,509,275   

2019

            2,206,081           
 

 

 

 

Total

  $ 4,624,408       $ 102,534,281       $ 88,633,611   
 

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

As of August 31, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BHL      FRA      BLW  

Tax cost

  $ 176,270,745       $ 822,627,876       $ 883,683,092   
 

 

 

 

Gross unrealized appreciation

  $ 1,267,843       $ 6,629,598       $ 24,638,069   

Gross unrealized depreciation

    (1,839,743      (17,539,188      (20,240,172
 

 

 

 

Net unrealized appreciation (depreciation)

  $ (571,900    $ (10,909,590    $ 4,397,897   
 

 

 

 

9. Bank Borrowings:

BHL and FRA are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to the Funds. As of period end, the Funds have not received any notice to terminate. BHL and FRA have granted a security interest in substantially all of their assets to SSB.

 

                
84    ANNUAL REPORT    AUGUST 31, 2016   


Notes to Financial Statements (continued)     

 

The SSB Agreement allows for the following maximum commitment amounts:

 

     Commitment Amounts*  

BHL

  $ 61,000,000   

FRA

  $ 274,000,000   

 

  *   Prior to August 31, 2016, the maximum commitment amount for BHL and FRA was $64,000,000 and $280,000,000, respectively.

Advances will be made by SSB to BHL or FRA, at the Fund’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, BHL and FRA paid a facility fee and may pay a commitment fee (based on the daily unused portion of the commitments). The commitment fees are waived if BHL and FRA meet certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to BHL and FRA as of period end are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

BHL and FRA may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the year ended August 31, 2016, the average amount of bank borrowings and the daily weighted average interest rates for BHL and FRA under the revolving credit agreements were as follows:

 

     Average Amount of Bank
Borrowings
     Daily Weighted Average
Interest Rate
 

BHL

  $ 39,890,710         1.14%   

FRA

  $ 190,486,339         1.15%   

10. Principal Risks:

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers of securities owned by the Funds. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

BHL is scheduled to terminate no later than December 31, 2017. BHL is not a term trust and its investment objective and policies are not designed to return the initial offering price per share to investors. BHL will distribute substantially all of its net assets to shareholders in connection with its scheduled termination. As BHL approaches its scheduled termination date, it is expected that the maturity of BHL’s portfolio securities will shorten, which is likely to reduce BHL’s income and distributions to shareholders.

Counterparty Credit Risk: Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent the Funds deposit collateral with its counterparty to a written option.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    85


Notes to Financial Statements (continued)     

 

With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

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

11. Capital Share Transactions:

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

For the year ended August 31, 2016 and the year ended August 31, 2015, shares issued and outstanding remained constant.

FRA and BLW each filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing them to issue an additional 3,050,000 and 3,750,000 Common Shares, respectively, through a Shelf Offering. Under the Shelf Offering, FRA and BLW, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above FRA’s and BLW’s NAV per Common Share (calculated within 48 hours of pricing). Neither FRA nor BLW has issued any Common Shares through its respective Shelf Offering. See Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

Costs incurred by FRA and BLW in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

12. Contingencies:

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to FRA, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that FRA and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that FRA and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. FRA cannot predict the outcome of the lawsuit, or the effect, if any, on FRA’s net asset value. As such, no liability for litigation related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that will be realized by FRA but does not expect the loss to exceed the payment received in 2009. The amount of the proceeds received in 2009 is $668,165.

 

                
86    ANNUAL REPORT    AUGUST 31, 2016   


Notes to Financial Statements (concluded)     

 

13. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend Per Share  
     Paid1      Declared2  

BHL

  $ 0.0510       $ 0.0510   

FRA

  $ 0.0610       $ 0.0610   

BLW

  $ 0.0870       $ 0.0870   

 

  1   

Net investment income dividend paid on September 30, 2016 to Common Shareholders of record on September 15, 2016.

 

  2   

Net investment income dividend declared on October 3, 2016, payable to Common Shareholders of record on October 14, 2016.

On October 26, 2016, the Board approved an open market share repurchase program that allows FRA and BLW to purchase up to 5% of their outstanding common shares from time to time in open market transactions through November 30, 2017, subject to certain conditions. There is no assurance that FRA or BLW will purchase shares in any particular amounts.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    87


Report of Independent Registered Public Accounting Firm     

 

To the Shareholders and Board of Directors of BlackRock Floating Rate Income Strategies Fund, Inc. and to the Shareholders and Board of Trustees of BlackRock Defined Opportunity Credit Trust and BlackRock Limited Duration Income Trust:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Defined Opportunity Credit Trust (the “Fund”) as of August 31, 2016, and its related statements of operations and cash flows for the year then ended, its statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, and the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of BlackRock Floating Rate Income Strategies Fund, Inc. (the “Fund”) as of August 31, 2016, and its related consolidated statements of operations and consolidated cash flows for the year then ended, its consolidated statements of changes in net assets for each of the two years in the period then ended, and its consolidated financial highlights for each of the five years in the period then ended.

We have also audited the accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Limited Duration Income Trust (collectively with the Funds mentioned above, the “Funds”) as of August 31, 2016, and its related statements of operations and cash flows for the year then ended, its statement of changes in net assets for the year ended August 31, 2016 and its consolidated statement of changes in net assets for the year ended August 31, 2015, and its financial highlights for the year ended August 31, 2016 and its consolidated financial highlights for each of the four years in the period ended August 31, 2015. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2016, by correspondence with the custodian, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Defined Opportunity Credit Trust as of August 31, 2016, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, and the consolidated financial position of BlackRock Floating Rate Income Strategies Fund, Inc., as of August 31, 2016, the consolidated results of its operations and its consolidated cash flows for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended, and its consolidated financial highlights for each of the five years in the period then ended; and the financial position of BlackRock Limited Duration Income Trust, as of August 31, 2016, the results of its operations and its cash flows for the year then ended, the changes in its net assets for the year ended August 31, 2016 and the consolidated changes in its net assets for the year ended August 31, 2015, its financial highlights for the year ended August 31, 2016 and its consolidated financial highlights for each of the four years in the period ended August 31, 2015, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

October 28, 2016

 

Important Tax Information (Unaudited)     

During the fiscal year ended August 31, 2016, the following information is provided with respect to the ordinary income distributions paid:

 

     Payable Dates     BHL     FRA     BLW  

Qualified Dividend Income for Individuals1

    September 2015—December 2015                      6.00%   
      January 2016—August 2016                      5.36%   

Dividends Qualifying for the Dividends Received Deduction for Corporations1

    September 2015—December 2015                      5.35%   
      January 2016—August 2016                      5.91%   

Interest-Related Dividends for Non-U.S. Residents2

    September 2015—December 2015        79.27%        78.58%        53.54%   
      January 2016—August 2016        81.00%        80.81%        78.32%   

 

  1   

The Funds hereby designates the percentage indicated above or the maximum amount allowable by law.

 

  2   

Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 

                
88    ANNUAL REPORT    AUGUST 31, 2016   


Disclosure of Investment Advisory Agreements     

 

The Board of Trustees or the Board of Directors, as applicable (the “Board,” the members of which are referred to as “Board Members”), of BlackRock Defined Opportunity Credit Trust (“BHL”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW” and together with BHL and FRA, each a “Trust,” and, collectively, the “Trusts”) met in person on April 28, 2016 (the “April Meeting”) and June 9-10, 2016 (the “June Meeting”) to consider the approval of each Trust’s investment advisory agreement (each an “Agreement,” and, collectively, the “Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Trust’s investment advisor. The Manager is also referred to herein as “BlackRock”.

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Trust consisted of eleven individuals, nine of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of its Trust and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Agreement for its Trust on an annual basis. Each Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement for its Trust and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, each Board assessed, among other things, the nature, extent and quality of the services provided to its Trust by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, administrative, and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

Each Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement for its Trust, including the services and support provided by BlackRock to the Trust and its shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Trust for services; (c) Trust operating expenses and how BlackRock allocates expenses to the Trust; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Trust’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Trust’s compliance with its compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Trust’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Trust; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, each Board requested and received materials specifically relating to the Agreement for its Trust. Each Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided to the Board of each Trust in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Trust fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Trust as compared with a peer group of funds as determined by Broadridge1 and a customized peer group selected by BlackRock (“Customized Peer Group”) with respect to BHL and FRA, as well as the performance of BLW as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Trust’s Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; and (f) a summary of aggregate amounts paid by the Trust to BlackRock.

 

 

1   

Trusts are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    89


Disclosure of Investment Advisory Agreements (continued)

 

At the April Meeting, each Board reviewed materials relating to its consideration of the Agreement for its Trust. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, each Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and its Trust for a one-year term ending June 30, 2017. In approving the continuation of the Agreement for its Trust, each Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trust; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Trust; (d) the Trust’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Trust; and (g) other factors deemed relevant by the Board Members.

Each Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Trust portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. Each Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. Each Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: Each Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of its Trust. Throughout the year, each Board compared its Trust’s performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. Each Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Trust’s portfolio management team discussing the Trust’s performance and the Trust’s investment objective(s), strategies and outlook.

Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and its Trust’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board engaged in a review of BlackRock’s compensation structure with respect to the Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, each Board considered the quality of the administrative and other non-investment advisory services provided to its Trust. BlackRock and its affiliates provide each Trust with certain administrative, shareholder, and other services (in addition to any such services provided to the Trust by third parties) and officers and other personnel as are necessary for the operations of the Trust. In particular, BlackRock and its affiliates provide each Trust with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering, registration statements in connection with the equity shelf programs of FRA and BLW and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Trust; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Trust, such as tax reporting, fulfilling regulatory filing requirements and call center services. Each Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Trust. In preparation for the April Meeting, the Board of each Trust was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Trust’s performance. Each Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board of each Trust received and reviewed information regarding the investment performance, based on net asset value (NAV), of the Trust as compared to other funds in its applicable Broadridge category, a Customized Peer Group with respect to BHL and FRA and the performance of BLW as compared with its custom benchmark. Each Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. Each Board was provided with information on the composition of the Broadridge performance universes and expense universes. Each Board and its Performance Oversight Committee regularly review, and meet with Trust management to discuss, the performance of its Trust throughout the year.

In evaluating performance, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, each Board recognized that it is possible that long-term performance can

 

                
90    ANNUAL REPORT    AUGUST 31, 2016   


Disclosure of Investment Advisory Agreements (continued)

 

be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of BHL noted that for the one-, three- and five-year periods reported, BHL ranked in the first, first and third quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for BHL.

The Board of FRA noted that for each of the one-, three- and five-year periods reported, FRA ranked in the first quartile, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for FRA.

The Board of BLW noted that for each of the one-, three- and five-year periods reported, BLW exceeded its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BLW.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Trusts: Each Board, including the Independent Board Members, reviewed its Trust’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Trust’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Each Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to its Trust. Each Board reviewed BlackRock’s profitability with respect to its Trust and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. Each Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund level is difficult.

Each Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Each Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. Each Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, each Board considered the cost of the services provided to its Trust by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of its Trust and the other funds advised by BlackRock and its affiliates. As part of its analysis, each Board reviewed BlackRock’s methodology in allocating its costs of managing its Trust, to the Trust. Each Board may receive and review information from independent third parties as part of its annual evaluation. Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Trust’s Agreement and to continue to provide the high quality of services that is expected by the Board. Each Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing its Trust in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board of BHL noted that BHL’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the third quartile, relative to the Expense Peers. The Board of BHL also noted, however, that given the comparability limitations of the Expense Peers, BlackRock provided the Board of BHL a supplemental peer analysis consisting of a fund that is generally similar to BHL. The Board of BHL noted that BHL’s actual management fee and total expense ratio each were lower than the comparable fund.

The Board of each of FRA and BLW noted that the contractual management fee rate of each of FRA and BLW ranked in the first quartile, and that the actual management fee rate and total expense ratio of each of FRA and BLW each ranked in the first quartile, relative to the Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Trust increase. Each Board also considered the extent to which its Trust benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Trust to more fully participate in these economies of scale. The Board considered the Trust’s asset levels and whether the current fee was appropriate.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    91


Disclosure of Investment Advisory Agreements (concluded)

 

Based on each Board’s review and consideration of the issue, each Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board of each of FRA and BLW noted that although FRA and BLW may from time to time make additional share offerings pursuant to its equity shelf program, the growth of the assets of FRA and BLW will occur primarily through the appreciation of its investment portfolio.

E. Other Factors Deemed Relevant by the Board Members: Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with its Trust, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Trust, including for administrative, securities lending and cash management services. Each Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. Each Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. Each Board further noted that it had considered the investment by BlackRock’s funds in affiliated exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreement for its Trust, each Board also received information regarding BlackRock’s brokerage and soft dollar practices. Each Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

Each Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

Each Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the redemption of auction rate preferred shares (“AMPS”) for the BlackRock closed-end funds with AMPS outstanding; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the redemption efforts related to AMPS; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and its Trust for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of Agreement for its Trust were fair and reasonable and in the best interest of the Trust and its shareholders. In arriving at its decision to approve the Agreement for its Trust, each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for each Trust reflect the results of several years of review by the Trust’s Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

                
92    ANNUAL REPORT    AUGUST 31, 2016   


Automatic Dividend Reinvestment Plans     

 

Pursuant to each Fund’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s Common shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Funds declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any federal, state and local income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N. A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P. O. Box 30170, College Station, TX 77842-3170, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX 77845.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    93


Officers and Directors     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Funds
  Length
of Time
Served3
  Principal Occupation(s) During Past Five Years   Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen4
  Public Company and
Other Investment
Company Directorships
Held During Past
Five Years
Independent Directors2                    
Richard E. Cavanagh 1946   Chair of the Board
and Director
  Since
2007
  Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.   74 RICs consisting of
74 Portfolios
  None
Karen P. Robards
1950
  Vice Chair of
the Board
and Director
  Since
2007
  Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not- for-profit organization) since 1987; Investment Banker at Morgan Stanley from 1976 to 1987.   74 RICs consisting of
74 Portfolios
  AtriCure, Inc.
(medical devices); Greenhill & Co., Inc.
Michael J. Castellano 1946  

Director

  Since
2011
  Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non- profit) from 2009 to June 2015; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.   74 RICs consisting of
74 Portfolios
  None
Cynthia L. Egan
1955
 

Director

  Since
2016
  Advisor, U.S. Department of the Treasury from 2014 to 2015; a President at T. Rowe Price Group, Inc. from 2007 to 2012.   74 RICs consisting of
74 Portfolios
  Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016
Frank J. Fabozzi
1948
 

Director

  Since
2007
  Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.   74 RICs consisting of
74 Portfolios
  None
Jerrold B Harris
1942
 

Director

  Since
2007
  Trustee, Ursinus College from 2000 to 2012; Director, Ducks Unlimited—Canada (conservation) since 2015; Director, Waterfowl Chesapeake (conservation) since 2014; Director, Ducks Unlimited, Inc. since 2013; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.   74 RICs consisting of
74 Portfolios
  BlackRock Capital Investment Corp. (business development company)
R. Glenn Hubbard
1958
 

Director

  Since
2007
  Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.   74 RICs consisting of
74 Portfolios
  ADP (data and information services); Metropolitan Life Insurance Company (insurance)
W. Carl Kester
1951
 

Director

  Since
2007
  George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.   74 RICs consisting of
74 Portfolios
  None
Catherine A. Lynch
1961
 

Director

  Since
2016
  Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.   74 RICs consisting of
74 Portfolios
  None

 

                
94    ANNUAL REPORT    AUGUST 31, 2016   


Officers and Directors (continued)     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Funds
  Length
of Time
Served3
  Principal Occupation(s) During Past Five Years   Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen4
  Public Company and
Other Investment
Company Directorships
Held During Past
Five Years
Interested Directors5                    
Barbara G. Novick
1960
 

Director

  Since 2014   Vice Chairman of BlackRock, Inc. since 2006; Chair of Blackrock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock, Inc. from 1988 to 2008.   100 RICs consisting of
218 Portfolios
  None
John M. Perlowski
1964
  Director, President and Chief Executive Officer   Since 2014 (Director);
Since 2011 (President and Chief Executive Officer)
  Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Fund & Accounting Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.   128 RICs consisting of 316 Portfolios   None
 

1    The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

 

2    Each Independent Director serves until his or her successor is elected and qualifies, or until his or her earlier death, resignation, retirement or removal, or until December 31 of the year in which he or she turns 75. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding of good cause therefor.

 

3    Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Independent Directors as joining the Board in 2007, each Director first became a member of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.

 

4    For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 74 RICs. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex.

 

5    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Funds based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon a finding of good cause therefor.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    95


Officers and Directors (concluded)     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Funds
  Length of
Time Served
as an Officer
  Principal Occupation(s) During Past Five Years
Officers Who Are Not Directors2          
Jonathan Diorio
1980
  Vice President   Since
2015
  Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015; Director of Deutsche Asset & Wealth Management from 2009 to 2011.
Neal J. Andrews
1966
  Chief
Financial
Officer
  Since
2007
  Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay M. Fife

1970

  Treasurer   Since
2007
  Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park
1967
  Chief Compliance Officer   Since
2014
  Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
Janey Ahn
1975
  Secretary   Since
2012
  Director of BlackRock, Inc. since 2009; Assistant Secretary of the funds in the Closed-End Complex from 2008 to 2012.
 

1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

 

2    Officers of the Funds serve at the pleasure of the Board.

 

       

Investment Adviser

BlackRock Advisors, LLC
Wilmington, DE 19809

 

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02110

 

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

Distributor1

BlackRock Investments, LLC

New York, NY 10022

 

Transfer Agent

Common Shares

Computershare Trust
Company, N.A.

Canton, MA 02021

 

Legal Counsel

Skadden, Arps, Slate,
Meagher & Flom LLP

Boston, MA 02116

 

 

  1   

For FRA and BLW.

 

                
96    ANNUAL REPORT    AUGUST 31, 2016   


Additional Information     

 

Proxy Results      

The Annual Meeting of Shareholders was held on July 26, 2016 for shareholders of record on May 31, 2016, to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Approved the Directors as follows:

 

     

Catherine A. Lynch1

  

Richard E. Cavanagh2

  

Cynthia L. Egan2

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

BHL

   8,262,326    176,102    0    8,264,494    173,934    0    8,263,030    175,398    0

BLW

   31,867,214    507,535    0    31,845,493    529,256    0    31,846,296    528,453    0
    

Jerrold B. Harris2

  

Barbara G. Novick2

              
      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain               

BHL

   8,263,036    175,392    0    8,259,009    179,419    0         

BLW

   31,831,650    543,099    0    31,859,493    515,256    0               

For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Frank J. Fabozzi, R. Glenn Hubbard, W. Carl Kester, John M. Perlowski, and Karen P. Robards.

 

  1   

Class II.

  2   

Class III.

Approved the Directors as follows:

 

     

Michael J. Castellano

  

Richard E. Cavanagh

  

Cynthia L. Egan

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

FRA

   33,551,180    435,160    0    33,531,174    455,166    0    33,560,416    425,924    0
    

Frank J. Fabozzi

  

Jerrold B. Harris

  

R. Glenn Hubbard

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

FRA

   33,537,236    449,104    0    33,529,160    457,180    0    33,527,855    458,485    0
    

W. Carl Kester

  

Catherine A. Lynch

  

Barbara G. Novick

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

FRA

   33,544,064    442,276    0    33,551,576    434,764    0    33,553,314    433,026    0
    

John M. Perlowski

  

Karen P. Robards

              
      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain               

FRA

   33,555,712    430,628    0    33,557,433    428,907    0               

 

Fund Certification

Certain Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Fund’s taxable income and net capital gains, but not in excess of a Fund’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    97


Additional Information (continued)     

 

 

General Information

BHL does not make available copies of its Statement of Additional Information because BHL’s shares are not continuously offered, which means that BHL’s Statement of Additional Information has not been updated after the completion of BHL’s offering and the information contained in BHL’s Statement of Additional Information may have become outdated.

In accordance with Section 23(c) of the 1940 Act, notice is hereby given that FRA and BLW may from time to time purchase their common shares in open market transactions.

BLW and FRA’s respective Statements of Additional Information include additional information about their respective Boards and are available, without charge upon request by calling (800) 882-0052.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

                
98    ANNUAL REPORT    AUGUST 31, 2016   


Additional Information (concluded)     

 

 

Shelf Offering Program

From time-to-time, the Funds may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, the Funds may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Fund’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow the Funds to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

BHL has not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell Fund Common Shares and is not a solicitation of an offer to buy Fund Common Shares. If the Fund files a registration statement with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about the Fund and should be read carefully before investing.

BLW and FRA each have filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectuses of BLW and FRA are not offers to sell BLW or FRA Common Shares or solicitations of an offer to buy BLW or FRA Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectuses of BLW and FRA contain important information about the Funds, including their investment objectives, risks, charges and expenses. Investors are urged to read the prospectuses of BLW and FRA carefully and in their entirety before investing. Copies of the final prospectuses for BLW and FRA can be obtained from BlackRock at http://www.blackrock.com.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
   ANNUAL REPORT    AUGUST 31, 2016    99


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

CEFT-BK3-8/16-AR    LOGO


Item 2 –   Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, by calling 1-800-882-0052, option 4.

 

Item 3 –

 

 

Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

 

 

Michael Castellano

Frank J. Fabozzi

James T. Flynn

W. Carl Kester

Karen P. Robards

 

 

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

 

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

 

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

 

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

2


Item 4 –   Principal Accountant Fees and Services
  The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

     

 

(a) Audit Fees

  

 

(b) Audit-Related Fees1

 

 

(c) Tax Fees2

  

 

(d) All Other Fees3

Entity Name    Current  
Fiscal Year  
End  
   Previous  
Fiscal Year  
End  
   Current  
Fiscal Year  
End  
   Previous  
Fiscal Year  
End  
  Current  
 Fiscal Year  
End  
   Previous  
Fiscal Year  
End  
   Current  
 Fiscal Year  
End  
   Previous
Fiscal Year
End
BlackRock Floating Rate Income Strategies Fund, Inc.    $74,688      $74,688      $0      $4,000     $25,056      $25,056      $0      $0

 

  The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

     

 

Current Fiscal Year End

   Previous Fiscal Year End

(b) Audit-Related Fees1

   $0    $0

(c) Tax Fees2

   $0    $0

(d) All Other Fees3

   $2,129,000    $2,391,000
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.
2 The nature of the services includes tax compliance, tax advice and tax planning.
3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

 

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

 

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g.,

 

3


 

unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

 

(e)(2)  None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

(f) Not Applicable

 

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

 

                           Entity Name       Current Fiscal Year      
End
      Previous Fiscal Year
End
  BlackRock Floating Rate Income Strategies Fund, Inc.   $25,056   $25,056

 

  Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,129,000 and $2,391,000, respectively, were billed by D&T to the Investment Adviser.
  (h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5 –   Audit Committee of Listed Registrants
 

(a)  The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

 

      Michael Castellano

      Frank J. Fabozzi

      James T. Flynn

      W. Carl Kester

      Karen P. Robards

  (b) Not Applicable
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.

 

4


  (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 – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.
Item 8 –   Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2016.
  (a)(1)   The registrant is managed by a team of investment professionals comprised of C. Adrian Marshall, Director at BlackRock and Joshua Tarnow, Managing Director at BlackRock. Each is jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Marshall and Tarnow have been members of the registrant’s portfolio management team since 2009 and 2016, respectively.

 

 

  Portfolio Manager

 

  

 

Biography

 

   

  C. Adrian Marshall

 

  

Director of BlackRock since 2007; Vice President of BlackRock from 2004 to 2007.

 

 
  Joshua Tarnow   

Managing Director of BlackRock, Inc. since

2009; Senior Partner at R3 Capital Partners

from 2008 to 2009; Managing Director at

Lehman Brothers from 2006 to 2008.

 

 

 

    (a)(2) As of August 31, 2016:

 

5


     

(ii) Number of Other Accounts Managed  

and Assets by Account Type  

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

  

Other   

Registered   

Investment   

Companies   

  

Other Pooled   

Investment   

Vehicles   

  

Other   

Accounts   

  

Other   

Registered   

Investment   

Companies   

  

Other Pooled   

Investment   

Vehicles   

  

  Other 

  Accounts 

 

Joshua Tarnow

 

   6   

 

   6   

 

   5   

 

   0   

 

   0   

 

   1   

 

    

 

$8.21 Billion   

 

  

 

$490.4 Million   

 

  

 

$628.7 Million   

 

  

 

$0   

 

  

 

$0   

 

  

 

$251.9 Million   

 

 

C. Adrian Marshall

 

  

 

7   

 

  

 

20   

 

  

 

18   

 

  

 

0   

 

  

 

2   

 

  

 

0   

 

    

 

$5.04 Billion   

 

  

 

$6.70 Billion   

 

  

 

$4.01 Billion   

 

  

 

$0   

 

  

 

$0.20 Million   

 

  

 

$0   

 

 

(iv)   Portfolio Manager Potential Material Conflicts of Interest
 

            BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Marshall and Tarnow may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Marshall and Tarnow may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

  As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

 

 

6


   (a)(3) As of August 31, 2016:
  Portfolio Manager Compensation Overview
 

            The discussion below describes the portfolio managers’ compensation as of August 31, 2016.

              BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.
              Base compensation.    Generally, portfolio managers receive base compensation based on their position with the firm.
 

            Discretionary Incentive Compensation.  Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock.  In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

 

Portfolio Manager   Benchmarks
C. Adrian Marshall   A combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain customized indices and certain fund industry peer groups
Joshua Tarnow   Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index

 

  Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with

 

7


  base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.
 

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have unvested long-term incentive awards.

 

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

 

Other Compensation Benefits.  In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

 

  Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($265,000 for 2016). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

  (a)(4)  Beneficial Ownership of Securities – As of August 31, 2016.

 

                                         Portfolio Manager                 

Dollar Range of Equity Securities

of the Fund Beneficially Owned

   C. Adrian Marshall    $10,001-$50,000
   Joshua Tarnow    None

 

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  (b) Not Applicable
Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.
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 – See Item 2
  (a)(2) – Certifications – Attached hereto
  (a)(3) – Not Applicable
  (b) – Certifications – Attached hereto

 

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

 

BlackRock Floating Rate Income Strategies Fund, Inc.
By:     

/s/ John M. Perlowski

 
  John M. Perlowski  
  Chief Executive Officer (principal executive officer) of
  BlackRock Floating Rate Income Strategies Fund, Inc.
Date: November 3, 2016
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 Floating Rate Income Strategies Fund, Inc.
Date: November 3, 2016
By:  

/s/ Neal J. Andrews

 
  Neal J. Andrews  
  Chief Financial Officer (principal financial officer) of
  BlackRock Floating Rate Income Strategies Fund, Inc.
Date: November 3, 2016

 

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