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: 08/31/2015

 

Date of reporting period: 02/28/2015

 

Item 1 – Report to Stockholders

 
 

FEBRUARY 28, 2015

SEMI-ANNUAL REPORT (UNAUDITED)  

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    
Semi-Annual Report:
                
Fund Summaries
           4    
The Benefits and Risks of Leveraging
           10    
Derivative Financial Instruments
           10    
Financial Statements
                
Schedules of Investments
           11    
Statements of Assets and Liabilities
           51    
Statements of Operations
           52    
Statements of Changes in Net Assets
           53    
Statements of Cash Flows
           56    
Financial Highlights
           57    
Notes to Financial Statements
           60    
Officers and Directors
           74    
Additional Information
           75    
2 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
The Markets in Review 

 
Dear Shareholder,

Market volatility, while remaining below the long-term average level, increased over the course of 2014 and into 2015, driven largely by higher valuations in risk assets (such as equities and high yield bonds), geopolitical risks, uneven global economic growth and uncertainty around policy moves from the world’s largest central banks. As the U.S. Federal Reserve (the “Fed”) gradually reduced its bond buying program (which ultimately ended in October 2014), U.S. interest rates surprisingly trended lower during the period.

The first half of 2014 was generally a strong period for most asset classes; however, volatility ticked up in the summer as geopolitical tensions intensified in Ukraine and the Middle East and investors feared that better U.S. economic indicators may compel the Fed to increase short-term interest rates sooner than previously anticipated. Global credit markets tightened as the U.S. dollar strengthened versus other currencies, ultimately putting a strain on investor flows, and financial markets broadly weakened in the third quarter.

Several themes dominated the markets in the fourth quarter that resulted in the strong performance of U.S. markets versus other areas of the world. Economic growth strengthened considerably in the United States while the broader global economy showed signs of slowing. The European Central Bank and the Bank of Japan took aggressive measures to stimulate growth while the Fed moved toward tighter policy, causing further strengthening in the U.S. dollar. Fixed income investors piled into U.S. Treasuries where yields remained persistently low, but were comparatively higher than yields on international sovereign debt, while equity investors favored the relative stability of U.S.-based companies amid rising global risks.

Oil prices, which had been gradually declining since mid-summer, plummeted in the fourth quarter due to a global supply-and-demand imbalance. Energy-related assets sold off sharply and emerging markets struggled as many of those economies rely heavily on oil exports. Conversely, the consumer sectors benefited from lower oil prices as savings at the gas pumps freed up discretionary income for other goods and services.

These trends shifted in early 2015. U.S. equities underperformed international markets given high valuations and the anticipation of a rate hike from the Fed. Oil prices showed signs of stabilizing as suppliers became more disciplined in their exploration and production efforts. Markets in Europe and Japan rebounded, driven largely by central bank policy accommodation and improving economic data.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely 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,

  

Rob Kapito
President, BlackRock Advisors, LLC




 

Rob Kapito
President, BlackRock Advisors, LLC


Total Returns as of February 28, 2015

         6-month      12-month
U.S. large cap equities (S&P 500® Index)
           6.12 %           15.51 %  
U.S. small cap equities (Russell 2000® Index)
           5.70            5.63   
International equities (MSCI Europe, Australasia, Far East Index)
           (1.26 )           (0.03 )  
Emerging market equities (MSCI Emerging Markets Index)
           (8.30 )           5.01   
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)
           0.01            0.03   
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)
           4.14            8.66   
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)
           2.25            5.05   
Tax-exempt municipal bonds (S&P Municipal Bond Index)
           2.17            6.47   
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)
           (0.08 )           2.81   

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 February 28, 2015 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 assets in any combination of the following credit securities: (i) senior secured floating rate and fixed rate loans; (ii) second lien or other subordinated or unsecured floating rate and fixed rate loans or debt; (iii) credit securities that are rated below investment grade quality; and (iv) investment grade corporate bonds. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary

How did the Fund perform?

•    For the six-month period ended February 28, 2015, the Fund returned (0.79)% based on market price and 1.51% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•    During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Fund’s top 25 holdings. Given the positive returns experienced, the Fund’s use of leverage added to performance for the period.
•    During the six-month period, oil prices experienced a significant decline and most commodity prices came under pressure as well. As a result, prices for the Fund’s holdings within the energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller component of the portfolio, detracted as well. The electric segment, and in particular Texas Utilities, was also a detractor. Finally, the Fund’s modest position in equities was a negative contributor.

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. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral, and the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period.

Describe portfolio positioning at period end.

•    At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. 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 modest position in CCC-rated loans, while generally maintaining low exposure to lower quality, less liquid loans.

  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
4 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
    BlackRock Defined Opportunity Credit Trust

Fund Information

Symbol on New York Stock Exchange (“NYSE”)
     
BHL
Initial Offering Date
     
January 31, 2008
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($13.17)1
     
5.31%
Current Monthly Distribution per Common Share2
     
$0.0583
Current Annualized Distribution per Common Share2
     
$0.6996
Economic Leverage as of February 28, 20153
     
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




   
2/28/15
   
8/31/14
   
Change
   
High
   
Low
Market Price
        $ 13.17         $ 13.84            (4.84 )%        $ 13.89         $ 12.61   
Net Asset Value
        $ 14.03         $ 14.41            (2.64 )%        $ 14.42         $ 13.72   

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


      

Overview of the Fund’s Total Investments

Portfolio Composition



   
2/28/15
   
8/31/144
Floating Rate Loan Interests
           93 %           94 %      
Corporate Bonds
           4             2    
Asset-Backed Securities
           3             2    
Short-Term Securities
                       1    
Common Stocks
           5           1    
Other6
                          
4   Information has been revised to conform to current year presentation.
5   Representing less than 1% of the Fund’s total investments.
6   Includes a less than 1% holding in each of the following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities and Warrants.

Credit Quality Allocation7,8



   
2/28/15
   
8/31/14
BBB/Baa
           7 %           6 %  
BB/Ba
           45             43    
B
           42             44    
CCC/Caa
           3             4    
N/R
           3             3    
7   For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
8   Excludes short-term securities.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 5
 
   
Fund Summary as of February 28, 2015 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 assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary

How did the Fund perform?

•    For the six-month period ended February 28, 2015, the Fund returned (0.09)% based on market price and 1.48% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•    During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Fund’s top 25 holdings. Given the positive returns experienced, the Fund’s use of leverage added to performance for the period.
•    During the six-month period, oil prices experienced a significant decline and most commodity prices came under pressure as well. As a result, prices for the Fund’s holdings within the energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller component of the portfolio, detracted as well. The electric segment, and in particular Texas Utilities, was also a detractor. Finally, the Fund’s modest position in equities was a negative contributor.

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. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral and with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period.

Describe portfolio positioning at period end.

•    At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. 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 modest position in CCC-rated loans, while generally maintaining low exposure to lower quality, less liquid loans.

  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
6 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
    BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE
     
FRA
Initial Offering Date
     
October 31, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($13.83)1
     
5.85%
Current Monthly Distribution per Common Share2
     
$0.0674
Current Annualized Distribution per Common Share2
     
$0.8088
Economic Leverage as of February 28, 20153
     
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




   
2/28/15
   
8/31/14
   
Change
   
High
   
Low
Market Price
        $ 13.83         $ 14.26            (3.02 )%        $ 14.32         $ 12.96   
Net Asset Value
        $ 15.15         $ 15.38            (1.50 )%        $ 15.38         $ 14.69   

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


 
    

Overview of the Fund’s Total Investments

Portfolio Composition



   
2/28/15
   
8/31/144
Floating Rate Loan Interests
           92 %           93 %      
Corporate Bonds
           4             3    
Asset-Backed Securities
           3             2    
Common Stocks
           1             1    
Other5
                       1    
4   Information has been revised to conform to current year presentation.
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, Short-Term Securities and Warrants.


Credit Quality Allocation6,7



   
2/28/15
   
8/31/14
BBB/Baa
           7 %           6 %  
BB/Ba
           44             43    
B
           41             43    
CCC/Caa
           4             4    
N/R
           4             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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 7
 
   
Fund Summary as of February 28, 2015 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 and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade.

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

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

Portfolio Management Commentary

How did the Fund perform?

•    For the six-month period ended February 28, 2015, the Fund returned (0.71)% based on market price and 1.32% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.46)% based on market price and (1.60)% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•    The main contributors to the Fund’s absolute performance were its exposure to non-U.S. dollar securities, high yield, term loans, asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”). Other contributors included agency mortgage-backed securities (“MBS”) 15-year pass-throughs and emerging market debt.
•    The main detractors from the Fund’s absolute performance during the period were its positions in preferred equities, its duration exposure through U.S. Treasuries and its positions in investment grade credit.

•    The Fund held derivatives during the reporting period, which had a neutral effect on performance..

Describe recent portfolio activity.

•    The Fund’s allocations remained consistent throughout the six-month period, with its largest positions in high yield and investment grade corporate credit, followed by allocations in securitized credit, including ABS and CMBS.

Describe portfolio positioning at period end.

•    At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield and investment grade corporate credit, as well as CMBS, ABS and agency and non-agency residential MBS.

  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
8 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
    BlackRock Limited Duration Income Trust

Fund Information

Symbol on NYSE
     
BLW
Initial Offering Date
     
July 30, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($15.98)1
     
7.47%
Current Monthly Distribution per Common Share2
     
$0.0995
Current Annualized Distribution per Common Share2
     
$1.1940
Economic Leverage as of February 28, 20153
     
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




   
2/28/15
   
8/31/14
   
Change
   
High
   
Low
Market Price
        $ 15.98         $ 16.81            (4.94 )%        $ 16.84         $ 14.99   
Net Asset Value
        $ 17.55         $ 18.09            (2.99 )%        $ 18.10         $ 17.12   

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


 
    

Overview of the Fund’s Total Investments

Portfolio Composition



   
2/28/15
   
8/31/144
Corporate Bonds
           38 %           42 %      
Floating Rate Loan Interests
           30             32    
Asset-Backed Securities
           11             5    
Non-Agency Mortgage-Backed Securities
           9             7    
Preferred Securities
           7             8    
U.S. Government Sponsored Agency Securities
           4             4    
Foreign Agency Obligations
           1             5  
Common Stocks
           5           1    
Short-Term Securities
           5           1    
Other6
           6           7  

4   Information has been revised to conform to current year presentation.
5   Representing less than 1% of the Fund’s total investments.
6   Includes a less than 1% holding in each of the following investment types: Options Purchased, Options Written, Other Interests and Warrants.
7   Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests and Warrants.


Credit Quality Allocation8, 9



   
2/28/15
   
8/31/14
AAA/Aaa10
           6 %           6 %  
AA/Aa
           2             2    
A
           6             3    
BBB/Baa
           16             15    
BB/Ba
           31             32    
B
           29             31    
CCC/Caa
           5             7    
N/R
           5             4    
8   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.
9   Excludes short-term securities.
10   The investment advisor 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 advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 9
 
   
The Benefits and Risks of Leveraging      

The Funds may utilize leverage to seek to enhance the yield 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 will be based on short-term interest rates, will normally be 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 Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Fund’s shareholders will 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, the 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 the Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Fund’s financing cost of leverage are significantly lower than the income earned on the 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 Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage. Furthermore, the value of the Fund’s 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 Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s NAV positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.

Leverage also will generally cause greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Fund’s shares than if the Fund were not leveraged. In addition, the Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shares.

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 3313% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

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


Derivative Financial Instruments    

The Funds may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments 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 derivative

financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial 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 are discussed in detail in the Notes to Financial Statements.



10 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments February 28, 2015 (Unaudited) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
 
Common Stocks (a)
          Shares    Value
Diversified Consumer Services — 0.1%
                           
Cengage Thomson Learning
     
 
    8,922      $  192,385  
Software — 0.4%
                           
HMH Holdings/EduMedia.
     
 
    24,355       481,742  
Total Common Stocks — 0.5%
     
 
            674,127  

Asset-Backed Securities (b)
     
  
    Par
(000
        
ALM Loan Funding, Series 2013-7RA, Class C, 3.71%, 4/24/24 (c)
     
USD
    500       485,153  
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)
     
 
    713       676,264  
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.96%, 10/15/26 (c)
     
 
    250       237,940  
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (c)
     
 
    250       240,265  
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.76%, 1/20/25 (c)
     
 
    250       252,739  
Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (c)
     
 
    250       237,350  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (c)
     
 
    215       212,614  
LCM LP, 0.00%, 4/20/27 (d)(e)
     
 
    500       431,250  
North End CLO Ltd., Series 2013-1A, Class D, 3.76%, 7/17/25 (c)
     
 
    250       234,781  
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.46%, 10/25/25 (c)
     
 
    250       233,021  
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.06%, 8/12/26 (c)
     
 
    250       242,313  
Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (c)
     
 
    350       350,322  
Voya CLO, Ltd., Series 2014-4A, Class SUB, 0.00%, 10/14/26 (e)
     
 
    1,000       940,700  
Total Asset-Backed Securities — 3.8%
     
 
            4,774,712  

Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)
     
 
    250       252,500  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16
     
 
    44       49,397  
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18
     
 
    590       609,175  
 
     
 
            911,072  
Auto Components — 0.4%
                           
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
3.50%, 3/15/17
     
 
    164       166,050  
4.88%, 3/15/19
     
 
    325       334,360  
 
     
 
            500,410  
Chemicals — 0.1%
                           
INEOS Finance PLC, 8.38%, 2/15/19 (b)
     
 
    110       117,315  
Commercial Services & Supplies — 0.3%
                           
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (c)
     
 
    68       68,340  

 

Corporate Bonds           Par
(000)
  Value
Commercial Services & Supplies (concluded)
                           
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)
     
USD
    232      $  236,526  
United Rentals North America, Inc., 5.75%, 7/15/18
     
 
    80       83,050  
 
     
 
            387,916  
Communications Equipment — 0.4%
                           
Avaya, Inc., 7.00%, 4/01/19 (b)
     
 
    101       102,010  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
    342       362,520  
 
     
 
            464,530  
Diversified Financial Services — 0.1%
                           
Reynolds Group Issuer, Inc., 7.13%, 4/15/19
     
 
    120       124,575  
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc.:
                           
3.83%, 1/15/18 (c)
     
 
    228       230,850  
6.13%, 1/15/21
     
 
    127       134,461  
 
     
 
            365,311  
Health Care Providers & Services — 0.7%
                           
CHS/Community Health Systems, Inc., 6.88%, 2/01/22
     
 
    71       75,926  
HCA, Inc.:
                           
5.88%, 5/01/23
     
 
    85       93,075  
5.38%, 2/01/25
     
 
    185       196,100  
Tenet Healthcare Corp. (b):
                           
5.00%, 3/01/19
     
 
    325       326,625  
5.50%, 3/01/19
     
 
    240       244,500  
 
     
 
            936,226  
Independent Power and Renewable Electricity Producers — 0.3%
                           
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b)
     
 
    325       340,031  
Media — 0.4%
                           
Altice Financing SA, 6.63%, 2/15/23 (b)
     
 
    200       208,250  
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)
     
 
    96       99,240  
Numericable Group SA, 6.00%, 5/15/22 (b)
     
 
    200       203,500  
 
     
 
            510,990  
Metals & Mining — 0.0%
                           
Novelis, Inc., 8.38%, 12/15/17
     
 
    60       62,700  
Oil, Gas & Consumable Fuels — 0.3%
                           
Antero Resources Finance Corp., 5.38%, 11/01/21
     
 
    150       151,125  
CONSOL Energy, Inc., 5.88%, 4/15/22
     
 
    140       134,400  
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
     
 
    145       148,625  
 
     
 
            434,150  
Pharmaceuticals — 0.2%
                           
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b)
     
 
    225       238,219  
Road & Rail — 0.2%
                           
Florida East Coast Holdings Corp., 6.75%,
5/01/19 (b)
     
 
    196       202,125  
Wireless Telecommunication Services — 1.0%
                           
Digicel Group Ltd., 8.25%, 9/30/20 (b)
     
 
    310       313,565  
Sprint Communications, Inc., 7.00%, 3/01/20 (b)
     
 
    800       886,248  
T-Mobile USA, Inc., 6.13%, 1/15/22
     
 
    50       52,625  
 
     
 
            1,252,438  
Total Corporate Bonds — 5.4%
     
 
            6,848,008  


Portfolio Abbreviations

  
                                   
ABS
ADS
BROIS
CAD
CLO
     
Asset-Backed Security
American Depositary Shares
Brazilian Overnight Indexed Swap
Canadian Dollar
Collateralized Loan Obligation
 
CR
DIP
EUR
GBP
OTC
 
Custodian Receipt
Debtor-In-Possession
Euro
British Pound
Over-the-Counter
 
PIK
REMIC
SGD
USD
 
Payment-In-Kind
Real Estate Mortgage Investment Conduit
Singapore Dollar
U.S. Dollar


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 11
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Aerospace & Defense — 2.3%
                           
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21
     
USD
    670      $  671,394  
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
    506       505,198  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21
     
 
    275       288,406  
Transdigm, Inc.:
                           
Term Loan C, 3.75%, 2/28/20
     
 
    221       219,481  
Term Loan D, 3.75%, 6/04/21
     
 
    199       198,222  
TransUnion LLC, Term Loan, 4.00%, 4/09/21
     
 
    1,082       1,076,870  
 
     
 
            2,959,571  
Air Freight & Logistics — 0.4%
                           
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21
     
 
    156       144,061  
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21
     
 
    163       150,780  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21
     
 
    26       23,615  
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21
     
 
    225       207,973  
 
     
 
            526,429  
Airlines — 0.7%
                           
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18
     
 
    322       321,832  
Northwest Airlines, Inc.:
                           
2.18%, 3/10/17
     
 
    148       145,166  
1.56%, 9/10/18
     
 
    218       208,190  
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
    257       256,515  
 
     
 
            931,703  
Auto Components — 4.5%
                           
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
    282       281,271  
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16
     
 
    57       56,999  
Autoparts Holdings Ltd.:
                           
1st Lien Term Loan, 6.50%, 7/29/17
     
 
    623       622,638  
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
    200       194,014  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
    356       353,282  
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19
     
 
    327       322,175  
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21
     
 
    2,005       1,989,436  
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
    958       962,531  
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20
     
 
    575       578,594  
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
     
 
    336       336,000  
 
     
 
            5,696,940  
Automobiles — 0.3%
                           
Chrysler Group LLC, Term Loan B:
                           
3.25%, 12/31/18
     
 
    189       188,070  
3.50%, 5/24/17
     
 
    198       198,334  
 
     
 
            386,404  
Banks — 0.3%
                           
Redtop Acquisitions Ltd.:
                           
1st Lien Term Loan, 4.50%, 12/03/20
     
 
    257       257,078  
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
    69       69,300  
 
     
 
            326,378  
Building Products — 3.9%
                           
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20
     
 
    336       329,406  
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
    1,264       1,241,603  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21
     
 
    318       310,454  
Floating Rate Loan Interests (c)           Par
(000)
  Value
Building Products (concluded)
                           
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21
     
USD
    392      $  387,463  
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21
     
 
    700       701,750  
Nortek, Inc., Term Loan, 3.75%, 10/30/20
     
 
    478       473,722  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21
     
 
    223       219,498  
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
    383       381,499  
Wilsonart LLC:
                           
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
    109       107,901  
Term Loan B, 4.00%, 10/31/19
     
 
    784       776,812  
 
     
 
            4,930,108  
Capital Markets — 0.4%
                           
Affinion Group, Inc.:
                           
2nd Lien Term Loan, 8.50%, 10/12/18
     
 
    39       34,474  
Term Loan B, 6.75%, 4/30/18
     
 
    299       284,119  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
    195       194,386  
 
     
 
            512,979  
Chemicals — 4.9%
                           
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19
     
 
    253       252,404  
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19
     
 
    131       130,960  
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20
     
 
    450       445,900  
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20
     
 
    27       26,623  
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22
     
 
    270       270,508  
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
    128       127,721  
Chromaflo Technologies Corp.:
                           
1st Lien Term Loan, 4.50%, 12/02/19
     
 
    257       254,504  
2nd Lien Term Loan, 8.25%, 5/30/20
     
 
    110       108,625  
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
    473       463,756  
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18
     
 
    193       192,360  
MacDermid, Inc.:
                           
1st Lien Term Loan, 4.50%, 6/07/20
     
 
    654       655,701  
Term Loan B2, 4.75%, 6/07/20
     
 
    167       167,447  
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21
     
 
    461       462,404  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
    578       562,637  
OXEA Finance LLC:
                           
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
    315       296,494  
Term Loan B2, 4.25%, 1/15/20
     
 
    578       558,555  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
    155       155,118  
Solenis International LP:
                           
1st Lien Term Loan, 4.25%, 7/31/21
     
 
    354       349,686  
2nd Lien Term Loan, 7.75%, 7/31/22
     
 
    390       377,976  
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
    133       131,978  
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
 
    221       219,272  
 
     
 
            6,210,629  
Commercial Services & Supplies — 6.3%
                           
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
    726       717,743  
ARAMARK Corp.:
                           
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16
     
 
    14       13,718  
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16
     
 
    9       9,277  
Term Loan E, 3.25%, 9/07/19
     
 
    645       643,297  
Term Loan F, 3.25%, 2/24/21
     
 
    195       193,598  
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
    863       841,877  


See Notes to Financial Statements.

12 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Commercial Services & Supplies (concluded)
                           
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21
     
USD
    1,035      $  1,037,370  
Connolly Corp.:
                           
1st Lien Term Loan, 5.00%, 5/14/21
     
 
    672       674,567  
2nd Lien Term Loan, 8.00%, 5/14/22
     
 
    325       320,937  
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21
     
 
    240       241,200  
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21
     
 
    182       183,845  
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21
     
 
    308       304,983  
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20
     
 
    547       541,093  
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19
     
 
    305       295,426  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
    984       975,910  
US Ecology, Inc., Term Loan, 3.75%, 6/17/21
     
 
    214       213,596  
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20
     
 
    207       207,248  
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
    598       596,430  
 
     
 
            8,012,115  
Communications Equipment — 1.6%
                           
Applied Systems, Inc.:
                           
1st Lien Term Loan, 4.25%, 1/25/21
     
 
    327       326,400  
2nd Lien Term Loan, 7.50%, 1/24/22
     
 
    85       84,235  
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17
     
 
    343       332,684  
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17
     
 
    156       155,904  
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22
     
 
    135       136,012  
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
 
    1,033       1,032,043  
 
     
 
            2,067,278  
Construction & Engineering — 0.4%
                           
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21
     
 
    192       192,852  
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20
     
 
    280       281,750  
 
     
 
            474,602  
Construction Materials — 1.5%
                           
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20
     
 
    218       217,460  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
    1,596       1,591,353  
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
    148       142,941  
 
     
 
            1,951,754  
Containers & Packaging — 1.2%
                           
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19
     
 
    208       207,643  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21
     
 
    571       570,420  
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20
     
 
    343       344,562  
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22
     
 
    250       250,520  
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21
     
 
    169       169,150  
 
     
 
            1,542,295  
Distributors — 1.1%
                           
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
    666       661,884  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18
     
 
    328       329,277  
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
    230       226,558  
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17
     
 
    204       203,220  
 
     
 
            1,420,939  
                             

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Diversified Consumer Services — 2.2%
                           
Allied Security Holdings LLC:
                           
1st Lien Term Loan, 4.25%, 2/12/21
     
USD
    651      $  649,979  
2nd Lien Term Loan, 8.00%, 8/13/21
     
 
    91       90,378  
Bright Horizons Family Solutions, Inc.:
                           
Incremental Term Loan B1, 4.25%, 1/30/20
     
 
    80       80,100  
Term Loan B, 3.75%, 1/30/20
     
 
    632       631,013  
CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21
     
 
    135       135,506  
Garda World Securities Corp.:
                           
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
    11       10,543  
Term Loan B, 4.00%, 11/06/20
     
 
    42       41,215  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
    247       234,119  
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21
     
 
    813       812,670  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
    295       155,216  
 
     
 
            2,840,739  
Diversified Financial Services — 2.4%
                           
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21
     
 
    599       594,297  
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21
     
 
    225       223,969  
Onex Wizard US Acquisition, Inc., Term Loan, 5.50%, 1/14/22
     
 
    465       467,823  
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
    742       743,650  
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
    589       587,430  
TransFirst, Inc.:
                           
2014 1st Lien Term Loan, 5.50%, 11/12/21
     
 
    313       315,017  
2014 2nd Lien Term Loan, 9.00%, 11/12/22
     
 
    165       163,098  
 
     
 
            3,095,284  
Diversified Telecommunication Services — 5.1%
Altice Financing SA, Term Loan:
                           
Delayed Draw, 5.50%, 7/02/19
     
 
    395       397,499  
5.25%, 2/04/22
     
 
    160       160,650  
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
    686       687,734  
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22
     
 
    540       540,448  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
    518       519,597  
Integra Telecom, Inc.:
                           
2nd Lien Term Loan, 9.75%, 2/21/20
     
 
    190       188,337  
Term Loan B, 5.25%, 2/22/19
     
 
    457       453,664  
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22
     
 
    835       838,482  
Level 3 Financing, Inc.:
                           
2019 Term Loan, 4.00%, 8/01/19
     
 
    350       349,289  
2020 Term Loan B, 4.00%, 1/15/20
     
 
    2,330       2,328,835  
 
     
 
            6,464,535  
Electric Utilities — 0.4%
                           
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20
     
 
    209       177,519  
American Energy — Utica LLC:
                           
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18
     
 
    52       45,875  
2nd Lien Term Loan, 5.50%, 9/30/18
     
 
    238       215,290  
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
    52       45,882  
 
     
 
            484,566  
Electrical Equipment — 1.4%
                           
Southwire Co., Term Loan, 3.25%, 2/10/21
     
 
    263       256,876  
Texas Competitive Electric Holdings Co. LLC:
                           
DIP Term Loan, 3.75%, 5/05/16
     
 
    448       450,132  
Extended Term Loan, 4.66%, 10/10/17 (a)(f)
     
 
    1,705       1,088,353  
 
     
 
            1,795,361  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 13
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
USD
    650      $  643,834  
Energy Equipment & Services — 1.1%
                           
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
    256       255,260  
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21
     
 
    264       264,264  
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
    956       918,498  
 
     
 
            1,438,022  
Food & Staples Retailing — 1.1%
                           
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21
     
 
    334       333,578  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
     
 
    235       237,204  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
    509       509,706  
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19
     
 
    380       378,989  
 
     
 
            1,459,477  
Food Products — 3.4%
                           
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
    257       256,750  
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18
     
 
    678       676,776  
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18
     
 
    587       585,383  
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19
     
 
    54       54,142  
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21
     
 
    468       468,235  
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21
     
 
    439       439,175  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
    372       371,807  
Pinnacle Foods Finance LLC:
                           
Incremental Term Loan H, 3.00%, 4/29/20
     
 
    123       122,710  
Term Loan G, 3.00%, 4/29/20
     
 
    605       601,492  
Reddy Ice Corp.:
                           
1st Lien Term Loan, 6.75%, 5/01/19
     
 
    560       484,422  
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
    270       205,200  
 
     
 
            4,266,092  
Health Care Equipment & Supplies — 5.0%
                           
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22
     
 
    265       267,539  
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17
     
 
    707       705,712  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
    438       435,754  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17
     
 
    970       969,883  
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
    614       614,869  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
    798       797,426  
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21
     
 
    506       505,228  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21
     
 
    572       574,270  
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21
     
 
    704       693,512  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21
     
 
    695       686,923  
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19
     
 
    100       100,623  
 
     
 
            6,351,739  
Health Care Providers & Services — 7.4%
                           
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22
     
 
    112       112,373  
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20
     
 
    335       331,650  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Health Care Providers & Services (concluded)
                           
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21
     
USD
    299      $  298,688  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
    241       241,499  
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19
     
 
    392       391,588  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
    1,945       1,949,085  
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
    540       538,988  
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22
     
 
    350       351,971  
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21
     
 
    2,204       2,206,129  
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20
     
 
    237       237,000  
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
    422       421,398  
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17
     
 
    265       270,212  
HCA, Inc., Term Loan B5, 2.92%, 3/31/17
     
 
    315       314,962  
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21
     
 
    81       80,395  
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21
     
 
    480       475,832  
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21
     
 
    318       315,266  
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20
     
 
    226       223,909  
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18
     
 
    419       416,184  
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19
     
 
    195       194,187  
 
     
 
            9,371,316  
Health Care Technology — 0.9%
                           
IMS Health, Inc., Term Loan, 3.50%, 3/17/21
     
 
    754       749,587  
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
    434       431,610  
 
     
 
            1,181,197  
Hotels, Restaurants & Leisure — 11.3%
                           
Amaya Holdings BV:
                           
1st Lien Term Loan, 5.00%, 8/01/21
     
 
    190       188,104  
2nd Lien Term Loan, 8.00%, 8/01/22
     
 
    1,225       1,217,723  
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
    252       252,119  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20
     
 
    678       650,965  
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21
     
 
    1,280       1,286,630  
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18
     
 
    39       36,217  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20
     
 
    1,001       964,094  
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21
     
 
    376       376,651  
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20
     
 
    154       154,151  
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21
     
 
    452       454,511  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20
     
 
    941       940,186  
Intrawest ULC, Term Loan, 5.50%, 12/09/20
     
 
    366       367,216  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21
     
 
    1,977       1,974,460  
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20
     
 
    594       593,875  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
    782       778,657  
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
    370       369,328  
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21
     
 
    294       294,182  


See Notes to Financial Statements.

14 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Hotels, Restaurants & Leisure (concluded)
                           
Sabre, Inc.:
                           
Incremental Term Loan, 4.50%, 2/19/19
     
USD
    114      $  113,563  
Term Loan B, 4.00%, 2/19/19
     
 
    524       522,851  
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20
     
 
    348       347,001  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20
     
 
    1,142       1,140,154  
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21
     
 
    763       768,811  
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20
     
 
    258       258,634  
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
    366       364,761  
 
     
 
            14,414,844  
Household Products — 1.1%
                           
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
    631       629,520  
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19
     
 
    238       237,841  
Spectrum Brands, Inc.:
                           
Term Loan A, 3.00%, 9/04/17
     
 
    176       175,077  
Term Loan C, 3.50%, 9/04/19
     
 
    339       338,182  
 
     
 
            1,380,620  
Independent Power and Renewable Electricity Producers — 2.1%
                           
Calpine Corp., Term Loan B1, 4.00%, 4/01/18
     
 
    873       872,948  
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16
     
 
    648       650,821  
Granite Acquisition Inc.:
                           
Term Loan B, 5.00%, 12/19/21
     
 
    710       717,697  
Term Loan C, 5.00%, 12/19/21
     
 
    31       31,579  
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21
     
 
    375       376,406  
 
     
 
            2,649,451  
Industrial Conglomerates — 0.5%
                           
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
    629       613,068  
Insurance — 2.5%
                           
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
     
 
    412       411,131  
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20
     
 
    249       242,316  
CNO Financial Group, Inc.:
                           
Term Loan B1, 3.00%, 9/28/16
     
 
    215       214,174  
Term Loan B2, 3.75%, 9/28/18
     
 
    515       512,028  
Cooper Gay Swett & Crawford of Delaware Holding Corp.:
                           
1st Lien Term Loan, 5.00%, 4/16/20
     
 
    414       380,604  
2nd Lien Term Loan C, 8.25%, 10/16/20
     
 
    200       172,334  
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21
     
 
    483       480,869  
Sedgwick Claims Management Services, Inc.:
                           
1st Lien Term Loan, 3.75%, 3/01/21
     
 
    457       449,930  
2nd Lien Term Loan, 6.75%, 2/28/22
     
 
    260       254,150  
 
     
 
            3,117,536  
Internet Software & Services — 1.9%
                           
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21
     
 
    420       417,146  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21
     
 
    572       572,394  
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21
     
 
    862       864,255  
W3 Co.:
                           
1st Lien Term Loan, 5.75%, 3/13/20
     
 
    403       362,543  
2nd Lien Term Loan, 9.25%, 9/11/20
     
 
    155       145,722  
 
     
 
            2,362,060  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
IT Services — 3.8%
                           
First Data Corp.:
                           
2018 Extended Term Loan, 3.67%, 3/24/18
     
USD
    2,845      $  2,839,533  
2018 Term Loan, 3.67%, 9/24/18
     
 
    295       294,723  
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
    428       426,577  
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18
     
 
    245       228,254  
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19
     
 
    123       108,988  
SunGard Data Systems, Inc.:
                           
Term Loan C, 3.92%, 2/28/17
     
 
    350       349,671  
Term Loan E, 4.00%, 3/08/20
     
 
    126       126,356  
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21
     
 
    392       392,233  
 
     
 
            4,766,335  
Leisure Products — 0.4%
                           
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21
     
 
    364       361,231  
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
    93       89,778  
 
     
 
            451,009  
Machinery — 2.3%
                           
Alliance Laundry Systems LLC:
                           
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
    131       131,073  
Refinancing Term Loan, 4.25%, 12/10/18
     
 
    344       342,857  
Faenza Acquisition GmbH:
                           
Term Loan B1, 4.25%, 8/30/20
     
 
    266       265,798  
Term Loan B3, 4.25%, 8/30/20
     
 
    79       78,799  
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20
     
 
    305       302,689  
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
    191       188,481  
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21
     
 
    180       180,164  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
    564       562,443  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
    664       638,146  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
 
    237       235,539  
 
     
 
            2,925,989  
Media — 13.7%
                           
Cengage Learning Acquisitions, Inc.:
                           
1st Lien Term Loan, 7.00%, 3/31/20
     
 
    1,365       1,364,346  
Term Loan, 0.00%, 7/03/15 (a)(f)
     
 
    591        
Charter Communications Operating LLC:
                           
Term Loan E, 3.00%, 7/01/20
     
 
    458       456,307  
Term Loan G, 4.25%, 9/12/21
     
 
    935       942,003  
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19
     
 
    1,364       1,304,683  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
    525       521,575  
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21
     
 
    254       252,721  
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20
     
 
    453       451,460  
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
    343       343,395  
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
    983       975,046  
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22
     
 
    350       344,750  
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
    114       112,995  
MCC Iowa LLC:
                           
Term Loan I, 2.65%, 6/30/17
     
 
    249       247,506  
Term Loan J, 3.75%, 6/30/21
     
 
    124       123,753  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
    637       638,557  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 15
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Media (concluded)
                           
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18
     
USD
    253      $  249,038  
Mediacom ILLC, Term Loan E, 3.15%, 10/23/17
     
 
    478       474,315  
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21
     
 
    309       306,037  
Numericable U.S. LLC:
                           
Term Loan B1, 4.50%, 5/21/20
     
 
    509       509,312  
Term Loan B2, 4.50%, 5/21/20
     
 
    440       440,624  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
    365       362,290  
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21
     
 
    706       701,251  
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
    368       364,607  
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
    1,144       1,142,916  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
    519       518,068  
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21
     
EUR
    281       313,775  
Virgin Media Investment Holdings Ltd.:
                           
Term Loan B, 3.50%, 6/07/20
     
USD
    780       777,598  
Term Loan E, 4.25%, 6/30/23
     
GBP
    650       1,002,981  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
    947       946,917  
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21
     
 
    57       56,647  
Ziggo Financing Partnership:
                           
Term Loan B1, 3.50%, 1/15/22
     
 
    425       420,928  
Term Loan B2A, 3.50%, 1/15/22
     
 
    276       273,051  
Term Loan B3, 3.50%, 1/15/22
     
 
    453       449,071  
 
     
 
            17,388,523  
Metals & Mining — 1.1%
                           
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20
     
 
    100       92,500  
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
    780       778,517  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
    580       579,655  
 
     
 
            1,450,672  
Multiline Retail — 2.3%
                           
99¢ Only Stores, Term Loan, 4.50%, 1/11/19
     
 
    449       449,378  
BJ’s Wholesale Club, Inc.:
                           
1st Lien Term Loan, 4.50%, 9/26/19
     
 
    1,035       1,030,665  
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
    200       198,250  
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22
     
 
    470       473,408  
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
 
    151       151,465  
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20
     
 
    580       574,650  
 
     
 
            2,877,816  
Oil, Gas & Consumable Fuels — 4.5%
                           
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18
     
 
    426       340,504  
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20
     
 
    430       427,493  
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21
     
 
    848       660,897  
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
    440       424,235  
Fieldwood Energy LLC:
                           
1st Lien Term Loan, 3.88%, 9/28/18
     
 
    311       297,340  
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
    135       103,179  
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21
     
 
    205       206,281  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
    119       118,271  
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19
     
 
    27       16,306  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Oil, Gas & Consumable Fuels (concluded)
                           
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21
     
USD
    375      $  376,875  
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20
     
 
    325       328,250  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
    360       352,800  
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
    105       101,325  
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21
     
 
    405       384,750  
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21
     
 
    61       55,019  
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21
     
 
    269       261,262  
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21
     
 
    214       199,752  
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22
     
 
    250       248,750  
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21
     
 
    360       363,449  
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/19/22
     
 
    380       378,100  
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21
     
 
    134       132,648  
 
     
 
            5,777,486  
Personal Products — 0.1%
                           
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21
     
 
    93       93,027  
Pharmaceuticals — 6.2%
                           
Akorn, Inc., Term Loan B, 4.50%, 4/16/21
     
 
    569       570,235  
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19
     
 
    277       277,084  
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
    211       208,066  
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21
     
 
    357       356,407  
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21
     
 
    976       973,772  
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21
     
 
    363       360,360  
Mallinckrodt International Finance SA:
                           
Incremental Term Loan B1, 3.50%, 3/19/21
     
 
    329       328,283  
Term Loan B, 3.25%, 3/19/21
     
 
    526       522,869  
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19
     
 
    845       839,365  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
    981       979,404  
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18
     
 
    568       568,397  
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20
     
 
    469       468,540  
Valeant Pharmaceuticals International, Inc., Term Loan B:
                           
Series C2, 3.50%, 12/11/19
     
 
    524       523,157  
Series D2, 3.50%, 2/13/19
     
 
    568       566,214  
Series E, 3.50%, 8/05/20
     
 
    326       325,399  
 
     
 
            7,867,552  
Professional Services — 2.5%
                           
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21
     
 
    305       306,439  
Advantage Sales & Marketing, Inc.:
                           
2014 1st Lien Term Loan, 4.25%, 7/23/21
     
 
    469       466,364  
2014 2nd Lien Term Loan, 7.50%, 7/25/22
     
 
    160       159,450  
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20
     
 
    393       388,262  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
    717       715,008  
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22
     
 
    275       273,166  


See Notes to Financial Statements.

16 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Professional Services (concluded)
                           
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
USD
    422      $  418,250  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
    391       386,080  
 
     
 
            3,113,019  
Real Estate Management & Development — 1.8%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20
     
 
    523       522,989  
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21
     
 
    492       493,219  
Realogy Corp.:
                           
Extended Letter of Credit, 4.40%, 10/10/16
     
 
    40       39,643  
Term Loan B, 3.75%, 3/05/20
     
 
    1,182       1,180,191  
 
     
 
            2,236,042  
Road & Rail — 0.8%
                           
Hertz Corp., Term Loan B2, 3.50%, 3/11/18
     
 
    328       325,765  
Road Infrastructure Investment LLC:
                           
1st Lien Term Loan, 4.25%, 3/31/21
     
 
    462       447,667  
2nd Lien Term Loan, 7.75%, 9/21/21
     
 
    225       200,250  
 
     
 
            973,682  
Semiconductors & Semiconductor Equipment — 1.7%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21
     
 
    1,169       1,169,791  
Freescale Semiconductor, Inc.:
                           
Term Loan B4, 4.25%, 2/28/20
     
 
    529       527,709  
Term Loan B5, 5.00%, 1/15/21
     
 
    163       163,694  
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
    326       323,431  
 
     
 
            2,184,625  
Software — 3.8%
                           
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
    241       236,800  
GCA Services Group, Inc.:
                           
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
    176       174,240  
Term Loan B, 4.25%, 11/01/19
     
 
    386       384,964  
Infor US, Inc.:
                           
Term Loan B3, 3.75%, 6/03/20
     
 
    196       193,758  
Term Loan B5, 3.75%, 6/03/20
     
 
    980       970,637  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21
     
 
    202       192,275  
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20
     
 
    114       114,232  
Kronos, Inc.:
                           
2nd Lien Term Loan, 9.75%, 4/30/20
     
 
    409       417,822  
Initial Incremental Term Loan, 4.50%, 10/30/19
     
 
    243       243,276  
Mitchell International, Inc.:
                           
1st Lien Term Loan, 4.50%, 10/12/20
     
 
    505       501,697  
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
    350       345,551  
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21
     
 
    219       213,188  
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18
     
 
    638       637,362  
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20
     
 
    75       74,696  
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20
     
 
    130       124,962  
 
     
 
            4,825,460  
Specialty Retail — 4.8%
                           
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
    519       517,821  
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20
     
 
    298       299,118  
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19
     
 
    329       322,582  
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19
     
 
    548       543,817  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Specialty Retail (concluded)
                           
Michaels Stores, Inc.:
                           
Incremental 2014 Term Loan B2, 4.00%, 1/28/20
     
USD
    662      $ 659,710  
Term Loan B, 3.75%, 1/28/20
     
 
    515       511,680  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
    944       937,429  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
    771       770,211  
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22
     
 
    1,165       1,172,805  
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
    369       311,916  
 
     
 
            6,047,089  
Technology Hardware, Storage & Peripherals — 0.7%
Dell, Inc.:
                           
Term Loan C, 3.75%, 10/29/18
     
 
    385       385,686  
Term Loan B, 4.50%, 4/29/20
     
 
    447       448,727  
 
     
 
            834,413  
Textiles, Apparel & Luxury Goods — 1.8%
                           
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21
     
 
    496       496,250  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
    527       445,680  
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21
     
 
    466       439,186  
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21
     
 
    502       498,078  
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19
     
 
    379       379,050  
 
     
 
            2,258,244  
Thrifts & Mortgage Finance — 0.3%
                           
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21
     
 
    441       438,795  
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
    601       594,841  
Total Floating Rate Loan Interests — 133.2%
          168,984,484  

Non-Agency Mortgage Backed Securities — 0.2%
 
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)
     
 
    304       309,564  

Investment Companies
     
  
    Shares           
Capital Markets — 0.0%
                           
Eaton Vance Floating-Rate Income Trust
     
 
    12       173  
Eaton Vance Senior Income Trust
     
 
    3,347       21,856  
Total Investment Companies — 0.0%
     
 
            22,029  

Warrants (g)
     
  
                 
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      $ 3,687  
Total Investments (Cost — $182,519,416) — 143.1%
  181,616,611  
Liabilities in Excess of Other Assets — (43.1)%
  (54,697,640
Net Assets — 100.0%
 $ 126,918,971  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 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 shown is as of report date.
(d)      
When-issued security. Unsettled when-issued transactions were as follows:


Counterparty       Value     Unrealized
Appreciation
Deutsche Bank Securities, Inc.
       $ 1,293,750        

(e)      
Zero-coupon bond.
(f)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(g)      
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
     
During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:


Affiliate       Shares
Held at
August 31, 2014
    Net
Activity
    Shares
Held at
February 28, 2015
    Income
BlackRock Liquidity Funds, TempFund, Institutional Class
        2,958,501       (2,958,501          $ 142  

     
As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows:

Currency Purchased   Currency Sold Counterparty   Settlement
Date
    Unrealized
Depreciation
EUR
        120,000    
 
 
USD 135,638    
Deutsche Bank AG
 
4/21/15
   $ (1,275
USD
        405,054    
 
  EUR 351,000    
Citibank N.A.
 
4/21/15
    12,042  
USD
        813,069    
 
  GBP 536,000    
Bank of America N.A.
 
4/21/15
    (14,156
Total
             
 
         
 
 
 
   $ (3,389

     
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
     
Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. 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 categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:
     
Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the 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 the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

       
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.
       
As of February 28, 2015, 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:
                                   
Asset-Backed Securities
       $      $ 3,596,662      $ 1,178,050      $ 4,774,712  
Common Stocks
        481,742       192,385             674,127  
Corporate Bonds
              6,848,008             6,848,008  
Floating Rate Loan Interests
              157,949,885       11,034,599       168,984,484  
Investment Companies
        22,029                   22,029  
Non-Agency Mortgage-Backed Securities
              309,564             309,564  
Warrants
                    3,687       3,687  
Total
       $  503,771      $ 168,896,504      $  12,216,336      $ 181,616,611  


See Notes to Financial Statements.

18 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments (concluded)  BlackRock Defined Opportunity Credit Trust (BHL)
 


        Level 1   Level 2   Level 3   Total
Derivative Financial Instruments1
                                   
Assets:
                                   
Foreign currency exchange contracts
             $ 12,042            $ 12,042  
Liabilities:
                                   
Foreign currency exchange contracts
              (15,431           (15,431
Total
             $  (3,389          $  (3,389
 
1 Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


        Level 1   Level 2   Level 3   Total
Assets:
                                   
Cash
       $ 99,981                  $ 99,981  
Foreign currency at value
        2,102                   2,102  
Liabilities:
                                   
Bank borrowings payable
             $ (52,000,000           (52,000,000
Total
       $  102,083      $  (52,000,000          $  (51,897,917
 
                                   

During the six months ended February 28, 2015, there were no transfers between level 1 and level 2.

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

         Asset-Backed
Securities
  Floating Rate
Loan Interests
  Unfunded
Floating Rate
Loan Interests
(Liabilities)
  Warrants   Total
Assets:
                                           
Opening Balance, as of August 31, 2014
       $ 921,580      $ 13,599,109      $ (85          $ 14,520,604  
Transfers into Level 32
              4,360,933                   4,360,933  
Transfers out of Level 33
        (921,580     (5,813,003          $ 3,214       (6,731,369
Accrued discounts/premiums
        1,851       9,718                   11,569  
Net realized gain
              5,630                   5,630  
Net change in unrealized appreciation/ depreciation4,5
        12,649       (225,441     85       473       (212,234
Purchases
        1,163,550       2,028,676                   3,192,226  
Sales
              (2,931,023                 (2,931,023
Closing Balance, as of February 28, 2015
       $ 1,178,050      $ 11,034,599            $ 3,687      $ 12,216,336  
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20154
       $ 12,649      $ (250,310    $ 85      $ 473      $ (237,103
2 As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,360,933 transferred from Level 2 to Level 3 in the disclosure hierarchy.
3 As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,731,369 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 February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.
5 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations.

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 inputs could result in a significantly lower or higher value of such Level 3 investments.


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 19
 
   
Consolidated Schedule of Investments
 February 28, 2015 (Unaudited)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

 
Common Stocks (a)
          Shares   Value
Chemicals — 0.0%
                           
GEO Specialty Chemicals, Inc. (b)
     
 
    23,849      $  20,749  
Diversified Consumer Services — 0.4%
                           
HMH Holdings/EduMedia
     
 
    116,627       2,306,882  
Diversified Financial Services — 0.0%
                           
Kcad Holdings I Ltd.
     
 
    217,833,983       217,834  
Electrical Equipment — 0.0%
                           
Medis Technologies Ltd.
     
 
    260,833       3  
Media — 0.2%
                           
Cengage Thomson Learning
     
 
    37,579       810,316  
Paper & Forest Products — 0.4%
                           
Ainsworth Lumber Co. Ltd.
     
 
    393,892       1,061,848  
Ainsworth Lumber Co. Ltd. (b)
     
 
    346,000       932,741  
 
     
 
            1,994,589  
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.
     
 
    1,860       60,747  
Total Common Stocks1.0%
     
 
            5,411,120  

Asset-Backed Securities
     
  
    Par
(000)
          
ALM Loan Funding (b)(c):
                           
Series 2013-7RA, Class C, 3.71%, 4/24/24
     
USD
    1,075       1,043,079  
Series 2013-7RA, Class D, 5.26%, 4/24/24
     
 
    900       835,245  
Series 2013-8A, Class B, 3.01%, 1/20/26
     
 
    1,150       1,113,486  
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)(c)
     
 
    713       676,264  
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.44%, 12/09/26 (b)(c)
     
 
    1,000       960,000  
Ares CLO Ltd., Series 2014-32A, Class C, 4.45%, 11/15/25 (b)(c)
     
 
    1,000       993,340  
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.96%, 10/15/26 (b)(c)
     
 
    860       818,515  
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c)
     
 
    1,100       1,057,166  
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (b)(c)
     
 
    650       615,010  
Carlyle Global Market Strategies CLO Ltd. (b)(c):
                           
Series 2012-4A, Class D, 4.76%, 1/20/25
     
 
    700       707,670  
Series 2013-1A, Class C, 4.26%, 2/14/25
     
 
    250       247,241  
Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (b)(c)
     
 
    625       593,375  
CIFC Funding 2014-V, Ltd., Series 2014-5A, Class D2, 4.74%, 1/17/27 (b)(c)
     
 
    1,000       980,700  
CIFC Funding Ltd., Series 2014-3A, Class C1, 3.06%, 7/22/26 (b)(c)
     
 
    250       242,359  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (b)(c)
     
 
    950       939,458  
LCM LP, 0.00%, 4/20/27 (b)(d)(e)
     
 
    1,500       2,156,250  
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (b)(c)
     
 
    370       349,500  
North End CLO Ltd., Series 2013-1A, Class D, 3.76%, 7/17/25 (b)(c)
     
 
    750       704,343  
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.46%, 10/25/25 (b)(c)
     
 
    1,000       932,083  
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.06%, 8/12/26 (b)(c)
     
 
    250       242,313  
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 3.90%, 11/14/26 (b)(c)
     
 
    500       480,515  
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c)
     
 
    500       501,333  
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c)
     
 
    250       238,605  

Asset-Backed Securities           Par
(000)
  Value
Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (b)(c)
     
USD
    500      $  483,752  
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c)
     
 
    1,250       1,144,375  
Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (b)(c)
     
 
    1,500       1,501,380  
Voya CLO Ltd., Series 2014-3A, Class C, 3.86%, 7/25/26 (b)(c)
     
 
    250       240,345  
Voya CLO, Ltd., Series 2014-4A (b):
                           
Class C, 4.23%, 10/14/26 (c)
     
 
    1,000       987,030  
Class SUB, 0.00%, 10/14/26 (e)
     
 
    1,000       940,700  
Total Asset-Backed Securities4.0%
     
 
            22,725,432  

Corporate Bonds
Airlines — 0.7%
                           
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)
     
 
    1,140       1,151,400  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18
     
 
    175       197,588  
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18
     
 
    2,605       2,689,663  
 
     
 
            4,038,651  
Auto Components — 0.4%
                           
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
                           
3.50%, 3/15/17
     
 
    717       725,962  
4.88%, 3/15/19
     
 
    1,415       1,455,752  
 
     
 
            2,181,714  
Banks — 0.0%
                           
CIT Group, Inc., 5.00%, 8/01/23
     
 
    135       142,425  
Capital Markets — 0.2%
                           
Blackstone CQP Holdco LP, 9.30%, 3/18/19
     
 
    928       918,510  
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(e)(f)
     
 
    129       325,245  
 
     
 
            1,243,755  
Chemicals — 0.6%
                           
GEO Specialty Chemicals, Inc., 7.50%, 3/31/15
     
 
    1,559       3,554,720  
Commercial Services & Supplies — 0.3%
                           
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (c)
     
 
    295       296,475  
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)
     
 
    939       958,686  
United Rentals North America, Inc., 5.75%, 7/15/18
     
 
    350       363,344  
 
     
 
            1,618,505  
Communications Equipment — 0.3%
                           
Avaya, Inc., 7.00%, 4/01/19 (b)
     
 
    390       393,900  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
    1,323       1,402,380  
 
     
 
            1,796,280  
Construction & Engineering — 0.1%
                           
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)
     
 
    335       338,350  
Consumer Finance — 0.2%
                           
Ally Financial, Inc.:
                           
7.50%, 9/15/20
     
 
    128       152,320  
5.13%, 9/30/24
     
 
    135       142,594  
8.00%, 11/01/31
     
 
    621       804,280  
 
     
 
            1,099,194  
Health Care Providers & Services — 0.7%
                           
CHS/Community Health Systems, Inc., 6.88%, 2/01/22
     
 
    314       335,784  
HCA, Inc.:
                           
5.88%, 5/01/23
     
 
    370       405,150  
5.38%, 2/01/25
     
 
    810       858,600  


See Notes to Financial Statements.

20 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Corporate Bonds           Par
(000)
  Value
Health Care Providers & Services (concluded)
                           
Tenet Healthcare Corp. (b):
                           
5.00%, 3/01/19
     
USD
    1,400      $  1,407,000  
5.50%, 3/01/19
     
 
    1,040       1,059,500  
 
     
 
            4,066,034  
Hotels, Restaurants & Leisure — 0.0%
                           
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(g)
     
 
    120        
Independent Power and Renewable Electricity
Producers — 0.3%
                           
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b)
     
 
    1,400       1,464,750  
Media — 0.4%
                           
Altice Financing SA, 6.63%, 2/15/23 (b)
     
 
    550       572,687  
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)
     
 
    514       531,348  
Numericable Group SA, 6.00%, 5/15/22 (b)
     
 
    842       856,735  
 
     
 
            1,960,770  
Metals & Mining — 0.0%
                           
Novelis, Inc., 8.38%, 12/15/17
     
 
    255       266,475  
Oil, Gas & Consumable Fuels — 0.3%
                           
Antero Resources Finance Corp., 5.38%, 11/01/21
     
 
    600       604,500  
CONSOL Energy, Inc., 5.88%, 4/15/22
     
 
    620       595,200  
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
     
 
    635       650,875  
 
     
 
            1,850,575  
Pharmaceuticals — 0.2%
                           
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b)
     
 
    1,005       1,064,044  
Road & Rail — 0.2%
                           
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)
     
 
    884       911,625  
Wireless Telecommunication Services — 1.0%
Digicel Group Ltd., 8.25%, 9/30/20 (b)
     
 
    1,355       1,370,582  
Sprint Communications, Inc., 7.00%, 3/01/20 (b)
     
 
    3,510       3,888,413  
T-Mobile USA, Inc., 6.13%, 1/15/22
     
 
    225       236,813  
 
     
 
            5,495,808  
Total Corporate Bonds — 5.9%
     
 
            33,093,675  

Floating Rate Loan Interests (c)
Aerospace & Defense — 2.3%
                           
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21
     
 
    2,945       2,951,126  
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
    2,201       2,197,367  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21
     
 
    1,175       1,232,281  
Transdigm, Inc.:
                           
Term Loan C, 3.75%, 2/28/20
     
 
    882       877,925  
Term Loan D, 3.75%, 6/04/21
     
 
    821       817,665  
TransUnion LLC, Term Loan, 4.00%, 4/09/21
     
 
    4,754       4,732,301  
 
     
 
            12,808,665  
Air Freight & Logistics — 0.4%
                           
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21
     
 
    693       640,062  
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21
     
 
    725       669,913  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21
     
 
    114       104,875  
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21
     
 
    1,000       924,018  
 
     
 
            2,338,868  
Airlines — 0.7%
                           
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18
     
 
    1,422       1,420,542  

Floating Rate Loan Interests (c)           Par
(000)
  Value
Airlines (concluded)
                           
Northwest Airlines, Inc.:
                           
2.18%, 3/10/17
     
USD
    653      $  635,917  
1.56%, 9/10/18
     
 
    958       914,254  
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
    1,139       1,134,583  
 
     
 
            4,105,296  
Auto Components — 4.5%
                           
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
    1,236       1,234,469  
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16
     
 
    243       242,245  
Autoparts Holdings Ltd.:
                           
1st Lien Term Loan, 6.50%, 7/29/17
     
 
    2,779       2,777,925  
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
    907       881,571  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
    1,579       1,565,233  
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19
     
 
    1,544       1,522,277  
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21
     
 
    8,798       8,729,766  
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
    4,179       4,197,471  
GPX International Tire Corp., Term Loan (a)(g):
                           
PIK, 13.00%, 12/31/49 (h)
     
 
    18        
12.25%, 12/31/49
     
 
    1,097        
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20
     
 
    2,520       2,535,750  
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
     
 
    1,440       1,440,000  
 
     
 
            25,126,707  
Automobiles — 0.3%
                           
Chrysler Group LLC, Term Loan B:
                           
3.25%, 12/31/18
     
 
    819       816,618  
3.50%, 5/24/17
     
 
    868       867,714  
 
     
 
            1,684,332  
Banks — 0.3%
                           
Redtop Acquisitions Ltd.:
                           
1st Lien Term Loan, 4.50%, 12/03/20
     
 
    1,153       1,151,908  
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
    307       306,900  
 
     
 
            1,458,808  
Building Products — 3.9%
                           
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20
     
 
    1,461       1,434,359  
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
    5,735       5,635,048  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21
     
 
    1,404       1,372,789  
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21
     
 
    1,742       1,721,510  
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21
     
 
    3,065       3,072,663  
Nortek, Inc., Term Loan, 3.75%, 10/30/20
     
 
    2,080       2,062,664  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21
     
 
    1,012       995,059  
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
    1,679       1,672,027  
Wilsonart LLC:
                           
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
    500       495,365  
Term Loan B, 4.00%, 10/31/19
     
 
    3,386       3,354,854  
 
     
 
            21,816,338  
Capital Markets — 0.4%
                           
Affinion Group, Inc.:
                           
2nd Lien Term Loan, 8.50%, 10/12/18
     
 
    186       162,919  
Term Loan B, 6.75%, 4/30/18
     
 
    1,359       1,290,527  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
    870       866,239  
 
     
 
            2,319,685  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 21
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)           Par
(000)
  Value
Chemicals — 4.7%
                           
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19
     
USD
    1,099      $  1,096,985  
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19
     
 
    570       569,173  
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20
     
 
    1,986       1,969,876  
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20
     
 
    116       115,827  
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22
     
 
    1,015       1,016,908  
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
    499       498,210  
Chromaflo Technologies Corp., 1st Lien Term Loan, 4.50%, 12/02/19
     
 
    1,139       1,125,692  
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
    2,049       2,008,007  
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18
     
 
    856       853,288  
MacDermid, Inc.:
                           
1st Lien Term Loan, 4.50%, 6/07/20
     
 
    2,858       2,866,168  
Term Loan B2, 4.75%, 6/07/20
     
 
    747       751,249  
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21
     
 
    2,074       2,080,820  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
    2,441       2,377,194  
OXEA Finance LLC:
                           
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
    1,365       1,284,806  
Term Loan B2, 4.25%, 1/15/20
     
 
    2,518       2,434,725  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
    677       678,643  
Solenis International LP:
                           
1st Lien Term Loan, 4.25%, 7/31/21
     
 
    1,541       1,521,873  
2nd Lien Term Loan, 7.75%, 7/31/22
     
 
    1,725       1,671,818  
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
    581       576,791  
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
 
    979       971,013  
 
     
 
            26,469,066  
Commercial Services & Supplies — 6.2%
                           
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
    3,191       3,153,373  
ARAMARK Corp.:
                           
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16
     
 
    46       45,668  
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16
     
 
    32       31,877  
Term Loan E, 3.25%, 9/07/19
     
 
    2,848       2,839,112  
Term Loan F, 3.25%, 2/24/21
     
 
    863       858,780  
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
    3,790       3,695,113  
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21
     
 
    4,540       4,548,528  
Connolly Corp.:
                           
1st Lien Term Loan, 5.00%, 5/14/21
     
 
    2,985       2,998,074  
2nd Lien Term Loan, 8.00%, 5/14/22
     
 
    1,500       1,481,250  
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21
     
 
    960       964,800  
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21
     
 
    870       877,360  
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21
     
 
    1,350       1,337,989  
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20
     
 
    2,388       2,361,135  
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19
     
 
    1,340       1,296,063  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
    4,305       4,271,400  
US Ecology, Inc., Term Loan, 3.75%, 6/17/21
     
 
    906       901,851  
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20
     
 
    923       924,646  
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
    2,606       2,597,498  
 
     
 
            35,184,517  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Communications Equipment — 1.9%
                           
Applied Systems, Inc.:
                           
1st Lien Term Loan, 4.25%, 1/25/21
     
USD
    1,429      $  1,424,301  
2nd Lien Term Loan, 7.50%, 1/24/22
     
 
    380       376,580  
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17
     
 
    1,506       1,462,085  
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17
     
 
    689       687,841  
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22
     
 
    605       609,537  
Telesat Canada, Term Loan A, 4.40%, 3/24/17
     
CAD
    2,125       1,689,240  
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
USD
    4,550       4,543,948  
 
     
 
            10,793,532  
Construction & Engineering — 0.1%
                           
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21
     
 
    845       848,547  
Construction Materials — 1.5%
                           
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20
     
 
    960       958,802  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
    7,153       7,132,549  
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
    657       633,703  
 
     
 
            8,725,054  
Containers & Packaging — 1.2%
                           
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19
     
 
    918       914,620  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21
     
 
    2,496       2,492,931  
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20
     
 
    1,502       1,508,084  
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22
     
 
    1,000       1,002,080  
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21
     
 
    771       771,125  
 
     
 
            6,688,840  
Distributors — 1.1%
                           
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
    2,962       2,945,416  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18
     
 
    1,445       1,451,813  
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
    1,009       992,997  
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17
     
 
    880       878,202  
 
     
 
            6,268,428  
Diversified Consumer Services — 2.2%
                           
Allied Security Holdings LLC:
                           
1st Lien Term Loan, 4.25%, 2/12/21
     
 
    2,869       2,862,830  
2nd Lien Term Loan, 8.00%, 8/13/21
     
 
    417       415,741  
Bright Horizons Family Solutions, Inc.:
                           
Incremental Term Loan B1, 4.25%, 1/30/20
     
 
    240       240,300  
Term Loan B, 3.75%, 1/30/20
     
 
    2,769       2,763,738  
CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21
     
 
    575       577,156  
Garda World Securities Corp.:
                           
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
    47       46,054  
Term Loan B, 4.00%, 11/06/20
     
 
    182       180,028  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
    1,067       1,011,394  
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21
     
 
    3,696       3,694,407  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
    1,352       712,042  
 
     
 
            12,503,690  
Diversified Financial Services — 2.4%
                           
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21
     
 
    2,671       2,649,572  
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21
     
 
    975       970,535  


See Notes to Financial Statements.

22 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)           Par
(000)
  Value
Diversified Financial Services (concluded)
                           
Onex Wizard US Acquisition, Inc., Term Loan, 5.25%, 1/14/22
     
USD
    2,090      $  2,102,686  
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
    3,245       3,253,506  
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
    2,569       2,561,985  
TransFirst, Inc.:
                           
2014 1st Lien Term Loan, 5.50%, 11/12/21
     
 
    1,373       1,381,227  
2014 2nd Lien Term Loan, 9.00%, 11/12/22
     
 
    741       733,937  
 
     
 
            13,653,448  
Diversified Telecommunication Services — 4.9%
Altice Financing SA, Term Loan, 5.25%, 2/04/22
     
 
    1,100       1,104,466  
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
    3,018       3,025,555  
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22
     
 
    2,410       2,412,000  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
    2,703       2,710,726  
Integra Telecom, Inc.:
                           
2nd Lien Term Loan, 9.75%, 2/21/20
     
 
    850       842,562  
Term Loan B, 5.25%, 2/22/19
     
 
    2,004       1,990,270  
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22
     
 
    3,675       3,690,325  
Level 3 Financing, Inc.:
                           
2019 Term Loan, 4.00%, 8/01/19
     
 
    1,647       1,645,448  
2020 Term Loan B, 4.00%, 1/15/20
     
 
    10,260       10,254,870  
 
     
 
            27,676,222  
Electric Utilities — 0.4%
                           
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20
     
 
    915       777,113  
American Energy — Utica LLC:
                           
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18
     
 
    224       197,260  
2nd Lien Term Loan, 5.50%, 9/30/18
     
 
    1,049       949,235  
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
    224       197,291  
 
     
 
            2,120,899  
Electrical Equipment — 1.4%
                           
Southwire Co., Term Loan, 3.25%, 2/10/21
     
 
    1,171       1,143,827  
Texas Competitive Electric Holdings Co. LLC:
                           
DIP Term Loan, 3.75%, 5/05/16
     
 
    1,971       1,979,708  
Extended Term Loan, 4.66%, 10/10/17 (a)(g)
     
 
    7,510       4,793,858  
 
     
 
            7,917,393  
Electronic Equipment, Instruments &
Components — 0.4%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
    2,012       1,993,957  
Energy Equipment & Services — 1.4%
                           
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
    1,812       1,806,455  
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21
     
 
    1,167       1,166,750  
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
    4,969       4,773,002  
 
     
 
            7,746,207  
Food & Staples Retailing — 1.1%
                           
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21
     
 
    1,471       1,468,738  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
     
 
    1,040       1,049,755  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
    2,222       2,225,063  
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19
     
 
    1,670       1,665,558  
 
     
 
            6,409,114  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Food Products — 3.3%
                           
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
USD
    1,121      $  1,120,813  
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18
     
 
    2,986       2,978,823  
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18
     
 
    2,575       2,568,912  
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19
     
 
    227       227,396  
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21
     
 
    2,149       2,151,886  
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21
     
 
    1,939       1,941,382  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
    1,452       1,451,746  
Pinnacle Foods Finance LLC:
                           
Incremental Term Loan H, 3.00%, 4/29/20
     
 
    528       525,201  
Term Loan G, 3.00%, 4/29/20
     
 
    2,638       2,620,787  
Reddy Ice Corp.:
                           
1st Lien Term Loan, 6.75%, 5/01/19
     
 
    2,451       2,120,407  
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
    1,195       908,200  
 
     
 
            18,615,553  
Health Care Equipment & Supplies — 5.0%
                           
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22
     
 
    1,255       1,267,023  
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17
     
 
    3,100       3,096,777  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
    1,923       1,913,566  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17
     
 
    4,250       4,247,781  
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
    2,740       2,741,329  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
    3,518       3,513,507  
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21
     
 
    2,188       2,184,370  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21
     
 
    2,612       2,621,670  
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21
     
 
    3,180       3,131,090  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21
     
 
    3,080       3,042,405  
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19
     
 
    444       447,772  
 
     
 
            28,207,290  
Health Care Providers & Services — 7.3%
                           
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22
     
 
    469       470,562  
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20
     
 
    1,470       1,455,300  
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21
     
 
    1,298       1,299,293  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
    1,057       1,057,128  
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19
     
 
    1,717       1,715,058  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
    8,578       8,594,820  
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
    2,339       2,335,614  
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22
     
 
    1,600       1,609,008  
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21
     
 
    9,666       9,676,091  
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20
     
 
    1,032       1,031,937  
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
    1,902       1,899,503  
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17
     
 
    1,193       1,217,025  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 23
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)           Par
(000)
  Value
Health Care Providers & Services (concluded)
                           
HCA, Inc., Term Loan B5, 2.92%, 3/31/17
     
USD
    1,402      $  1,401,404  
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21
     
 
    363       361,778  
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21
     
 
    2,115       2,098,488  
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21
     
 
    1,322       1,309,981  
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20
     
 
    990       980,131  
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18
     
 
    1,837       1,826,315  
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19
     
 
    884       879,892  
 
     
 
            41,219,328  
Health Care Technology — 0.9%
                           
IMS Health, Inc., Term Loan, 3.50%, 3/17/21
     
 
    3,345       3,323,827  
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
    1,902       1,889,858  
 
     
 
            5,213,685  
Hotels, Restaurants & Leisure — 11.3%
                           
Amaya Holdings BV:
                           
1st Lien Term Loan, 5.00%, 8/01/21
     
 
    833       826,666  
2nd Lien Term Loan, 8.00%, 8/01/22
     
 
    5,815       5,780,459  
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
    2,316       2,315,356  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20
     
 
    2,966       2,846,888  
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21
     
 
    5,620       5,649,112  
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18
     
 
    151       138,945  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20
     
 
    3,908       3,763,257  
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21
     
 
    1,661       1,663,132  
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20
     
 
    669       669,340  
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21
     
 
    1,923       1,932,866  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20
     
 
    4,119       4,115,833  
Intrawest ULC, Term Loan, 5.50%, 12/09/20
     
 
    1,604       1,607,810  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21
     
 
    8,056       8,046,129  
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20
     
 
    2,475       2,474,480  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
    3,447       3,433,151  
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
    1,618       1,615,812  
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21
     
 
    1,279       1,281,439  
Sabre, Inc.:
                           
Incremental Term Loan, 4.50%, 2/19/19
     
 
    504       503,625  
Term Loan B, 4.00%, 2/19/19
     
 
    2,312       2,308,494  
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20
     
 
    1,530       1,526,851  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20
     
 
    5,023       5,016,677  
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21
     
 
    3,337       3,361,662  
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20
     
 
    1,106       1,107,736  
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
    1,626       1,618,901  
 
     
 
            63,604,621  
Household Products — 1.1%
                           
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
    2,741       2,734,149  
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19
     
 
    1,039       1,039,261  
Spectrum Brands, Inc.:
                           
Term Loan A, 3.00%, 9/04/17
     
 
    777       774,810  
Term Loan C, 3.50%, 9/04/19
     
 
    1,458       1,454,469  
 
     
 
            6,002,689  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Independent Power and Renewable Electricity
Producers — 2.0%
Calpine Corp., Term Loan B1, 4.00%, 4/01/18
     
USD
    3,569      $  3,569,889  
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16
     
 
    2,845       2,857,326  
Granite Acquisition Inc.:
                           
Term Loan B, 5.00%, 12/19/21
     
 
    3,115       3,148,468  
Term Loan C, 5.00%, 12/19/21
     
 
    137       138,532  
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21
     
 
    1,655       1,661,206  
 
     
 
            11,375,421  
Industrial Conglomerates — 0.5%
                           
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
    2,801       2,729,221  
Insurance — 2.3%
                           
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
     
 
    1,784       1,779,954  
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20
     
 
    1,090       1,062,463  
CNO Financial Group, Inc.:
                           
Term Loan B1, 3.00%, 9/28/16
     
 
    945       940,275  
Term Loan B2, 3.75%, 9/28/18
     
 
    2,249       2,235,553  
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20
     
 
    1,817       1,671,939  
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21
     
 
    2,117       2,106,997  
Sedgwick Claims Management Services, Inc.:
                           
1st Lien Term Loan, 3.75%, 3/01/21
     
 
    2,015       1,985,561  
2nd Lien Term Loan, 6.75%, 2/28/22
     
 
    1,155       1,129,013  
 
     
 
            12,911,755  
Internet Software & Services — 1.7%
                           
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21
     
 
    1,856       1,843,975  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21
     
 
    2,537       2,538,442  
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21
     
 
    3,820       3,829,400  
W3 Co., 1st Lien Term Loan, 5.75%, 3/13/20
     
 
    1,764       1,587,229  
 
     
 
            9,799,046  
IT Services — 3.7%
                           
First Data Corp.:
                           
2018 Extended Term Loan, 3.67%, 3/24/18
     
 
    12,519       12,497,576  
2018 Term Loan, 3.67%, 9/24/18
     
 
    1,150       1,148,919  
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
    1,847       1,841,667  
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18
     
 
    1,015       945,207  
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19
     
 
    539       479,227  
SunGard Data Systems, Inc.:
                           
Term Loan C, 3.92%, 2/28/17
     
 
    1,515       1,513,576  
Term Loan E, 4.00%, 3/08/20
     
 
    567       566,423  
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21
     
 
    1,726       1,726,676  
 
     
 
            20,719,271  
Leisure Products — 0.4%
                           
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21
     
 
    1,616       1,605,473  
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
    396       381,131  
 
     
 
            1,986,604  
Machinery — 2.3%
                           
Alliance Laundry Systems LLC:
                           
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
    573       573,443  
Refinancing Term Loan, 4.25%, 12/10/18
     
 
    1,522       1,515,659  
Faenza Acquisition GmbH:
                           
Term Loan B1, 4.25%, 8/30/20
     
 
    1,159       1,156,396  
Term Loan B3, 4.25%, 8/30/20
     
 
    344       342,829  
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20
     
 
    1,353       1,342,079  


See Notes to Financial Statements.

24 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)           Par
(000)
  Value
Machinery (concluded)
                           
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
USD
    967      $ 952,253  
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21
     
 
    800       800,728  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
    2,403       2,395,890  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
    2,929        2,813,242  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
 
    1,043       1,037,724  
 
     
 
            12,930,243  
Media — 13.0%
                           
Cengage Learning Acquisitions, Inc.:
                           
1st Lien Term Loan, 7.00%, 3/31/20
     
 
    5,636       5,635,071  
Term Loan, 0.00%, 7/03/15 (a)(g)
     
 
    2,489        
Charter Communications Operating LLC:
                           
Term Loan E, 3.00%, 7/01/20
     
 
    2,004       1,996,958  
Term Loan G, 4.25%, 9/12/21
     
 
    4,100       4,130,709  
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19
     
 
    6,175       5,906,441  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
    2,267       2,251,677  
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21
     
 
    1,104       1,099,556  
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20
     
 
    1,981       1,972,650  
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
    1,372       1,373,581  
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
    4,313       4,278,778  
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22
     
 
    1,490       1,467,650  
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
    494       491,281  
MCC Iowa LLC:
                           
Term Loan I, 2.65%, 6/30/17
     
 
    1,075       1,069,227  
Term Loan J, 3.75%, 6/30/21
     
 
    522       519,763  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
    2,687       2,693,364  
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18
     
 
    1,112       1,093,814  
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21
     
 
    1,357       1,342,614  
Numericable U.S. LLC:
                           
Term Loan B1, 4.50%, 5/21/20
     
 
    2,236       2,238,557  
Term Loan B2, 4.50%, 5/21/20
     
 
    1,934       1,936,656  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
    1,607       1,594,077  
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21
     
 
    3,035       3,012,414  
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
    1,862       1,842,482  
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
    4,800       4,794,345  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
    2,271       2,264,649  
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21
     
EUR
    1,272       1,421,172  
Virgin Media Investment Holdings Ltd.:
                           
Term Loan B, 3.50%, 6/07/20
     
USD
    3,415       3,404,482  
Term Loan E, 4.25%, 6/30/23
     
GBP
    2,840       4,382,256  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
    3,964       3,963,038  
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21
     
 
    250       249,317  
Ziggo Financing Partnership:
                           
Term Loan B1, 3.50%, 1/15/22
     
 
    1,879       1,861,115  
Term Loan B2A, 3.50%, 1/15/22
     
 
    1,219       1,207,123  
Term Loan B3, 3.50%, 1/15/22
     
 
    2,004       1,985,287  
 
     
 
            73,480,104  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Metals & Mining — 1.0%
                           
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
USD
    3,383      $  3,377,566  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
    2,515       2,514,812  
 
     
 
            5,892,378  
Multiline Retail — 2.3%
                           
99¢ Only Stores, Term Loan, 4.50%, 1/11/19
     
 
    1,959       1,961,868  
BJ’s Wholesale Club, Inc.:
                           
1st Lien Term Loan, 4.50%, 9/26/19
     
 
    4,843       4,820,938  
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
    870       862,387  
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22
     
 
    2,085       2,100,116  
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
 
    661       662,863  
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20
     
 
    2,580       2,557,324  
 
     
 
            12,965,496  
Oil, Gas & Consumable Fuels — 4.5%
                           
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18
     
 
    1,867       1,492,646  
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20
     
 
    2,050       2,038,048  
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21
     
 
    3,701       2,884,624  
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
    1,920       1,851,206  
Fieldwood Energy LLC:
                           
1st Lien Term Loan, 3.88%, 9/28/18
     
 
    1,353       1,293,188  
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
    390       298,073  
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21
     
 
    895       900,594  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
    532       526,756  
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19
     
 
    110       67,228  
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21
     
 
    1,650       1,658,250  
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20
     
 
    1,435       1,449,350  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
    1,560       1,528,800  
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
    470       453,550  
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21
     
 
    1,800       1,710,000  
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21
     
 
    267       240,829  
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21
     
 
    1,169       1,136,974  
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21
     
 
    945       882,627  
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22
     
 
    1,105       1,099,475  
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21
     
 
    1,565       1,579,993  
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/25/22
     
 
    1,685       1,676,575  
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21
     
 
    599       594,458  
 
     
 
            25,363,244  
Personal Products — 0.1%
                           
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21
     
 
    419       418,620  
Pharmaceuticals — 6.0%
                           
Akorn, Inc., Term Loan B, 4.50%, 4/16/21
     
 
    2,484       2,491,028  
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19
     
 
    1,221       1,222,137  
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
    911       900,007  
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21
     
 
    1,568       1,564,230  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 25
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)           Par
(000)
  Value
Pharmaceuticals (concluded)
                           
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21
     
USD
    4,262      $  4,250,795  
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21
     
 
    1,587       1,574,725  
Mallinckrodt International Finance SA:
                           
Incremental Term Loan B1, 3.50%, 3/19/21
     
 
    1,436       1,432,507  
Term Loan B, 3.25%, 3/19/21
     
 
    2,308       2,293,717  
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19
     
 
    3,717       3,692,506  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
    4,312       4,303,930  
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18
     
 
    2,608       2,607,937  
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20
     
 
    2,023       2,022,122  
Valeant Pharmaceuticals International, Inc.:
                           
Series C2 Term Loan B, 3.50%, 12/11/19
     
 
    2,303       2,296,786  
Series D2 Term Loan B, 3.50%, 2/13/19
     
 
    2,008       2,003,331  
Series E Term Loan B, 3.50%, 8/05/20
     
 
    1,436       1,432,621  
 
     
 
            34,088,379  
Professional Services — 2.4%
                           
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21
     
 
    1,365       1,371,443  
Advantage Sales & Marketing, Inc.:
                           
2014 1st Lien Term Loan, 4.25%, 7/23/21
     
 
    2,030       2,019,255  
2014 2nd Lien Term Loan, 7.50%, 7/25/22
     
 
    880       876,973  
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20
     
 
    1,699       1,677,941  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
    3,228       3,217,535  
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22
     
 
    975       968,497  
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
    1,827       1,809,175  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
    1,634       1,613,607  
 
     
 
            13,554,426  
Real Estate Management & Development — 1.7%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20
     
 
    2,296       2,296,605  
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21
     
 
    2,157       2,160,226  
Realogy Corp.:
                           
Extended Letter of Credit, 4.40%, 10/10/16
     
 
    115       112,876  
Term Loan B, 3.75%, 3/05/20
     
 
    5,185       5,176,700  
 
     
 
            9,746,407  
Road & Rail — 0.8%
                           
Hertz Corp., Term Loan B2, 3.50%, 3/11/18
     
 
    1,448       1,436,327  
Road Infrastructure Investment LLC:
                           
1st Lien Term Loan, 4.25%, 3/31/21
     
 
    2,025       1,963,959  
2nd Lien Term Loan, 7.75%, 9/21/21
     
 
    975       867,750  
 
     
 
            4,268,036  
Semiconductors & Semiconductor Equipment — 1.9%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21
     
 
    5,129       5,132,149  
Freescale Semiconductor, Inc.:
                           
Term Loan B4, 4.25%, 2/28/20
     
 
    3,544       3,535,168  
Term Loan B5, 5.00%, 1/15/21
     
 
    706       709,338  
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
    1,412       1,401,534  
 
     
 
            10,778,189  
Software — 3.8%
                           
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
    1,054       1,034,189  
GCA Services Group, Inc.:
                           
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
    780       772,200  
Term Loan B, 4.25%, 11/01/19
     
 
    1,683       1,679,841  
                         

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Software (concluded)
                           
Infor US, Inc.:
                           
Term Loan B3, 3.75%, 6/03/20
     
USD
    846      $ 838,003  
Term Loan B5, 3.75%, 6/03/20
     
 
    3,988        3,949,512  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21
     
 
    887       842,348  
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20
     
 
    506       506,595  
Kronos, Inc.:
                           
2nd Lien Term Loan, 9.75%, 4/30/20
     
 
    1,787       1,824,149  
Initial Incremental Term Loan, 4.50%, 10/30/19
     
 
    1,469       1,469,785  
Mitchell International, Inc.:
                           
1st Lien Term Loan, 4.50%, 10/12/20
     
 
    2,184       2,169,049  
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
    1,600       1,579,664  
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21
     
 
    959       933,200  
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18
     
 
    2,795       2,790,162  
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20
     
 
    325       323,681  
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20
     
 
    575       552,719  
 
     
 
            21,265,097  
Specialty Retail — 4.8%
                           
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
    2,766       2,762,336  
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20
     
 
    1,316       1,319,535  
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19
     
 
    1,451       1,422,293  
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19
     
 
    2,365       2,345,397  
Michaels Stores, Inc.:
                           
Incremental 2014 Term Loan B2, 4.00%, 1/28/20
     
 
    2,905       2,896,771  
Term Loan B, 3.75%, 1/28/20
     
 
    2,242       2,226,946  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
    4,137       4,109,124  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
    3,352       3,347,173  
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22
     
 
    5,170       5,204,639  
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
    1,601       1,352,930  
 
     
 
            26,987,144  
Technology Hardware, Storage & Peripherals — 0.7%
Dell, Inc.:
                           
Term Loan C, 3.75%, 10/29/18
     
 
    1,679       1,680,830  
Term Loan B, 4.50%, 4/29/20
     
 
    1,987       1,994,694  
 
     
 
            3,675,524  
Textiles, Apparel & Luxury Goods — 1.7%
                           
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21
     
 
    2,134       2,133,875  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
    2,287       1,932,232  
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21
     
 
    2,050       1,929,616  
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21
     
 
    2,214       2,194,504  
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19
     
 
    1,667       1,669,553  
 
     
 
            9,859,780  
Thrifts & Mortgage Finance — 0.3%
                           
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21
     
 
    1,921       1,911,196  
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
    2,650       2,623,154  
Total Floating Rate Loan Interests — 131.0%
     
 
            738,849,514  


See Notes to Financial Statements.

26 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Non-Agency Mortgage-Backed Securities           Par
(000)
  Value
Collateralized Mortgage Obligations — 0.3%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)
     
USD 
    1,336      $  1,360,450  

Investment Companies
     
 
    Shares          
Capital Markets — 0.0%
                           
Eaton Vance Floating-Rate Income Trust
     
 
    54       776  
Eaton Vance Senior Income Trust
     
 
    13,945       91,061  
Total Investment Companies — 0.0%
     
 
            91,837  

Other Interests (i)
     
 
    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 (j)
     
 
    1,250       1,758,750  
Total Other Interests — 0.3%
     
 
            1,758,753  
                 

 

Preferred Securities           Shares   Value
Preferred Stock — 0.0%
Consumer Finance — 0.0%
                           
Ally Financial, Inc., Series A, 8.50% (c)(k)
     
 
    4,976      $ 132,063  

Trust Preferreds — 0.3%
Diversified Financial Services — 0.3%
                           
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)
     
 
    60,894       1,579,573  
Total Preferred Securities — 0.3%
     
 
            1,711,636  

Warrants (l)
Chemicals — 0.0%
                           
GEO Specialty Chemicals, Inc., (Expires 3/31/15)
     
 
    143,928       123,778  
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       12,839  
Total Warrants — 0.0%
     
 
            136,617  
Total Long-Term Investments
(Cost — $815,002,691) — 142.8%
     
 
            805,139,034  
Options Purchased
(Cost — $43,022) — 0.0%
     
 
             
Total Investments (Cost — $815,045,713) — 142.8%
          805,139,034  
Liabilities in Excess of Other Assets — (42.8)%
     
 
            (241,186,594
Net Assets — 100.0%
     
 
           $ 563,952,440  


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 shown is as of report date.
(d)      
When-issued security. Unsettled when-issued transactions were as follows:


Counterparty       Value   Unrealized
Appreciation
Deutsche Bank Securities, Inc.
       $ 2,156,250        

(e)      
Zero-coupon bond.
(f)      
Convertible security.
(g)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(h)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(i)      
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(j)      
Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary.
(k)      
Security is perpetual in nature and has no stated maturity date.
(l)      
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
     
During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(b)(3) of the 1940 Act, were as follows:


Affiliate       Shares
Held at
August 31, 2014
     Net
Activity
     Shares
Held at
February 28, 2015
     Income
BlackRock Liquidity Funds, TempFund, Institutional Class
        3,456,864       (3,456,864          $ 144  
See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 27
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

     
As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows:

Currency Purchased         Currency Sold     Counterparty   Settlement
Date
    Unrealized
Appreciation/
(Depreciation)
EUR
        529,000    
 
  USD  598,031    
Royal Bank of Scotland PLC
 
4/21/15
   $ (5,714
USD
        2,423,774    
 
  CAD  2,900,000    
UBS AG
 
4/21/15
    105,601  
USD
        1,447,116    
 
  EUR  1,254,000    
Citibank N.A.
 
4/21/15
    43,022  
USD
        3,159,744    
 
  GBP  2,083,000    
Bank of America N.A.
 
4/21/15
    (55,014
Total
             
 
         
 
 
 
   $ 87,895  

     
As of February 28, 2015, OTC options purchased outstanding were as follows:


Description       Counterparty   Put/
Call
  Strike
Price
  Expiration
Date
  Contracts   Notional
Amount
(000)
  Value
Marsico Parent Superholdco LLC
     
Goldman Sachs & Co.
 
Call
 
USD
 
942.86
 
12/14/19
 
44
 
USD
           

     
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
     
Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. 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 categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:
     
Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the 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 the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)
       
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.
       
As of February 28, 2015, 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
             $ 18,106,282      $ 4,619,150      $ 22,725,432  
Common Stocks
       $ 3,429,477       1,743,057       238,586       5,411,120  
Corporate Bonds
              28,620,445       4,473,230       33,093,675  
Floating Rate Loan Interests
              691,361,761       47,487,753       738,849,514  
Investment Companies
        91,837                   91,837  
Non-Agency Mortgage-Backed Securities
              1,360,450             1,360,450  
Other Interests
                    1,758,753       1,758,753  
Preferred Securities
        1,711,636                   1,711,636  
Warrants
                    136,617       136,617  
Total
       $  5,232,950      $  741,191,995      $  58,714,089      $  805,139,034  


        Level 1   Level 2   Level 3   Total
Derivative Financial Instruments1
                                   
Assets:
                                   
Foreign currency exchange contracts
             $  148,623            $  148,623  
Liabilities:
                                   
Foreign currency exchange contracts
              (60,728           (60,728
Total
             $ 87,895            $ 87,895  
1 Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

See Notes to Financial Statements.

28 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

       
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


        Level 1   Level 2   Level 3   Total
Assets:
                                   
Cash
       $ 3,119,964                  $ 3,119,964  
Foreign currency at value
        2,192                   2,192  
Liabilities:
                                   
Bank borrowings payable
             $ (231,000,000           (231,000,000
Total
       $  3,122,156      $ (231,000,000          $ (227,877,844

       
During the six months ended February 28, 2015, 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
  Unfunded
Floating Rate
Loan Interests
(Liabilities)
  Warrants  Total  
Assets:
                                                       
Opening Balance, as of August 31, 2014
   $ 1,510,942      $ 1,159,180      $ 4,766,957      $ 58,688,498      $ 1,858,753      $ (374    $ 138,171  
$ 68,122,127
 
Transfers into Level 31
                      18,772,312                   11,191  
18,783,503
 
Transfers out of Level 32
          (1,159,180           (26,062,679                  
(27,221,859)
 
Accrued discounts/Premiums
          4,491       43,508       33,217                    
81,216
 
Net realized gain (loss)
                        64,178                    
64,178
 
Net change in unrealized appreciation/
depreciation3,4
    (1,272,356     29,399       (444,061     (962,745     (100,000     374       (12,745
(2,762,134)
 
Purchases
          4,585,260       225,926       8,970,164                    
13,781,350
 
Sales
                  (119,100     (12,015,192                  
(12,134,292)
 
Closing Balance, as of February 28, 2015
   $ 238,586      $ 4,619,150      $ 4,473,230      $ 47,487,753      $ 1,758,753            $ 136,617  
$ 58,714,089
 
Net change in unrealized appreciation/depreciation
on investments still held at February 28, 20154
   $ (1,272,357    $ 29,399      $ (444,060    $ (1,065,570    $ (100,000          $ (12,746
$ (2,865,334)
 
1 As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $18,783,503 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2 As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $27,221,859 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 Statements of Operations.
4 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.
See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 29
 
   
Consolidated Schedule of Investments (concluded)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

       
The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of February 28, 2015. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $50,651,609. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments.


        Value   Valuation Techniques   Unobservable Inputs   Range of Unobservable
Inputs Utilized
Assets:
                                   
Common Stocks
       $ 20,749    
Market Comparable Companies
 
Last 12 Months EBITDA Multiple1
 
6.75x
 
             
 
 
Illiquidity Discount2
 
17.50%
 
        217,834    
 
 
Last 12 Months EBITDA Multiple1
 
3.88x-4.63x
 
             
 
 
Current Fiscal Year EBITDA Multiple1
 
3.88x-4.63x
 
             
 
 
Discontinued Operations Expected Sale Proceeds
 
$603
Corporate Bonds
        3,554,720    
Market Comparable Companies
 
Last 12 Months EBITDA Multiple1
 
6.75x
 
             
 
 
Illiquidity Discount2
 
17.50%
 
        918,510    
Discounted Cash Flow
 
Internal Rate of Return2
 
10.00%
Floating Rate Loan Interests
        1,455,300    
Discounted Cash Flow
 
Internal Rate of Return2
 
10.00%
Other Interests
        1,758,750    
Market Comparable Companies
 
Tangible Book Value Multiple1
 
1.25x
Warrants
        123,778    
Market Comparable Companies
 
Last 12 Months EBITDA Multiple1
 
6.75x
 
             
 
 
Illiquidity Discount2
 
17.50%
 
        12,839    
Last Dealer Mark-Adjusted
 
Delta Adjustment Based on Daily Movement in the Common Equity1
    120%  
 
             
 
   
 
 
Total
       $ 8,062,480                          
1 Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.
2 Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.
3 Amount is stated in millions.

See Notes to Financial Statements.

30 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments February 28, 2015 (Unaudited) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Common Stocks        
Shares
  Value  
Chemicals — 0.0%      
LyondellBasell Industries NV, Class A
     
 
    37      $ 3,179  
Construction & Engineering — 0.0%
                           
USI United Subcontractors
     
 
    6,454       180,711  
Diversified Consumer Services — 0.4%
                           
HMH Holdings/EduMedia. (a)
     
 
    128,441        2,540,563  
Diversified Financial Services — 0.1%
                           
Kcad Holdings I Ltd. (a)
     
 
    384,412,912       384,413  
Household Durables — 0.0%
                           
Berkline Benchcraft Equity LLC (a)
     
 
    3,155        
Media — 0.1%
                           
Cengage Thomson Learning (a)
     
 
    38,155       822,736  
Total Common Stocks — 0.6%
     
 
            3,931,602  

Asset-Backed Securities
     
 
    Par
(000
)         
Asset-Backed Securities — 15.4%
                           
ACAS CLO Ltd., Series 2014-1A, Class C, 3.16%, 7/18/26 (b)(c)
     
USD
    1,500       1,444,800  
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.90%, 4/15/24 (b)(c)
     
 
    1,750       1,695,469  
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.43%, 5/10/32 (b)(c)
     
 
    411       406,860  
ALM Loan Funding, Series 2013-7RA (b)(c):
                           
Class C, 3.71%, 4/24/24
     
 
    1,210       1,174,070  
Class D, 5.26%, 4/24/24
     
 
    1,040       965,172  
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)(c)
     
 
    3,140       2,980,306  
AmeriCredit Automobile, Receivables 2014-3, AMCAR 2014-3 C, 2.58%, 9/08/20
     
 
    4,850       4,873,484  
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.44%, 12/09/26 (b)(c)
     
 
    2,000       1,920,000  
Apidos CLO XVII, Series 2014-17A, Class B, 3.11%, 4/17/26 (b)(c)
     
 
    3,000       2,935,496  
Ares CLO, Ltd., ARES 2014 32A B 144A, 3.50%, 11/15/25 (b)(c)
     
 
    1,250       1,245,888  
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c)
     
 
    1,100       1,057,166  
Babson CLO Ltd., Series 2014-3A, Class C1, 3.23%, 1/15/26 (b)(c)
     
 
    2,000       1,955,000  
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.61%, 10/22/25 (b)(c)
     
 
    500       462,723  
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (b)(c)
     
 
    750       709,627  
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class B, 3.06%, 7/20/26 (b)(c)
     
 
    1,250       1,196,520  
Benefit Street Partners CLO V Ltd., Series 2014-VA, Class C, 3.36%, 10/20/26 (b)(c)
     
 
    2,500       2,436,290  
Carlyle Global Market Strategies CLO 2014-5, Ltd., Series 2014-5A, Class C, 4.43%, 10/16/25 (b)(c)
     
 
    2,000       1,993,118  
Carlyle Global Market Strategies CLO 2015-1, Ltd., Series 2015-1A, Class C, 3.41%, 4/20/27 (b)(c)(d)
     
 
    1,000       993,500  
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.26%, 2/14/25 (b)(c)
     
 
    250       247,242  
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19
     
 
    2,530       2,563,178  
Cent CLO, Series 2014-21A, Class C, 3.76%, 7/27/26 (b)(c)
     
 
    1,000       961,140  
Central Park CLO Ltd., Series 2011-1A, Class D, 3.46%, 7/23/22 (b)(c)
     
 
    500       494,114  
CIFC Funding 2014-IV, Ltd., Series 2014-4A, Class C1, 3.16%, 10/17/26 (b)(c)
     
 
    2,850       2,776,715  
CIFC Funding 2014-V, Ltd., Series 2014-5A (b)(c):
                           
Class C, 3.59%, 1/17/27
     
 
    445       437,925  
Class D2, 4.74%, 1/17/27
     
 
    445       436,412  
                               
Asset-Backed Securities           Par
(000)
  Value
 
Asset-Backed Securities (concluded)
                           
CIFC Funding 2015-1, Ltd., Series 2015-1A, Class D, 4.26%, 1/22/27 (b)(c)(d)
     
USD
    1,000      $ 963,700  
CIFC Funding Ltd., Series 2014-3A, Class D, 3.66%, 7/22/26 (b)(c)
     
 
    420       395,936  
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.33%, 10/25/47 (b)
     
 
    696       690,538  
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (c)
     
 
    2,306       2,244,828  
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (c)
     
 
    3,230        3,261,543  
Flagship CLO, Series 2014-8A, Class C, 3.33%, 1/16/26 (b)(c)
     
 
    2,000       1,966,758  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (b)(c)
     
 
    1,090       1,077,904  
Gramercy Park CLO, Ltd., Series 2012-1AR, Class CR, 4.30%, 7/17/23 (b)(c)
     
 
    5,000       4,973,185  
GSAA Trust, Series 2007-3, Class 1A2, 0.34%, 3/25/47 (b)
     
 
    2,671       1,380,640  
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.75%, 4/15/25 (b)(c)
     
 
    1,000       935,697  
Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.75%, 7/15/26 (b)(c)
     
 
    1,165       1,108,928  
Madison Park Funding Ltd., Series 2012-10A, Class D, 4.51%, 1/20/25 (b)(c)
     
 
    700       700,062  
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (b)(c)
     
 
    420       396,730  
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class B, 3.38%, 11/14/25 (b)(c)
     
 
    2,250       2,199,479  
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.61%, 7/17/25 (b)(c)
     
 
    2,000       1,857,488  
OneMain Financial Issuance Trust 2015-1, Series 2015-1A, Class D, 6.63%, 3/18/26 (c)
     
 
    4,350       4,349,130  
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c)
     
 
    500       501,333  
OZLM IX, Ltd., Series 2014-9A, Class C, 3.85%, 1/20/27 (b)(c)
     
 
    1,500       1,431,306  
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c)
     
 
    780       744,448  
OZLM VIII, Ltd., Series 2014-8A, Class B, 3.28%, 10/17/26 (b)(c)
     
 
    2,500       2,451,231  
Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (b)(c)
     
 
    500       483,752  
Regatta V Funding Ltd., Series 2014-1A, Class B, 3.23%, 10/25/26 (b)(c)
     
 
    2,000       1,948,756  
Santander Drive Auto Receivables Trust, Series 2014-4, Class C, 2.60%, 11/16/20
     
 
    4,500       4,524,786  
Santander Drive Auto Receivables Trust 2014-3, Series 2014-3, Class D, 2.65%, 8/17/20
     
 
    4,015       3,978,439  
Santander Drive Auto Receivables Trust 2014-4, Series 2014-4, Class D, 3.10%, 11/16/20
     
 
    4,500       4,510,593  
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c)
     
 
    2,000       1,831,000  
Symphony CLO XV Ltd., Series 2014-15A, Class C, 3.40%, 10/17/26 (b)(c)
     
 
    4,000       3,999,390  
Venture XIX CLO, Ltd., Series 2014-19A, Class C, 3.54%, 1/15/27 (b)(c)
     
 
    445       436,723  
Voya CLO, Ltd., Series 2014-4A (c):
                           
Class C, 4.23%, 10/14/26 (b)
     
 
    2,500       2,467,574  
Class SUB, 0.00%, 10/14/26 (e)
     
 
    1,000       940,700  
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22
     
 
    3,000       3,120,099  
 
     
 
            100,234,891  
Interest Only Asset-Backed Securities — 0.2%
                     
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c)
     
 
    6,503       447,112  
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (c)
     
 
    8,203       551,144  
 
     
 
            998,256  
Total Asset-Backed Securities — 15.6%
     
 
            101,233,147  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 31
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds           Par
(000)
  Value
 
Aerospace & Defense — 0.7%
                           
Bombardier, Inc., 7.50%, 3/15/25 (c)(d)
     
USD
    167      $ 167,000  
DigitalGlobe, Inc., 5.25%, 2/01/21 (c)(f)
     
 
    928       900,160  
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (c)
     
 
    250       262,188  
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c)(f)
     
 
    339       379,680  
TransDigm, Inc.:
                           
6.00%, 7/15/22 (f)
     
 
    1,795        1,817,437  
6.50%, 7/15/24
     
 
    835       853,787  
 
     
 
            4,380,252  
Airlines — 2.7%
                           
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (c)
     
 
    651       681,239  
American Airlines Group, Inc., 4.63%, 3/01/20 (c)(d)
     
 
    315       315,394  
American Airlines Pass-Through Trust, Series 2013-2 (f):
                           
Class A, 4.95%, 7/15/24
     
 
    3,538       3,860,720  
Class B, 5.60%, 1/15/22 (c)
     
 
    680       712,096  
Class C, 6.00%, 1/15/17 (c)
     
 
    2,600       2,626,000  
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (f)
     
 
    2,090       2,215,400  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18
     
 
    208       234,142  
United Airlines Pass-Through Trust, Series 2014-2, Class B, 4.63%, 3/03/24
     
 
    2,300       2,311,500  
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 (f)
     
 
    1,402       1,444,504  
Virgin Australia Trust, Series 2013-1 (c):
                           
Class A, 5.00%, 4/23/25
     
 
    687       721,604  
Class B, 6.00%, 4/23/22 (f)
     
 
    1,400       1,445,679  
Class C, 7.13%, 10/23/18 (f)
     
 
    996       1,013,615  
 
     
 
            17,581,893  
Auto Components — 1.1%
                           
Affinia Group, Inc., 7.75%, 5/01/21 (f)
     
 
    1,095       1,138,800  
Autodis SA, 6.50%, 2/01/19
     
EUR
    100       117,621  
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (f)
     
USD
    2,058       2,117,270  
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20
     
GBP
    554       951,516  
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (c)
     
USD
    186       197,858  
Schaeffler Holding Finance BV (g):
                           
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21
     
EUR
    115       139,308  
6.25%, 11/15/19 (c)(f)
     
USD
    804       852,240  
6.75%, 11/15/22 (c)(f)
     
 
    943       1,032,585  
6.88%, 8/15/18
     
EUR
    375       441,675  
Titan International, Inc., 6.88%, 10/01/20
     
USD
    275       250,250  
 
     
 
            7,239,123  
Automobiles — 0.7%
                           
Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19 (f)
     
 
    1,087       1,148,329  
General Motors Co. (f):
                           
3.50%, 10/02/18
     
 
    2,478       2,552,340  
5.20%, 4/01/45
     
 
    550       608,922  
 
     
 
            4,309,591  
Banks — 0.8%
                           
Banco Espirito Santo SA:
                           
4.75%, 1/15/18
     
EUR
    100       116,661  
4.00%, 1/21/19
     
 
    100       115,111  
CIT Group, Inc.:
                           
5.00%, 5/15/17 (f)
     
USD
    890       925,600  
5.50%, 2/15/19 (c)(f)
     
 
    1,370       1,464,119  
5.00%, 8/01/23
     
 
    235       247,925  
HSBC Holdings PLC, 6.25%, 3/19/18
     
EUR
    1,000       1,298,229  
Nordea Bank AB, 4.50%, 3/26/20
     
 
    1,020       1,341,492  
 
     
 
            5,509,137  
Corporate Bonds           Par
(000)
  Value
 
Beverages — 0.1%
                           
Constellation Brands, Inc.:
                           
7.25%, 5/15/17
     
USD
    82      $ 91,225  
3.88%, 11/15/19
     
 
    294       305,025  
 
     
 
            396,250  
Building Products — 0.9%
                           
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (c)
     
 
    190       193,800  
BMBG Bond Finance SCA, 5.07%, 10/15/20 (b)
     
EUR
    200       225,190  
Builders FirstSource, Inc., 7.63%, 6/01/21 (c)(f)
     
USD
    650       658,125  
Building Materials Corp. of America, 6.75%, 5/01/21 (c)(f)
     
 
    770       827,750  
Cemex SAB de CV:
                           
4.38%, 3/05/23 (d)
     
EUR
    100       111,905  
5.70%, 1/11/25 (c)
     
USD
    670       656,935  
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)(f)
     
 
    1,030       1,040,300  
Ply Gem Industries, Inc., 6.50%, 2/01/22
     
 
    745       722,650  
USG Corp., 9.75%, 1/15/18 (f)
     
 
    1,390       1,600,265  
 
     
 
             6,036,920  
Capital Markets — 0.8%
                           
American Capital Ltd., 6.50%, 9/15/18 (c)(f)
     
 
    975       1,017,656  
Blackstone CQP Holdco LP, 9.30%, 3/18/19
     
 
    1,076       1,064,949  
E*Trade Financial Corp.:
                           
0.00%, 8/31/19 (c)(e)(h)
     
 
    249       627,799  
5.38%, 11/15/22
     
 
    627       661,485  
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (c)(f)
     
 
    1,020       1,067,248  
UBS Group AG (b)(i):
                           
5.75%
     
EUR
    200       233,322  
7.00%
     
USD
    200       208,747  
 
     
 
            4,881,206  
Chemicals — 0.5%
                           
Ashland, Inc., 3.88%, 4/15/18 (f)
     
 
    675       702,000  
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (c)
     
 
    398       430,835  
Chemtura Corp., 5.75%, 7/15/21
     
 
    200       198,500  
Huntsman International LLC:
                           
8.63%, 3/15/21
     
 
    655       705,219  
5.13%, 4/15/21
     
EUR
    331       392,630  
INEOS Group Holdings SA:
                           
6.13%, 8/15/18 (c)
     
USD
    314       318,710  
6.50%, 8/15/18
     
EUR
    122       141,814  
LSB Industries, Inc., 7.75%, 8/01/19
     
USD
    167       174,098  
 
     
 
            3,063,806  
Commercial Services & Supplies — 1.2%
                           
Abengoa Greenfield SA, 6.50%, 10/01/19 (c)(f)
     
 
    766       729,615  
ADS Waste Holdings, Inc., 8.25%, 10/01/20
     
 
    292       303,680  
ARAMARK Corp., 5.75%, 3/15/20 (f)
     
 
    712       744,040  
Aviation Capital Group Corp., 4.63%, 1/31/18 (c)(f)
     
 
    1,000       1,045,153  
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c)
     
 
    203       192,850  
Covanta Holding Corp., 6.38%, 10/01/22
     
 
    100       107,750  
Mobile Mini, Inc., 7.88%, 12/01/20 (f)
     
 
    915       967,612  
Modular Space Corp., 10.25%, 1/31/19 (c)(f)
     
 
    1,253       939,750  
Silk Bidco, 7.50%, 2/01/22
     
EUR
    120       139,322  
United Rentals North America, Inc. (f):
                           
5.75%, 7/15/18
     
USD
    494       512,834  
7.63%, 4/15/22
     
 
    658       730,913  
5.75%, 11/15/24
     
 
    1,039       1,096,145  
 
     
 
            7,509,664  
Communications Equipment — 2.1%
                           
ADC Telecommunications, Inc., 3.50%, 7/15/15 (h)
     
 
    6,670       6,703,350  
Alcatel-Lucent USA, Inc. (c)(f):
                           
4.63%, 7/01/17
     
 
    800       826,000  
6.75%, 11/15/20
     
 
    2,150       2,300,500  
Avaya, Inc., 7.00%, 4/01/19 (c)
     
 
    437       441,370  


See Notes to Financial Statements.

32 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds           Par
(000)
  Value
 
Communications Equipment (concluded)
                           
CommScope, Inc. (c):
                           
5.00%, 6/15/21
     
USD
    215      $ 217,688  
5.50%, 6/15/24
     
 
    221       223,762  
Zayo Group LLC/Zayo Capital, Inc. (f):
                           
8.13%, 1/01/20
     
 
    1,620        1,717,200  
10.13%, 7/01/20
     
 
    951       1,074,630  
 
     
 
            13,504,500  
Construction & Engineering — 0.4%
                           
AECOM Technology Corp. (c)(f):
                           
5.75%, 10/15/22
     
 
    215       225,213  
5.88%, 10/15/24
     
 
    701       744,812  
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c)
     
 
    165       171,188  
Novafives SAS:
                           
4.07%, 6/30/20 (b)
     
EUR
    100       109,924  
4.50%, 6/30/21
     
 
    100       111,352  
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)(f)
     
USD
    1,138       1,149,380  
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23
     
 
    320       303,600  
 
     
 
            2,815,469  
Construction Materials — 0.9%
                           
HD Supply, Inc. (f):
                           
11.00%, 4/15/20
     
 
    770       881,650  
7.50%, 7/15/20
     
 
    2,696       2,884,720  
5.25%, 12/15/21 (c)
     
 
    1,828       1,898,835  
Officine MaccaFerri SpA, 5.75%, 6/01/21
     
EUR
    150       164,500  
 
     
 
            5,829,705  
Consumer Finance — 1.3%
                           
Ally Financial, Inc.:
                           
5.13%, 9/30/24
     
USD
    230       242,938  
8.00%, 11/01/31
     
 
    719       947,282  
8.00%, 11/01/31 (f)
     
 
    2,030       2,618,700  
General Motors Financial Co., Inc. (f):
                           
2.63%, 7/10/17
     
 
    2,760       2,795,016  
4.38%, 9/25/21
     
 
    530       563,125  
Hyundai Capital America, 3.75%, 4/06/16 (c)(f)
     
 
    1,285       1,319,867  
 
     
 
            8,486,928  
Containers & Packaging — 0.4%
                           
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
                           
6.00%, 6/30/21 (c)
     
 
    380       370,025  
4.25%, 1/15/22
     
EUR
    320       363,468  
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (c)(f)
     
USD
    1,560       1,575,600  
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (f)
     
 
    144       152,640  
Crown European Holdings SA, 4.00%, 7/15/22
     
EUR
    260       317,139  
SGD Group SAS, 5.63%, 5/15/19
     
 
    100       113,863  
 
     
 
            2,892,735  
Distributors — 0.1%
                           
VWR Funding, Inc., 7.25%, 9/15/17 (f)
     
USD
    874       915,515  
Diversified Consumer Services — 0.1%
                           
Laureate Education, Inc., 10.00%, 9/01/19 (c)
     
 
    615       587,325  
Diversified Financial Services — 0.9%
                           
Aircastle Ltd., 6.25%, 12/01/19 (f)
     
 
    367       405,975  
HSH Nordbank AG, 0.89%, 2/14/17 (b)
     
EUR
    153       147,715  
Jefferies Finance LLC/JFIN Co-Issuer Corp. (c):
                           
7.38%, 4/01/20 (f)
     
USD
    585       579,150  
6.88%, 4/15/22
     
 
    456       440,040  
Leucadia National Corp., 8.13%, 9/15/15 (f)
     
 
    1,870       1,934,337  
MSCI, Inc., 5.25%, 11/15/24 (c)
     
 
    311       324,218  
Onex Wizard Acquisition Co. II SCA, 7.75%, 2/15/23
     
EUR
    102       119,850  
Reynolds Group Issuer, Inc.:
                           
9.00%, 4/15/19
     
USD
    790       827,525  
9.88%, 8/15/19
     
 
    307       328,874  
5.75%, 10/15/20
     
 
    625       649,219  
Corporate Bonds           Par
(000)
  Value
 
Diversified Financial Services (concluded)
                           
Reynolds Group Issuer, Inc. (concluded):
                           
6.88%, 2/15/21
     
USD
    210      $ 222,075  
 
     
 
             5,978,978  
Diversified Telecommunication Services — 3.1%
                 
CenturyLink, Inc.:
                           
6.45%, 6/15/21
     
 
    155       170,113  
Series V, 5.63%, 4/01/20 (f)
     
 
    751       803,570  
Frontier Communications Corp.:
                           
8.50%, 4/15/20
     
 
    60       67,800  
6.25%, 9/15/21
     
 
    45       46,238  
7.13%, 1/15/23
     
 
    205       213,969  
7.63%, 4/15/24
     
 
    95       101,650  
6.88%, 1/15/25
     
 
    190       190,475  
Level 3 Communications, Inc., 8.88%, 6/01/19 (f)
     
 
    735       778,181  
Level 3 Financing, Inc.:
                           
3.83%, 1/15/18 (b)
     
 
    411       416,137  
8.13%, 7/01/19 (f)
     
 
    3,083       3,264,126  
7.00%, 6/01/20
     
 
    495       532,229  
6.13%, 1/15/21 (f)
     
 
    1,682       1,780,817  
5.38%, 8/15/22 (f)
     
 
    1,055       1,091,598  
Series TIT, 6.00%, 7/24/17 (h)
     
EUR
    200       263,805  
Telecom Italia Finance SA, 7.75%, 1/24/33
     
 
    75       127,161  
Telecom Italia SpA:
                           
6.13%, 11/15/16 (h)
     
 
    100       153,746  
6.38%, 6/24/19
     
GBP
    200       342,233  
4.88%, 9/25/20
     
EUR
    220       282,919  
4.50%, 1/25/21
     
 
    270       342,508  
5.88%, 5/19/23
     
GBP
    450       766,360  
Telefonica Europe BV, 4.20% (b)(i)
     
EUR
    200       238,078  
Telenet Finance V Luxembourg SCA:
                           
6.25%, 8/15/22
     
 
    271       331,830  
6.75%, 8/15/24
     
 
    397       500,906  
Verizon Communications, Inc., 3.65%, 9/14/18 (f)
     
USD
    7,000       7,419,426  
 
     
 
            20,225,875  
Electric Utilities — 0.3%
                           
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (c)(f)
     
 
    728       735,280  
Homer City Generation LP (g):
                           
(8.14% Cash or 8.64% PIK) ,8.14% 10/01/19
     
 
    327       331,253  
(8.73% Cash or 9.23% PIK) ,8.73% 10/01/26
     
 
    589       600,532  
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17
     
 
    403       419,146  
 
     
 
            2,086,211  
Electrical Equipment — 0.1%
                           
Belden, Inc., 5.50%, 4/15/23
     
EUR
    349       419,313  
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20
     
 
    106       131,430  
 
     
 
            550,743  
Energy Equipment & Services — 0.4%
                           
Calfrac Holdings LP, 7.50%, 12/01/20 (c)
     
USD
    503       451,443  
MEG Energy Corp. (c)(f):
                           
6.50%, 3/15/21
     
 
    244       236,070  
7.00%, 3/31/24
     
 
    864       841,320  
Peabody Energy Corp., 6.25%, 11/15/21 (f)
     
 
    583       485,347  
Precision Drilling Corp., 5.25%, 11/15/24 (c)
     
 
    522       443,700  
 
     
 
            2,457,880  
Food & Staples Retailing — 0.9%
                           
Brakes Capital, 7.13%, 12/15/18
     
GBP
    1,255       1,999,534  
Family Tree Escrow LLC (c):
                           
5.25%, 3/01/20
     
USD
    178       186,010  
5.75%, 3/01/23 (f)
     
 
    1,731       1,821,877  
R&R Ice Cream PLC:
                           
4.75%, 5/15/20
     
EUR
    150       172,683  
5.50%, 5/15/20
     
GBP
    105       165,275  
Rite Aid Corp., 9.25%, 3/15/20 (f)
     
USD
    1,095       1,212,713  
 
     
 
            5,558,092  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 33
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds           Par
(000)
  Value
 
Food Products — 0.3%
                           
Anna Merger Sub, Inc., 7.75%, 10/01/22 (c)
     
USD
    635      $ 654,050  
Boparan Finance PLC, 5.50%, 7/15/21
     
GBP
    115       160,676  
Smithfield Foods, Inc.:
                           
5.88%, 8/01/21 (c)
     
USD
    193       203,374  
6.63%, 8/15/22 (f)
     
 
    783       851,513  
 
     
 
            1,869,613  
Health Care Equipment & Supplies — 0.2%
                           
Biomet, Inc., 6.50%, 10/01/20 (f)
     
 
    418       442,558  
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (f)
     
 
    413       430,553  
Teleflex, Inc., 6.88%, 6/01/19 (f)
     
 
    675       703,687  
 
     
 
            1,576,798  
Health Care Providers & Services — 2.3%
                           
Acadia Healthcare Co., Inc., 5.13%, 7/01/22
     
 
    240       241,200  
Amsurg Corp., 5.63%, 7/15/22 (f)
     
 
    1,016       1,076,960  
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 (f)
     
 
    995       1,036,790  
CHS/Community Health Systems, Inc. (f):
                           
5.13%, 8/15/18
     
 
    490       507,150  
6.88%, 2/01/22
     
 
    1,404       1,501,402  
Crown Newco 3 PLC, 7.00%, 2/15/18
     
GBP
    205       328,752  
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 (f)
     
USD
    1,093       1,133,987  
HCA Holdings, Inc., 7.75%, 5/15/21
     
 
    285       304,950  
HCA, Inc.:
                           
3.75%, 3/15/19 (f)
     
 
    786       802,703  
6.50%, 2/15/20 (f)
     
 
    160       182,000  
5.88%, 3/15/22
     
 
    82       92,168  
4.75%, 5/01/23
     
 
    108       113,929  
5.00%, 3/15/24 (f)
     
 
    335       361,800  
5.38%, 2/01/25
     
 
    713       755,780  
HealthSouth Corp., 5.75%, 11/01/24
     
 
    203       212,135  
Hologic, Inc., 6.25%, 8/01/20 (f)
     
 
    1,289       1,350,227  
Kindred Healthcare, Inc., 6.38%, 4/15/22
     
 
    186       186,000  
Omnicare, Inc.:
                           
4.75%, 12/01/22 (f)
     
 
    165       172,219  
5.00%, 12/01/24
     
 
    104       109,460  
Tenet Healthcare Corp.:
                           
6.25%, 11/01/18
     
 
    264       288,090  
5.00%, 3/01/19 (c)(f)
     
 
    911       915,555  
4.75%, 6/01/20
     
 
    520       535,600  
6.00%, 10/01/20 (f)
     
 
    811       881,963  
8.13%, 4/01/22 (f)
     
 
    1,098       1,243,485  
Voyage Care Bondco PLC, 6.50%, 8/01/18
     
GBP
    355       564,509  
 
     
 
            14,898,814  
Hotels, Restaurants & Leisure — 4.1%
                           
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (c)(g)
     
USD
    204       206,550  
CDW LLC/CDW Finance Corp.:
                           
6.00%, 8/15/22
     
 
    535       571,112  
5.00%, 9/01/23
     
 
    265       266,325  
5.50%, 12/01/24 (f)
     
 
    1,302       1,354,080  
Cleopatra Finance, Ltd.:
                           
4.13%, 2/15/20
     
EUR
    100       114,843  
6.25%, 2/15/22 (c)
     
USD
    200       200,250  
4.75%, 2/15/23
     
EUR
    125       145,337  
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (h)
     
GBP
    100       133,543  
Enterprise Inns PLC, 6.50%, 12/06/18
     
 
    926       1,523,245  
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (f)
     
USD
    357       371,280  
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (c)
     
 
    485       517,738  
New Red Finance, Inc., 6.00%, 4/01/22 (c)(f)
     
 
    860       894,400  
Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)(f)
     
 
    576       589,651  
Snai SpA, 7.63%, 6/15/18
     
EUR
    205       236,861  
Corporate Bonds           Par
(000)
  Value
 
Hotels, Restaurants & Leisure (concluded)
                           
Spirit Issuer PLC (b):
                           
Series A1, 1.11%, 12/28/28
     
GBP
    445      $ 594,801  
Series A2, 3.26%, 12/28/31
     
 
    1,800        2,695,563  
Series A5, 5.47%, 12/28/34
     
 
    4,500       6,877,855  
Series A6, 2.36%, 12/28/36
     
 
    2,670       3,952,046  
Station Casinos LLC, 7.50%, 3/01/21 (f)
     
USD
    2,245       2,413,375  
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(j)
     
 
    375        
The Unique Pub Finance Co. PLC:
                           
Series A3, 6.54%, 3/30/21
     
GBP
    1,211       1,925,246  
Series A4, 5.66%, 6/30/27
     
 
    771       1,179,139  
 
     
 
            26,763,240  
Household Durables — 1.2%
                           
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c)
     
USD
    510       455,175  
Beazer Homes USA, Inc.:
                           
6.63%, 4/15/18 (f)
     
 
    910       946,400  
5.75%, 6/15/19
     
 
    523       504,695  
Berkline/Benchcraft LLC, 4.50%, 11/03/15 (a)(j)
     
 
    200        
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c)
     
 
    259       268,065  
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (c)(f)
     
 
    2,130       2,220,525  
KB Home, 7.25%, 6/15/18 (f)
     
 
    880       940,500  
Standard Pacific Corp., 8.38%, 1/15/21 (f)
     
 
    1,000       1,155,000  
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (c)
     
 
    297       291,060  
Tri Pointe Holdings, Inc. (c):
                           
4.38%, 6/15/19
     
 
    500       494,375  
5.88%, 6/15/24
     
 
    340       340,425  
 
     
 
            7,616,220  
Household Products — 0.1%
                           
Spectrum Brands, Inc.:
                           
6.38%, 11/15/20
     
 
    250       269,375  
6.63%, 11/15/22
     
 
    285       312,075  
 
     
 
            581,450  
Independent Power and Renewable Electricity
Producers — 1.0%
The AES Corp., 7.75%, 10/15/15 (f)
     
 
    412       429,139  
Baytex Energy Corp., 5.13%, 6/01/21 (c)
     
 
    170       161,925  
Calpine Corp.:
                           
6.00%, 1/15/22 (c)
     
 
    143       155,942  
5.38%, 1/15/23 (f)
     
 
    1,099       1,115,485  
5.88%, 1/15/24 (c)
     
 
    438       475,230  
5.50%, 2/01/24 (f)
     
 
    927       937,429  
5.75%, 1/15/25 (f)
     
 
    962       981,240  
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (c)(f)
     
 
    1,180       1,234,575  
NRG Energy, Inc.:
                           
7.88%, 5/15/21
     
 
    177       192,399  
6.25%, 5/01/24
     
 
    267       272,340  
NRG REMA LLC:
                           
Series B, 9.24%, 7/02/17
     
 
    63       66,915  
Series C, 9.68%, 7/02/26 (f)
     
 
    589       639,065  
 
     
 
            6,661,684  
Insurance — 1.5%
                           
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (f)
     
 
    3,000       3,249,699  
CNO Financial Group, Inc., 6.38%, 10/01/20 (c)(f)
     
 
    304       322,240  
Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)(f)
     
 
    750       876,892  
Genworth Holdings, Inc., 4.80%, 2/15/24
     
 
    240       210,827  
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c)
     
 
    391       401,753  
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)
     
 
    595       638,137  
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)
     
EUR
    400       562,482  


See Notes to Financial Statements.

34 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds           Par
(000)
  Value
 
Insurance (concluded)
                           
Pension Insurance Corp. PLC, 6.50%, 7/03/24
     
GBP
    125      $ 200,855  
Prudential Financial, Inc., 5.63%, 6/15/43 (b)(f)
     
USD
    3,250        3,436,875  
 
     
 
            9,899,760  
Internet Software & Services — 0.2%
                           
IAC/InterActiveCorp, 4.88%, 11/30/18 (f)
     
 
    695       719,325  
Interactive Data Corp., 5.88%, 4/15/19 (c)(f)
     
 
    741       741,926  
 
     
 
            1,461,251  
IT Services — 1.3%
                           
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)(f)
     
 
    664       690,560  
Epicor Software Corp., 8.63%, 5/01/19 (f)
     
 
    1,260       1,323,000  
First Data Corp.:
                           
7.38%, 6/15/19 (c)(f)
     
 
    1,775       1,863,750  
6.75%, 11/01/20 (c)(f)
     
 
    813       871,942  
11.75%, 8/15/21
     
 
    713       830,645  
Open Text Corp., 5.63%, 1/15/23 (c)
     
 
    1,214       1,250,420  
SunGard Data Systems, Inc., 6.63%, 11/01/19 (f)
     
 
    800       832,000  
WEX, Inc., 4.75%, 2/01/23 (c)(f)
     
 
    550       548,625  
 
     
 
            8,210,942  
Media — 5.5%
                           
Adria Bidco BV, 7.88%, 11/15/20
     
EUR
    140       169,200  
Altice Financing SA:
                           
6.50%, 1/15/22 (c)(f)
     
USD
    850       879,750  
5.25%, 2/15/23
     
EUR
    100       119,598  
6.63%, 2/15/23 (c)(f)
     
USD
    581       604,966  
Altice Finco SA, 7.63%, 2/15/25 (c)
     
 
    200       207,602  
Altice SA:
                           
7.25%, 5/15/22
     
EUR
    800       949,975  
7.75%, 5/15/22 (c)(f)
     
USD
    1,050       1,084,125  
6.25%, 2/15/25
     
EUR
    175       199,770  
7.63%, 2/15/25 (c)
     
USD
    740       764,050  
AMC Networks, Inc., 7.75%, 7/15/21 (f)
     
 
    865       949,337  
CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 2/15/23
     
 
    270       272,025  
CCOH Safari LLC (f):
                           
5.50%, 12/01/22
     
 
    993       1,026,514  
5.75%, 12/01/24
     
 
    1,969       2,037,915  
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(j)
     
 
    509        
Clear Channel Worldwide Holdings, Inc.:
                           
7.63%, 3/15/20
     
 
    677       715,927  
6.50%, 11/15/22
     
 
    1,178       1,235,552  
Columbus International, Inc., 7.38%, 3/30/21 (c)(f)
     
 
    895       939,750  
DISH DBS Corp. (f):
                           
7.13%, 2/01/16
     
 
    200       208,750  
4.25%, 4/01/18
     
 
    1,330       1,336,650  
5.88%, 11/15/24
     
 
    1,336       1,329,320  
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c)
     
 
    305       294,325  
Gannett Co., Inc.:
                           
5.13%, 10/15/19
     
 
    197       206,358  
5.13%, 7/15/20
     
 
    218       227,265  
6.38%, 10/15/23
     
 
    304       329,840  
Gray Television, Inc., 7.50%, 10/01/20 (f)
     
 
    428       445,120  
iHeartCommunications, Inc.:
                           
9.00%, 12/15/19
     
 
    345       340,688  
9.00%, 3/01/21 (f)
     
 
    966       932,190  
9.00%, 9/15/22
     
 
    755       726,687  
Inmarsat Finance PLC, 4.88%, 5/15/22 (c)(f)
     
 
    825       839,602  
Intelsat Jackson Holdings SA (f):
                           
7.25%, 10/15/20
     
 
    1,660       1,726,400  
5.50%, 8/01/23
     
 
    975       922,594  
Intelsat Luxembourg SA:
                           
6.75%, 6/01/18 (f)
     
 
    800       786,000  
7.75%, 6/01/21
     
 
    320       296,400  
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c)
     
 
    185       198,413  
MDC Partners, Inc., 6.75%, 4/01/20 (c)
     
 
    733       771,482  
Corporate Bonds           Par
(000)
  Value
 
Media (concluded)
                           
Media General Financing Sub, Inc., 5.88%, 11/15/22 (c)
     
USD
    303      $ 309,818  
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c)
     
 
    245       248,675  
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)
     
 
    345       356,644  
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c)
     
 
    330       337,425  
Numericable Group SA:
                           
4.88%, 5/15/19 (c)(f)
     
 
    1,770       1,770,000  
5.38%, 5/15/22
     
EUR
    110       130,266  
6.00%, 5/15/22 (c)(f)
     
USD
    1,530       1,556,775  
5.63%, 5/15/24
     
EUR
    260       308,410  
6.25%, 5/15/24 (c)(f)
     
USD
    510       523,515  
Outfront Media Capital LLC/Outfront Media Capital Corp.:
                           
5.25%, 2/15/22
     
 
    105       109,988  
5.63%, 2/15/24
     
 
    95       101,294  
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c)
     
 
    800       848,000  
Sinclair Television Group, Inc., 5.63%, 8/01/24 (c)
     
 
    191       193,388  
Sirius XM Radio, Inc., 5.75%, 8/01/21 (c)(f)
     
 
    424       445,200  
Sterling Entertainment Corp., 9.75%, 12/15/19
     
 
    1,175       1,198,500  
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (c)(f)
     
 
    789       842,257  
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25
     
EUR
    236       280,779  
Virgin Media Secured Finance PLC, 6.00%, 4/15/21
     
GBP
    1,274       2,094,870  
Ziggo Bond Finance BV, 4.63%, 1/15/25
     
EUR
    137       161,359  
 
     
 
             35,891,303  
Metals & Mining — 2.0%
                           
Alcoa, Inc., 5.13%, 10/01/24 (f)
     
USD
    1,843       2,004,318  
ArcelorMittal, 4.50%, 8/05/15 (f)
     
 
    738       746,302  
Constellium NV:
                           
4.63%, 5/15/21
     
EUR
    195       209,486  
5.75%, 5/15/24 (c)
     
USD
    358       339,205  
Global Brass & Copper, Inc., 9.50%, 6/01/19 (f)
     
 
    695       750,600  
Kaiser Aluminum Corp., 8.25%, 6/01/20 (f)
     
 
    510       552,713  
Novelis, Inc.:
                           
8.38%, 12/15/17
     
 
    175       182,875  
8.75%, 12/15/20 (f)
     
 
    2,906       3,153,010  
Peabody Energy Corp., 6.50%, 9/15/20 (f)
     
 
    324       274,185  
Perstorp Holding AB, 8.75%, 5/15/17 (c)
     
 
    290       300,150  
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17
     
 
    160       163,600  
Steel Dynamics, Inc. (f):
                           
5.13%, 10/01/21 (c)
     
 
    645       661,125  
6.38%, 8/15/22
     
 
    555       595,237  
ThyssenKrupp AG:
                           
3.13%, 10/25/19
     
EUR
    295       350,340  
1.75%, 11/25/20
     
 
    75       83,702  
2.50%, 2/25/25
     
 
    100       111,480  
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(f)
     
USD
    2,156       2,336,565  
 
     
 
            12,814,893  
Multi-Utilities — 0.0%
                           
CE Energy AS, 7.00%, 2/01/21
     
EUR
    150       170,585  
Multiline Retail — 0.1%
                           
Hema Bondco I BV, 6.25%, 6/15/19
     
 
    205       190,980  
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(f)
     
USD
    516       542,445  
 
     
 
            733,425  
Oil, Gas & Consumable Fuels — 4.1%
                           
Access Midstream Partners LP/ACMP Finance Corp.:
                           
4.88%, 5/15/23 (f)
     
 
    455       468,650  
4.88%, 3/15/24
     
 
    104       107,120  
Antero Resources Finance Corp., 5.38%, 11/01/21 (f)
     
 
    774       779,805  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 35
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds           Par
(000)
  Value
 
Oil, Gas & Consumable Fuels (concluded)
                           
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
     
USD
    95      $ 93,100  
California Resources Corp., 6.00%, 11/15/24 (c)(f)
     
 
    1,280        1,140,800  
Chaparral Energy, Inc., 7.63%, 11/15/22
     
 
    305       225,700  
Cimarex Energy Co., 4.38%, 6/01/24
     
 
    206       202,910  
Concho Resources, Inc., 5.50%, 4/01/23 (f)
     
 
    1,365       1,412,775  
CONSOL Energy, Inc., 5.88%, 4/15/22 (f)
     
 
    1,653       1,586,880  
El Paso LLC:
                           
7.80%, 8/01/31
     
 
    116       143,462  
7.75%, 1/15/32 (f)
     
 
    556       693,842  
Energy Transfer Equity LP, 5.88%, 1/15/24 (f)
     
 
    875       936,250  
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (f)
     
 
    450       461,250  
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)(f)
     
 
    520       490,100  
Kinder Morgan Energy Partners LP (f):
                           
4.15%, 2/01/24
     
 
    640       664,460  
4.25%, 9/01/24
     
 
    1,035       1,080,756  
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (c)(f)
     
 
    1,285       1,408,598  
Kinder Morgan, Inc. (f):
                           
3.05%, 12/01/19
     
 
    630       636,007  
5.00%, 2/15/21 (c)
     
 
    302       325,336  
5.63%, 11/15/23 (c)
     
 
    306       343,401  
Laredo Petroleum, Inc., 7.38%, 5/01/22
     
 
    132       135,960  
Linn Energy LLC/Linn Energy Finance Corp.:
                           
8.63%, 4/15/20 (f)
     
 
    1,083       982,822  
7.75%, 2/01/21
     
 
    215       187,588  
NGPL PipeCo LLC, 9.63%, 6/01/19 (c)(f)
     
 
    353       353,883  
Oasis Petroleum, Inc.:
                           
7.25%, 2/01/19
     
 
    380       377,625  
6.50%, 11/01/21
     
 
    410       393,344  
Range Resources Corp., 5.75%, 6/01/21
     
 
    161       169,453  
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22
     
 
    376       375,060  
Rosetta Resources, Inc., 5.63%, 5/01/21
     
 
    379       360,997  
RSP Permian, Inc., 6.63%, 10/01/22 (c)
     
 
    359       361,244  
Sabine Pass Liquefaction LLC:
                           
5.63%, 4/15/23 (f)
     
 
    536       548,060  
5.75%, 5/15/24 (f)
     
 
    456       466,260  
5.63%, 3/01/25 (c)
     
 
    748       751,740  
Sabine Pass LNG LP, 7.50%, 11/30/16 (f)
     
 
    2,385       2,522,137  
Sanchez Energy Corp., 6.13%, 1/15/23 (c)
     
 
    681       624,817  
SandRidge Energy, Inc.:
                           
8.75%, 1/15/20
     
 
    79       60,435  
7.50%, 2/15/23 (f)
     
 
    921       658,515  
Seventy Seven Energy, Inc., 6.50%, 7/15/22
     
 
    258       134,160  
Southern Star Central Corp., 5.13%, 7/15/22 (c)(f)
     
 
    935       960,712  
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21
     
 
    636       669,390  
Tesoro Logistics LP/Tesoro Logistics Finance Corp. (f):
                           
5.88%, 10/01/20
     
 
    138       144,555  
6.25%, 10/15/22 (c)
     
 
    677       717,620  
Ultra Petroleum Corp., 5.75%, 12/15/18 (c)
     
 
    425       412,250  
Whiting Petroleum Corp., 5.00%, 3/15/19 (f)
     
 
    1,212       1,193,820  
 
     
 
            26,763,649  
Pharmaceuticals — 1.1%
                           
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (c)(g)
     
 
    156       158,925  
Endo Finance LLC/Endo Finco, Inc. (c):
                           
7.00%, 12/15/20
     
 
    135       142,763  
7.25%, 1/15/22
     
 
    121       129,924  
6.00%, 2/01/25 (f)
     
 
    798       844,882  
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c)(f)
     
 
    759       777,975  
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c)(f)
     
 
    830       877,725  
Corporate Bonds           Par
(000)
  Value
 
Pharmaceuticals (concluded)
                           
Valeant Pharmaceuticals International, Inc. (c):
                           
6.75%, 8/15/18 (f)
     
USD
    2,214      $ 2,352,375  
6.38%, 10/15/20 (f)
     
 
    613       645,182  
7.50%, 7/15/21
     
 
    335       363,475  
5.63%, 12/01/21
     
 
    520       529,100  
5.50%, 3/01/23
     
 
    519       524,190  
 
     
 
            7,346,516  
Professional Services — 0.1%
                           
Truven Health Analytics, Inc., 10.63%, 6/01/20 (f)
     
 
    540       554,850  
Real Estate Investment Trusts (REITs) — 0.5%
                           
Felcor Lodging LP, 6.75%, 6/01/19 (f)
     
 
    820       856,900  
iStar Financial, Inc.:
                           
4.00%, 11/01/17
     
 
    435       432,825  
5.00%, 7/01/19
     
 
    305       305,000  
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (f)
     
 
    1,300       1,421,690  
 
     
 
            3,016,415  
Real Estate Management & Development — 0.9%
                   
Realogy Corp. (c):
                           
7.63%, 1/15/20 (f)
     
 
    1,837       1,979,367  
9.00%, 1/15/20
     
 
    301       331,100  
Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (c)(f)
     
 
    759       772,283  
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c)
     
 
    220       224,400  
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (f)
     
 
    2,110        2,220,775  
 
     
 
            5,527,925  
Road & Rail — 1.1%
                           
Asciano Finance Ltd., 3.13%, 9/23/15 (c)(f)
     
 
    3,400       3,437,522  
EC Finance PLC, 5.13%, 7/15/21
     
EUR
    180       212,004  
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)(f)
     
USD
    1,170       1,206,562  
The Hertz Corp.:
                           
7.50%, 10/15/18
     
 
    540       558,900  
6.75%, 4/15/19
     
 
    405       418,669  
5.88%, 10/15/20
     
 
    435       449,138  
7.38%, 1/15/21 (f)
     
 
    675       710,438  
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c)
     
 
    319       320,595  
 
     
 
            7,313,828  
Semiconductors & Semiconductor Equipment — 0.3%
Micron Technology, Inc., 5.50%, 2/01/25 (c)(f)
     
 
    840       861,000  
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (c)(f)
     
 
    560       593,600  
Sensata Technologies BV, 5.63%, 11/01/24 (c)
     
 
    179       191,977  
 
     
 
            1,646,577  
Software — 0.7%
                           
Infor Software Parent LLC/Infor Software Parent, Inc. (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (c)(g)
     
 
    744       748,650  
Infor US, Inc., 9.38%, 4/01/19 (f)
     
 
    2,000       2,147,500  
Nuance Communications, Inc., 5.38%, 8/15/20 (c)(f)
     
 
    1,715       1,757,875  
 
     
 
            4,654,025  
Specialty Retail — 0.3%
                           
Magnolia BC SA, 9.00%, 8/01/20
     
EUR
    171       199,394  
New Look Bondco I PLC, 8.75%, 5/14/18
     
GBP
    100       162,228  
Party City Holdings, Inc., 8.88%, 8/01/20
     
USD
    374       408,595  
PC Nextco Holdings LLC/PC Nextco Finance, Inc., (8.75% Cash or 9.50% PIK), 8.75%, 8/15/19
     
 
    252       257,040  
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (f)
     
 
    508       533,400  
THOM Europe SAS, 7.38%, 7/15/19
     
EUR
    230       267,677  
 
     
 
            1,828,334  


See Notes to Financial Statements.

36 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds           Par
(000)
  Value
 
Textiles, Apparel & Luxury Goods — 0.1%
                           
Levi Strauss & Co., 6.88%, 5/01/22
     
USD
    380      $ 418,000  
The William Carter Co., 5.25%, 8/15/21
     
 
    346       362,349  
 
     
 
            780,349  
Trading Companies & Distributors — 0.2%
                           
Ashtead Capital, Inc. (c):
                           
6.50%, 7/15/22 (f)
     
 
    1,054       1,146,225  
5.63%, 10/01/24
     
 
    420       441,000  
 
     
 
            1,587,225  
Transportation Infrastructure — 1.3%
                           
Aguila 3 SA, 7.88%, 1/31/18 (c)(f)
     
 
    378       382,725  
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (c)(f)
     
 
    640       652,128  
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (c)(g)
     
 
    878       812,150  
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (c)(f)
     
 
    6,155       6,376,389  
 
     
 
            8,223,392  
Wireless Telecommunication Services — 2.2%
                   
Digicel Ltd., 6.00%, 4/15/21 (c)(f)
     
 
    2,073       2,057,452  
The Geo Group, Inc., 5.88%, 1/15/22
     
 
    340       358,700  
SBA Communications Corp., 4.88%, 7/15/22 (c)(f)
     
 
    815       815,000  
Sprint Communications, Inc. (c)(f):
                           
9.00%, 11/15/18
     
 
    2,020       2,348,250  
7.00%, 3/01/20
     
 
    1,141       1,264,011  
Sprint Corp. (f):
                           
7.88%, 9/15/23
     
 
    1,735       1,791,387  
7.13%, 6/15/24
     
 
    590       587,050  
T-Mobile USA, Inc.:
                           
6.63%, 4/28/21
     
 
    263       279,766  
6.13%, 1/15/22
     
 
    75       78,938  
6.73%, 4/28/22
     
 
    173       184,245  
6.00%, 3/01/23
     
 
    478       498,559  
6.50%, 1/15/24
     
 
    535       565,763  
6.38%, 3/01/25 (f)
     
 
    1,520       1,588,400  
Vodafone Group PLC, 2.50%, 9/26/22
     
 
    1,080       1,037,903  
Wind Acquisition Finance SA, 4.00%, 7/15/20
     
EUR
    695       791,156  
 
     
 
            14,246,580  
Total Corporate Bonds — 53.2%
     
 
            345,437,441  

Floating Rate Loan Interests (b)
Aerospace & Defense — 0.9%
                           
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21
     
USD
    910       911,893  
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
    1,277       1,275,257  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21
     
 
    1,375       1,442,031  
Transdigm, Inc.:
                           
Term Loan C, 3.75%, 2/28/20
     
 
    647       643,812  
Term Loan D, 3.75%, 6/04/21
     
 
    299       297,333  
TransUnion LLC, Term Loan, 4.00%, 4/09/21
     
 
    1,568       1,560,968  
 
     
 
            6,131,294  
Air Freight & Logistics — 0.4%
                           
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21
     
 
    678       626,429  
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21
     
 
    710       655,643  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21
     
 
    122       113,042  
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21
     
 
    979       904,335  
 
     
 
            2,299,449  
Airlines — 0.1%
                           
Northwest Airlines, Inc.:
                           
2.18%, 3/10/17
     
 
    376       366,708  
1.56%, 9/10/18
     
 
    552       527,160  
Floating Rate Loan Interests (b)           Par
(000)
  Value
 
Airlines (concluded)
                           
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
USD
    7      $ 6,777  
 
     
 
            900,645  
Auto Components — 1.6%
                           
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
    712       710,992  
Autoparts Holdings Ltd.:
                           
1st Lien Term Loan, 6.50%, 7/29/17
     
 
    958       957,905  
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
    1,050       1,021,125  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
    851       843,950  
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21
     
 
    3,332       3,305,830  
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
    2,488       2,498,395  
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20
     
 
    975       981,094  
 
     
 
            10,319,291  
Banks — 0.1%
                           
Redtop Acquisitions Ltd.:
                           
1st Lien Term Loan, 4.50%, 12/03/20
     
 
    416       415,280  
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
    351       351,450  
 
     
 
            766,730  
Beverages — 0.0%
                           
Le-Nature’s, Inc., Tranche B Term Loan, 3/01/2011 (a)(j)
     
 
    1,000        
Building Products — 1.1%
                           
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20
     
 
    776       761,844  
CPG International, Inc., Term Loan, 4.75%, 9/30/20 (b)
     
 
    1,631       1,602,177  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21
     
 
    938       916,809  
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21
     
 
    1,025       1,027,563  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21
     
 
    1,141       1,121,880  
United Subcontractors, Inc., Term Loan, 4.26%, 6/30/15
     
 
    172       168,109  
Wilsonart LLC:
                           
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
    762       755,310  
Term Loan B, 4.00%, 10/31/19
     
 
    804       796,232  
 
     
 
            7,149,924  
Capital Markets — 0.3%
                           
Affinion Group, Inc.:
                           
2nd Lien Term Loan, 8.50%, 10/12/18
     
 
    633       554,460  
Term Loan B, 6.75%, 4/30/18
     
 
    521       494,918  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
    576       573,072  
 
     
 
            1,622,450  
Chemicals — 1.4%
                           
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
    765       750,111  
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18
     
 
    658       655,996  
MacDermid, Inc.:
                           
1st Lien Term Loan, 4.50%, 6/07/20
     
 
    660       661,765  
Term Loan B2, 4.75%, 6/07/20
     
 
    288       289,638  
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21
     
 
    1,222       1,225,372  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
    1,251       1,218,405  
OXEA Finance LLC:
                           
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
    705       663,581  
Term Loan B2, 4.25%, 1/15/20
     
 
    672       649,260  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
    769       770,744  
Solenis International LP:
                           
1st Lien Term Loan, 4.25%, 7/31/21
     
 
    519       512,216  
2nd Lien Term Loan, 7.75%, 7/31/22
     
 
    1,050       1,017,628  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 37
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)           Par
(000)
  Value
 
Chemicals (concluded)
                           
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
USD
    655      $ 650,112  
 
     
 
             9,064,828  
Commercial Services & Supplies — 1.6%
                           
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
    999       986,888  
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
    1,559       1,519,948  
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21
     
 
    1,350       1,352,665  
Connolly Corp.:
                           
1st Lien Term Loan, 5.00%, 5/14/21
     
 
    1,169       1,174,246  
2nd Lien Term Loan, 8.00%, 5/14/22
     
 
    1,000       987,500  
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20
     
 
    1,866       1,844,637  
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19
     
 
    336       325,460  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
    1,769       1,755,178  
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20 (d)
     
 
    380       380,334  
 
     
 
            10,326,856  
Communications Equipment — 0.9%
                           
Applied Systems, Inc.:
                           
1st Lien Term Loan, 4.25%, 1/25/21
     
 
    327       325,681  
2nd Lien Term Loan, 7.50%, 1/24/22
     
 
    265       262,615  
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17
     
 
    756       733,905  
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17
     
 
    432       431,223  
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22 (b)(d)
     
 
    290       292,175  
Telesat Canada, Term Loan A, 4.40%, 3/24/17
     
CAD
    1,560       1,239,902  
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
USD
    2,738       2,735,007  
 
     
 
            6,020,508  
Construction & Engineering — 0.1%
                           
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20
     
 
    710       714,437  
Construction Materials — 0.4%
                           
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20
     
 
    500       499,170  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
    1,859       1,853,858  
 
     
 
            2,353,028  
Containers & Packaging — 0.2%
                           
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19
     
 
    382       380,679  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21
     
 
    904       903,282  
 
     
 
            1,283,961  
Distributors — 0.4%
                           
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
    2,079       2,067,005  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18
     
 
    199       199,493  
 
     
 
            2,266,498  
Diversified Consumer Services — 0.6%
                           
Allied Security Holdings LLC, 1st Lien Term Loan, 4.25%, 2/12/21
     
 
    514       512,463  
Garda World Securities Corp.:
                           
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
    12       11,694  
Term Loan B, 4.00%, 11/06/20
     
 
    46       45,711  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
    622       589,980  
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21
     
 
    2,587       2,586,343  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
    793       417,679  
 
     
 
            4,163,870  
Floating Rate Loan Interests (b)           Par
(000)
  Value
 
Diversified Financial Services — 0.5%
                           
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21
     
USD
    860      $ 853,017  
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
    1,502       1,505,993  
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
    1,114       1,110,687  
 
     
 
             3,469,697  
Diversified Telecommunication Services — 1.9%
                   
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
    2,216       2,221,246  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
    1,716       1,720,551  
Integra Telecom, Inc.:
                           
2nd Lien Term Loan, 9.75%, 2/21/20
     
 
    975       966,469  
Term Loan B, 5.25%, 2/22/19
     
 
    1,154       1,146,357  
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22
     
 
    1,320       1,325,504  
Level 3 Financing, Inc.:
                           
2019 Term Loan, 4.00%, 8/01/19
     
 
    659       658,085  
2020 Term Loan B, 4.00%, 1/15/20
     
 
    4,240       4,237,880  
 
     
 
            12,276,092  
Electric Utilities — 0.2%
                           
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20
     
 
    296       251,606  
American Energy — Utica LLC:
                           
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18
     
 
    503       442,687  
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
    503       442,757  
 
     
 
            1,137,050  
Electrical Equipment — 0.4%
                           
Texas Competitive Electric Holdings Co. LLC:
                           
DIP Term Loan, 3.75%, 5/05/16
     
 
    668       670,829  
Extended Term Loan, 4.66%, 10/10/17 (a)(j)
     
 
    3,080       1,966,056  
 
     
 
            2,636,885  
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
    835       827,471  
Energy Equipment & Services — 0.2%
                           
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
    1,093       1,089,764  
Food & Staples Retailing — 0.3%
                           
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21
     
 
    628       627,325  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
     
 
    240       242,251  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/1
     
 
    901       901,788  
 
     
 
            1,771,364  
Food Products — 1.5%
                           
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18
     
 
    1,495       1,491,163  
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18
     
 
    1,033       1,030,467  
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21
     
 
    672       672,465  
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21
     
 
    2,244       2,246,373  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
    1,034       1,034,250  
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20
     
 
    1,038       1,031,129  
Reddy Ice Corp.:
                           
1st Lien Term Loan, 6.75%, 5/01/19
     
 
    1,464       1,266,295  
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
    1,380       1,048,800  
 
     
 
            9,820,942  


See Notes to Financial Statements.

38 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)           Par
(000)
  Value
 
Health Care Equipment & Supplies — 1.3%
                           
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17
     
USD
    1,157      $  1,156,068  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
    510       507,105  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17
     
 
    1,688       1,687,242  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
    630       629,123  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21
     
 
    1,816       1,822,684  
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21
     
 
    1,245       1,226,109  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21
     
 
    1,455       1,437,264  
 
     
 
            8,465,595  
Health Care Providers & Services — 2.6%
                           
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22
     
 
    238       238,793  
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20
     
 
    1,360       1,346,400  
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21
     
 
    458       457,988  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
    437       437,432  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
    3,965       3,972,563  
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
    1,169       1,167,807  
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22
     
 
    800       804,504  
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21
     
 
    2,831       2,833,606  
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20
     
 
    894       893,687  
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17
     
 
    1,000       1,019,874  
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21
     
 
    161       160,791  
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21
     
 
    713       706,997  
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21
     
 
    576       570,613  
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20
     
 
    405       401,347  
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18
     
 
    591       587,554  
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 (d)
     
 
    1,500       1,493,745  
 
     
 
            17,093,701  
Hotels, Restaurants & Leisure — 4.0%
                           
Amaya Holdings BV:
                           
1st Lien Term Loan, 5.00%, 8/01/21
     
 
    973       965,268  
2nd Lien Term Loan, 8.00%, 8/01/22
     
 
    3,460       3,439,448  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20
     
 
    1,202       1,154,378  
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21
     
 
    1,875       1,884,713  
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18
     
 
    84       77,428  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20
     
 
    3,099       2,983,925  
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21
     
 
    772       772,867  
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20
     
 
    235       235,283  
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21
     
 
    1,496       1,503,354  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20
     
 
    996       995,573  
Intrawest ULC, Term Loan, 5.50%, 12/09/20
     
 
    609       610,372  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21
     
 
    4,590       4,583,808  
Floating Rate Loan Interests (b)           Par
(000)
  Value
 
Hotels, Restaurants & Leisure (concluded)
                           
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20
     
USD
    644      $ 643,365  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
    1,064       1,060,050  
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
    658       656,978  
Sabre, Inc.:
                           
Incremental Term Loan, 4.50%, 2/19/19
     
 
    395       395,000  
Term Loan B, 4.00%, 2/19/19
     
 
    559       557,801  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20
     
 
    2,329       2,326,349  
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21
     
 
    1,197       1,205,978  
 
     
 
             26,051,938  
Household Products — 0.2%
                           
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
    1,144       1,141,024  
Independent Power and Renewable Electricity
Producers — 0.7%
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 (d)
     
 
    2,043       2,043,177  
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 (d)
     
 
    1,313       1,318,861  
Granite Acquisition Inc.:
                           
Term Loan B, 5.00%, 12/19/21
     
 
    1,116       1,127,809  
Term Loan C, 5.00%, 12/19/21
     
 
    49       49,624  
 
     
 
            4,539,471  
Industrial Conglomerates — 0.3%
                           
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
    2,272       2,213,646  
Insurance — 0.8%
                           
Alliant Holdings I, Inc.:
                           
Term Loan B, 5.00%, 12/20/19
     
 
    584       582,346  
Term Loan B1, 5.00%, 12/20/19
     
 
    138       137,625  
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/28/18
     
 
    1,301       1,293,786  
Cooper Gay Swett & Crawford of Delaware Holding Corp.:
                           
1st Lien Term Loan, 5.00%, 4/16/20
     
 
    1,044       960,572  
2nd Lien Term Loan C, 8.25%, 10/16/20
     
 
    500       430,835  
Sedgwick Claims Management Services, Inc.:
                           
1st Lien Term Loan, 3.75%, 3/01/21
     
 
    1,097       1,080,810  
2nd Lien Term Loan, 6.75%, 2/28/22
     
 
    665       650,038  
 
     
 
            5,136,012  
Internet Software & Services — 0.5%
                           
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21
     
 
    1,169       1,161,372  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21
     
 
    801       801,352  
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21
     
 
    1,443       1,446,357  
 
     
 
            3,409,081  
IT Services — 1.8%
                           
First Data Corp.:
                           
2018 Extended Term Loan, 3.67%, 3/24/18
     
 
    7,087       7,074,294  
2018 Term Loan, 3.67%, 9/24/18
     
 
    1,640       1,638,458  
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18
     
 
    754       702,321  
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19
     
 
    275       244,050  
SunGard Data Systems, Inc.:
                           
Term Loan C, 3.92%, 2/28/17
     
 
    705       704,337  
Term Loan E, 4.00%, 3/08/20
     
 
    379       379,068  
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21
     
 
    810       810,046  
 
     
 
            11,552,574  
Leisure Products — 0.1%
                           
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21
     
 
    422       419,612  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 39
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)           Par
(000)
  Value
 
Machinery — 0.6%
                           
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18
     
USD
    1,025      $  1,020,887  
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
    536       528,160  
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21
     
 
    305       305,278  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
    1,310       1,305,606  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
 
    820       815,558  
 
     
 
            3,975,489  
Media — 4.0%
                           
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20
     
 
    961       963,238  
Cengage Learning Acquisitions, Inc.:
                           
1st Lien Term Loan, 7.00%, 3/31/20
     
 
    3,454       3,453,236  
Term Loan, 0.00%, 7/03/15 (a)(j)
     
 
    2,005        
Charter Communications Operating LLC:
                           
Term Loan E, 3.00%, 7/01/20
     
 
    1,167       1,162,848  
Term Loan G, 4.25%, 9/12/21
     
 
    640       644,794  
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19
     
 
    2,563       2,451,256  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
    1,281       1,272,134  
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20
     
 
    882       877,943  
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
    2,514       2,494,187  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
    1,163       1,165,900  
Numericable U.S. LLC:
                           
Term Loan B1, 4.50%, 5/21/20
     
 
    1,106       1,107,199  
Term Loan B2, 4.50%, 5/21/20
     
 
    957       957,879  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
    945       937,426  
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
    1,083       1,082,129  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
    2,411       2,404,784  
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21
     
EUR
    442       493,653  
Virgin Media Investment Holdings Ltd.:
                           
Term Loan B, 3.50%, 6/07/20
     
USD
    410       408,737  
Term Loan E, 4.25%, 6/30/23
     
GBP
    790       1,219,008  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 (d)
     
USD
    1,516       1,516,230  
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21
     
 
    107       106,739  
Ziggo Financing Partnership:
                           
Term Loan B1, 3.50%, 1/15/22
     
 
    489       483,925  
Term Loan B2A, 3.50%, 1/15/22
     
 
    333       330,083  
Term Loan B3, 3.50%, 1/15/22
     
 
    548       542,868  
 
     
 
            26,076,196  
Metals & Mining — 0.6%
                           
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20
     
 
    255       235,875  
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
    1,991       1,987,444  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
    1,463       1,462,515  
 
     
 
            3,685,834  
Multiline Retail — 0.8%
                           
BJ’s Wholesale Club, Inc. (b):
                           
1st Lien Term Loan, 4.50%, 9/26/19
     
 
    583       580,476  
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
    575       569,969  
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22 (d)
     
 
    2,410       2,427,473  
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20
     
 
    1,634       1,620,053  
 
     
 
            5,197,971  
Floating Rate Loan Interests (b)           Par
(000)
  Value
 
Oil, Gas & Consumable Fuels — 2.1%
                           
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18
     
USD
    1,491      $  1,192,064  
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20
     
 
    1,335       1,327,217  
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21
     
 
    1,925       1,500,626  
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
    1,127       1,086,298  
Fieldwood Energy LLC:
                           
1st Lien Term Loan, 3.88%, 9/28/18
     
 
    464       443,474  
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
    420       321,002  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
    540       534,859  
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19
     
 
    112       67,995  
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20
     
 
    1,645       1,661,450  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
    900       882,000  
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
    275       265,375  
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21
     
 
    1,005       954,750  
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21
     
 
    105       94,530  
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21
     
 
    458       445,113  
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21
     
 
    368       343,760  
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/25/22 (d)
     
 
    1,935       1,925,325  
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21
     
 
    297       294,773  
 
     
 
            13,340,611  
Pharmaceuticals — 1.4%
                           
Akorn, Inc., Term Loan B, 4.50%, 4/16/21
     
 
    1,292       1,295,535  
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21
     
 
    849       846,466  
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21
     
 
    2,089       2,083,822  
Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/21
     
 
    789       784,303  
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19
     
 
    1,642       1,631,047  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
    1,385       1,382,149  
Valeant Pharmaceuticals International, Inc.:
                           
Series C2 Term Loan B, 3.50%, 12/11/19
     
 
    478       476,370  
Series E Term Loan B, 3.50%, 8/05/20
     
 
    721       718,656  
 
     
 
            9,218,348  
Professional Services — 0.8%
                           
Advantage Sales & Marketing, Inc.:
                           
2014 1st Lien Term Loan, 4.25%, 7/23/21
     
 
    484       481,248  
2014 2nd Lien Term Loan, 7.50%, 7/25/22
     
 
    605       602,919  
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20
     
 
    420       415,096  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
    608       605,876  
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22
     
 
    850       844,331  
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
    1,051       1,040,762  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
    1,160       1,145,901  
 
     
 
            5,136,133  
Real Estate Management & Development — 0.7%
                   
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20
     
 
    941       941,381  
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21
     
 
    1,145       1,147,022  


See Notes to Financial Statements.

40 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)           Par
(000)
  Value
 
Real Estate Management & Development (concluded)
Realogy Corp.:
                           
Extended Letter of Credit, 4.40%, 10/10/16
     
USD
    47      $ 46,382  
Term Loan B, 3.75%, 3/05/20
     
 
    2,090        2,086,913  
 
     
 
            4,221,698  
Road & Rail — 0.2%
                           
Road Infrastructure Investment LLC:
                           
1st Lien Term Loan, 4.25%, 3/31/21
     
 
    1,007       977,166  
2nd Lien Term Loan, 7.75%, 9/21/21
     
 
    675       600,750  
 
     
 
            1,577,916  
Semiconductors & Semiconductor Equipment — 0.6%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 (b)
     
 
    2,667       2,668,120  
Freescale Semiconductor, Inc.:
                           
Term Loan B4, 4.25%, 2/28/20
     
 
    716       714,166  
Term Loan B5, 5.00%, 1/15/21
     
 
    375       376,991  
 
     
 
            3,759,277  
Software — 1.5%
                           
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
    458       449,437  
GCA Services Group, Inc.:
                           
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
    560       554,400  
Term Loan B, 4.25%, 11/01/19
     
 
    523       522,058  
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20
     
 
    1,105       1,094,572  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21
     
 
    607       576,825  
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20
     
 
    233       233,431  
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
    1,837       1,875,103  
Mitchell International, Inc.:
                           
1st Lien Term Loan, 4.50%, 10/12/20
     
 
    629       624,331  
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
    1,200       1,184,748  
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21
     
 
    843       820,573  
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18
     
 
    815       813,976  
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20
     
 
    150       149,391  
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20
     
 
    560       538,300  
 
     
 
            9,437,145  
Specialty Retail — 1.2%
                           
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
    1,449       1,446,675  
Michaels Stores, Inc., Incremental 2014 Term Loan B2, 4.00%, 1/28/20
     
 
    1,194       1,190,454  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
    2,425       2,408,886  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
    888       886,886  
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22 (b)(d)
     
 
    2,085       2,098,969  
 
     
 
            8,031,870  
Technology Hardware, Storage & Peripherals — 0.2%
Dell, Inc., Term Loan B, 4.50%, 4/29/20 (b)
     
 
    1,107       1,110,893  
Textiles, Apparel & Luxury Goods — 0.4%
                           
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 (b)
     
 
    1,240       1,047,747  
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 (b)
     
 
    1,033       972,753  
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 (b)
     
 
    780       781,247  
 
     
 
            2,801,747  
Thrifts & Mortgage Finance — 0.1%
                           
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 (b)
     
 
    853       848,337  
Wireless Telecommunication Services — 0.2%
                   
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 (b)
     
 
    1,527       1,511,482  
Total Floating Rate Loan Interests — 42.9%
     
 
            278,366,635  
Foreign Agency Obligations           Par
(000)
  Value
 
Cyprus Government International Bond, 4.63%, 2/03/20 (c)
     
EUR
    2,600      $  2,829,518  
Iceland Government International Bond:
                           
4.88%, 6/16/16
     
USD
    580       605,680  
5.88%, 5/11/22
     
 
    3,030       3,458,827  
Portugal Obrigacoes do Tesouro OT, 4.45%, 6/15/18 (c)
     
EUR
    2,350       2,955,544  
Total Foreign Agency Obligations — 1.5%
     
 
            9,849,569  

Non-Agency Mortgage-Backed Securities
 
 
Collateralized Mortgage Obligations — 2.4%
                           
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35
     
USD
    4,904       4,450,210  
Countrywide Home Loan Mortgage Pass-Through Trust:
                           
Series 2005-17, Class 1A6, 5.50%, 9/25/35
     
 
    1,153       1,127,872  
Series 2006-17, Class A2, 6.00%, 12/25/36
     
 
    2,519       2,292,721  
Series 2007-HY5, Class 3A1, 4.79%, 9/25/37 (b)
     
 
    1,706       1,568,040  
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.59%, 10/25/35 (b)
     
 
    1,733       1,552,296  
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)
     
 
    4,162       4,238,169  
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.40%, 2/26/37 (b)(c)
     
 
    406       404,982  
 
     
 
            15,634,290  
Commercial Mortgage-Backed Securities — 9.4%
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.75%, 2/10/51 (b)
     
 
    1,656       1,799,943  
COMM 2015-3BP Mortgage Trust, Series 2015-3BP, Class A, 3.18%, 2/10/35 (c)
     
 
    5,930       6,013,477  
Commercial Mortgage Pass-Through Certificates (b)(c):
                           
Series 2013-LC13, Class D, 4.88%, 8/10/46
     
 
    3,530       3,648,509  
Series 2014-KYO, Class F, 3.67%, 6/11/27
     
 
    1,855       1,847,393  
Series 2014-PAT, Class E, 3.32%, 8/13/27
     
 
    1,000       991,514  
Series 2014-PAT, Class F, 2.61%, 8/13/27
     
 
    2,000       1,894,594  
Commercial Mortgage Trust, Series 2013-LC6:
                           
Class B, 3.74%, 1/10/46
     
 
    1,110       1,150,110  
Class D, 4.29%, 1/10/46 (b)(c)
     
 
    1,330       1,287,344  
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39
     
 
    1,850       1,954,827  
Credit Suisse Mortgage Capital Certificates (b):
                           
Series 2007-C2, Class A2, 5.45%, 1/15/49
     
 
    5       4,985  
Series 2007-C5, Class AAB, 5.62%, 9/15/40
     
 
    930       971,416  
Series 2014-SURF, Class E, 3.27%, 2/15/29 (c)
     
 
    1,000       998,733  
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class DFX, 3.38%, 12/15/19 (c)
     
 
    4,830       4,720,605  
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 5.79%, 7/10/38 (b)
     
 
    1,610       1,689,169  
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c)
     
 
    1,995       2,052,268  
GS Mortgage Securities Trust (b):
                           
Series 2006-GG6, Class AM, 5.55%, 4/10/38
     
 
    3,680       3,801,514  
Series 2014-GSFL, Class D, 4.07%, 7/15/31 (c)
     
 
    1,140       1,138,829  
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (b)(c)
     
 
    1,400       1,422,215  
JPMorgan Chase Commercial Mortgage Securities Corp.:
                           
Series 2004-LN2, Class A2, 5.12%, 7/15/41
     
 
    155       155,242  
Series 2007-CB18, Class A4, 5.44%, 6/12/47
     
 
    2,027       2,145,903  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 41
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Non-Agency Mortgage-Backed Securities            
Par
(000)
  Value
 
Commercial Mortgage-Backed Securities (concluded)
JPMorgan Chase Commercial Mortgage Securities Corp. (concluded):
                           
Series 2007-CB19, Class A4, 5.70%, 2/12/49 (b)
     
USD
    2,140      $  2,296,404  
Series 2012-LC9, Class XA, 1.89%, 12/15/47 (b)
     
 
    14,479       1,324,636  
LB-UBS Commercial Mortgage Trust (b):
                           
Series 2007-C2, Class AM, 5.49%, 2/15/40
     
 
    2,500       2,641,837  
Series 2007-C6, Class A4, 5.86%, 7/15/40
     
 
    4,401       4,627,284  
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 5.82%, 6/12/50 (b)
     
 
    1,392       1,459,914  
Talisman Finance PLC, Series 6, Class A, 0.25%, 10/22/16 (b)
     
EUR
    1,252       1,387,120  
Titan Europe PLC, Series 2007-1X, Class A, 8.00%, 1/20/17 (b)
     
GBP
    1,338       1,694,468  
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.94%, 2/15/51 (b)
     
USD
    2,019       2,152,973  
WF-RBS Commercial Mortgage Trust:
                           
Series 2012-C8, Class B, 4.31%, 8/15/45
     
 
    1,085       1,169,618  
Series 2012-C8, Class C, 4.88%, 8/15/45 (b)
     
 
    1,395       1,520,722  
Series 2014-C20, Class XA, 1.24%, 5/15/47 (b)
     
 
    14,861       1,108,369  
 
     
 
            61,071,935  
Interest Only Commercial Mortgage-Backed Securities — 0.3%
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.21%, 11/15/45 (b)(c)
     
 
    16,361       1,790,506  
Scientific Instruments: Control & Filter — 0.3%
                   
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class GFX, 3.38%, 12/15/19 (c)
     
 
    2,500       2,216,520  
Total Non-Agency Mortgage-Backed
Securities — 12.4%
          80,713,251  

U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 0.9%
                           
Freddie Mac Mortgage-Backed Securities:
                           
Series K032, Class A2, 3.31%, 5/25/23 (b)
     
 
    3,500       3,731,262  
Series 3986, Class M, REMIC, 4.50%, 9/15/41
     
 
    2,206       2,419,005  
 
     
 
            6,150,267  
Interest Only Collateralized Mortgage Obligations — 1.2%
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.03%, 12/25/17 (b)
     
 
    18,874       1,668,295  
Freddie Mac Mortgage-Backed Securities, Class X1 (b):
                           
Series K042, 1.06%, 12/25/24
     
 
    35,089       2,949,928  
Series K707, 1.55%, 12/25/18
     
 
    42,301       2,163,843  
Series K710, 1.78%, 5/25/19
     
 
    13,167       841,178  
 
     
 
            7,623,244  
Mortgage-Backed Securities — 3.2%
                           
Fannie Mae Mortgage-Backed Securities:
                           
3.50%, 8/01/26
     
 
    6,811       7,268,529  
5.00%, 7/01/20–8/01/23
     
 
    4,637       4,942,675  
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25
     
 
    7,981       8,618,670  
 
     
 
            20,829,874  
Total U.S. Government Sponsored Agency
Securities — 5.3%
  34,603,385  
Other Interests (k)           Beneficial
Interest 
(000) 
  Value
 
Auto Components — 0.0%
                           
Lear Corp. Escrow
     
USD
    1,000      $ 8,750  
Construction Materials — 0.0%
                           
USI Senior Holdings
     
 
    6        
Total Other Interests — 0.0%
     
 
            8,750  

Preferred Securities
 
 
Capital Trusts
     
 
 
Par
(000)
 
 
Banks — 2.7%
                           
Bank of America Corp., Series V, 5.13% (b)(f)(i)
     
 
    3,470       3,417,950  
Citigroup, Inc., 5.95% (b)(f)(i)
     
 
    1,370       1,387,125  
JPMorgan Chase & Co., Series U, 6.13% (b)(f)(i)
     
 
    6,690       6,927,495  
JPMorgan Chase & Co., Series V, 5.00% (b)(f)(i)
     
 
    3,000       2,951,250  
Wells Fargo & Co., Series S, 5.90% (b)(f)(i)
     
 
    3,000       3,126,540  
 
     
 
             17,810,360  
Capital Markets — 0.8%
                           
Credit Suisse Group AG, 6.25% (b)(c)(f)(i)
     
 
    1,445       1,431,851  
The Goldman Sachs Group, Inc., Series L, 5.70% (b)(f)(i)
     
 
    1,920       1,982,400  
Morgan Stanley, Series H, 5.45% (b)(f)(i)
     
 
    1,426       1,459,154  
 
     
 
            4,873,405  
Diversified Financial Services — 1.9%
                           
Bank of America Corp.:
                           
Series U, 5.20% (b)(f)(i)
     
 
    1,250       1,206,250  
Citigroup, Inc., 5.90% (b)(f)(i)
     
 
    5,000       5,018,750  
Macquarie Bank Ltd., 10.25%, 6/20/57 (b)
     
 
    1,450       1,621,245  
Societe Generale SA, 6.00% (b)(c)(f)(i)
     
 
    4,825       4,584,329  
 
     
 
            12,430,574  
Insurance — 2.8%
                           
The Allstate Corp., 6.13%, 5/15/67 (b)(f)
     
 
    3,000       3,180,000  
AXA SA, 6.46% (b)(c)(f)(i)
     
 
    1,625       1,735,500  
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)(f)
     
 
    2,500       2,850,000  
Liberty Mutual Group, Inc.:
                           
7.00%, 3/07/67 (b)(c)(f)
     
 
    1,575       1,604,531  
7.80%, 3/07/87 (c)(f)
     
 
    1,500       1,800,000  
Swiss Re Capital I LP, 6.85% (b)(c)(f)(i)
     
 
    3,000       3,148,500  
Voya Financial, Inc., 5.65%, 5/15/53 (b)(f)
     
 
    3,500       3,631,250  
 
     
 
            17,949,781  
Total Capital Trusts — 8.2%
     
 
            53,064,120  

Preferred Stocks
     
 
    Shares           
Capital Markets — 0.9%
                           
The Goldman Sachs Group, Inc., Series J, 5.50% (b)(i)
     
 
    202,526       5,050,998  
SCE Trust III, 5.75% (b)(i)
     
 
    21,200       593,600  
 
     
 
            5,644,598  
Consumer Finance — 0.0%
     
 
               
Ally Financial, Inc., Series A, 8.50% (b)(i)
     
 
    8,657       229,757  
Diversified Financial Services — 0.5%
     
 
               
Morgan Stanley, 6.88% (b)
     
 
    120,000       3,254,400  
Diversified Telecommunication Services — 0.1%
Orange SA, 4.00% (b)
     
 
    200,000       243,600  
Total Preferred Stocks — 1.5%
     
 
            9,372,355  


See Notes to Financial Statements.

42 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Trust Preferreds           Shares   Value
 
Diversified Financial Services — 0.4%
                           
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)
     
 
    105,753      $ 2,743,203  
Total Preferred Securities — 10.1%
     
 
            65,179,678  

Warrants
 
 
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       16,542  
Total Long-Term Investments
(Cost — $919,176,254) — 141.6%
     
 
            919,340,000  
Short-Term Securities           Shares   Value
 
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (m)(n)
     
 
    1,278,380      $ 1,278,380  
Total Short-Term Securities
(Cost — $1,278,380) — 0.2%
     
 
            1,278,380  
Options Purchased
(Cost — $44,978) — 0.0%
     
 
             
Total Investments
(Cost — $920,499,612) — 141.8%
          920,618,380  
Liabilities in Excess of
Other Assets — (41.8)%
     
 
            (271,050,354
Net Assets — 100.0%
     
 
           $ 649,568,026  


Notes to Schedule of Investments

(a)      
Non-income producing security.
(b)      
Variable rate security. Rate shown is as of report date.
(c)      
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(d)      
When-issued security. Unsettled when-issued transactions were as follows:


Counterparty       Value   Unrealized
Appreciation/
(Depreciation)
BNP Paribas Securities Corp.
       $ 963,700        
Bank of America N.A.
        1,516,230      $ (6,063
Barclays Bank PLC
        3,536,922       (5,245
Citigroup Global Markets, Inc.
        2,210,874       24,319  
Credit Suisse Securities (USA) LLC
        292,175       3,625  
Deutsche Bank AG
        1,318,861       6,469  
J.P. Morgan Securities LLC
        482,394       394  
Merrill Lynch International
        380,334       1,738  
Morgan Stanley & Co. LLC
        3,420,973       2,410  
RBC Capital Markets, LLC
        1,925,325       19,350  

(e)      
Zero-coupon bond.
(f)      
All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(g)      
Represents a 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.
(h)      
Convertible security.
(i)      
Security is perpetual in nature and has no stated maturity date.
(j)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(k)      
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(l)      
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
(m)      
During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:


Affiliate       Shares
Held at
August 31, 2014
  Net
Activity
  Shares
Held at
February 28, 2015
              Income
BlackRock Liquidity Funds, TempFund, Institutional Class
        7,390,390       (6,112,010     1,278,380      $ 1,302  

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


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 43
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
 
     
As of February 28, 2015, reverse repurchase agreements outstanding were as follows:


Counterparty       Interest
Rate
  Trade
Date
  Maturity
Date1
  Face Value   Face Value
Including
Accrued
Interest
Barclays Capital, Inc.
     
0.35%
 
2/28/14
 
Open
   $  3,109,000      $  3,120,063  
Barclays Capital, Inc.
     
0.35%
 
2/28/14
 
Open
    3,202,000       3,213,394  
HSBC Securities (USA), Inc.
     
0.38%
 
3/10/14
 
Open
    6,339,571       6,363,394  
Deutsche Bank Securities, Inc.
     
0.60%
 
4/16/14
 
Open
    500,000       502,658  
Barclays Capital, Inc.
     
0.60%
 
4/17/14
 
Open
    611,000       614,238  
Barclays Capital, Inc.
     
0.60%
 
4/17/14
 
Open
    1,633,000       1,641,655  
Barclays Capital, Inc.
     
0.60%
 
4/17/14
 
Open
    278,000       279,473  
Barclays Capital, Inc.
     
0.60%
 
4/17/14
 
Open
    960,000       965,088  
Barclays Capital, Inc.
     
0.60%
 
4/17/14
 
Open
    502,000       504,661  
Barclays Capital, Inc.
     
0.60%
 
4/17/14
 
Open
    1,244,000       1,249,743  
HSBC Securities (USA), Inc.
     
0.55%
 
5/9/14
 
Open
    1,125,643       1,130,734  
Deutsche Bank Securities, Inc.
     
0.60%
 
5/13/14
 
Open
    933,000       937,541  
Deutsche Bank Securities, Inc.
     
0.60%
 
5/13/14
 
Open
    1,049,000       1,054,105  
UBS Securities LLC
     
0.35%
 
5/13/14
 
Open
    1,693,000       1,697,806  
UBS Securities LLC
     
0.45%
 
5/13/14
 
Open
    811,000       813,960  
UBS Securities LLC
     
(0.50)%
 
5/13/14
 
Open
    980,000       976,026  
UBS Securities LLC
     
0.55%
 
5/13/14
 
Open
    2,326,000       2,336,377  
UBS Securities LLC
     
0.55%
 
5/13/14
 
Open
    788,000       791,515  
Barclays Capital, Inc.
     
0.40%
 
5/14/14
 
Open
    3,311,000       3,321,706  
Deutsche Bank Securities, Inc.
     
0.60%
 
5/27/14
 
Open
    700,000       703,243  
Barclays Capital, Inc.
     
(1.75)%
 
6/25/14
 
Open
    518,870       512,590  
Barclays Capital, Inc.
     
0.60%
 
7/2/14
 
Open
    1,288,000       1,293,195  
UBS Securities LLC
     
0.65%
 
7/11/14
 
Open
    411,750       413,482  
Barclays Capital, Inc.
     
0.60%
 
7/15/14
 
Open
    1,208,000       1,212,611  
HSBC Securities (USA), Inc.
     
0.55%
 
7/23/14
 
Open
    2,410,417       2,418,555  
BNP Paribas Securities Corp.
     
0.59%
 
8/12/14
 
Open
    855,000       857,817  
BNP Paribas Securities Corp.
     
0.59%
 
8/12/14
 
Open
    643,000       645,118  
HSBC Securities (USA), Inc.
     
0.55%
 
9/16/14
 
Open
    1,227,506       1,230,619  
HSBC Securities (USA), Inc.
     
0.55%
 
9/16/14
 
Open
    3,164,425       3,172,450  
HSBC Securities (USA), Inc.
     
0.55%
 
9/16/14
 
Open
    3,386,250       3,394,838  
HSBC Securities (USA), Inc.
     
0.55%
 
9/16/14
 
Open
    2,793,750       2,800,835  
HSBC Securities (USA), Inc.
     
0.55%
 
9/16/14
 
Open
    2,269,975       2,275,732  
HSBC Securities (USA), Inc.
     
0.55%
 
9/16/14
 
Open
    3,108,750       3,116,634  
HSBC Securities (USA), Inc.
     
0.55%
 
9/16/14
 
Open
    2,991,199       2,998,785  
HSBC Securities (USA), Inc.
     
0.55%
 
9/16/14
 
Open
    2,378,880       2,384,913  
HSBC Securities (USA), Inc.
     
0.60%
 
9/16/14
 
Open
    2,669,040       2,676,424  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    1,242,000       1,245,415  
Barclays Capital, Inc.
     
0.44%
 
9/17/14
 
Open
    1,061,000       1,063,140  
Barclays Capital, Inc.
     
0.55%
 
9/17/14
 
Open
    1,278,000       1,281,222  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    1,239,000       1,242,407  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    489,000       490,345  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    942,000       944,590  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    869,000       871,390  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    1,175,000       1,178,231  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    941,000       943,588  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    657,000       658,807  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    833,000       835,291  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    658,000       659,810  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    877,000       879,412  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    716,000       717,969  
Barclays Capital, Inc.
     
0.60%
 
9/17/14
 
Open
    629,000       630,730  
RBC Capital Markets LLC
     
0.65%
 
9/18/14
 
Open
    620,940       622,779  
RBC Capital Markets LLC
     
0.34%
 
9/19/14
 
Open
    598,400       599,321  
RBC Capital Markets LLC
     
0.34%
 
9/19/14
 
Open
    967,725       969,215  
RBC Capital Markets LLC
     
0.34%
 
9/19/14
 
Open
    349,800       350,836  
RBC Capital Markets LLC
     
0.65%
 
9/19/14
 
Open
    693,000       695,040  
RBC Capital Markets LLC
     
0.65%
 
9/19/14
 
Open
    576,850       578,548  
RBC Capital Markets LLC
     
0.65%
 
9/19/14
 
Open
    548,250       549,864  
HSBC Securities (USA), Inc.
     
0.55%
 
9/22/14
 
Open
    1,873,585       1,878,165  
HSBC Securities (USA), Inc.
     
0.55%
 
9/22/14
 
Open
    1,447,800       1,451,339  
HSBC Securities (USA), Inc.
     
0.55%
 
9/22/14
 
Open
    834,063       836,101  
HSBC Securities (USA), Inc.
     
0.55%
 
9/22/14
 
Open
    905,450       907,663  
HSBC Securities (USA), Inc.
     
0.55%
 
9/22/14
 
Open
    796,800       798,748  
HSBC Securities (USA), Inc.
     
0.55%
 
9/22/14
 
Open
    820,124       822,128  
HSBC Securities (USA), Inc.
     
0.60%
 
9/22/14
 
Open
    1,019,323       1,022,041  


See Notes to Financial Statements.

44 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
 
       
As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued):


Counterparty       Interest
Rate
  Trade
Date
  Maturity
Date1
  Face Value   Face Value
Including
Accrued
Interest
HSBC Securities (USA), Inc.
     
0.60%
 
9/22/14
 
Open
   $ 908,040      $ 910,461  
HSBC Securities (USA), Inc.
     
0.60%
 
9/22/14
 
Open
    891,053       893,429  
HSBC Securities (USA), Inc.
     
0.60%
 
9/22/14
 
Open
    935,588       938,082  
HSBC Securities (USA), Inc.
     
0.60%
 
9/22/14
 
Open
    856,069       858,352  
HSBC Securities (USA), Inc.
     
0.65%
 
9/22/14
 
Open
    833,565       835,973  
UBS Securities LLC
     
0.48%
 
9/22/14
 
Open
     2,610,000        2,615,568  
UBS Securities LLC
     
0.50%
 
9/22/14
 
Open
    4,400,000       4,409,778  
UBS Securities LLC
     
0.50%
 
9/22/14
 
Open
    3,027,575       3,034,303  
UBS Securities LLC
     
0.50%
 
9/22/14
 
Open
    4,071,094       4,080,141  
Deutsche Bank Securities, Inc.
     
0.50%
 
10/2/14
 
Open
    1,437,000       1,439,994  
Deutsche Bank Securities, Inc.
     
0.60%
 
10/2/14
 
Open
    1,284,000       1,287,210  
Deutsche Bank Securities, Inc.
     
0.60%
 
10/2/14
 
Open
    739,000       740,848  
Deutsche Bank Securities, Inc.
     
0.60%
 
10/2/14
 
Open
    1,316,000       1,319,290  
Deutsche Bank Securities, Inc.
     
0.60%
 
10/2/14
 
Open
    729,000       730,823  
Deutsche Bank Securities, Inc.
     
0.60%
 
10/2/14
 
Open
    1,176,000       1,178,940  
Deutsche Bank Securities, Inc.
     
0.60%
 
10/2/14
 
Open
    1,019,000       1,021,547  
Deutsche Bank Securities, Inc.
     
0.59%
 
10/30/14
 
Open
    617,865       619,121  
Deutsche Bank Securities, Inc.
     
0.60%
 
11/5/14
 
Open
    1,598,000       1,601,089  
BNP Paribas Securities Corp.
     
0.34%
 
11/7/14
 
Open
    7,278,000       7,285,836  
RBC Capital Markets LLC
     
0.65%
 
11/17/14
 
Open
    445,950       446,787  
HSBC Securities (USA), Inc.
     
0.35%
 
11/25/14
 
Open
    1,557,268       1,558,721  
HSBC Securities (USA), Inc.
     
0.55%
 
11/25/14
 
Open
    512,775       513,527  
HSBC Securities (USA), Inc.
     
0.55%
 
11/25/14
 
Open
    516,313       517,070  
HSBC Securities (USA), Inc.
     
0.35%
 
11/28/14
 
Open
    603,000       603,545  
HSBC Securities (USA), Inc.
     
0.55%
 
12/3/14
 
Open
    349,594       350,064  
HSBC Securities (USA), Inc.
     
0.55%
 
12/3/14
 
Open
    501,830       502,505  
HSBC Securities (USA), Inc.
     
0.55%
 
12/3/14
 
Open
    587,813       588,603  
RBC Capital Markets LLC
     
0.34%
 
12/3/14
 
Open
    305,020       305,274  
RBC Capital Markets LLC
     
0.34%
 
12/3/14
 
Open
    315,180       315,442  
RBC Capital Markets LLC
     
0.45%
 
12/3/14
 
Open
    330,225       330,588  
BNP Paribas Securities Corp.
     
0.64%
 
12/4/14
 
Open
    564,000       564,872  
BNP Paribas Securities Corp.
     
0.64%
 
12/4/14
 
Open
    595,000       595,920  
BNP Paribas Securities Corp.
     
0.64%
 
12/4/14
 
Open
    745,000       746,152  
RBC Capital Markets LLC
     
0.65%
 
12/4/14
 
Open
    1,509,450       1,511,821  
UBS Securities LLC
     
0.55%
 
12/9/14
 
Open
    1,878,000       1,880,353  
UBS Securities LLC
     
0.55%
 
12/9/14
 
Open
    2,160,000       2,162,706  
UBS Securities LLC
     
0.55%
 
12/9/14
 
Open
    2,025,000       2,027,537  
UBS Securities LLC
     
0.55%
 
12/9/14
 
Open
    1,800,000       1,802,255  
UBS Securities LLC
     
0.55%
 
12/9/14
 
Open
    2,035,000       2,037,549  
UBS Securities LLC
     
0.55%
 
12/9/14
 
Open
    1,700,000       1,702,130  
UBS Securities LLC
     
0.55%
 
12/9/14
 
Open
    1,580,000       1,581,979  
UBS Securities LLC
     
0.55%
 
12/9/14
 
Open
    1,865,000       1,867,336  
HSBC Securities (USA), Inc.
     
0.65%
 
12/10/14
 
Open
    678,902       679,895  
HSBC Securities (USA), Inc.
     
0.65%
 
12/15/14
 
Open
    1,652,400       1,654,667  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    295,000       295,364  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,344,000       1,345,658  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,211,000       1,212,494  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    799,000       799,985  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    787,000       787,971  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,273,000       1,274,570  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,416,000       1,417,746  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    729,000       729,899  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,025,000       1,026,264  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    702,000       702,866  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    395,000       395,487  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    611,000       611,754  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,968,000       1,970,427  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    693,000       693,855  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    694,000       694,856  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    768,000       768,947  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    819,000       820,010  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,211,000       1,212,494  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    763,000       763,941  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    649,000       649,800  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    344,000       344,424  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 45
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
 
       
As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued):


Counterparty       Interest
Rate
  Trade
Date
  Maturity
Date1
  Face Value   Face Value
Including
Accrued
Interest
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
   $  1,181,000      $  1,182,457  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    193,000       193,238  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,503,000       1,504,854  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    401,000       401,495  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,000,000       1,001,233  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    947,000       948,168  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    391,000       391,482  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    456,000       456,562  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,021,000       1,022,259  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    913,000       914,126  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,474,000       1,475,818  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,025,000       1,026,264  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    138,000       138,170  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    574,000       574,708  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,582,000       1,583,951  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,291,000       1,292,592  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    384,000       384,474  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,173,000       1,174,447  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    397,000       397,490  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    521,000       521,643  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    79,000       79,097  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    819,000       820,010  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    868,000       869,071  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,093,000       1,094,348  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    797,000       797,983  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    967,000       968,193  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    993,000       994,225  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    721,000       721,889  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    465,000       465,574  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,346,000       1,347,660  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,479,000       1,480,824  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    473,000       473,583  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    450,000       450,555  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,549,000       1,550,910  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    122,000       122,150  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    828,000       829,021  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    488,000       488,602  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    944,000       945,164  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    765,000       765,944  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    541,000       541,667  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    713,000       713,879  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    569,000       569,702  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/17/14
 
Open
    1,483,000       1,484,829  
Barclays Capital, Inc.
     
0.60%
 
12/18/14
 
Open
    370,000       370,450  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/18/14
 
Open
    462,000       462,562  
Deutsche Bank Securities, Inc.
     
0.60%
 
12/18/14
 
Open
    760,000       760,925  
UBS Securities LLC
     
0.40%
 
12/18/14
 
Open
    2,857,500       2,859,818  
UBS Securities LLC
     
0.50%
 
12/18/14
 
Open
    1,234,955       1,236,207  
UBS Securities LLC
     
0.55%
 
12/18/14
 
Open
    419,738       420,206  
UBS Securities LLC
     
0.55%
 
12/18/14
 
Open
    600,838       601,508  
Credit Suisse Securities (USA) LLC
     
0.50%
 
12/19/14
 
Open
    5,929,000       5,933,743  
Credit Suisse Securities (USA) LLC
     
0.50%
 
12/19/14
 
Open
    3,025,000       3,027,420  
Credit Suisse Securities (USA) LLC
     
0.50%
 
12/19/14
 
Open
    1,199,000       1,199,959  
Credit Suisse Securities (USA) LLC
     
0.50%
 
12/19/14
 
Open
    1,426,000       1,427,426  
UBS Securities LLC
     
0.60%
 
12/19/14
 
Open
    979,200       980,375  
UBS Securities LLC
     
0.60%
 
12/19/14
 
Open
    1,036,925       1,038,169  
UBS Securities LLC
     
0.60%
 
12/19/14
 
Open
    1,050,975       1,052,236  
UBS Securities LLC
     
0.60%
 
12/19/14
 
Open
    845,813       846,827  
UBS Securities LLC
     
0.65%
 
12/19/14
 
Open
    855,221       856,333  
UBS Securities LLC
     
0.65%
 
12/19/14
 
Open
    1,031,835       1,033,176  
UBS Securities LLC
     
0.65%
 
12/19/14
 
Open
    1,676,111       1,678,290  
Credit Suisse Securities (USA) LLC
     
0.50%
 
12/19/14
 
Open
    1,309,000       1,310,309  


See Notes to Financial Statements.

46 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
 
       
As of February 28, 2015, reverse repurchase agreements outstanding were as follows (concluded):


Counterparty       Interest
Rate
  Trade
Date
  Maturity
Date1
  Face
Value
  Face Value
Including
Accrued
Interest
Deutsche Bank Securities, Inc.
     
0.60%
 
1/6/15
 
Open
   $ 427,000      $ 427,384  
Deutsche Bank Securities, Inc.
     
0.60%
 
1/13/15
 
Open
    1,523,000       1,524,193  
Deutsche Bank Securities, Inc.
     
0.60%
 
1/15/15
 
Open
    1,171,000       1,171,878  
HSBC Securities (USA), Inc.
     
0.60%
 
1/26/15
 
Open
    354,848       355,049  
Deutsche Bank Securities, Inc.
     
0.60%
 
2/4/15
 
Open
    495,000       495,206  
HSBC Securities (USA), Inc.
     
0.60%
 
2/4/15
 
Open
    1,260,850       1,261,375  
UBS Securities LLC
     
0.55%
 
2/6/15
 
Open
    959,669       960,006  
Deutsche Bank Securities, Inc.
     
0.60%
 
2/11/15
 
Open
    642,000       642,193  
Morgan Stanley & Co. LLC
     
0.22%
 
2/18/15
 
3/18/15
    20,134,000       20,134,639  
HSBC Securities (USA), Inc.
     
0.55%
 
2/23/15
 
Open
    560,057       560,108  
HSBC Securities (USA), Inc.
     
0.55%
 
2/23/15
 
Open
    701,000       701,064  
HSBC Securities (USA), Inc.
     
0.55%
 
2/23/15
 
Open
    680,432       680,494  
HSBC Securities (USA), Inc.
     
0.55%
 
2/23/15
 
Open
    168,558       168,574  
HSBC Securities (USA), Inc.
     
0.55%
 
2/23/15
 
Open
    342,791       342,822  
HSBC Securities (USA), Inc.
     
0.55%
 
2/23/15
 
Open
    161,738       161,753  
HSBC Securities (USA), Inc.
     
0.55%
 
2/23/15
 
Open
    214,500       214,520  
HSBC Securities (USA), Inc.
     
0.55%
 
2/25/15
 
Open
    1,864,800       1,864,914  
HSBC Securities (USA), Inc.
     
0.55%
 
2/25/15
 
Open
    1,633,631       1,633,731  
HSBC Securities (USA), Inc.
     
0.55%
 
2/25/15
 
Open
    955,966       956,025  
HSBC Securities (USA), Inc.
     
0.55%
 
2/25/15
 
Open
    852,840       852,892  
HSBC Securities (USA), Inc.
     
0.55%
 
2/25/15
 
Open
    740,631       740,677  
HSBC Securities (USA), Inc.
     
0.55%
 
2/25/15
 
Open
    790,935       790,983  
HSBC Securities (USA), Inc.
     
0.60%
 
2/25/15
 
Open
    832,050       832,105  
HSBC Securities (USA), Inc.
     
0.60%
 
2/25/15
 
Open
    721,000       721,048  
HSBC Securities (USA), Inc.
     
0.65%
 
2/25/15
 
Open
    986,790       986,861  
HSBC Securities (USA), Inc.
     
0.65%
 
2/25/15
 
Open
    856,163       856,224  
RBC Capital Markets LLC
     
(1.00)%
 
2/25/15
 
Open
    328,440       328,404  
UBS Securities LLC
     
0.55%
 
2/25/15
 
Open
    655,785       655,825  
UBS Securities LLC
     
0.55%
 
2/25/15
 
Open
    712,215       712,259  
UBS Securities LLC
     
0.55%
 
2/25/15
 
Open
    742,646       742,692  
UBS Securities LLC
     
0.55%
 
2/25/15
 
Open
    669,818       669,858  
UBS Securities LLC
     
0.55%
 
2/25/15
 
Open
    670,766       670,807  
Deutsche Bank Securities, Inc.
     
0.60%
 
2/26/15
 
Open
    1,121,000       1,121,056  
RBC Capital Markets LLC
     
(2.00)%
 
2/26/15
 
Open
    326,525       326,471  
Deutsche Bank Securities, Inc.
     
0.60%
 
2/27/15
 
Open
    687,206       687,234  
Total
     
 
 
 
 
 
   $ 278,245,466      $ 278,720,582  
1 Certain agreements have no stated maturity and can be terminated by either party at any time.

     
As of February 28, 2015, financial futures contracts outstanding were as follows:


Contracts
Long/Short
      Issue   Exchange   Expiration   Notional
Value
  Unrealized
Appreciation
(Depreciation)
 
(62)
     
5-Year U.S. Treasury Note
 
Chicago Board of Trade
 
June 2015
    USD       7,395,438      $ (8,161
(137)
     
10-Year U.S. Treasury Note
 
Chicago Board of Trade
 
June 2015
    USD       17,508,172       (29,043
(116)
     
Long U.S. Treasury Bond
 
Chicago Board of Trade
 
June 2015
    USD       18,773,875       (102,021
82
     
Ultra Long U.S. Treasury Bond
 
Chicago Board of Trade
 
June 2015
    USD       13,799,063       117,889  
Total
     
 
 
 
 
 
                   $ (21,336


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 47
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
 
     
As of February 28, 2015, forward foreign currency contracts outstanding were as follows:


Currency Purchased Currency Sold Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
 
EUR
        170,000    
USD
    192,475    
State Street Bank and Trust Co.
 
4/21/15
   $ (2,128
GBP
        208,000    
USD
    318,638    
Citibank N.A.
 
4/21/15
    2,375  
GBP
        1,258,000    
USD
    1,908,756    
Toronto Dominion Bank
 
4/21/15
    32,754  
USD
        1,262,870    
CAD
    1,511,000    
UBS AG
 
4/21/15
    55,022  
USD
        115,941    
EUR
    101,000    
Bank of America N.A.
 
4/21/15
    2,852  
USD
        478,274    
EUR
    419,000    
Bank of America N.A.
 
4/21/15
    9,123  
USD
        108,684    
EUR
    97,000    
Bank of America N.A.
 
4/21/15
    74  
USD
        21,343,230    
EUR
    18,495,000    
Citibank N.A.
 
4/21/15
    634,520  
USD
        171,470    
EUR
    151,000    
Goldman Sachs & Co.
 
4/21/15
    2,396  
USD
        118,571    
EUR
    104,000    
Royal Bank of Scotland PLC
 
4/21/15
    2,123  
USD
        254,601    
EUR
    225,000    
UBS AG
 
4/21/15
    2,670  
USD
        30,650,886    
GBP
    20,206,000    
Bank of America N.A.
 
4/21/15
    (533,656
Total
             
 
         
 
 
 
   $ 208,125  

     
As of February 28, 2015, OTC options purchased were as follows:


Description       Counterparty   Put/
Call
  Strike
Price
  Expiration
Date
  Contracts   Value  
Marsico Parent Superholdco LLC
     
Goldman Sachs & Co.
 
Call
 
USD        942.86
 
12/14/19
 
46
 
 

     
As of February 28, 2015, centrally cleared interest rate swaps outstanding were as follows:


Fixed
Rate
      Floating
Rate
  Clearinghouse   Expiration
Date
  Notional
Amount
(000)
  Unrealized
Appreciation
(Depreciation)
 
2.54%
     
3-month LIBOR
 
Chicago Mercantile
 
9/04/24
 
USD
    18,700      $ 737,007  
2.60%
     
3-month LIBOR
 
Chicago Mercantile
 
9/04/24
 
USD
    18,700       (740,932
Total
     
 
 
 
 
 
 
 
           $ (3,925

     
As of February 28, 2015, OTC credit default swaps — buy protection outstanding were as follows:

Issuer       Pay
Fixed
Rate
  Counterparty   Expiration
Date
  Notional
Amount
(000)
  Value   Premiums
Paid
  Unrealized
Depreciation
Westpac Banking Corp.
     
1.00%
 
Deutsche Bank AG
 
9/20/17
 
USD       1
 
$  (9)
   $ 8    $        (17
Australia & New Zealand Banking Group Ltd.
     
1.00%
 
Deutsche Bank AG
 
9/20/17
 
USD       1
 
  (10)
    8               (18
Total
     
 
 
 
 
 
 
 
 
$(19)
   $ 16    $            (35

     
As of February 28, 2015, OTC interest rate swaps outstanding were as follows:


Fixed
Rate
      Floating
Rate
  Counterparty/
Clearinghouse
    Expiration
Date
  Notional
Amount
(000)
  Market
Value
  Premiums
Received
    Unrealized
Depreciation
11.15%
     
1-Day BROIS
 
Deutsche Bank AG
   
1/04/16
 
BRL  56,933
$(310,158)   $ (593)     $ (309,565)  

•       
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.
•       
Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. 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 categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:
•       
Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the 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 the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)


See Notes to Financial Statements.

48 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
 
       
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.
         
       
As of February 28, 2015, 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
             $ 85,777,260      $ 15,455,887      $ 101,233,147  
Common Stocks
       $ 2,543,742       822,736       565,124       3,931,602  
Corporate Bonds
              338,101,367       8,966,799       347,068,166  
Floating Rate Loan Interests
              256,723,451       21,643,184       278,366,635  
Foreign Agency Obligations
              9,849,569             9,849,569  
Non-Agency Mortgage-Backed Securities
              73,776,126       6,937,125       80,713,251  
Other Interests
                    8,750       8,750  
Preferred Securities
        11,871,958       51,676,995             63,548,953  
U.S. Government Sponsored Agency Securities
              34,603,385             34,603,385  
Warrants
                    16,542       16,542  
Money Market Funds
        1,278,380                   1,278,380  
Total
       $  15,694,080      $  851,330,889      $  53,593,411      $  920,618,380  


        Level 1   Level 2   Level 3   Total
Derivative Financial Instruments1
                                   
Assets:
                                   
Interest rate contracts
       $ 117,889      $ 737,007            $ 854,896  
Foreign currency exchange contracts
                743,909               743,909  
Liabilities:
                                   
Interest rate contracts
        (139,225      (1,050,497            (1,189,722
Credit rate contracts
              (35           (35
Foreign currency exchange contracts
              (535,784           (535,784
Total
       $  (21,336    $ (105,400          $ (126,736

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

       
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


        Level 1   Level 2   Level 3   Total
Assets:
                                   
Cash
       $ 1,186,592                  $ 1,186,592  
Cash pledged for financial futures contracts
        469,500                   469,500  
Cash pledged as collateral for reverse repurchase agreements
        600,000                   600,000  
Cash pledged as collateral for OTC derivatives
        90,000                   90,000  
Cash pledged for centrally cleared swaps
        10,000                   10,000  
Foreign currency at value
        19,657                   19,657  
Liabilities:
                                   
Reverse repurchase agreements
             $ (278,720,582           (278,720,582
Cash received as collateral for reverse repurchase agreements
              (198,000           (198,000
Total
       $  2,375,749      $ (278,918,582          $ (276,542,833


See Notes to Financial Statements.
 
 

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 49
 
   
Consolidated 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:


        Common
Stocks
  Asset-Backed
Securities
  Corporate
Bonds
  Floating Rate
Loan Interests
  Non-Agency
Mortgage-
Backed
Securities
  Other
Interests
  Unfunded
Floating Rate
Loan Interests
(Liabilities)
Warrants   Total  
Assets:
                                                           
Opening Balance, as of August 31, 2014
       $ 2,748,166      $ 14,418,405      $ 8,907,388      $ 33,197,391            $ 8,750      $ (175
 
  $59,279,925
 
Transfers into Level 31
                          5,568,235                    
$14,419
 
5,582,654
 
Transfers out of Level 32
              (10,116,243           (14,142,897                  
 
(24,259,140)
 
Accrued discounts/premiums
              (41,233     (464     23,665      $ 915              
 
(17,117)
 
Net realized gain
        (1     (413,707     (3,036,848     30,133                    
 
(3,420,423)
 
Net change in unrealized appreciation/
depreciation
        (2,183,041     451,169       2,973,382       (379,501     33,293             175  
2,123
 
897,600
 
Purchases
              12,120,799       495,529       3,501,575       6,902,917              
 
23,020,820
 
Sales
              (963,303     (372,188     (6,155,417                  
 
(7,490,908)
 
Closing Balance, as of
February 28, 2015
       $ 565,124      $ 15,455,887      $ 8,966,799      $ 21,643,184       6,937,125      $ 8,750        
$16,542
 
$53,593,411
 
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20154
       $ (2,183,041    $ 455,869      $ (435,653    $ (430,583    $ 33,293              
$2,123
 
$(2,557,992)
 

1 As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $5,582,654 transferred from Level 2 to Level 3 in the disclosure hierarchy.

2 As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $24,259,140 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 Statements of Operations.

4 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.



See Notes to Financial Statements.

50 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Statements of Assets and Liabilities 
February 28, 2015 (Unaudited)
         BlackRock
Defined
Opportunity
Credit Trust
(BHL)
     BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
     BlackRock
Limited
Duration
Income Trust
(BLW)1
 
Assets
Investments at value — unaffiliated2
        $ 181,616,611         $ 805,139,034         $ 919,340,000   
Investments at value — affiliated3
                                   1,278,380   
Cash
           99,981            3,119,964            1,186,592   
Cash pledged for financial futures contracts
                                   469,500   
Investments sold receivable
           2,453,293            10,681,703            11,845,366   
Cash pledged as collateral for reverse repurchase agreements
                                   600,000   
Interest receivable
           1,029,697            4,563,142            9,274,118   
Swaps receivable
                                   1,827,734   
Unrealized appreciation on forward foreign currency exchange contracts
           12,042            148,623            743,909   
Foreign currency at value4
           2,102            2,192            19,657   
Variation margin receivable on financial futures contracts
                                   45,109   
Cash pledged as collateral for OTC derivatives
                                   90,000   
Dividends receivable
                                   1,696   
Principal paydowns receivable
                                   735    
Swap premiums paid
                                   16    
Cash pledged for centrally cleared swaps
                                   10,000   
Deferred offering costs
                       16,873            18,165   
Prepaid expenses
           1,942            12,945            15,685   
Other assets
                                   269,432   
Total assets
           185,215,668            823,684,476            947,036,094   
 
Liabilities
Bank borrowings payable
           52,000,000            231,000,000               
Reverse repurchase agreements
                                   278,720,582   
Investments purchased payable
           5,912,195            27,649,265            14,770,319   
Swaps payable
                                   1,827,799   
Investment advisory fees payable
           137,069            455,019            386,139   
Unrealized depreciation on forward foreign currency exchange contracts
           15,431            60,728            535,784   
Officer’s and Directors’ fees payable
           2,514            10,772            352,319   
Unrealized depreciation on OTC derivatives
                                   309,600   
Income dividends payable
           77,967            125,024            91,109   
Interest expense payable
           38,190            167,451               
Cash received as collateral for reverse repurchase agreements
                                   198,000   
Variation margin payable on financial futures contracts
                                   29,276   
Variation margin payable on centrally cleared swaps
                                   1,135   
Swap premiums received
                                   593    
Offering costs payable
                       10,007            12,486   
Other accrued expenses payable
           113,331            253,770            232,927   
Total liabilities
           58,296,697            259,732,036            297,468,068   
Net Assets
        $ 126,918,971         $ 563,952,440         $ 649,568,026   
 
Net Assets Consist of
Paid-in capital5,6,7
        $ 128,319,712         $ 660,033,945         $ 703,327,827   
Distributions in excess of net investment income
           (86,327 )           (674,343 )           (3,396,935 )  
Accumulated net realized loss
           (408,152 )           (85,588,374 )           (50,589,792 )  
Net unrealized appreciation/depreciation
           (906,262 )           (9,818,788 )           226,926   
Net Assets
        $ 126,918,971         $ 563,952,440         $ 649,568,026   
Net asset value per share
        $ 14.03         $ 15.15         $ 17.55   
1  Consolidated Statement of Assets and Liabilities
                                                            
2  Investments at cost — unaffiliated
        $   182,519,416         $   815,045,713         $   919,221,232   
3  Investments at cost — affiliated
                                $ 1,278,380   
4  Foreign currency at cost
        $ 2,170         $ 2,196         $ 19,623   
5  Par value per share
        $ 0.001         $ 0.100         $ 0.001   
6  Shares outstanding
           9,044,041            37,232,488            37,003,854   
7  Shares authorized
           unlimited             200 million             unlimited    
See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 51
 
   
Statements of Operations  
Six Months Ended February 28, 2015 (Unaudited)
         BlackRock
Defined
Opportunity
Credit Trust
(BHL)
     BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
     BlackRock
Limited
Duration
Income Trust
(BLW)1
 
Investment Income
Interest
        $ 4,407,091         $ 19,430,864         $ 25,016,227   
Dividends — unaffiliated
           34,993            152,649            413,875   
Dividends — affiliated
           142             144             1,302   
Total income
           4,442,226            19,583,657            25,431,404   
 
Expenses
Investment advisory
           891,891            2,954,158            2,553,119   
Custodian
           38,567            120,385            91,962   
Professional
           56,091            61,537            97,998   
Accounting services
           15,548            50,326            46,526   
Offering
                       51,761            55,725   
Transfer agent
           13,009            31,677            37,997   
Officer and Directors
           5,772            25,161            32,770   
Printing
           6,674            11,792            13,048   
Registration
           4,700            7,017            6,433   
Miscellaneous
           15,156            30,920            51,503   
Total expenses excluding interest expense and income tax
           1,047,408            3,344,734            2,987,081   
Interest expense
           242,477            1,074,203            716,387   
Income tax
                       4,878               
Total expenses
           1,289,885            4,423,815            3,703,468   
Less fees waived by Manager
           (133 )           (178 )           (2,027 )  
Total expenses after fees waived and paid indirectly
           1,289,752            4,423,637            3,701,441   
Net investment income
           3,152,474            15,160,020            21,729,963   
 
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
                                                            
Investments
           (688,453 )           (4,002,462 )           (7,582,951 )  
Financial futures contracts
                                   (1,801,111 )  
Foreign currency transactions
           276,813            1,296,164            8,018,051   
Options written
                                   93,500   
Swaps
                                   (18,449 )  
 
           (411,640 )           (2,706,298 )           (1,290,960 )  
Net change in unrealized appreciation/depreciation on:
                                                            
Investments
           (1,104,006 )           (5,600,249 )           (12,525,932 )  
Financial futures contracts
                                   72,226   
Foreign currency translations
           (82,584 )           (238,324 )           (1,818,176 )  
Options written
                                   (11,948 )  
Swaps
                                   (291,389 )  
Unfunded floating rate loan interests
           6,227            27,493            2,520   
 
           (1,180,363 )           (5,811,080 )           (14,572,699 )  
Net realized and unrealized loss
           (1,592,003 )           (8,517,378 )           (15,863,659 )  
Net Increase in Net Assets Resulting from Operations
        $     1,560,471         $     6,642,642         $     5,866,304   
1 Consolidated Statement of Operations.
See Notes to Financial Statements.

52 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Statements of Changes in Net Assets   BlackRock Defined Opportunity Credit Trust (BHL)
         Six Months
Ended February 28,
     Year Ended
August 31,
Increase (Decrease) in Net Assets:
         2015 (Unaudited)      2014
 
Operations
Net investment income
        $ 3,152,474         $ 6,953,558   
Net realized gain (loss)
           (411,640 )           1,555,241   
Net change in unrealized appreciation/depreciation
           (1,180,363 )           (1,214,434 )  
Net increase in net assets resulting from operations
           1,560,471            7,294,365   
 
Distributions to Shareholders From1
Net investment income
           (3,705,740 )           (7,542,730 )  
Net realized gain
           (1,286,571 )              
Decrease in net assets resulting from distributions to shareholders
           (4,992,311 )           (7,542,730 )  
 
Net Assets
Total decrease in net assets
           (3,431,840 )           (248,365 )  
Beginning of period
           130,350,811            130,599,176   
End of period
        $   126,918,971         $   130,350,811   
Undistributed (distributions in excess of) net investment income, end of period
        $ (86,327 )        $ 466,939   
1 Distributions for annual periods determined in accordance with federal income tax regulations.
See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 53
 
   
Consolidated Statements of Changes in Net Assets BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
         Six Months
Ended February 28,
     Year Ended
August 31,
Increase (Decrease) in Net Assets:
         2015 (Unaudited)      2014
 
Operations
Net investment income
        $ 15,160,020         $ 32,487,698   
Net realized gain (loss)
           (2,706,298 )           606,314   
Net change in unrealized appreciation/depreciation
           (5,811,080 )           771,265   
Net increase in net assets resulting from operations
           6,642,642            33,865,277   
 
Distributions to Shareholders From1
Net investment income
           (15,153,623 )           (33,203,943 )  
 
Net Assets
Total increase (decrease) in net assets
           (8,510,981 )           661,334   
Beginning of period
           572,463,421            571,802,087   
End of period
        $   563,952,440         $   572,463,421   
Distributions in excess of net investment income, end of period
        $ (674,343 )        $ (680,740 )  
1 Distributions for annual periods determined in accordance with federal income tax regulations.
See Notes to Financial Statements.

54 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Consolidated Statements of Changes in Net Assets   BlackRock Limited Duration Income Trust (BLW)
         Six Months Ended
February 28,
     Year Ended
August 31,
Increase (Decrease) in Net Assets:
         2015 (Unaudited)      2014
 
Operations
Net investment income
        $ 21,729,963         $ 46,667,443   
Net realized gain (loss)
           (1,290,960 )           4,294,232   
Net change in unrealized appreciation/depreciation
           (14,572,699 )           14,593,852   
Net increase in net assets resulting from operations
           5,866,304            65,555,527   
 
Distributions to Shareholders From1
Net investment income
           (25,680,675 )           (45,292,717 )  
 
Net Assets
Total increase (decrease) in net assets
           (19,814,371 )           20,262,810   
Beginning of period
           669,382,397            649,119,587   
End of period
        $   649,568,026         $   669,382,397   
Undistributed (distributions in excess of) net investment income, end of period
        $ (3,396,935 )        $ 553,777   
1 Distributions for annual periods determined in accordance with federal income tax regulations.
See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 55
 
   
Statements of Cash Flows    
Six Months Ended February 28, 2015 (Unaudited)
         BlackRock
Defined
Opportunity
Credit Trust
(BHL)
     BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)
     BlackRock
Limited
Duration
Income Trust
(BLW)
 
Cash Provided by Operating Activities
Net increase in net assets resulting from operations
        $ 1,560,471         $ 6,642,642         $ 5,866,304   
Adjustments to reconcile net increase in net assets
resulting from operations to net cash provided by operating activities:
                                                            
(Increase) decrease in interest receivable
           (4,764 )           (146,167 )           556,771   
Increase in swaps receivable
                                   (1,245,742 )  
(Increase) decrease in other assets
                       38,072            (3,500 )  
Increase in variation margin receivable on financial futures contracts
                                   (17,838 )  
Decrease in swap premiums paid
                                   3    
(Increase) decrease in prepaid expenses
           2,181            (3,562 )           (4,715 )  
Decrease in cash pledged for financial futures contracts
                                   186,000   
Decrease in cash pledged as collateral for OTC derivatives
           400,000                           
Increase in cash pledged as collateral for reverse repurchase agreements
                                   (592,000 )  
Increase in cash received for reverse repurchase agreements
                                   (304,000 )  
Decrease in investment advisory fees payable
           (16,059 )           (52,111 )           (63,975 )  
Decrease in interest expense and fees payable
           (987 )           (7,593 )           (184,054 )  
Decrease in other accrued expenses payable
           (15,848 )           (95,194 )           (29,779 )  
Increase in variation margin payable on financial futures contracts
                                   21,120   
Increase in variation margin payable on centrally cleared swaps
                                   1,135   
Increase in swaps payable
                                   1,263,852   
Decrease in swap premiums received
                                   (279 )  
Increase (decrease) in Officer’s and Directors’ fees payable
           (7 )           (354 )           16,717   
Net realized loss on investments and options written
           690,515            3,993,779            9,121,400   
Net unrealized loss on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests
           1,180,363            5,811,080            14,644,500   
Amortization of premium and accretion of discount on investments
           (154,587 )           (640,292 )           608,542   
Proceeds from sales of long-term investments
           34,040,314            148,755,225            188,043,486   
Purchases of long-term investments
           (32,662,955 )           (145,764,172 )           (183,537,385 )  
Net proceeds from sales of short-term securities
           2,958,501            3,456,864            6,112,010   
Premiums paid on closing options written
                                   (93,500 )  
Net cash provided by operating activities
           7,977,138            21,988,217            40,365,073   
 
Cash Used for Financing Activities
Net borrowing of reverse repurchase agreements
                                   (14,985,090 )  
Proceeds from bank borrowings
           22,000,000            78,000,000               
Payments for bank borrowings
           (25,000,000 )           (82,000,000 )              
Cash payments for offering costs
                       (75,129 )           (75,129 )  
Cash dividends paid to Common Shareholders
           (4,986,497 )           (15,150,512 )           (25,680,972 )  
Amortization of deferred offering costs
                       51,761            55,725   
Net cash used for financing activities
           (7,986,497 )           (19,173,880 )           (40,685,466 )  
 
Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations
        $ 18          $ 320          $ 16,533   
 
Cash and Foreign Currency
Net increase (decrease) in cash
           (9,341 )           2,814,657            (303,860 )  
Cash and foreign currency at beginning of period
           111,424            307,499            1,510,109   
Cash and foreign currency at end of period
        $ 102,083         $ 3,122,156         $ 1,206,249   
 
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest
        $ 243,464         $ 1,081,796         $ 900,441   
See Notes to Financial Statements.

56 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Financial Highlights   BlackRock Defined Opportunity Credit Trust (BHL)
         Six Months
Ended
February 28,
2015
(Unaudited)
     Year Ended August 31,
   
                2014      2013      2012      2011      2010
 
Per Share Operating Performance
Net asset value, beginning of period
        $ 14.41         $ 14.44         $ 14.12         $ 13.17         $ 13.55         $ 12.53   
Net investment income1
           0.35            0.77            0.87            0.85            0.86            0.85   
Net realized and unrealized gain (loss)
           (0.18 )           0.03            0.30            0.90            (0.45 )           0.87   
Net increase from investment operations
           0.17            0.80            1.17            1.75            0.41            1.72   
Distributions from:2
                                                                                                                        
Net investment income
           (0.41 )           (0.83 )           (0.85 )           (0.80 )           (0.79 )           (0.70 )  
Net realized gain
           (0.14 )                                                              
Total distributions
           (0.55 )           (0.83 )           (0.85 )           (0.80 )           (0.79 )           (0.70 )  
Net asset value, end of period
        $ 14.03         $ 14.41         $ 14.44         $ 14.12         $ 13.17         $ 13.55   
Market price, end of period
        $ 13.17         $ 13.84         $ 13.77         $ 13.94         $ 12.65         $ 12.86   
 
Total Return3  
Based on net asset value
           1.51%4            5.98%            8.52%            13.94%            2.93%            14.39%   
Based on market price
           (0.79)%4             6.75%            4.82%            17.12%            4.17%            23.33%   
 
Ratios to Average Net Assets
Total expenses
           2.04% 5           1.92%            1.92%            1.91%            2.02%            1.91%   
Total expenses after fees waived and paid indirectly
           2.04% 5           1.92%            1.92%            1.91%            2.02%            1.90%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           1.66% 5           1.60%            1.58% 6           1.61% 6           1.71%            1.65%   
Net investment income
           4.99% 5           5.31%            6.04%            6.24%            6.10%            6.40%   
 
Supplemental Data
Net assets, end of period (000)
        $   126,919         $   130,351         $   130,599         $   127,455         $   118,897         $   122,062   
Borrowings outstanding, end of period (000)
        $ 52,000         $ 55,000         $ 49,000         $ 55,000         $ 43,000         $ 24,000   
Asset coverage, end of period per $1,000
        $ 3,441         $ 3,370         $ 3,665         $ 3,317         $ 3,765         $ 6,086   
Portfolio turnover rate
           19%            59%            85%            53%            91%            102%   
1 Based on average shares outstanding.
2 Distributions for annual periods determined in accordance with federal income tax regulations.
3 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.
4 Aggregate total return.
5 Annualized.
6 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 costs was 1.57% and 1.52%, respectively.
See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 57
 
   
Financial Highlights   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
         Six Months
Ended
February 28,
20151
(Unaudited)
     Year Ended August 31,
   
                20141      20131      20121      2011      2010
 
Per Share Operating Performance
Net asset value, beginning of period
        $ 15.38         $ 15.36         $ 14.98         $ 14.04         $ 14.36         $ 12.93   
Net investment income2
           0.41            0.87            0.99            0.97            0.96            0.91   
Net realized and unrealized gain (loss)
           (0.23 )           0.04            0.42            0.90            (0.36 )           1.48   
Net increase from investment operations
           0.18            0.91            1.41            1.87            0.60            2.39   
Distributions from:3
                                                                                                                        
Net investment income
           (0.41 )           (0.89 )           (1.03 )           (0.93 )           (0.86 )           (0.94 )  
Net realized gain
                                                           (0.06 )           (0.02 )  
Total distributions
           (0.41 )           (0.89 )           (1.03 )           (0.93 )           (0.92 )           (0.96 )  
Net asset value, end of period
        $ 15.15         $ 15.38         $ 15.36         $ 14.98         $ 14.04         $ 14.36   
Market price, end of period
        $ 13.83         $ 14.26         $ 14.96         $ 15.20         $ 13.33         $ 14.61   
 
Total Return4  
Based on net asset value
           1.48%5            6.45%            9.68%            13.91%            4.04%             18.91%   
Based on market price
           (0.09)%5             1.33%            5.28%            21.74%            (2.91)%             27.59%   
 
Ratios to Average Net Assets
Total expenses
           1.59% 6           1.48%            1.54% 7           1.67% 8           1.60%            1.45%   
Total expenses after fees waived and paid indirectly
           1.59% 6           1.48%            1.52% 7           1.67% 8           1.60%            1.45%   
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax
           1.20% 6           1.15%            1.15% 7,9           1.35% 8,9           1.30%            1.22%   
Net investment income
           5.45% 6           5.65%            6.49%            6.67%            6.44%            6.43%   
 
Supplemental Data
Net assets, end of period (000)
        $   563,952         $   572,463         $   571,802         $   276,990         $   259,205         $   264,379   
Borrowings outstanding, end of period (000)
        $ 231,000         $ 235,000         $ 214,000         $ 117,000         $ 93,000         $ 53,000   
Asset coverage, end of period per $1,000
        $ 3,441         $ 3,436         $ 3,672         $ 3,367         $ 3,787         $ 5,988   
Portfolio turnover rate
           19%            58%            88%            53%            91%            96%   
1 Consolidated Financial Highlights.
2 Based on average shares outstanding.
3 Distributions for annual periods determined in accordance with federal income tax regulations.
4 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.
5 Aggregate total return.
6 Annualized
7 Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.
8 Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively.
9 For the year ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.14% and 1.26%, respectively.
See Notes to Financial Statements.

58 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Financial Highlights   BlackRock Limited Duration Income Trust (BLW)
         Six Months
Ended
February 28,
20151
(Unaudited)
     Year Ended August 31,
   
                20141      20131      20121      2011      2010
 
Per Share Operating Performance
Net asset value, beginning of period
        $ 18.09         $ 17.54         $ 17.38         $ 16.52         $ 16.79         $ 14.95   
Net investment income2
           0.59            1.26            1.30            1.31            1.34            1.12   
Net realized and unrealized gain (loss)
           (0.44 )           0.51            0.25            0.88            (0.37 )           1.62   
Net increase from investment operations
           0.15            1.77            1.55            2.19            0.97            2.74   
Distributions from net investment income3
           (0.69 )           (1.22 )           (1.39 )           (1.33 )           (1.24 )           (0.90 )  
Net asset value, end of period
        $ 17.55         $ 18.09         $ 17.54         $ 17.38         $ 16.52         $ 16.79   
Market price, end of period
        $ 15.98         $ 16.81         $ 16.89         $ 18.00         $ 16.01         $ 16.76   
 
Total Return4
Based on net asset value
           1.32%5            10.77%            9.13%            13.86%            5.85%            19.00%   
Based on market price
           (0.71)% 5            6.89%            1.47%            21.68%            2.77%            26.04%   
 
Ratio to Average Net Assets
Total expenses
           1.15% 6           1.14%            1.12%            1.05%            1.01%            0.82%   
Total expenses after fees waived and paid indirectly
           1.15% 6           1.14%            1.12%            1.05%            1.00%            0.81%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           0.93% 6           0.92%            0.90%            0.89%            0.87%            0.73%   
Net investment income
           6.74% 6           7.00%            7.34%            7.82%            7.75%            6.90%   
 
Supplemental Data
Net assets, end of period (000)
        $   649,568         $   669,382         $   649,120         $   642,391         $   609,818         $   619,381   
Borrowings outstanding, end of period (000)
        $ 278,721         $ 293,890         $ 273,347         $ 296,476         $ 244,120         $ 123,233   
Asset coverage, end of period per $1,000
        $ 3,331         $ 3,278         $ 3,375         $ 3,167         $ 3,498         $ 6,026   
Portfolio turnover rate7
           20%            57%            71%            54%            106%            248%   
1 Consolidated Financial Highlights.
2 Based on average shares outstanding.
3 Distributions for annual periods determined in accordance with federal income tax regulations.
4 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.
5 Aggregate total return.
6 Annualized.
7 Includes mortgage dollar rolls (“MDRs”). Additional information regarding portfolio turnover is as follows:
         Six Months
Ended
February 28,
2015
     Year Ended August 31,
         (Unaudited)
   
2014
   
2013
   
2012
   
2011
   
2010  
Portfolio turnover (excluding MDRs)
              20 %              57 %                71 %                 54 %                87 %               113 %    
See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 59
 
   
Notes to Financial Statements  (Unaudited)

1. Organization:

The following are registered under the 1940 Act as closed-end management investment companies and referred to herein collectively as the “Funds”:


Trust 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 Board 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 NAVs of their Common Shares on a daily basis.

Basis of Consolidation: The accompanying consolidated financial statements of FRA include the account of FRA Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly owned taxable subsidiary of FRA. The Taxable Subsidiary enables the Fund to hold investments in an operating company 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 Statement of Operations for the Fund. 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 the Fund. The Fund may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Taxable Subsidiary as of February 28, 2015, were $2,142,730 or 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 the Fund.

The accompanying consolidated financial statements of BLW include the account of BLW Subsidiary, LLC (the “BLW Taxable Subsidiary”). As of December 19, 2014, the BLW Taxable Subsidiary, which was wholly owned by the Fund, was dissolved. The BLW Taxable Subsidiary enabled the Fund to hold an investment in an operating company and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the BLW Taxable Subsidiary were taxable to such subsidiary. There was no tax provision required for income or realized gains during the period.

2. Significant Accounting Policies:

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

Valuation: The Funds’ investments are valued at fair value as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the report date). 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 value of their financial instruments at market value using 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 provide oversight of the pricing function for the Funds for all financial instruments.

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. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Certain centrally cleared swaps are valued at the price determined by the relevant exchange or clearinghouse. Investments in open-end registered investment companies are valued at NAV each business day.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. 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 and information with respect to various relationships between investments.

60 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Notes to Financial Statements (continued)  

Equity investments traded on a recognized exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) 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. Over-the-counter (“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.

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 Value Investments”). When determining the price for Fair Value 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 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 the Funds’ 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 Value Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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 Fund’s net assets. If events (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Investments and be valued at their fair value, as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/or policies approved by the Board.

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

The Funds do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency 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. The Funds report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., financial futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of

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Notes to Financial Statements (continued)  


the Fund’s future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund 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 Trusts 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.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. 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. 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 June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance will require expanded disclosure for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. It is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Funds have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

3. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: The Funds may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of 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 subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Funds may subsequently have to reinvest the proceeds at lower interest rates. If the Funds have 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.

The Funds may purchase certain mortgage pass-through securities. 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.

62 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Notes to Financial Statements (continued)  

Collateralized Debt Obligations: Certain Funds may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and 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: Certain Funds may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class 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, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. 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, the Fund may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Funds may invest in stripped mortgage-backed securities 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. The Funds also may invest in stripped mortgage-backed securities that are privately issued.

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

Capital Trusts and Trust Preferred Securities: Certain Funds may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred 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: Certain Funds may invest in 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.

Floating Rate Loan Interests: The Funds may invest in floating rate loan interests. The floating rate loan interests held by the Funds are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 63
 
   
Notes to Financial Statements (continued)  


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. The Funds consider these investments to be investments in debt securities for purposes of its investment policies.

When the Funds purchase a floating rate loan interest they may receive a facility fee and when they sell a floating rate loan interest they may pay a facility fee. On an ongoing basis, the Funds may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Funds upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Funds may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which they are entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Funds may not benefit directly from any collateral supporting the loan in which they have purchased the Participation. As a result, the Funds will assume the credit risk of both the borrower and the lender that is selling the Participation. The Funds’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Funds may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower, and the Funds may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Funds earn 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 or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of February 28, 2015, the Funds had no outstanding unfunded floating rate loan interests.

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. The Funds may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Funds sell securities to a bank or broker-dealer and agree to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase agreement, the Funds continue 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. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price.

For financial reporting purposes, 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 the Funds to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, the Funds may receive a fee for use of the security by the counterparty, which may result in interest income to the Funds.

For the six months ended February 28, 2015, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $285,619,095 and 0.51%, respectively.

64 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Notes to Financial Statements (continued)  

Reverse repurchase transactions are entered into by the Funds under Master Repurchase Agreements (each, an “MRA”), which permit the Funds, 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 the Funds. With reverse repurchase transactions, typically the Funds and the counterparties 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, the Funds receive or post securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds are considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of February 28, 2015, 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
Pledged1

   
Net
Amount

Barclays Capital, Inc
      $ 31,941,212         $ (31,941,212 )                          
BNP Paribas Securities Corp.
           10,695,716            (10,695,716 )                          
Credit Suisse Securities (USA) LLC
           12,898,857            (12,898,857 )                          
Deutsche Bank Securities, Inc
           74,108,164            (74,108,164 )                          
HSBC Securities (USA), Inc.
           67,766,214            (67,766,214 )                          
Morgan Stanley & Co. LLC
           20,134,639            (20,134,639 )                                        
RBC Capital Markets LLC
           7,930,387            (7,930,387 )                          
UBS Securities LLC
           53,245,393            (53,245,393 )                          
Total
      $ 278,720,582         $ (278,720,582 )                          
1 Net collateral with a value of $310,063,396 has been pledged in connection with open reverse repurchase agreements. Excess of 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, the 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 the Fund’s obligation to repurchase the securities.

4. 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 economically hedge their exposure to certain risks such as credit risk, equity risk, interest rate risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Funds invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial 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 on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Funds as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: The Funds enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, 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 future date. Forward foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currencies in which some of the

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Notes to Financial Statements (continued)  


investments held by the Funds are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of 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: The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk, and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Funds purchase (write) an option, an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Funds write a call option, such option is “covered,” meaning that the Funds hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (“swaptions”) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaptions is granting or buying 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.

The Funds also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreign currency purchased). Such transactions may be effected with respect to hedges on non-U.S. dollar denominated instruments owned by the Funds but not yet delivered, or committed or anticipated to be purchased by the Funds.

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 the Funds may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

For the six months ended February 28, 2015, transactions in options written, including swaptions, were as follows:



         BLW
         Calls
   

   
Puts



   
Contracts
   
Notional
(000)1

   
Premium
Received

   
   
Contracts
   
Notional
(000)1

   
Premium
Received

Outstanding options, beginning of period
                    $ 18,700         $ 93,500                                   $ 18,700         $ 93,500   
Options written
                                                                                        
Options exercised
                       (18,700 )           (93,500 )                                                    
Options expired
                                                                         (18,700 )           (93,500 )  
Options closed
                                                                                        
Outstanding options, end of period
                                                                                        
1 Amount shown is in the currency in which the transaction was denominated.

Swaps: The Funds enter into swap agreements in which the Funds and a counterparty agree either 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”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and 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 OTC swap. Payments received or made by the Funds for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Funds will record a realized gain or loss 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.

66 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Notes to Financial Statements (continued)  

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a 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 on the Schedule of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.

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.

•  
  Credit default swaps — The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce 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 on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee 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 accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. 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.
•  
  Interest rate swaps — The Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, 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 swaps, the notional principal amount may decline (or amortize) over time.

The following is a summary of the Funds’ derivative financial instruments categorized by risk exposure:

Fair Values of Derivative Financial Instruments as of February 28, 2015
        Value
        BHL   FRA   BLW
    Statements of Assets
and Liabilities Location
  Derivative
Assets
    Derivative
Liabilities
    Derivative
Assets
    Derivative
Liabilities
    Derivative
Assets
    Derivative
Liabilities
Interest rate contracts   Net unrealized appreciation/depreciation1;
Unrealized depreciation on OTC swaps; Swap premiums paid/received; Investments at value — unaffiliated2; Options written at value
                  $   854,896   $1,190,315
Foreign currency exchange contracts   Unrealized appreciation/depreciation on forward foreign currency exchange contracts     $ 12,042     $ 15,431     $ 148,623     $ 60,728   743,909   535,784
Credit contracts   Unrealized appreciation on OTC swaps; Swap premiums paid                   16   35
Total
        $ 12,042     $ 15,431     $ 148,623     $ 60,728   $1,598,821   $1,726,134
1 Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules 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 Schedules of Investments.
SEMI-ANNUAL REPORT FEBRUARY 28, 2015 67
 
   
Notes to Financial Statements (continued)  
   
The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended February 28, 2015
         BHL     FRA     BLW     BHL     FRA     BLW
          Net Realized Gain (Loss) From     Net Change in Unrealized
Appreciation/Depreciation on
Interest rate contracts:
                                                                                      
Financial futures contracts
                                $ (1,801,111 )                                $ 72,226   
Swaps
                                   (18,441 )                                   (291,397 )  
Options1
                                   (108,193 )                                   186,984   
Foreign currency exchange contracts:
                                                                                                                        
Foreign currency transactions/translations
        $ 259,924         $ 1,302,052            8,088,322         $ (82,602 )        $ (238,644 )           (1,853,730 )  
Credit contracts:
                                                                                                                        
Swaps
                                     (8 )                                   8    
Total
        $ 259,924         $ 1,302,052         $ 6,160,569         $ (82,602 )        $ (238,644 )        $ (1,885,909 )  
1 Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

For the six months ended February 28, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:





 
BHL
 
FRA
 
BLW
Financial future contracts:
                           
Average notional value of contracts long
                   $ 11,161,063  
Average notional value of contracts short
                   $ 44,489,969  
Forward foreign currency exchange contracts:
                           
Average amounts purchased — in USD
       $ 1,882,943      $ 9,610,965      $ 57,316,723  
Average amounts sold — in USD
       $ 280,128      $ 1,111,721      $ 2,105,010  
Options:
                           
Average notional value of swaption contracts purchased
                     
Average notional value of swaption contracts written
                   $ 18,700,000 2 
Credit default swaps:
                           
Average notional value-buy protection
                   $ 1,000  
Average notional value-sell protection
                     
Interest rate swaps:
                         
Average notional value-pays fixed rate
                   $ 18,700,000  
Average notional value-receives fixed rate
                   $ 39,826,708  
2 Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

Counterparty Credit Risk: 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.

The Funds’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Funds. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund 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.

With exchange-traded purchased options and futures, 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, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures 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.

In order to better define their contractual rights and to secure rights that will help the Funds 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

68 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Notes to Financial Statements (continued)  


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 its 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 Funds and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately 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 party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) 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 Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, the Funds 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, the Funds 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.

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.

As of February 28, 2015, the Funds’ derivative assets and liabilities (by type) are as follows:


BHL



   
Assets
   
Liabilities
Derivative Financial Instruments:
        
Forward foreign currency exchange contracts
        $ 12,042         $ 15,431   
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)
                          
Total derivative assets and liabilities subject to an MNA
        $  12,042         $  15,431   

FRA



   
Assets
   
Liabilities
Derivative Financial Instruments:
        
Forward foreign currency exchange contracts
        $ 148,623         $  60,728   
Derivatives not subject to an MNA or similar agreement
                          
Total derivative assets and liabilities subject to an MNA
        $ 148,623         $ 60,728   

BLW



   
Assets
   
Liabilities
Derivative Financial Instruments:
             
Financial futures contracts
        $ 45,109         $ 29,276   
Forward foreign currency exchange contracts
           743,909            535,784   
Swaps — Centrally cleared
                       1,135   
Swaps — OTC1
           16             310,193   
Total derivative assets and liabilities in the Statement of Assets and Liabilities
        $ 789,034            876,388   
Derivatives not subject to an MNA or similar agreement
           (45,109 )           (30,411 )  
Total derivative assets and liabilities subject to an MNA
        $ 743,925         $ 845,977   
1 Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.
SEMI-ANNUAL REPORT FEBRUARY 28, 2015 69
 
   
Notes to Financial Statements (continued)  

As of February 28, 2015, the following tables present the Funds’ 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 Funds:


BHL



   

   

   

   

   

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

 
                                                                                                    
Citibank N.A.
        $ 12,042                                             $ 12,042   
Total
        $ 12,042                                             $ 12,042   

BHL



   

   

   

   

   

Counterparty



   
Derivative Liabilities
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset2

   
Non-cash
Collateral
Pledged

   
Cash
Collateral
Pledged3

   
Net Amount
of Derivative
Liabilities4

Bank of America N.A.
        $ 14,156                                             $ 14,156   
Deutsche Bank AG
           1,275                                                1,275   
Total
        $ 15,431                                             $ 15,431   

FRA



   

   

   

   

   

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

Citibank N.A.
        $ 43,022                                             $ 43,022   
UBS AG
           105,601                                                105,601   
Total
        $ 148,623                                             $ 148,623   

FRA



   

   

   

   

   

Counterparty



   
Derivative Liabilities
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset2

   
Non-cash
Collateral
Pledged

   
Cash
Collateral
Pledged3

   
Net Amount
of Derivative
Liabilities4

Bank of America N.A.
        $ 55,014                                             $ 55,014   
Royal Bank of Scotland PLC
           5,714                                                5,714   
Total
        $ 60,728                                             $ 60,728   

BLW



   

   

   

   

   

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

Bank of America N.A.
        $ 12,049         $ (12,049 )                                      
Citibank N.A.
           636,895                                             $ 636,895   
Credit Suisse International
                                                                                                    
Deutsche Bank AG
           16             (16 )                                      
Goldman Sachs Bank USA
           2,396                                                2,396   
Royal Bank of Scotland PLC
           2,123                                                2,123   
Toronto Dominion Bank
           32,754                                                32,754   
UBS AG
           57,692                                                57,692   
Total
        $ 743,925         $ (12,065 )                                $ 731,860   

BLW



   

   

   

   

   

Counterparty



   
Derivative Liabilities
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset2

   
Non-cash
Collateral
Pledged

   
Cash
Collateral
Pledged3

   
Net Amount
of Derivative
Liabilities4

Bank of America N.A.
        $ 533,656         $ (12,049 )                                $ 521,607   
Deutsche Bank AG
           310,193            (16 )                                   310,177   
State Street Bank and Trust Co.
           2,128                                                2,128   
Total
        $ 845,977         $ (12,065 )                                $ 833,912   
1 Net amount represents the net amount receivable from the counterparty in the event of default.
2 The amount of derivatives available for offset is limited to the amount of the assets and/or liabilities that are subject to an MNA.
3 Excess of the 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.
70 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Notes to Financial Statements (continued)  

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment advisor, 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 necessary personnel, facilities, equipment and certain other services to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee based on a percentage of each Fund’s average daily net assets at the following annual rates, plus the proceeds of any outstanding borrowings used for leverage as follows:

BHL   1.00%
FRA   0.75%
BLW   0.55%

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund’s investment in other affiliated investment companies, if any. These amounts are shown as fees waived by Manager in the Statements of Operations.

The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Fund pays the Manager based on the Fund’s net assets, which includes the assets of the Taxable Subsidiaries.

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.

6. Purchases and Sales:

For the six months ended February 28, 2015, purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities were as follows:

Purchases



   
BHL
   
FRA
   
BLW
Non-U.S. Government Securities
        $ 34,678,446         $ 156,571,870         $ 174,705,570   
U.S. Government Securities
                                $ 12,071,661   
Total Purchases
        $  35,678,446         $ 156,571,870         $ 186,777,231   
                             
Sales



   
BHL
   
FRA
   
BLW
Non-U.S. Government Securities
                                                            
(includes paydowns)
        $ 35,239,982         $ 155,713,836         $ 173,874,397   
U.S. Government Securities
                                $ 11,943,885   
Total Sales
        $  35,239,982         $ 155,713,836         $ 185,818,282   

7. Income Tax Information:

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ U.S. federal tax returns remains open for each of the four years ended August 31, 2014. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of February 28, 2015, 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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 71
 
   
Notes to Financial Statements (continued)  

As of August 31, 2014, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:


Expires August 31,



   
FRA
   
BLW
2015
        $ 169,958               
2016
           20,623,334         $ 284,006   
2017
           30,228,590            9,996,868   
2018
           27,716,009            37,509,275   
2019
           2,206,081               
Total
        $ 80,943,972         $ 47,790,149   

As of February 28, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:





   
BHL
   
FRA
   
BLW
 
                                            
Tax cost
        $ 182,968,512         $ 817,345,375         $ 923,984,737   
Gross unrealized appreciation
           1,098,285            8,690,025            21,483,021   
Gross unrealized depreciation
           (2,450,186 )           (20,896,366 )           (24,849,378 )  
Net unrealized depreciation
        $ (1,351,901 )        $ (12,206,341 )        $ (3,366,357 )  

8. 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 February 28, 2015, the Funds have not received any notice to terminate. The Funds have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:

  Commitment
Amounts
BHL $  64,000,000
FRA $280,000,000

Advances will be made by SSB to the Funds, at the Funds’ option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Funds pay a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if the Funds meet certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Funds as of February 28, 2015 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.

The Funds may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the six months ended February 28, 2015, the average amount of bank borrowings and the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:





   
Average Amount of
Bank Borrowings

   
Daily Weighted
Average Interest Rate

BHL
        $ 52,607,735            0.92%   
FRA
        $ 233,060,773            0.92%   

9. 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 of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency, interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which

72 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Notes to Financial Statements (concluded)  


potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. See the Schedules of Investments for these securities and/or derivatives. 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 the 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.

10. 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 without approval of Common Shareholders.

Shares issued and outstanding remained constant for the six months ended February 28, 2015 and the year ended August 31, 2014.

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 an equity shelf program (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 and BLW’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). Please 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.

11. 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:

The Funds paid a net investment income dividend in the following amounts per share on March 31, 2015 to Common Shareholders of record on March 13, 2015:

  Common Dividend
Per Share
BHL $0.0583
FRA $0.0674
BLW $0.0995

Additionally, the Funds declared a net investment income dividend on April 1, 2015 payable to Common Shareholders of record on April 15, 2015, for the same amounts noted above.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 73
 
   
Officers and Directors 

Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chairperson of the Board, Chairperson of the
        Audit Committee and Director
Michael J. Castellano, Director and Member of the Audit Committee
Frank J. Fabozzi, Director and Member of the Audit Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
Barbara G. Novick, Director
John M. Perlowski, Director, President and Chief Executive Officer
Robert W. Crothers, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Charles Park, Chief Compliance Officer
Janey Ahn, Secretary

 
Effective September 5, 2014, Brendan Kyne resigned as a Vice President of the Funds.

Effective December 31, 2014, Paul L. Audet and Henry Gabbay resigned as Directors of the Funds. Effective December 31, 2014, Barbara G. Novick and John M. Perlowski were appointed to serve as Directors of the Funds.

Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
  Custodian and Accounting Agent
State Street Bank and Trust Company
Boston, MA 02110

Transfer Agent
Common Shares
Computershare Trust Company, N.A.
Canton, MA 02021
  Independent Registered
Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116

Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036
  Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809
74 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Additional Information 

Fund Certification

Certain Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Fund’s taxable income and net capital gains, but not in excess of a Fund’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

General Information

The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by 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 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 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 Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds files 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, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 75
 
   
Additional Information (continued) 

General Information (concluded)

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Section 19(a) Notices

BHL’s and BLW’s amounts and sources of distributions reported are estimates and are provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on the tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes. Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website http://www.blackrock.com.

February 28, 2015


       Total Fiscal Year to Date Cumulative
Distributions by Character

  Percentage of Fiscal Year to Date
Cumulative Distributions by Character

 



 
Net
Investment
Income

 
Net
Realized
Capital
Gains
Short Term

 
Net
Realized
Capital
Gains
Long Term

 
Return
of Capital

 
Total Per
Common
Share

 
Net
Investment
Income

 
Net
Realized
Capital
Gains
Short Term

 
Net
Realized
Capital
Gains
Long Term

 
Return
of Capital

 
Total Per
Common
Share

BHL
        $ 0.455211                         $ 0.096789         $ 0.552000          82%                          18%          100 %  
BLW
        $ 0.662359                         $ 0.031641         $ 0.694000          95%                             5%          100

The Funds estimate that they have distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with ‘yield’ or ‘income.’ When distributions exceed total return performance, the difference will incrementally reduce the Funds’ net asset value per share.

Shelf Offering Program

From time-to-time, each Fund may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Fund 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 a Fund 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 BHL Common Shares and is not a solicitation of an offer to buy BHL Common Shares. If BHL files a registration with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about BHL and should be read carefully before investing.

BLW and FRA each has 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 such 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.

76 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Additional Information (concluded) 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 77
 
   

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This report is intended for existing shareholders. 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.


 
                    

CEFT-BK3-2/15-SAR
          
 
   
 
 
 
Item 2 – Code of Ethics – Not Applicable to this semi-annual report
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 – Investments
  (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
  (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 – Portfolio Managers of Closed-End Management Investment Companies
  (a) Not Applicable to this semi-annual report
  (b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – Controls and Procedures
  (a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
  (b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – Exhibits attached hereto
  (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
  (a)(2) – Certifications – Attached hereto
  (a)(3) – Not Applicable
  (b) – Certifications – Attached hereto
2
 

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

 

BlackRock 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: May 1, 2015

 

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: May 1, 2015

 

By: /s/ Neal J. Andrews
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Floating Rate Income Strategies Fund, Inc.

 

Date: May 1, 2015

3