UNITEDSTATES
SECURITIESANDEXCHANGECOMMISSION
Washington,D.C.20549
FORM N-CSRS
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: Anne F. Ackerley, 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: 08/31/2010
Date of reporting period: 02/28/2010
Item 1 – Report to Stockholders
Semi-Annual Report
FEBRUARY 28, 2010 | (UNAUDITED)
BlackRock Defined Opportunity Credit Trust (BHL)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
BlackRock Limited Duration Income Trust (BLW)
BlackRock Senior Floating Rate Fund, Inc.
BlackRock Senior Floating Rate Fund II, Inc.
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
| Table of Contents | |
| Page | |
| Dear Shareholder | 3 |
| Semi-Annual Report: | |
| Fund Summaries | 4 |
| The Benefits and Risks of Leveraging | 10 |
| Derivative Financial Instruments | 11 |
| Disclosure of Expenses | 11 |
| Fund Financial Statements | |
| Schedules of Investments | 12 |
| Statements of Assets and Liabilities | 38 |
| Statements of Operations | 40 |
| Statements of Changes in Net Assets | 42 |
| Statements of Cash Flows | 45 |
| Fund Financial Highlights | 46 |
| Fund Notes to Financial Statements | 52 |
| Master Senior Floating Rate LLC Portfolio Summary | 62 |
| Master Senior Floating Rate LLC Financial Statements: | |
| Schedule of Investments | 63 |
| Statement of Assets and Liabilities | 69 |
| Statement of Operations | 70 |
| Statements of Changes in Net Assets | 70 |
| Statement of Cash Flows | 71 |
| Master Senior Floating Rate LLC Financial Highlights | 72 |
| Master Senior Floating Rate LLC Notes to Financial Statements | 73 |
| Officers and Directors | 77 |
| Additional Information | 78 |
2 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Dear Shareholder
The past year marked a pivotal turning point for global markets as the Great Recession that started in December 2007 began to recede and give way to recov-
ery. The dramatic about-face could be attributed to a confluence of factors, most notably the extraordinary policy actions of global governments and central
banks, a resurgence in corporate profits and growing signs of stability and healing in world economies.
After reaching a trough in early March 2009, stocks galloped higher as investors were lured back into the markets by depressed valuations, desire for higher
yields and increasing confidence that all-out financial disaster had been averted. The result was a powerful upswing in global equities and other higher-risk
assets through the end of 2009. More recently, the combination of mixed economic data, lingering deflation issues (especially in Europe) and proposed fees
and levies on banks dampened investor conviction, resulting in a several-week bout of profit-taking. The selloff had a more pronounced negative effect on inter-
national and emerging market equities due primarily to concerns of higher interest rates in Asia and negative headlines out of Europe, particularly in Greece.
Generally speaking, investors’ renewed affinity for risk was notable in the fixed income markets as well, where non-Treasury assets made a robust recovery. One
of the major themes in 2009 was the reversal of the flight-to-quality trade. High yield, one of the most battered areas during the financial crisis, emerged as
the strongest-performing fixed income sector in both the taxable and tax-exempt space. Despite weak fundamentals, the municipal market produced solid
returns as technical conditions remained supportive of the asset class. Municipal bond mutual funds enjoyed strong inflows and tax-exempt issuance remained
low thanks to the ever-increasing popularity of the Build America Bond program. Nevertheless, state and local fiscal woes and bankruptcy fears remain firmly in
the spotlight, and bear close monitoring.
At the same time, yields on money market securities declined throughout the reporting period and remain near all-time lows, with the Federal Open Market
Committee reiterating that economic circumstances are likely to necessitate an accommodative interest rate stance for an “extended period.” Investor assets in
money market funds declined from the peak registered in early 2009, but remain above levels registered prior to the financial crisis that began in 2007.
Against this backdrop, the major market averages posted the following returns:
| Total Returns as of February 28, 2010 | 6-month | 12-month |
| US equities (S&P 500 Index) | 9.32% | 53.62% |
| Small cap US equities (Russell 2000 Index) | 10.59 | 63.95 |
| International equities (MSCI Europe, Australasia, Far East Index) | 0.72 | 54.58 |
| 3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index) | 0.07 | 0.20 |
| US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index) | 0.07 | (1.54) |
| Taxable fixed income (Barclays Capital US Aggregate Bond Index) | 3.19 | 9.32 |
| Tax-exempt fixed income (Barclays Capital Municipal Bond Index) | 4.13 | 9.98 |
| High yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index) | 13.86 | 55.20 |
| Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index. | ||
The market continues to show signs of improvement, but questions about the strength and sustainability of the recovery abound. Through periods of uncer-
tainty, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit
www.blackrock.com/shareholdermagazine, where you’ll find the most recent issue of our award-winning Shareholder® magazine, as well as its quarterly com-
panion newsletter, Shareholder Perspectives. As always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued
partnership in the months and years ahead.
THIS PAGE NOT PART OF YOUR FUND REPORT 3
Fund Summary as of February 28, 2010 BlackRock Defined Opportunity Credit Trust
Investment Objective
BlackRock Defined Opportunity Credit Trust (BHL) (the “Fund”) seeks high current income, with a secondary objective of long-term capital appreciation.
No assurance can be given that the Fund’s investment objective will be achieved.
Performance
For the six months ended February 28, 2010, the Fund returned 17.73% based on market price and 9.88% based on net asset value (“NAV”). For the
same period, the Lipper Loan Participation Funds category posted an average return of 29.78% on a market price basis and 13.09% on a NAV basis. All
returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance
based on price and performance based on NAV. During the period, we generally favored less economically sensitive sectors and higher-quality credits, which
detracted from results as they underperformed lower-rated issues and those sectors with greater economic sensitivity. In addition, the Fund maintained
relatively conservative levels of leverage (at period end, 16% of the Fund’s total managed assets), which detracted from performance versus the Lipper
competitors, who maintained leverage closer to the 33 1 / 3 % regulatory limit. On the positive side, approximately 13% of the portfolio was invested in high
yield, which aided performance as the sector performed well. Overweight positions in the automotive sector and a few special situation and distressed
credits also was additive.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These
views are not intended to be a forecast of future events and are no guarantee of future results.
Fund Information
| Symbol on New York Stock Exchange (“NYSE”) | BHL |
| Initial Offering Date | January 31, 2008 |
| Yield on Closing Market Price as of February 28, 2010 ($12.62)1 | 5.13% |
| Current Monthly Distribution per Share2 | $0.054 |
| Current Annualized Distribution per Share2 | $0.648 |
| Leverage as of February 28, 20103 | 16% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.
Past performance does not guarantee future results.
2 The distribution is not constant and is subject to change.
3 Represents loans 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 borrowing representing financial leverage). For a discussion of leveraging techniques utilized by
the Fund, please see The Benefits and Risks of Leveraging on page 10.
The table below summarizes the changes in the Fund’s market price and NAV per share:
| 2/28/10 | 8/31/09 | Change | High | Low | |
| Market Price | $12.62 | $11.03 | 14.42% | $12.69 | $10.96 |
| Net Asset Value | $13.38 | $12.53 | 6.78% | $13.41 | $12.51 |
The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s
corporate bond investments.
| Portfolio Composition | ||
| 2/28/10 | 8/31/09 | |
| Floating Rate Loan Interests | 82% | 94% |
| Corporate Bonds | 17 | 6 |
| Other Interests | 1 | — |
| Credit Quality Allocations4 | ||
| 2/28/10 | 8/31/09 | |
| BBB/Baa | 10% | 16% |
| BB/Ba | 41 | 57 |
| B | 44 | 27 |
| Not Rated | 5 | — |
| 4 Using the higher of Standard & Poor’s Corporation (“S&P’s”) or | ||
| Moody’s Investors Service, Inc. (“Moody’s”) ratings. | ||
4 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Fund Summary as of February 28, 2010 BlackRock Diversified Income Strategies Fund, Inc.
Investment Objective
BlackRock Diversified Income Strategies Fund, Inc. (DVF) (the “Fund”) seeks to provide investors with a high current income by investing primarily in a
diversified portfolio of floating rate debt securities and instruments, including floating or variable rate loans, bonds, preferred securities (including convert-
ible preferred securities), notes or other debt securities or instruments that pay a floating rate of interest.
No assurance can be given that the Fund’s investment objective will be achieved.
Performance
For the six months ended February 28, 2010, the Fund returned 26.89% based on market price and 23.33% based on NAV. For the same period, the
closed-end Lipper Loan Participation Funds category posted an average return of 29.78% on a market price basis and 13.09% on a NAV basis. All returns
reflect reinvestment of dividends. The Fund's premium to NAV, which widened during the period, accounts for the difference between performance based on
price and performance based on NAV. During the period, 66% of the Fund’s portfolio was invested in floating rate loan interests and about 30% in high
yield bonds, with a portion of the allocation in floating rate notes and a portion swapped to floating rate. Both categories outperformed floating rate loan
interests during the six months, which benefited performance. The Fund’s credit allocation has been biased towards lower-quality and nonrated credits,
which also aided results. On the other hand, the Fund maintained leverage in the low-teen range, which detracted from performance versus the Lipper com-
petitors, who maintained leverage closer to the 33 1 / 3 % regulatory limit.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These
views are not intended to be a forecast of future events and are no guarantee of future results.
Fund Information
| Symbol on NYSE | DVF |
| Initial Offering Date | January 31, 2005 |
| Yield on Closing Market Price as of February 28, 2010 ($10.67)1 | 7.70% |
| Current Monthly Distribution per Share2 | $0.0685 |
| Current Annualized Distribution per Share2 | $0.8220 |
| Leverage as of February 28, 20103 | 17% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.
Past performance does not guarantee future results.
2 The distribution is not constant and is subject to change.
3 Represents loans outstanding as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to
any 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.
| The table below summarizes the changes in the Fund’s market price and NAV per share: | |||||
| 2/28/10 | 8/31/09 | Change | High | Low | |
| Market Price | $10.67 | $8.80 | 21.25% | $10.73 | $8.65 |
| Net Asset Value | $10.30 | $8.74 | 17.85% | $10.36 | $8.74 |
| The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations | |||||
| of the Fund’s corporate bond investments: | |||||
| Portfolio Composition | ||
| 2/28/10 | 8/31/09 | |
| Floating Rate Loan Interests | 66% | 49% |
| Corporate Bonds | 31 | 49 |
| Common Stocks | 2 | 2 |
| Other Interests | 1 | — |
| Credit Quality Allocations4 | ||
| 2/28/10 | 8/31/09 | |
| BBB/Baa | 5% | — |
| BB/Ba | 25 | 17% |
| B | 40 | 37 |
| CCC/Caa | 13 | 34 |
| CC/Ca | 1 | 4 |
| D | 2 | 3 |
| Not Rated | 14 | 5 |
| 4 Using the higher of S&P’s or Moody’s ratings. | ||
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 5
Fund Summary as of February 28, 2010 BlackRock Floating Rate Income Strategies Fund, Inc.
Investment Objective
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (the “Fund”) seeks 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.
No assurance can be given that the Fund’s investment objective will be achieved.
Performance
For the six months ended February 28, 2010, the Fund returned 32.19% based on market price and 14.12% based on NAV. For the same period, the
closed-end Lipper Loan Participation Funds category posted an average return of 29.78% on a market price basis and 13.09% on a NAV basis. The per-
formance of the Lipper category does not necessarily correlate to that of the Fund, as the Lipper group comprises both closed-end funds and unleveraged
continuously offered closed-end funds. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end,
which accounts for the difference between performance based on price and performance based on NAV. During the period, slightly less than 20% of the
Fund was invested in high yield bonds, which contributed positively to performance as high yield outperformed floating rate loan interests. Overweight
positions in the automobiles sector and a few special situation and distressed credits also helped results, as did an underweight in health care. On the
other hand, the Fund generally favored less economically sensitive sectors and higher-quality credits, which detracted from performance as these issues
underperformed lower-rated issues and those sectors with greater economic sensitivity. In addition, the Fund maintained relatively conservative levels of
leverage (at period end, 15% of the Fund’s total managed assets), which was a detractor versus the Lipper competitors, who maintained leverage closer to
the 33 1 / 3 % regulatory limit.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These
views are not intended to be a forecast of future events and are no guarantee of future results.
Fund Information
| Symbol on NYSE | FRA |
| Initial Offering Date | October 31, 2003 |
| Yield on Closing Market Price as of February 28, 2010 ($15.64)1 | 6.25% |
| Current Monthly Distribution per Share2 | $0.0815 |
| Current Annualized Distribution per Share2 | $0.9780 |
| Leverage as of February 28, 20103 | 15% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.
Past performance does not guarantee future results.
2 The distribution is not constant and is subject to change.
3 Represents loans outstanding as a percentage of managed assets, which is the total assets of the Fund, including any assets attributable to
any borrowing that may be outstanding, minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion
of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.
| The table below summarizes the changes in the Fund’s market price and NAV per share: | |||||
| 2/28/10 | 8/31/09 | Change | High | Low | |
| Market Price | $15.64 | $12.26 | 27.57% | $15.65 | $12.15 |
| Net Asset Value | $14.24 | $12.93 | 10.13% | $14.30 | $12.93 |
| The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s | |||||
| corporate bond investments: | |||||
| Portfolio Composition | ||
| 2/28/10 | 8/31/09 | |
| Floating Rate Loan Interests | 73% | 75% |
| Corporate Bonds | 25 | 24 |
| Other Interests | 1 | — |
| Common Stocks | 1 | 1 |
| Credit Quality Allocations4 | ||
| 2/28/10 | 8/31/09 | |
| BBB/Baa | 5% | 12% |
| BB/Ba | 35 | 15 |
| B | 40 | 46 |
| CCC/Caa | 9 | 21 |
| D | 2 | 4 |
| Not Rated | 9 | 2 |
| 4 Using the higher of S&P’s or Moody’s ratings. | ||
6 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Fund Summary as of February 28, 2010 BlackRock Limited Duration Income Trust
Investment Objective
BlackRock Limited Duration Income Trust (BLW) (the “Fund”) seeks to provide current income and capital appreciation.
No assurance can be given that the Fund’s investment objective will be achieved.
Performance
For the six months ended February 28, 2010, the Fund returned 14.21% based on market price and 12.73% based on NAV. For the same period, the
closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.84% on a market price basis and 18.08% on a NAV basis.
All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between performance
based on price and performance based on NAV. The Fund’s Lipper category is composed primarily of high yield funds. In addition to high yield bonds, the
Fund invests in high yield loans and investment-grade bonds, which hurt relative performance as these securities underperformed high yield. The Fund
tended to favor sectors less exposed to the economy, the consumer and housing, which detracted from results given the period’s strong market perform-
ance. Conversely, overweights in the automobiles sector and a number of special situation and distressed credits (including automobiles) helped. During the
period, the Fund tended to hold low cash balances, although the cash position at period end was 6%. Given the market’s positive performance, this cash
balance negatively impacted performance.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These
views are not intended to be a forecast of future events and are no guarantee of future results.
Fund Information
| Symbol on NYSE | BLW |
| Initial Offering Date | July 30, 2003 |
| Yield on Closing Market Price as of February 28, 2010 ($15.64)1 | 5.37% |
| Current Monthly Distribution per Share2 | $0.070 |
| Current Annualized Distribution per Share2 | $0.840 |
| Leverage as of February 28, 20103 | 2% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance
does not guarantee future results.
2 A change in the distribution rate was declared on March 1, 2010. The Monthly Distribution per Share was increased to $0.075. The Yield on Closing
Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new
distribution rate is not constant and is subject to further change in the future.
3 Represents loans outstanding as a percentage of managed assets, which is the total assets of the Fund, including any assets attributable to
any borrowing that may be outstanding, minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion
of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.
The table below summarizes the Fund’s market price and net asset value per share:
| 2/28/10 | 8/31/09 | Change | High | Low | |
| Market Price | $15.64 | $14.09 | 11.00% | $15.68 | $13.72 |
| Net Asset Value | $16.38 | $14.95 | 9.57% | $16.38 | $14.95 |
| The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the | |||||
| Fund’s corporate bond and US government securities investments: | |||||
| Portfolio Composition | ||
| 2/28/10 | 8/31/09 | |
| Floating Rate Loan Interests | 42% | 45% |
| Corporate Bonds | 33 | 24 |
| U.S. Government Sponsored | ||
| Agency Securities | 18 | 26 |
| Non-Agency Mortgage | ||
| Backed Securities | 2 | — |
| Asset-Backed Securities | 2 | 2 |
| Foreign Agency Obligations | 2 | 2 |
| Other Interests | 1 | — |
| U.S. Treasury Obligations | — | 1 |
| Credit Quality Allocations4 | ||
| 2/28/10 | 8/31/09 | |
| AAA/Aaa5 | 36% | 53% |
| BBB/Baa | 3 | 6 |
| BB/Ba | 22 | 11 |
| B | 28 | 10 |
| CCC/Caa | 7 | 16 |
| C | — | 1 |
| D | — | 1 |
| Not Rated | 4 | 2 |
| 4 Using the higher of S&P’s or Moody’s ratings. | ||
| 5 Includes U.S. Government Sponsored Agency securities and | ||
| U.S. Treasury Obligations, which are deemed AAA/Aaa by the | ||
| investment advisor. | ||
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 7
Fund Summary as of February 28, 2010 BlackRock Senior Floating Rate Fund, Inc.
Investment Objective
BlackRock Senior Floating Rate Fund, Inc. (the “Fund”) is a continuously offered closed-end fund that seeks high current income and such preservation of
capital as is consistent with investment in senior collateralized corporate loans made by banks and other financial institutions.
No assurance can be given that the Fund’s investment objective will be achieved.
Performance
For the six months ended February 28, 2010, the Fund returned 7.97% based on NAV. For the same period, the closed-end Lipper Loan Participation
Funds category posted an average return of 13.09% on a NAV basis. All returns reflect reinvestment of dividends. The Fund, through its investment in the
Master Senior Floating Rate LLC, maintained relatively conservative positioning (i.e., higher quality credits and loan structures) and no leverage, which hin-
dered performance in the strong market of the past six months versus its Lipper competitors, many of which employ leverage. We believe this positioning is
prudent for the medium term. Overweight positions in the automobiles sector and a few special situation and distressed credits helped results, as did an
underweight in health care. During the period, the Fund tended to hold low cash balances, although the cash position at period end was 8%. Given the
market’s positive performance, this cash balance negatively impacted performance.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These
views are not intended to be a forecast of future events and are no guarantee of future results.
Fund Information1
| Initial Offering Date | November 3, 1989 |
| Yield based on Net Asset Value as of February 28, 2010 ($7.54)2 | 4.94% |
| Current Monthly Distribution per Share3 | $0.028552 |
| Current Annualized Distribution per Share3 | $0.372196 |
| 1 The Fund is a continuously offered closed-end fund that does not trade on an exchange. | |
| 2 Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value. | |
| Past performance does not guarantee future results. | |
| 3 The distribution is not constant and is subject to change. |
| The table below summarizes the change in the Fund’s NAV per share: | |||||
| 2/28/10 | 8/31/09 | Change | High | Low | |
| Net Asset Value | $7.54 | $7.16 | 5.31% | $7.59 | $7.16 |
| Expense Example for Continuously Offered Closed-End Funds | ||||||
| Actual | Hypothetical5 | |||||
| Beginning | Ending | Beginning | Ending | |||
| Account Value | Account Value | Expenses Paid | Account Value | Account Value | Expenses Paid | |
| September 1, 2009 February 28, 2010 During the Period4 | September 1, 2009 February 28, 2010 During the Period4 | |||||
| BlackRock Senior Floating Rate Fund, Inc. | $1,000 | $1,079.70 | $7.89 | $1,000 | $1,017.21 | $7.65 |
| 4 Expenses are equal to the annualized expense ratio of 1.53%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year | ||||||
| period shown). Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests. | ||||||
| 5 Hypothetical 5% annual return before expenses is calculated by pro rating the number of days in the most recent fiscal half year divided by 365. | ||||||
| See “Disclosure of Expenses for Continuously Offered Closed-End Funds” on page 11 for further information on how expenses were calculated. | ||||||
8 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Fund Summary as of February 28, 2010 BlackRock Senior Floating Rate Fund II, Inc.
Investment Objective
BlackRock Senior Floating Rate Fund II, Inc. (the “Fund”) is a continuously offered closed-end fund that seeks high current income and such preservation
of capital as is consistent with investment in senior collateralized corporate loans made by banks and other financial institutions.
No assurance can be given that the Fund’s investment objective will be achieved.
Performance
For the six months ended February 28, 2010, the Fund returned 7.88% based on NAV. For the same period, the closed-end Lipper Loan Participation
Funds category posted an average return of 13.09% on a NAV basis. All returns reflect reinvestment of dividends. The Fund, through its investment in the
Master Senior Floating Rate LLC, maintained relatively conservative positioning (i.e., higher quality credits and loan structures) and no leverage, which hin-
dered performance in the strong market of the past six months versus its Lipper competitors, many of which employ leverage. We believe this positioning is
prudent for the medium term. Overweight positions in the automobiles sector and a few special situation and distressed credits helped results, as did an
underweight in health care. During the period, the Fund tended to hold low cash balances, although the cash position at period-end was 8%. Given the
market’s positive performance, this cash balance negatively impacted performance.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These
views are not intended to be a forecast of future events and are no guarantee of future results.
Fund Information1
| Initial Offering Date | March 26, 1999 |
| Yield based on Net Asset Value as of February 28, 2010 ($8.17)2 | 4.80% |
| Current Monthly Distribution per Share3 | $0.030085 |
| Current Annualized Distribution per Share3 | $0.392179 |
1 The Fund is a continuously offered closed-end fund that does not trade on an exchange.
2 Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value.
Past performance does not guarantee future results.
3 The distribution is not constant and is subject to change.
| The table below summarizes the change in the Fund’s NAV per share: | |||||
| 2/28/10 | 8/31/09 | Change | High | Low | |
| Net Asset Value | $8.17 | $7.76 | 5.28% | $8.22 | $7.75 |
| Expense Example for Continuously Offered Closed-End Funds | ||||||
| Actual | Hypothetical5 | |||||
| Beginning | Ending | Beginning | Ending | |||
| Account Value | Account Value | Expenses Paid | Account Value | Account Value | Expenses Paid | |
| September 1, 2009 February 28, 2010 | During the Period4 | September 1, 2009 February 28, 2010 | During the Period4 | |||
| BlackRock Senior Floating Rate Fund II, Inc. | $1,000 | $1,078.80 | $8.61 | $1,000 | $1,016.51 | $8.35 |
4 Expenses are equal to the annualized expense ratio of 1.67%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year
period shown). Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.
5 Hypothetical 5% annual return before expenses is calculated by pro rating the number of days in the most recent fiscal half year divided by 365.
See “Disclosure of Expenses for Continuously Offered Closed-End Funds” on page 11 for further information on how expenses were calculated.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 9
The Benefits and Risks of Leveraging
BlackRock Defined Opportunity Credit Trust, BlackRock Diversified Income
Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc.
and BlackRock Limited Duration Income Trust (each a “Fund” and collec-
tively, the “Funds”) may utilize leverage to seek to enhance the yield and
NAV. However, these objectives cannot be achieved in all interest rate
environments.
The Funds may utilize leverage through borrowings or through entering into
reverse repurchase agreements and dollar rolls. In general, the concept of
leveraging is based on the premise that the cost of assets to be obtained
from leverage will be based on short-term interest rates, which normally will
be lower than the income earned by each Fund on its longer-term portfolio
investments. To the extent that the total assets of each Fund (including the
assets obtained from leverage) are invested in higher-yielding portfolio
investments, each Fund’s shareholders will benefit from the incremental
net income.
The interest earned on securities purchased with the proceeds from lever-
age is paid to shareholders in the form of dividends, and the value of these
portfolio holdings is reflected in the per share NAV. However, in order to
benefit shareholders, the yield curve must be positively sloped; that is,
short-term interest rates must be lower than long-term interest rates. If the
yield curve becomes negatively sloped, meaning short-term interest rates
exceed long-term interest rates, income to shareholders will be lower than if
the Funds had not used leverage.
To illustrate these concepts, assume a Fund’s capitalization is $100 million
and it borrows for an additional $30 million, creating a total value of $130
million available for investment in long-term securities. If prevailing short-
term interest rates are 3% and long-term interest rates are 6%, the yield
curve has a strongly positive slope. In this case, the Fund pays borrowing
costs and interest expense on the $30 million of borrowings based on the
lower short-term interest rates. At the same time, the securities purchased
by the Fund with assets received from the borrowings earn the income
based on long-term interest rates. In this case, the borrowing costs and
interest expense of the borrowings is significantly lower than the income
earned on the Fund’s long-term investments, and therefore Common
Shareholders are the beneficiaries of the incremental net income.
If short-term interest rates rise, narrowing the differential between short-term
and long-term interest rates, the incremental net income pickup will be
reduced or eliminated completely. Furthermore, if prevailing short-term inter-
est rates rise above long-term interest rates of 6%, the yield curve has a
negative slope. In this case, the Fund pays interest expense on the higher
short-term interest rates whereas the Fund’s total portfolio earns income
based on lower long-term interest rates.
Furthermore, the value of the Funds’ portfolio investments generally varies
inversely with the direction of long-term interest rates, although other
factors can influence the value of portfolio investments. In contrast, the
redemption value of the Funds’ borrowings do not fluctuate in relation
to interest rates. As a result, changes in interest rates can influence the
Funds’ NAV positively or negatively in addition to the impact on Fund
performance from leverage from borrowings discussed above.
The use of leverage may enhance opportunities for increased income to
the Funds and shareholders, but as described above, it also creates risks
as short- or long-term interest rates fluctuate. Leverage also will generally
cause greater changes in the Funds’ NAV, market price and dividend rate
than a comparable portfolio without leverage. If the income derived from
securities purchased with assets received from leverage exceeds the cost
of leverage, the Funds’ net income will be greater than if leverage had
not been used. Conversely, if the income from the securities purchased is
not sufficient to cover the cost of leverage, each Fund’s net income will be
less than if leverage had not been used, and therefore the amount avail-
able for distribution to shareholders will be reduced. Each Fund may be
required to sell portfolio securities at inopportune times or at distressed
values in order to comply with regulatory requirements applicable to the
use of leverage or as required by the terms of leverage instruments which
may cause a Fund to incur losses. The use of leverage may limit each
Fund’s ability to invest in certain types of securities or use certain types
of hedging strategies. Each Fund will incur expenses in connection with
the use of leverage, all of which are borne by common shareholders of
each Fund and may reduce income to the Common Shares.
Under the Investment Company Act of 1940, the Funds are permitted
to borrow through their credit facility up to 33 1 / 3 % of their total managed
assets. As of February 28, 2010, the Funds had outstanding leverage from
borrowings as a percentage of their total managed assets as follows:
| Percent of | |
| Leverage | |
| BHL | 16% |
| DVF | 17% |
| FRA | 15% |
| BLW | 2% |
10 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Derivative Financial Instruments
The Funds may invest in various derivative instruments, including swaps,
financial futures contracts, foreign currency exchange contracts and
options, as specified in Note 2 of the Notes to Financial Statements,
which constitute forms of economic leverage. Such instruments are used
to obtain exposure to a market without owning or taking physical custody
of securities or to hedge market, interest rate, credit, equity and/or foreign
currency exchange rate risks. Such derivative instruments involve risks,
including the imperfect correlation between the value of a derivative instru-
ment and the underlying asset, possible default of the counterparty to the
transaction or illiquidity of the derivative instrument. The Funds’ ability to
successfully use a derivative instrument depends on the investment
advisor’s ability to accurately predict pertinent market movements, which
cannot be assured. The use of derivative instruments may result in losses
greater than if they had not been used, may require the Funds to sell or
purchase portfolio securities at inopportune times or for distressed values,
may limit the amount of appreciation the Funds can realize on an invest-
ment or may cause the Funds to hold a security that they might otherwise
sell. The Funds’ investments in these instruments are discussed in detail in
the Notes to Financial Statements.
Disclosure of Expenses for Continuously Offered Closed-End Funds
Shareholders of BlackRock Senior Floating Rate Fund, Inc. and
BlackRock Senior Floating Rate Fund II, Inc. may incur the following charges:
(a) expenses related to transactions, including early withdrawal fees; and
(b) operating expenses, including administration fees, and other Fund
expenses. The examples on the previous pages (which are based on a hypo-
thetical investment of $1,000 invested on September 1, 2009 and held
through February 28, 2010) are intended to assist shareholders both in
calculating expenses based on an investment in each Fund and in compar-
ing these expenses with similar costs of investing in other mutual funds.
The tables provide information about actual account values and actual
expenses. In order to estimate the expenses a shareholder paid during
the period covered by this report, shareholders can divide their account
value by $1,000 and then multiply the result by the number corresponding
to their Fund under the heading entitled “Expenses Paid During the Period.”
The tables also provide information about hypothetical account values and
hypothetical expenses based on each Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in these
Funds and other funds, compare the 5% hypothetical example with the 5%
hypothetical examples that appear in other funds’ shareholder reports.
The expenses shown in the tables are intended to highlight shareholders’
ongoing costs only and do not reflect any transactional expenses, such
as early withdrawal fees. Therefore, the hypothetical examples are useful
in comparing ongoing expenses only, and will not help shareholders deter-
mine the relative total expenses of owning different funds. If these trans-
actional expenses were included, shareholder expenses would have
been higher.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 11
Schedule of Investments February 28, 2010 (Unaudited)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
| Common Stocks | Shares | Value | |
| Capital Markets — 0.2% | |||
| E*Trade Financial Corp. (a) | 163,000 | $ 262,430 | |
| Total Common Stocks — 0.2% | 262,430 | ||
| Par | |||
| Corporate Bonds | (000) | ||
| Aerospace & Defense — 0.3% | |||
| L-3 Communications Corp., 5.88%, 1/15/15 | USD | 300 | 301,125 |
| Airlines — 0.3% | |||
| Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 | 300 | 309,000 | |
| Auto Components — 0.0% | |||
| Delphi International Holdings Unsecured, 12.00%, | |||
| 10/06/14 | 13 | 12,923 | |
| Building Products — 0.3% | |||
| Building Materials Corp. of America, 7.00%, 2/15/20 (b) | 375 | 375,000 | |
| Chemicals — 0.4% | |||
| Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b) | 280 | 261,800 | |
| Nalco Co., 8.25%, 5/15/17 (b) | 250 | 266,875 | |
| 528,675 | |||
| Commercial Services & Supplies — 0.5% | |||
| Clean Harbors, Inc., 7.63%, 8/15/16 | 400 | 404,000 | |
| The Geo Group, Inc., 7.75%, 10/15/17 (b) | 250 | 253,125 | |
| 657,125 | |||
| Communications Equipment — 0.0% | |||
| Brocade Communications Systems, Inc., 6.88%, | |||
| 1/15/20 (b) | 50 | 51,000 | |
| Consumer Finance — 0.5% | |||
| Inmarsat Finance Plc, 7.38%, 12/01/17 (b) | 575 | 589,375 | |
| Containers & Packaging — 1.1% | |||
| Berry Plastics Escrow LLC, 8.25%, 11/15/15 (b) | 700 | 698,250 | |
| Crown Americas LLC, 7.63%, 5/15/17 (b) | 280 | 291,200 | |
| Owens-Brockway Glass Container, Inc., 7.38%, 5/15/16 | 280 | 289,100 | |
| 1,278,550 | |||
| Diversified Financial Services — 2.4% | |||
| CIT Group, Inc., 7.00%, 5/01/17 | 1,375 | 1,215,156 | |
| FCE Bank Plc: | |||
| 7.13%, 1/16/12 | EUR | 600 | 809,804 |
| 7.13%, 1/15/13 | 50 | 66,721 | |
| GMAC, Inc., 8.30%, 2/12/15 (b) | USD | 850 | 857,438 |
| 2,949,119 | |||
| Diversified Telecommunication Services — 1.7% | |||
| Cincinnati Bell, Inc., 8.25%, 10/15/17 | 500 | 500,000 | |
| PAETEC Holding Corp., 8.88%, 6/30/17 (b) | 100 | 100,624 | |
| Qwest Corp., 8.38%, 5/01/16 | 640 | 700,800 | |
| Windstream Corp., 7.88%, 11/01/17 | 750 | 733,125 | |
| 2,034,549 | |||
| Energy Equipment & Services — 0.4% | |||
| Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b) | 500 | 497,500 | |
| Food Products — 1.1% | |||
| B&G Foods, Inc., 7.63%, 1/15/18 | 300 | 303,000 | |
| Bumble Bee Foods LLC, 7.75%, 12/15/15 (b) | 210 | 210,525 | |
| Smithfield Foods, Inc., 10.00%, 7/15/14 (b) | 740 | 801,050 | |
| 1,314,575 | |||
| Par | |||
| Corporate Bonds | (000) | Value | |
| Health Care Providers & Services — 0.3% | |||
| DaVita, Inc., 6.63%, 3/15/13 | USD | 405 | $ 406,013 |
| Health Care Technology — 0.8% | |||
| IMS Health, Inc., 12.50%, 3/01/18 (b) | 850 | 977,500 | |
| Hotels Restaurants & Leisure — 1.1% | |||
| Icahn Enterprises LP (b): | |||
| 7.75%, 1/15/16 | 375 | 352,500 | |
| 8.00%, 1/15/18 | 750 | 705,000 | |
| MGM Mirage, 11.13%, 11/15/17 (b) | 240 | 259,200 | |
| 1,316,700 | |||
| Household Durables — 0.7% | |||
| Beazer Homes USA, Inc., 12.00%, 10/15/17 (b) | 715 | 797,225 | |
| Household Products — 0.1% | |||
| Libbey Glass, Inc., 10.00%, 2/15/15 (b) | 65 | 67,275 | |
| IT Services — 0.3% | |||
| SunGard Data Systems, Inc., 4.88%, 1/15/14 | 383 | 357,626 | |
| Independent Power Producers & Energy Traders — 2.7% | |||
| Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b) | 1,165 | 1,179,562 | |
| Energy Future Holdings Corp., 10.00%, 1/15/20 (b) | 400 | 408,000 | |
| NRG Energy, Inc., 7.25%, 2/01/14 | 1,700 | 1,712,750 | |
| 3,300,312 | |||
| Media — 2.4% | |||
| Cablevision Systems Corp., Series B, 8.00%, 4/15/12 | 710 | 748,162 | |
| Clear Channel Worldwide Holdings, Inc., 9.25%, | |||
| 12/15/17 (b) | 1,160 | 1,190,512 | |
| DISH DBS Corp., 7.00%, 10/01/13 | 425 | 434,563 | |
| UPC Germany GmbH, 8.13%, 12/01/17 (b) | 500 | 500,000 | |
| 2,873,237 | |||
| Paper & Forest Products — 1.9% | |||
| NewPage Corp., 11.38%, 12/31/14 | 2,205 | 2,105,775 | |
| Verso Paper Holdings LLC, 11.50%, 7/01/14 (b) | 200 | 210,000 | |
| 2,315,775 | |||
| Real Estate Investment Trusts (REITs) — 0.2% | |||
| Omega Healthcare Investors, Inc., 7.50%, 2/15/20 (b) | 290 | 292,900 | |
| Software — 0.1% | |||
| JDA Software Group, Inc., 8.00%, 12/15/14 (b) | 82 | 84,460 | |
| Textiles, Apparel & Luxury Goods — 0.5% | |||
| Levi Strauss & Co., 8.63%, 4/01/13 | EUR | 450 | 615,809 |
| Wireless Telecommunication Services — 1.3% | |||
| Cricket Communications, Inc., 7.75%, 5/15/16 | USD | 1,500 | 1,524,375 |
| Total Corporate Bonds — 21.4% | 25,827,723 | ||
| Floating Rate Loan Interests (c) | |||
| Aerospace & Defense — 0.7% | |||
| Avio SpA: | |||
| Facility B2, 2.36%, 12/15/14 | 2 | 2,030 | |
| Facility C2, 2.98%, 12/14/15 | 2 | 2,165 | |
| Hawker Beechcraft Acquisition Co. LLC: | |||
| Letter of Credit Facility Deposit, 2.25%, 3/26/14 | 23 | 17,170 | |
| Term Loan, 2.23% – 2.25%, 3/26/14 | 393 | 289,435 | |
| Portfolio Abbreviations | ||||
| To simplify the listings of portfolio holdings in the | CAD | Canadian Dollar | TALF | Term Asset-Backed Securities Loan Facility |
| Schedules of Investments, the names and descriptions of | EUR | Euro | USD | US Dollar |
| many of the securities have been abbreviated according | GBP | British Pound | ||
| to the following list: |
See Notes to Financial Statements.
12 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Aerospace & Defense (concluded) | |||
| TASC, Inc.: | |||
| Tranche A Term Loan, 5.50%, 12/18/14 | USD | 170 | $ 170,709 |
| Tranche B Term Loan, 5.75%, 12/18/15 | 330 | 332,200 | |
| 813,709 | |||
| Auto Components — 3.1% | |||
| Affinion Group Holdings, Inc., Tranche B Term Loan, | |||
| 2.73%, 10/17/12 | 324 | 314,463 | |
| Allison Transmission, Inc., Term Loan, 2.98% – 3.00%, | |||
| 8/07/14 | 2,160 | 1,978,226 | |
| Dana Holding Corp., Term Advance, 4.48% – 6.50%, | |||
| 1/30/15 | 563 | 548,176 | |
| Exide Technologies Term Loan, 3.91%, 5/15/12 | EUR | 150 | 183,823 |
| Lear Corp., Loan (Closing Date Loan & Delayed | |||
| Draw Loan), 7.50%, 11/09/14 | USD | 759 | 760,974 |
| 3,785,662 | |||
| Automobiles — 0.6% | |||
| Ford Motor Co., Tranche B-1 Term Loan, 3.24% – 3.26%, | |||
| 12/15/13 | 743 | 691,236 | |
| Building Products — 2.6% | |||
| Building Materials Corp. of America: | |||
| Second Lien Term Loan, 6.00%, 9/15/14 | 750 | 738,000 | |
| Term Loan Advance, 3.00%, 2/22/14 | 738 | 718,227 | |
| Goodman Global, Inc., Term Loan, 6.25%, 2/13/14 | 1,084 | 1,088,402 | |
| Momentive Performance Materials (Blitz 06-103 GmbH), | |||
| Tranche B-2 Term Loan, 2.67%, 12/04/13 | EUR | 495 | 604,357 |
| 3,148,986 | |||
| Capital Markets — 0.4% | |||
| Nuveen Investments, Inc., Term Loan, 3.25% – 3.32%, | |||
| 11/13/14 | USD | 523 | 455,141 |
| Chemicals — 6.7% | |||
| Ashland Inc., Term B Borrowing, 7.65%, 5/13/14 | 493 | 498,714 | |
| Chemtura Corp. Debtor in Possession Return of Capital | |||
| Term Loan, 6.00%, 1/26/11 | 850 | 853,719 | |
| Gentek Holding, LLC, Tranche B Term Loan, 7.00%, | |||
| 10/29/14 | 500 | 502,500 | |
| Huish Detergents Inc., Tranche B Term Loan, 2.01%, | |||
| 4/26/14 | 234 | 224,915 | |
| Matrix Acquisition Corp. (fka MacDermid, Inc.), Tranche B | |||
| Term Loan, 2.23%, 4/12/14 | 1,546 | 1,372,292 | |
| Nalco Co., Term Loan, 6.50%, 5/13/16 | 1,219 | 1,227,407 | |
| PQ Corp. (fka Niagara Acquisition, Inc.), Original | |||
| Term Loan (First Lien), 3.48% – 3.50%, 7/30/14 | 1,233 | 1,128,296 | |
| Rockwood Specialties Group, Inc., Term Loan H, 6.00%, | |||
| 5/15/14 | 700 | 702,100 | |
| Solutia Inc., Loan, 7.25%, 2/28/14 | 732 | 741,370 | |
| Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%, | |||
| 6/24/10 | 800 | 820,960 | |
| 8,072,273 | |||
| Commercial Services & Supplies — 3.7% | |||
| ARAMARK Corp.: | |||
| Letter of Credit, 2.11%, 1/26/14 | 53 | 50,085 | |
| US Term Loan, 2.13%, 1/26/14 | 798 | 761,571 | |
| Advanced Disposal Services, Inc., Term B Loan, 6.00%, | |||
| 1/14/15 | 400 | 400,000 | |
| Alliance Laundry Systems LLC, Term Loan, 2.73%, | |||
| 1/27/12 | 525 | 504,219 | |
| Casella Waste Systems, Inc, Term B Loan, 7.00%, | |||
| 4/09/14 | 561 | 564,758 | |
| Johnson Diversey, Inc. Term Loan B, 5.50%, 11/24/15 | 500 | 503,750 |
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Commercial Services & Supplies (concluded) | |||
| Synagro Technologies, Inc., Term Loan (First Lien), | |||
| 2.23%, 4/02/14 | USD | 982 | $ 866,121 |
| West Corp., Incremental Term B-3 Loan, 7.25%, | |||
| 10/24/13 | 747 | 754,023 | |
| 4,404,527 | |||
| Construction & Engineering — 1.1% | |||
| Safway First Out Term Loan, 9.00%, 12/14/17 | 750 | 750,000 | |
| Welding Services Term Loan B, 9.35%, 12/16/13 | 548 | 550,878 | |
| 1,300,878 | |||
| Consumer Finance — 1.6% | |||
| DaimlerChrysler Financial Services Americas LLC, | |||
| Term Loan (First Lien), 4.24%, 8/03/12 | 1,899 | 1,875,102 | |
| Containers & Packaging — 2.3% | |||
| Anchor Glass Term Loan B, 6.00%, 2/18/16 | 700 | 697,813 | |
| Berry Plastics Holding Corp., Term C Loan, 2.25%, | |||
| 4/03/15 | 678 | 606,851 | |
| Graham Packaging Co., LP, B Term Loan, 2.50%, | |||
| 10/07/11 | 683 | 673,872 | |
| Smurfit Kappa Acquisitions (JSG): | |||
| Term B1, 3.77% – 4.37%, 7/16/14 | EUR | 306 | 409,740 |
| C1 Term Loan Facility, 4.00% – 4.34%, 7/16/15 | 303 | 405,447 | |
| 2,793,723 | |||
| Diversified Consumer Services — 2.9% | |||
| Coinmach Laundry Corp., Delay Draw Term Loan, | |||
| 3.23% – 3.25%, 11/14/14 | USD | 248 | 218,760 |
| Coinmach Service Corp., Term Loan, 3.26%, 11/14/14 | 1,474 | 1,274,737 | |
| Laureate Education Term Loan B, 7.00%, 8/15/14 | 1,995 | 1,976,895 | |
| 3,470,392 | |||
| Diversified Financial Services — 2.2% | |||
| CIT Group, Inc., Tranche 2A Term Loan, 9.50% – 9.75%, | |||
| 1/20/12 | 950 | 973,156 | |
| Reynolds Group Holdings Inc., US Term Loan, 6.25%, | |||
| 11/05/15 | 1,700 | 1,710,625 | |
| 2,683,781 | |||
| Diversified Telecommunication Services — 2.6% | |||
| Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 (d) | 224 | 191,630 | |
| Hawaiian Telcom Communications, Inc., Tranche C | |||
| Term Loan, 4.75%, 5/30/14 | 510 | 384,086 | |
| Integra Telecom Holdings, Inc., Term Loan (First Lien), | |||
| 10.50%, 8/31/13 | 587 | 586,995 | |
| Level 3 Communications Incremental Term Loan, 7.59%, | |||
| 3/13/14 | 525 | 473,047 | |
| US Telepacific Corp. Second Lien Term Loan, 7.75%, | |||
| 7/25/15 | 175 | 175,328 | |
| Wind Finance SL SA, Euro Facility (Second Lien), 7.67%, | |||
| 12/17/14 | EUR | 1,000 | 1,356,190 |
| 3,167,276 | |||
| Electrical Equipment — 0.4% | |||
| Baldor Electric Co., Term Loan, 5.25%, 1/31/14 | USD | 539 | 539,322 |
| Electronic Equipment, Instruments & | |||
| Components — 2.1% | |||
| Flextronics International Ltd.: | |||
| A Closing Date Loan, 2.48% – 2.50%, 10/01/14 | 104 | 97,888 | |
| Term Loan B, 2.50%, 10/01/12 | 565 | 545,102 | |
| L-1 Identity Solutions Operating Co., Term Loan, 6.75%, | |||
| 8/05/13 | 651 | 651,023 | |
| Matinvest 2 SAS/ Butterfly Wendel US, Inc. (Deutsche | |||
| Connector): | |||
| B-2 Facility, 2.75% , 6/22/14 | 886 | 693,122 | |
| C-2 Facility, 3.00% , 6/22/15 | 732 | 572,698 | |
| 2,559,833 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 13
Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Energy Equipment & Services — 0.4% | |||
| MEG Energy Corp., Tranche D Term Loan, 6.00%, | |||
| 12/21/16 | USD | 499 | $ 489,710 |
| Food & Staples Retailing — 3.0% | |||
| AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots), | |||
| Facility B1, 3.54%, 7/09/15 | GBP | 500 | 682,987 |
| Bolthouse Farms, Inc. Term Loan B, 3.75%, 2/04/16 | USD | 500 | 500,000 |
| Pierre Foods Term Loan B, 8.50%, 9/30/14 | 475 | 473,812 | |
| Pilot Travel Centers Term Loan B, 3.50%, 11/18/15 | 1,000 | 1,004,636 | |
| Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15 | 900 | 932,400 | |
| 3,593,835 | |||
| Food Products — 4.3% | |||
| CII Investment, LLC (fka Cloverhill), Term Loan B, 8.50%, | |||
| 10/14/14 | 1,068 | 1,067,857 | |
| Dole Food Co., Inc.: | |||
| Credit-Linked Deposit, 7.89%, 4/12/13 | 127 | 127,425 | |
| Term Loan B, 3.50%, 2/10/17 | 441 | 441,397 | |
| Term Loan C, 5.50%, 2/10/17 | 1,059 | 1,059,353 | |
| Tranche B Term Loan, 8.00%, 4/12/13 | 222 | 221,599 | |
| Pilgrim’s Pride Corp. Term Loan A, 5.29%, 12/01/12 | 450 | 443,250 | |
| Pinnacle Foods Finance LLC, Tranche C Term Loan, | |||
| 7.50%, 4/02/14 | 1,100 | 1,104,517 | |
| Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%, | |||
| 4/12/13 | 719 | 718,984 | |
| 5,184,382 | |||
| Health Care Equipment & Supplies — 1.6% | |||
| Biomet, Inc., Dollar Term Loan, 3.23% – 3.25%, 3/25/15 | 1,021 | 987,376 | |
| DJO Finance LLC (ReAble Therapeutics Finance LLC), | |||
| Term Loan, 3.23%, 5/20/14 | 885 | 854,836 | |
| Hologic, Inc., Tranche B Term Loan, 3.50%, 3/29/13 | 35 | 34,341 | |
| 1,876,553 | |||
| Health Care Providers & Services — 4.9% | |||
| CHS/Community Health Systems, Inc.: | |||
| Delayed Draw Term Loan, 2.50%, 7/25/14 | 82 | 76,796 | |
| Funded Term Loan, 2.48% – 2.50%, 7/25/14 | 1,619 | 1,512,806 | |
| DaVita Inc., Tranche B-1 Term Loan, 1.73% – 1.76%, | |||
| 10/05/12 | 200 | 195,325 | |
| Fresenius SE: | |||
| Tranche B1 Term Loan, 6.75%, 9/10/14 | 590 | 592,752 | |
| Tranche B2 Term Loan, 6.75%, 9/10/14 | 356 | 358,049 | |
| HCA Inc., Tranche A-1 Term Loan, 1.75%, 11/16/12 | 2,117 | 1,999,143 | |
| Vanguard Health Systems Term Loan B, 5.00%, 1/29/16 | 1,200 | 1,201,500 | |
| 5,936,371 | |||
| Health Care Technology — 1.1% | |||
| IMS Healthcare Term Loan B, 5.25%, 2/16/16 | 1,300 | 1,305,200 | |
| Hotels Restaurants & Leisure — 5.7% | |||
| BLB Worldwide Holdings, Inc. (Wembley, Inc.), | |||
| First Priority Term Loan, 4.75%, 7/18/11 (a)(e) | 1,000 | 685,000 | |
| Cedar Fair LP Term Loan B, 4.00%, 2/04/16 | 750 | 748,829 | |
| Harrah’s Operating Co., Inc.: | |||
| Term B-2 Loan, 3.25%, 1/28/15 | 656 | 529,466 | |
| Term B-4 Loan, 9.50%, 10/31/16 | 750 | 747,917 | |
| Penn National Gaming, Inc., Term Loan B, | |||
| 1.98% – 2.00%, 10/03/12 | 936 | 916,960 | |
| QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%, | |||
| 5/05/13 | 183 | 156,492 | |
| SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16 | 1,000 | 1,004,375 | |
| Six Flags Theme Parks, Inc. Term Loan, 4.50%, 6/13/15 | 1,750 | 1,733,812 | |
| VML US Finance LLC (aka Venetian Macau), Term B: | |||
| Delayed Draw Project Loan, 4.76%, 5/25/12 | 151 | 143,500 | |
| Funded Project Loan, 4.76%, 5/27/13 | 266 | 253,457 | |
| 6,919,808 | |||
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Household Durables — 0.4% | |||
| Jarden Corp., Term Loan B3, 2.75%, 1/24/12 | USD | 441 | $ 437,210 |
| Household Products — 0.2% | |||
| VI-JON, Inc. (VJCS Acquisition, Inc.), Tranche B | |||
| Term Loan, 2.23%, 4/24/14 | 302 | 289,532 | |
| IT Services — 4.4% | |||
| Amadeus Global Travel Distribution SA: | |||
| Term Loan B, 2.23%, 5/22/15 | 955 | 907,775 | |
| Term Loan C, 2.73%, 5/22/16 | 955 | 907,775 | |
| Ceridian Corp., US Term Loan, 3.23% – 3.25%, 11/09/14 | 752 | 657,742 | |
| First Data Corp.: | |||
| Initial Tranche B-2 Term Loan, 3.00%, 9/24/14 | 1,022 | 890,863 | |
| Initial Tranche B-3 Term Loan, 3.00%, 9/24/14 | 981 | 853,480 | |
| SunGard Data Systems, Inc. (Solar Capital Corp.), | |||
| Incremental Term Loan, 6.75%, 2/28/14 | 1,042 | 1,045,930 | |
| 5,263,565 | |||
| Independent Power Producers & Energy Traders — 1.4% | |||
| Dynegy Holdings Inc.: | |||
| Term Letter of Credit Facility Term Loan, 3.98%, | |||
| 4/02/13 | 486 | 473,928 | |
| Tranche B Term Loan, 3.98%, 4/02/13 | 39 | 38,151 | |
| Texas Competitive Electric Holdings Co., LLC (TXU), | |||
| Initial Tranche B-3 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 1,462 | 1,169,414 | |
| 1,681,493 | |||
| Industrial Conglomerates — 1.1% | |||
| Sequa Corp., Term Loan, 3.51% – 3.94%, 12/03/14 | 1,389 | 1,270,284 | |
| Insurance — 0.6% | |||
| Alliant Holdings I, Inc., Term Loan, 3.25%, 8/21/14 | 732 | 690,687 | |
| Internet & Catalog Retail — 0.2% | |||
| FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14 | 211 | 211,196 | |
| Machinery — 2.6% | |||
| Accuride Term Loan, 10.00%, 1/31/12 | 460 | 459,042 | |
| Bucyrus International Term Loan C, 4.50%, 1/26/16 | 1,000 | 1,005,300 | |
| LN Acquisition Corp. (Lincoln Industrial): | |||
| Delayed Draw Term Loan (First Lien), 3.49%, 7/11/14 | 245 | 225,727 | |
| Initial US Term Loan (First Lien), 3.49%, 7/11/14 | 637 | 585,769 | |
| Oshkosh Truck Corp., Term B Loan, 6.25% – 6.26%, | |||
| 12/06/13 | 872 | 870,942 | |
| 3,146,780 | |||
| Media — 22.4% | |||
| Catalina Marketing Corp., Initial Term Loan, 2.98%, | |||
| 10/01/14 | 443 | 427,746 | |
| Cengage Learning Acquisitions, Inc. (Thomson Learning), | |||
| Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 1,890 | 1,871,500 | |
| Cequel Communications, LLC: | |||
| Term Loan, 2.25% – 4.25%, 11/05/13 | 532 | 503,975 | |
| Tranche B Term Loan, 6.25%, 5/05/14 | 1,016 | 1,017,837 | |
| Charter Communications Operating, LLC, New Term Loan, | |||
| 2.26%, 3/06/14 | 3,125 | 2,914,912 | |
| FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15 | 669 | 642,160 | |
| HMH Publishing Co. Ltd., Tranche A Term Loan, 5.23%, | |||
| 6/12/14 | 1,016 | 855,046 | |
| Hanley-Wood, LLC (FSC Acquisition), Term Loan, | |||
| 2.50% – 2.56%, 3/10/14 | 739 | 330,222 | |
| Harland Clarke Holdings Corp. (fka Clarke American | |||
| Corp.), Tranche B Term Loan, 2.73% – 2.75%, 6/30/14 | 522 | 456,600 | |
| Insight Midwest Holdings, LLC, B Term Loan, 2.25%, | |||
| 4/07/14 | 500 | 480,078 | |
| Intelsat Corp. (fka PanAmSat Corp.): | |||
| Tranche B-2-A Term Loan, 2.73%, 1/03/14 | 241 | 228,844 | |
| Tranche B-2-B Term Loan, 2.73%, 1/03/14 | 241 | 228,774 | |
| Tranche B-2-C Term Loan, 2.73%, 1/03/14 | 241 | 228,774 | |
See Notes to Financial Statements.
14 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Media (concluded) | |||
| Lamar Media Corp.: | |||
| Series B Incremental Loan, 5.50% – 5.75%, | |||
| 9/28/12 | USD | 382 | $ 379,472 |
| Series E Incremental Loan, 5.50% – 5.75%, | |||
| 3/31/13 | 705 | 704,829 | |
| Term Loan, 5.50% – 5.75%, 9/28/12 | 942 | 935,401 | |
| Lavena Holding 3 GmbH (Prosiebensat.1 Media AG): | |||
| Facility B1, 3.34%, 6/28/15 | EUR | 1,010 | 942,428 |
| Facility C1, 3.59%, 6/30/16 | 1,010 | 942,428 | |
| Local TV Finance, LLC, Term Loan, 2.26%, 5/07/13 | USD | 225 | 194,625 |
| MCC Iowa LLC (Mediacom Broadband Group), | |||
| Tranche E Term Loan, 6.50%, 1/03/16 | 1,018 | 1,025,898 | |
| New Vision Exit Term Loan, 13.00%, 10/01/12 | 318 | 319,857 | |
| Newsday, LLC: | |||
| Fixed Rate Term Loan, 10.50%, 8/01/13 | 750 | 801,562 | |
| Floating Rate Term Loan, 6.50%, 8/01/13 | 500 | 501,250 | |
| Nielsen Finance LLC: | |||
| Class B Dollar Term Loan, 3.98%, 5/01/16 | 1,359 | 1,316,272 | |
| Dollar Term Loan, 2.23%, 8/09/13 | 246 | 231,713 | |
| Sinclair Television Group, Inc., Tranche B Term Loan, | |||
| 6.50%, 10/29/15 | 500 | 502,500 | |
| Springer Science+Business Media SA, Facility A1, | |||
| 6.75%, 7/01/16 | EUR | 1,100 | 1,480,346 |
| Sunshine Acquisition Ltd. (aka HIT Entertainment), | |||
| Term Facility, 2.50%, 3/20/12 | USD | 1,751 | 1,539,233 |
| TWCC Holding Corp., Term Loan, 7.25%, 9/14/15 | 1,387 | 1,390,920 | |
| UPC Financing Partnership, Facility U, 4.99%, | |||
| 12/31/17 | EUR | 800 | 1,014,888 |
| Virgin Media Investment Holdings Ltd.: | |||
| B7 Facility, 4.40%, 9/03/12 | GBP | 223 | 331,051 |
| C Facility, 4.40%, 9/03/12 | 372 | 553,389 | |
| C Facility, 3.58%, 7/17/13 | 140 | 199,420 | |
| Worldcolor Press Inc. and Worldcolor (USA) Corp. | |||
| (fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12 | USD | 798 | 805,629 |
| Yell Group Plc TPI Term Loan A, 7.12%, 8/09/11 | 750 | 718,125 | |
| 27,017,704 | |||
| Multi-Utilities — 0.3% | |||
| FirstLight Power Resources, Inc. (fka NE Energy, Inc.): | |||
| Synthetic Letter of Credit, 2.81%, 11/01/13 | 35 | 32,767 | |
| Term B Advance (First Lien), 2.75%, 11/01/13 | 381 | 355,912 | |
| 388,679 | |||
| Multiline Retail — 2.5% | |||
| Dollar General Corp., Tranche B-1 Term Loan, | |||
| 2.98% – 3.00%, 7/07/14 | 781 | 757,236 | |
| Hema Holding BV, Facility D, 5.42%, 1/01/17 | EUR | 1,800 | 2,058,823 |
| The Neiman Marcus Group Inc., Term Loan, 2.26%, | |||
| 4/06/13 | USD | 185 | 166,048 |
| 2,982,107 | |||
| Oil, Gas & Consumable Fuels — 0.9% | |||
| Big West Oil, LLC: | |||
| Delayed Advance Loan, 4.50%, 5/15/14 | 442 | 433,618 | |
| Initial Advance Loan, 4.50%, 5/15/14 | 352 | 344,924 | |
| Initial Advance Loan, 9.75%, 1/26/15 | 325 | 326,625 | |
| 1,105,167 | |||
| Paper & Forest Products — 0.9% | |||
| Georgia-Pacific LLC, Term Loan B, 2.25% – 2.26%, | |||
| 12/23/12 | 1,161 | 1,133,860 | |
| Personal Products — 0.5% | |||
| American Safety Razor Co., LLC: | |||
| Loan (Second Lien), 6.51%, 1/30/14 | 500 | 292,500 | |
| Term Loan (First Lien), 2.75% – 2.76%, 7/31/13 | 200 | 181,148 | |
| Revlon Consumer Products Corp., Term Loan, | |||
| 4.25% – 4.26%, 1/15/12 | 125 | 123,008 | |
| 596,656 |
| Par | ||
| Floating Rate Loan Interests (c) | (000) | Value |
| Pharmaceuticals — 1.6% | ||
| Warner Chilcott Co., LLC, Term A Loan, 5.50%, | ||
| 10/30/14 | USD 644 $ | 643,907 |
| Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15 | 1,300 | 1,299,875 |
| 1,943,782 | ||
| Professional Services — 0.8% | ||
| Booz Allen Hamilton, Inc., Tranche B Term Loan, 7.50%, | ||
| 7/31/15 | 988 | 993,809 |
| Real Estate Management & Development — 1.0% | ||
| Realogy Corp.: | ||
| Delayed Draw Term B Loan, 3.25%, 10/10/13 | 524 | 461,773 |
| Initial Term B Loan, 3.25%, 10/10/13 | 196 | 173,247 |
| Synthetic LC, 3.23%, 10/10/13 | 53 | 46,644 |
| Term Loan (Second Lien), 13.50%, 10/15/17 | 500 | 543,750 |
| 1,225,414 | ||
| Specialty Retail — 1.2% | ||
| Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan, | ||
| 2.98%, 10/21/13 | 326 | 314,082 |
| General Nutrition Centers, Inc., Term Loan, | ||
| 2.48% – 2.57%, 9/16/13 | 275 | 261,452 |
| Michaels Stores, Inc.: | ||
| Term Loan B, 2.50% – 2.56%, 10/31/13 | 401 | 360,854 |
| Term Loan B-1, 4.75% – 4.81%, 7/31/16 | 506 | 481,689 |
| 1,418,077 | ||
| Textiles, Apparel & Luxury Goods — 0.4% | ||
| Hanesbrands Inc., New Term Loan, 5.25%, 12/10/15 | 500 | 503,750 |
| Wireless Telecommunication Services — 2.3% | ||
| Digicel International Finance Ltd., Tranche A, 2.81%, | ||
| 3/30/12 | 1,579 | 1,519,967 |
| MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50%, | ||
| 11/03/13 | 1,266 | 1,219,301 |
| 2,739,268 | ||
| Total Floating Rate Loan Interests — 99.7% | 120,106,720 | |
| Beneficial | ||
| Interest | ||
| Other Interests (f) | (000) | |
| Auto Components — 0.9% | ||
| Delphi Debtor in Possession Holding Co. LLP, Class B | ||
| Membership Interests | —(g) | 1,067,720 |
| Total Other Interests — 0.9% | 1,067,720 | |
| Total Long-Term Investments | ||
| (Cost — $146,018,527) — 122.2% | 147,264,593 | |
| Short-Term Securities | Shares | |
| BlackRock Liquidity Funds, TempFund, Institutional | ||
| Class, 0.09% (h)(i) | 2,618,127 | 2,618,127 |
| Total Short-Term Securities | ||
| (Cost — $2,618,127) — 2.2% | 2,618,127 | |
| Total Investments (Cost — $148,636,654*) — 124.4% | 149,882,720 | |
| Liabilities in Excess of Other Assets — (24.4)% | (29,374,669) | |
| Net Assets — 100.0% | $120,508,051 | |
| * The cost and unrealized appreciation (depreciation) of investments as of | ||
| February 28, 2010, as computed for federal income tax purposes, were as follows: | ||
| Aggregate cost | $148,636,654 | |
| Gross unrealized appreciation | $ 4,177,491 | |
| Gross unrealized depreciation | (2,931,425) | |
| Net unrealized appreciation | $ 1,246,066 | |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 15
Schedule of Investments (concluded) BlackRock Defined Opportunity Credit Trust (BHL)
| (a) Non-income producing security. | |||||||
| (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. | |||||||
| These securities may be resold in transactions exempt from registration to qualified | |||||||
| institutional investors. | |||||||
| (c) Variable rate security. Rate shown is as of report date. | |||||||
| (d) Represents a payment-in-kind security which may pay interest /dividend in addi- | |||||||
| tional par/shares. | |||||||
| (e) Issuer filed for bankruptcy and/or is in default of interest payments. | |||||||
| (f) Other interests represent beneficial interest in liquidation trusts and other reorgani- | |||||||
| zation entities and are non-income producing. | |||||||
| (g) Amount is less than $1,000. | |||||||
| (h) Investments in companies considered to be an affiliate of the Fund, for purposes of | |||||||
| Section 2(a)(3) of the Investment Company Act of 1940, were as follows: | |||||||
| Net | |||||||
| Activity | Income | ||||||
| BlackRock Liquidity Funds, TempFund, | |||||||
| Institutional Class | $ 2,618,127 | $ 2,405 | |||||
| (i) Represents the current yield as of report date. | |||||||
| • | Foreign currency exchange contracts as of February 28, 2010 were as follows: | ||||||
| Unrealized | |||||||
| Currency | Currency | Settlement Appreciation | |||||
| Purchased | Sold | Counterparty | Date (Depreciation) | ||||
| USD 11,196,400 EUR | 7,798,500 | Citibank NA | 3/24/10 $ | 578,030 | |||
| GBP | 810,500 | USD | 1,271,847 | Citibank NA | 4/21/10 | (36,487) | |
| USD | 186,561 | GBP | 119,500 | Citibank NA | 4/21/10 | 4,420 | |
| USD 2,967,636 | GBP | 1,833,000 | Morgan Stanley | ||||
| Capital Services, Inc. 4/21/10 | 173,787 | ||||||
| Total | $ 719,750 | ||||||
| • | For Fund compliance purposes, the Fund’s industry classifications refer to any one | ||||||
| or more of the industry sub-classifications used by one or more widely recognized | |||||||
| market indexes or rating group indexes, and/or as defined by Fund management. | |||||||
| This definition may not apply for purposes of this report, which may combine such | |||||||
| industry sub-classifications for reporting ease. | |||||||
| • | Fair Value Measurements — Various inputs are used in determining the fair value of | ||||||
| investments, which are as follows: | |||||||
| • Level 1 — price quotations inactive markets/exchanges for identical assets | |||||||
| and liabilities | |||||||
| • Level 2 — other observable inputs (including, but not limited to: quoted prices for | |||||||
| similar assets or liabilities in markets that are active, quoted prices for identical or | |||||||
| similar assets or liabilities in markets that are not active, inputs other than quoted | |||||||
| prices that are observable for the assets or liabilities (such as interest rates, yield | |||||||
| curves, volatilities, prepayment speeds, loss severities, credit risks and default | |||||||
| rates) or other market-corroborated inputs) | |||||||
| • Level 3 — unobservable inputs based on the best information available in the | |||||||
| circumstances, to the extent observable inputs are not available (including the | |||||||
| Fund’s own assumptions used in determining the face value of investments) | |||||||
| The inputs or methodologies used for valuing securities are not necessarily an indica- | |||||||
| tion of the risk associated with investing in those securities. For information about | |||||||
| the Fund’s policy regarding valuation of investments and other significant accounting | |||||||
| policies, please refer to the Note 1 of the Notes to Financial Statements. | |||||||
| The following tables summarize the inputs used as of February 28, 2010 in deter- | |||||||
| mining the fair valuation of the Fund’s investments: | |||||||
| Investments in Securities | |||||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||
| Assets: | |||||||
| Long-Term | |||||||
| Investments: | |||||||
| Common Stocks | $ 262,430 | — $ | 262,430 | ||||
| Corporate Bonds | — $ 25,814,800 | $ 12,923 | 25,827,723 | ||||
| Floating Rate | |||||||
| Loan Interests | — 100,198,281 | 19,908,439 120,106,720 | |||||
| Other Interests | — | — | 1,067,720 | 1,067,720 | |||
| Short-Term | |||||||
| Securities | 2,618,127 | — | — | 2,618,127 | |||
| Total | $ 2,880,557 $126,013,081 | $20,989,082 $149,882,720 | |||||
| Other Financial Instruments1 | |||||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||
| Assets | — | $756,237 | $ 7,410 $ | 763,647 | |||
| Liabilities | — | (36,487) | (16,408) | (52,895) | |||
| Total | — | $719,750 | $ (8,998) $ | 710,752 | |||
| 1 | Other financial instruments are foreign currency exchange contracts and | ||||||
| unfunded loan commitments, which are shown at the unrealized appreciation/ | |||||||
| depreciation on the instrument. | |||||||
| The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value: | ||||
| Investments in Securities | ||||
| Corporate | Floating Rate | Other | ||
| Bonds | Loan Interests | Interests | Total | |
| Balance, as of August 31, 2009 | — | $24,495,356 | — | $24,495,356 |
| Accrued discounts/premiums | — | — | — | — |
| Realized gain (loss) | — | 295,974 | — | 295,974 |
| Change in unrealized appreciation/depreciation2 | $ (70) | 3,033,712 | — | 3,033,642 |
| Net purchases (sales) | — | (4,905,004) | — | (4,905,004) |
| Net transfers in/out of Level 3 | 12,993 | (3,011,599) | $1,067,720 | (1,930,886) |
| Balance, as of February 28, 2010 | $ 12,923 | $19,908,439 | $1,067,720 | $20,989,082 |
| 2 Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities | ||||
| still held at February 28, 2010 was $859,867. | ||||
| The following table is a reconciliation of Level 3 other financial instruments for which significant | ||
| unobservable inputs were used to determine fair value: | ||
| Other Financial | ||
| Instruments3 | ||
| Assets | Liabilities | |
| Balance, as of August 31, 2009 | $ 60,517 | — |
| Accrued discounts/premiums | — | — |
| Realized gain (loss) | — | — |
| Change in unrealized appreciation/depreciation | — | — |
| Net purchases (sales) | — | — |
| Net transfers in/out of Level 3 | (53,107) | $ (16,408) |
| Balance as of February 28, 2010 | $ 7,410 | $ (16,408) |
| 3 Other financial instruments are unfunded loan commitments. | ||
| See Notes to Financial Statements. | ||
16 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments February 28, 2010 (Unaudited)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
| Par | |||
| Asset-Backed Securities | (000) | Value | |
| North Street Referenced Linked Notes 2000-1 Ltd., | |||
| Series 2005-8A, Class D, 14.80%, 6/15/41 (a)(b) | USD | 1,350 | $ 513,243 |
| Total Asset-Backed Securities — 0.4% | 513,243 | ||
| Common Stocks (c) | Shares | ||
| Building Products — 0.7% | |||
| Masonite Worldwide Holdings | 20,955 | 880,110 | |
| Capital Markets — 0.2% | |||
| E*Trade Financial Corp. | 143,000 | 230,230 | |
| Chemicals — 0.1% | |||
| Solutia, Inc. | 5,000 | 70,350 | |
| Wellman Holdings, Inc. | 1,613 | 403 | |
| 70,753 | |||
| Construction Materials — 0.0% | |||
| Nortek, Inc. | 1,570 | 58,090 | |
| Electrical Equipment — 0.0% | |||
| Medis Technologies Ltd. | 176,126 | 12,505 | |
| Hotels Restaurants & Leisure — 0.0% | |||
| Buffets Restaurants Holdings, Inc. | 688 | 3,887 | |
| Paper & Forest Products — 1.1% | |||
| Ainsworth Lumber Co. Ltd. | 311,678 | 654,636 | |
| Ainsworth Lumber Co. Ltd. (b) | 349,782 | 734,669 | |
| 1,389,305 | |||
| Software — 0.2% | |||
| Euramax International | 468 | 14,025 | |
| TiVo, Inc. | 21,000 | 199,080 | |
| 213,105 | |||
| Total Common Stocks — 2.3% | 2,857,985 | ||
| Par | |||
| Corporate Bonds | (000) | ||
| Airlines — 0.5% | |||
| Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 | USD | 300 | 309,000 |
| United Air Lines, Inc., 12.75%, 7/15/12 | 300 | 318,000 | |
| 627,000 | |||
| Auto Components — 0.0% | |||
| Delphi International Holdings Unsecured, 12.00%, | |||
| 10/06/14 | 13 | 12,923 | |
| Building Products — 2.5% | |||
| Building Materials Corp. of America, 7.00%, | |||
| 2/15/20 (b) | 400 | 400,000 | |
| CPG International I, Inc., 7.18%, 7/01/12 (a) | 2,500 | 2,375,000 | |
| Ply Gem Industries, Inc., 11.75%, 6/15/13 | 400 | 406,000 | |
| 3,181,000 | |||
| Capital Markets — 0.7% | |||
| E*Trade Financial Corp., 3.95%, 8/31/19 (b)(d)(e) | 83 | 126,160 | |
| Marsico Parent Co., LLC, 10.63%, 1/15/16 (b) | 649 | 390,211 | |
| Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(f) | 276 | 60,961 | |
| Marsico Parent Superholdco, LLC, 14.50%, | |||
| 1/15/18 (b)(f) | 183 | 31,796 | |
| MU Finance Plc, 8.75%, 2/01/17 (b) | GBP | 213 | 300,425 |
| 909,553 | |||
| Par | |||
| Corporate Bonds | (000) | Value | |
| Chemicals — 1.0% | |||
| Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b) | USD | 300 | $ 280,500 |
| Wellman Holdings, Inc. (e): | |||
| Second Lien Subordinate Note, 10.00%, | |||
| 1/29/19 (b) | 894 | 894,000 | |
| Third Lien Subordinate Note, 5.00%, 1/29/19 (f) | 286 | 143,190 | |
| 1,317,690 | |||
| Commercial Banks — 0.2% | |||
| Glitnir Banki HF (c)(g): | |||
| 5.07%, 1/27/10 | EUR | 100 | 35,403 |
| 4.15%, 4/20/10 (b) | USD | 65 | 16,900 |
| 3.00%, 6/30/10 | EUR | 120 | 41,667 |
| 6.38%, 9/25/12 (b) | USD | 365 | 94,900 |
| 188,870 | |||
| Commercial Services & Supplies — 0.5% | |||
| Clean Harbors, Inc., 7.63%, 8/15/16 | 400 | 404,000 | |
| The Geo Group, Inc., 7.75%, 10/15/17 (b) | 250 | 253,125 | |
| 657,125 | |||
| Communications Equipment — 0.0% | |||
| Brocade Communications Systems, Inc., 6.88%, | |||
| 1/15/20 (b) | 50 | 51,000 | |
| Construction Materials — 0.5% | |||
| Nortek, Inc., 11.00%, 12/01/13 | 639 | 670,505 | |
| Consumer Finance — 1.2% | |||
| Credit Acceptance Corp., 9.13%, 2/01/17 (b) | 180 | 179,100 | |
| Ford Motor Credit Co. LLC, 3.00%, 1/13/12 (a) | 815 | 764,062 | |
| Inmarsat Finance Plc, 7.38%, 12/01/17 (b) | 600 | 615,000 | |
| 1,558,162 | |||
| Containers & Packaging — 1.6% | |||
| Beverage Packaging Holdings Luxembourg II SA, 8.00%, | |||
| 12/15/16 | EUR | 185 | 240,571 |
| Smurfit Kappa Acquisitions (b): | |||
| 7.25%, 11/15/17 | 250 | 333,606 | |
| 7.75%, 11/15/19 | 240 | 325,163 | |
| Smurfit Kappa Funding Plc, 7.75%, 4/01/15 (h) | USD | 1,000 | 970,000 |
| Solo Cup Co., 10.50%, 11/01/13 | 130 | 136,175 | |
| 2,005,515 | |||
| Diversified Financial Services — 2.6% | |||
| CIT Group, Inc., 7.00%, 5/01/17 | 1,455 | 1,285,856 | |
| FCE Bank Plc, 7.13%, 1/16/12 | EUR | 400 | 539,869 |
| GMAC Inc., 5.38%, 6/06/11 | 110 | 146,038 | |
| GMAC LLC: | |||
| 7.25%, 3/02/11 | USD | 37 | 37,324 |
| 6.88%, 9/15/11 | 150 | 150,000 | |
| 6.75%, 12/01/14 | 400 | 382,000 | |
| 8.30%, 2/12/15 (b) | 120 | 121,050 | |
| Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b) | 400 | 405,000 | |
| Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b) | EUR | 200 | 271,653 |
| 3,338,790 | |||
| Diversified Telecommunication Services — 1.7% | |||
| Cincinnati Bell, Inc., 8.25%, 10/15/17 | USD | 500 | 500,000 |
| PAETEC Holding Corp., 8.88%, 6/30/17 | 100 | 100,750 | |
| Qwest Corp., 8.38%, 5/01/16 | 500 | 547,500 | |
| Windstream Corp., 7.88%, 11/01/17 | 1,000 | 977,500 | |
| 2,125,750 | |||
| Energy Equipment & Services — 0.6% | |||
| Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b) | 750 | 746,250 | |
| Food & Staples Retailing — 0.1% | |||
| Duane Reade, Inc., 11.75%, 8/01/15 | 80 | 100,800 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 17
Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
| Par | |||
| Corporate Bonds | (000) | Value | |
| Food Products — 1.0% | |||
| B&G Foods, Inc., 7.63%, 1/15/18 | USD | 300 | $ 303,000 |
| Bumble Bee Foods LLC, 7.75%, 12/15/15 (b) | 220 | 220,550 | |
| Smithfield Foods, Inc., 10.00%, 7/15/14 (b) | 640 | 692,800 | |
| 1,216,350 | |||
| Health Care Providers & Services — 0.4% | |||
| Vanguard Health Holding Co. II LLC, 8.00%, | |||
| 2/01/18 (b) | 455 | 447,037 | |
| Health Care Technology — 0.8% | |||
| IMS Health, Inc., 12.50%, 3/01/18 (b) | 890 | 1,023,500 | |
| Hotels Restaurants & Leisure — 2.4% | |||
| Icahn Enterprises LP (b): | |||
| 7.75%, 1/15/16 | 500 | 470,000 | |
| 8.00%, 1/15/18 | 1,000 | 940,000 | |
| Little Traverse Bay Bands of Odawa Indians, 10.25%, | |||
| 2/15/14 (b)(c)(g) | 800 | 202,000 | |
| MGM Mirage, 11.13%, 11/15/17 (b) | 390 | 421,200 | |
| Shingle Springs Tribal Gaming Authority, 9.38%, | |||
| 6/15/15 (b) | 95 | 75,525 | |
| Snoqualmie Entertainment Authority, 4.14%, | |||
| 2/01/14 (a)(b) | 305 | 207,400 | |
| Travelport LLC, 4.88%, 9/01/14 (a) | 810 | 753,300 | |
| Tropicana Entertainment LLC, Series WI, 9.63%, | |||
| 12/15/14 (c)(g) | 120 | 75 | |
| 3,069,500 | |||
| Household Durables — 0.4% | |||
| Beazer Homes USA, Inc., 12.00%, 10/15/17 (b) | 500 | 557,500 | |
| Household Products — 0.1% | |||
| Libbey Glass, Inc., 10.00%, 2/15/15 (b) | 65 | 67,275 | |
| IT Services — 0.7% | |||
| Alliance Data Systems Corp., 1.75%, 8/01/13 (e) | 370 | 342,250 | |
| SunGard Data Systems, Inc., 4.88%, 1/15/14 | 549 | 512,629 | |
| 854,879 | |||
| Independent Power Producers & Energy Traders — 2.5% | |||
| AES Eastern Energy LP, Series 99-B, 9.67%, 1/02/29 | 300 | 325,125 | |
| Calpine Construction Finance Co. LP, 8.00%, | |||
| 6/01/16 (b) | 1,200 | 1,215,000 | |
| Energy Future Holdings Corp., 10.00%, 1/15/20 (b) | 400 | 408,000 | |
| NRG Energy, Inc., 7.25%, 2/01/14 | 1,260 | 1,269,450 | |
| 3,217,575 | |||
| Industrial Conglomerates — 1.6% | |||
| Sequa Corp. (b): | |||
| 11.75%, 12/01/15 | 720 | 705,600 | |
| 13.50%, 12/01/15 (f) | 1,322 | 1,324,873 | |
| 2,030,473 | |||
| Insurance — 0.3% | |||
| USI Holdings Corp., 4.13%, 11/15/14 (a)(b) | 490 | 405,475 | |
| Leisure Equipment & Products — 0.3% | |||
| Brunswick Corp., 11.25%, 11/01/16 (b) | 370 | 411,625 | |
| Machinery — 1.4% | |||
| ESCO Corp., 4.13%, 12/15/13 (a)(b) | 920 | 814,200 | |
| RBS Global, Inc., 8.88%, 9/01/16 | 505 | 457,025 | |
| Titan International, Inc., 8.00%, 1/15/12 | 460 | 457,700 | |
| 1,728,925 | |||
| Marine — 0.2% | |||
| Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b) | 260 | 264,550 | |
| Media — 5.2% | |||
| Affinion Group, Inc., 10.13%, 10/15/13 | 820 | 828,200 | |
| CSC Holdings, Inc., 8.50%, 4/15/14 (b) | 180 | 189,225 | |
| Canadian Satellite Radio Holdings, Inc., 12.75%, | |||
| 2/15/14 | 3,000 | 1,800,000 | |
| Par | |||
| Corporate Bonds | (000) | Value | |
| Media (concluded) | |||
| Clear Channel Worldwide Holdings, Inc., 9.25%, | |||
| 12/15/17 (b) | USD | 1,218 | $ 1,250,040 |
| DISH DBS Corp., 7.00%, 10/01/13 | 375 | 383,438 | |
| Seat Pagine Gialle SpA, 10.50%, 1/31/17 | EUR | 434 | 547,050 |
| TL Acquisitions, Inc., 10.50%, 1/15/15 (b) | USD | 400 | 364,500 |
| UPC Germany GmbH, 8.13%, 12/01/17 (b) | 1,000 | 1,000,000 | |
| Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (b) | 250 | 246,250 | |
| 6,608,703 | |||
| Metals & Mining — 1.1% | |||
| Aleris International, Inc. (c)(g): | |||
| 9.00%, 12/15/14 | 370 | 925 | |
| 10.00%, 12/15/16 | 500 | 10,625 | |
| RathGibson, Inc., 11.25%, 2/15/14 (c)(g) | 1,390 | 446,538 | |
| Ryerson, Inc., 7.62%, 11/01/14 (a) | 1,075 | 959,437 | |
| 1,417,525 | |||
| Multiline Retail — 0.2% | |||
| Dollar General Corp., 11.88%, 7/15/17 (f) | 215 | 249,937 | |
| Oil, Gas & Consumable Fuels — 0.2% | |||
| OPTI Canada, Inc., 9.00%, 12/15/12 (b) | 300 | 305,250 | |
| Paper & Forest Products — 2.8% | |||
| Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(f) | 686 | 510,897 | |
| Clearwater Paper Corp., 10.63%, 6/15/16 (b) | 190 | 210,900 | |
| NewPage Corp.: | |||
| 10.00%, 5/01/12 | 550 | 316,250 | |
| 11.38%, 12/31/14 | 2,070 | 1,976,850 | |
| Verso Paper Holdings LLC: | |||
| 11.50%, 7/01/14 (b) | 160 | 168,000 | |
| 4.00%, 8/01/14 (a) | 455 | 367,413 | |
| 3,550,310 | |||
| Pharmaceuticals — 0.6% | |||
| Angiotech Pharmaceuticals, Inc., 4.00%, 12/01/13 (a) | 305 | 247,050 | |
| Elan Corp. Plc, 8.75%, 10/15/16 (b) | 295 | 286,150 | |
| Novasep Holding SAS, 9.63%, 12/15/16 | EUR | 137 | 172,556 |
| 705,756 | |||
| Real Estate Investment Trusts (REITs) — 0.2% | |||
| Omega Healthcare Investors, Inc., 7.50%, 2/15/20 (b) | USD | 310 | 313,100 |
| Semiconductors & Semiconductor Equipment — 0.7% | |||
| Spansion, Inc., 3.79%, 6/01/13 (b)(c)(g) | 830 | 821,700 | |
| Software — 0.0% | |||
| BMS Holdings, Inc., 7.89%, 2/15/12 (b)(f) | 488 | 9,759 | |
| Specialty Retail — 0.3% | |||
| United Auto Group, Inc., 7.75%, 12/15/16 | 355 | 338,581 | |
| Wireless Telecommunication Services — 2.0% | |||
| Cricket Communications, Inc., 7.75%, 5/15/16 | 1,000 | 1,016,250 | |
| Digicel Group Ltd., 9.13%, 1/15/15 (b)(f) | 1,129 | 1,100,775 | |
| iPCS, Inc., 2.37%, 5/01/13 (a) | 200 | 184,000 | |
| Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b) | 325 | 286,000 | |
| 2,587,025 | |||
| Total Corporate Bonds — 39.1% | 49,693,243 | ||
| Floating Rate Loan Interests (a) | |||
| Aerospace & Defense — 0.9% | |||
| Hawker Beechcraft Term Loan B, 10.50%, 3/26/14 | 125 | 113,855 | |
| TASC, Inc.: | |||
| Tranche A Term Loan, 5.50%, 12/18/14 | 340 | 341,417 | |
| Tranche B Term Loan, 5.75%, 12/18/15 | 660 | 664,400 | |
| 1,119,672 |
See Notes to Financial Statements.
18 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Auto Components — 2.8% | |||
| Affinion Group Holdings, Inc., Tranche B Term Loan, | |||
| 2.73%, 10/17/12 | USD | 325 | $ 315,412 |
| Allison Transmission, Inc., Term Loan, 2.98% – 3.00%, | |||
| 8/07/14 | 1,920 | 1,758,055 | |
| Dana Holding Corp., Term Advance, 4.48% – 6.50%, | |||
| 1/30/15 | 622 | 606,296 | |
| Exide Technologies Term Loan, 3.91%, 5/15/12 | EUR | 150 | 183,824 |
| Lear Corp., Loan (Closing Date Loan & Delayed | |||
| Draw Loan), 7.50%, 11/09/14 | USD | 703 | 704,584 |
| 3,568,171 | |||
| Automobiles — 0.9% | |||
| Ford Motor Co., Tranche B-1 Term Loan, 3.24% – 3.26%, | |||
| 12/15/13 | 1,218 | 1,134,833 | |
| Beverages — 0.2% | |||
| Culligan International Co., Loan (Second Lien), 5.18%, | |||
| 4/24/13 | EUR | 500 | 281,409 |
| Building Products — 2.1% | |||
| Building Materials Corp. of America: | |||
| Second Lien Term Loan, 6.00%, 9/15/14 | USD | 750 | 738,000 |
| Term Loan Advance, 3.00%, 2/22/14 | 748 | 728,487 | |
| Goodman Global, Inc., Term Loan, 6.25%, 2/13/14 | 1,172 | 1,176,650 | |
| 2,643,137 | |||
| Chemicals — 4.4% | |||
| Ashland Inc., Term B Borrowing, 7.65%, 5/13/14 | 274 | 277,063 | |
| Chemtura Corp. Debtor in Possession Return of Capital | |||
| Term Loan, 6.00%, 1/26/11 | 800 | 803,500 | |
| Edwards (Cayman Islands II) Ltd., Term Loan (First Lien), | |||
| 2.25%, 5/31/14 | 275 | 218,878 | |
| Gentek Holding, LLC, Tranche B Term Loan, 7.00%, | |||
| 10/29/14 | 400 | 402,000 | |
| Huish Detergents Inc., Tranche B Term Loan, 2.01%, | |||
| 4/26/14 | 241 | 231,038 | |
| Matrix Acquisition Corp. (MacDermid, Inc.), | |||
| Tranche C Term Loan, 2.63%, 12/15/13 | EUR | 248 | 275,385 |
| Nalco Co., Term Loan, 6.50%, 5/13/16 | USD | 622 | 626,228 |
| PQ Corp. (fka Niagara Acquisition, Inc.), Original | |||
| Term Loan (First Lien), 3.48% – 3.50%, 7/30/14 | 493 | 450,638 | |
| Rockwood Specialties Group, Inc., Term Loan H, 6.00%, | |||
| 5/15/14 | 725 | 727,175 | |
| Solutia Inc., Loan, 7.25%, 2/28/14 | 734 | 743,232 | |
| Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%, | |||
| 6/24/10 | 800 | 820,960 | |
| 5,576,097 | |||
| Commercial Services & Supplies — 2.8% | |||
| ARAMARK Corp.: | |||
| LC Facility Letter of Credit, 2.11%, 1/26/14 | 39 | 37,004 | |
| US Term Loan, 2.13%, 1/26/14 | 590 | 562,670 | |
| Advanced Disposal Services, Inc., Term B Loan, 6.00%, | |||
| 1/14/15 | 500 | 500,000 | |
| Casella Waste Systems, Inc, Term B Loan, 7.00%, | |||
| 4/09/14 | 398 | 400,488 | |
| Johnson Diversey, Inc. Term Loan B, 5.50%, 11/24/15 | 425 | 428,187 | |
| Synagro Technologies, Inc., Term Loan (First Lien), | |||
| 2.23%, 4/02/14 | 721 | 635,947 | |
| West Corp., Incremental Term B-3 Loan, 7.25%, | |||
| 10/24/13 | 996 | 1,005,524 | |
| 3,569,820 | |||
| Construction & Engineering — 1.2% | |||
| Safway First Out Term Loan, 9.00%, 12/14/17 | 800 | 800,000 | |
| Welding Services Term Loan B, 9.35%, 12/16/13 | 747 | 751,197 | |
| 1,551,197 |
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Consumer Finance — 1.5% | |||
| DaimlerChrysler Financial Services Americas LLC, | |||
| Term Loan (First Lien), 4.24%, 8/03/12 | USD | 1,970 | $ 1,944,701 |
| Containers & Packaging — 1.3% | |||
| Anchor Glass Term Loan B, 6.00%, 2/18/16 | 675 | 668,250 | |
| Berry Plastics Holding Corp., Term C Loan, 2.25%, 4/03/15 | 579 | 517,608 | |
| Graham Packaging Co., LP, B Term Loan, 2.50%, 10/07/11 | 432 | 426,510 | |
| 1,612,368 | |||
| Diversified Consumer Services — 2.9% | |||
| Coinmach Service Corp., Term Loan, 3.25%, 11/14/14 | 1,719 | 1,487,193 | |
| Laureate Education Term Loan B, 7.00%, 8/15/14 | 2,146 | 2,126,153 | |
| 3,613,346 | |||
| Diversified Financial Services — 1.2% | |||
| CIT Group, Inc., Tranche 2A Term Loan, 9.50% – 9.75%, | |||
| 1/20/12 (f) | 890 | 911,694 | |
| Reynolds Group Holdings Inc., US Term Loan, 6.25%, | |||
| 11/05/15 | 600 | 603,750 | |
| 1,515,444 | |||
| Diversified Telecommunication Services — 2.1% | |||
| Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 | 323 | 276,798 | |
| Hawaiian Telcom Communications, Inc., Tranche C | |||
| Term Loan, 4.75%, 5/30/14 | 1,531 | 1,152,257 | |
| Integra Telecom Holdings, Inc., Term Loan (First Lien), | |||
| 10.50%, 8/31/13 | 546 | 545,459 | |
| Level 3 Communications Incremental Term Loan, 7.59%, | |||
| 3/13/14 | 550 | 495,573 | |
| US Telepacific Corp. Second Lien Term Loan, 7.75%, | |||
| 7/25/15 | 225 | 225,422 | |
| 2,695,509 | |||
| Electrical Equipment — 0.6% | |||
| Baldor Electric Co., Term Loan, 5.25%, 1/31/14 | 711 | 712,341 | |
| Energy Equipment & Services — 0.4% | |||
| MEG Energy Corp., Tranche D Term Loan, 6.00%, | |||
| 4/03/16 | 547 | 537,026 | |
| Food & Staples Retailing — 3.7% | |||
| AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots), | |||
| Facility B1, 3.54%, 7/09/15 | GBP | 750 | 1,024,480 |
| Bolthouse Farms, Inc. Term Loan B, 3.75%, 2/04/16 | USD | 550 | 550,000 |
| Pierre Foods Term Loan B, 8.50%, 9/30/14 | 304 | 303,240 | |
| Pilot Travel Centers Term Loan B, 3.50%, 11/18/15 | 1,500 | 1,506,954 | |
| Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15 | 900 | 932,400 | |
| SUPERVALU Inc., Term B Advance, 1.48%, 6/02/12 | 331 | 321,020 | |
| 4,638,094 | |||
| Food Products — 3.8% | |||
| CII Investment, LLC (fka Cloverhill), Term Loan B, 8.50%, | |||
| 10/14/14 | 904 | 903,571 | |
| Dole Food Co., Inc.: | |||
| Credit-Linked Deposit, 7.89%, 4/12/13 | 86 | 86,311 | |
| Term Loan B, 3.50%, 2/10/17 | 441 | 441,397 | |
| Term Loan C, 5.50%, 2/10/17 | 1,059 | 1,059,353 | |
| Tranche B Term Loan, 8.00%, 4/12/13 | 150 | 150,099 | |
| Pilgrim's Pride Corp. Term Loan A, 5.29%, 12/01/12 | 500 | 492,500 | |
| Pinnacle Foods Finance LLC, Tranche C Term Loan, | |||
| 7.50%, 4/02/14 | 1,200 | 1,204,928 | |
| Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%, | |||
| 4/12/13 | 487 | 487,000 | |
| 4,825,159 | |||
| Health Care Equipment & Supplies — 1.0% | |||
| Biomet, Inc., Dollar Term Loan, 3.23% – 3.25%, | |||
| 3/25/15 | USD | 672 | 649,587 |
| DJO Finance LLC (ReAble Therapeutics Finance LLC), | |||
| Term Loan, 3.23%, 5/20/14 | 664 | 641,127 | |
| Hologic, Inc., Tranche B Term Loan, 3.50%, 3/29/13 | 35 | 34,341 | |
| 1,325,055 | |||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 19
Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Health Care Providers & Services — 4.0% | |||
| CCS Medical, Inc. (Chronic Care), Loan (Debtor in | |||
| Possession), 13.00%, 3/31/10 | USD | 31 | $ 31,247 |
| CHS/Community Health Systems, Inc.: | |||
| Delayed Draw Term Loan, 2.50%, 7/25/14 | 97 | 90,610 | |
| Funded Term Loan, 2.48% -2.50%, 7/25/14 | 1,894 | 1,769,921 | |
| DaVita Inc., Tranche B-1 Term Loan, 1.73% – 1.76%, | |||
| 10/05/12 | 300 | 292,988 | |
| Fresenius SE: | |||
| Tranche B1 Term Loan, 6.75%, 9/10/14 | 99 | 99,832 | |
| Tranche B2 Term Loan, 6.75%, 9/10/14 | 69 | 69,658 | |
| HCA Inc.: | |||
| Tranche A-1 Term Loan, 1.75%, 11/16/12 | 1,482 | 1,399,840 | |
| Tranche B-1 Term Loan, 2.50%, 11/18/13 | 387 | 367,453 | |
| Vanguard Health Systems Term Loan B, 5.00%, 1/29/16 | 1,000 | 1,001,250 | |
| 5,122,799 | |||
| Health Care Technology — 1.0% | |||
| IMS Healthcare Term Loan B, 5.25%, 2/16/16 | 1,200 | 1,204,800 | |
| Hotels Restaurants & Leisure — 5.1% | |||
| Cedar Fair LP Term Loan B, 4.00%, 2/04/16 | 750 | 748,828 | |
| Green Valley Ranch Gaming, LLC, Loan (Second Lien), | |||
| 3.50%, 8/16/14 | 500 | 50,000 | |
| Harrah's Operating Co., Inc., Term B-4 Loan, 9.50%, | |||
| 10/31/16 | 1,500 | 1,495,833 | |
| Lake at Las Vegas Joint Venture / LLV-1, LLC (c)(g): | |||
| Mezzanine, 20.00%, 10/01/10 | 2 | 25 | |
| Revolving Loan Credit-Linked Deposit Account, | |||
| 14.35%, 6/20/12 | 120 | 1,204 | |
| Term Loan, 14.35%, 6/20/12 | 1,312 | 13,114 | |
| QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%, | |||
| 5/05/13 | 172 | 147,062 | |
| SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16 | 1,000 | 1,004,375 | |
| Six Flags Theme Parks, Inc. Term Loan, 4.50%, 6/13/15 | 1,750 | 1,733,812 | |
| Universal City Development Term Loan B, 7.75%, | |||
| 11/06/14 | 750 | 754,219 | |
| VML US Finance LLC (aka Venetian Macau) Term B: | |||
| Delayed Draw Project Loan, 4.76%, 5/25/12 | 64 | 60,525 | |
| Funded Project Loan, 4.76%, 5/27/13 | 458 | 436,016 | |
| 6,445,013 | |||
| Household Durables — 0.8% | |||
| American Residential Services LLC, Term Loan | |||
| (Second Lien), 12.00%, 4/17/15 (f) | 1,030 | 991,654 | |
| IT Services — 3.3% | |||
| Audio Visual Services Group, Inc.: | |||
| Loan (Second Lien) 5.76%, 8/28/14 | 539 | 53,852 | |
| Tranche B Term Loan (First Lien), 2.51%, 2/28/14 | 746 | 522,328 | |
| Ceridian Corp., US Term Loan, 3.23% – 3.25%, | |||
| 11/09/14 | 989 | 864,426 | |
| First Data Corp.: | |||
| Initial Tranche B-2 Term Loan, 3.00%, 9/24/14 | 2,123 | 1,851,073 | |
| Initial Tranche B-3 Term Loan, 3.00%, 9/24/14 | 121 | 104,942 | |
| SunGard Data Systems, Inc. (Solar Capital Corp.): | |||
| Incremental Term Loan, 6.75%, 2/28/14 | 497 | 499,222 | |
| Tranche B US Term Loan, 3.86% – 3.87%, 2/28/16 | 323 | 314,438 | |
| 4,210,281 | |||
| Independent Power Producers & Energy Traders — 1.4% | |||
| Dynegy Holdings Inc.: | |||
| Term Letter of Credit Facility Term Loan, 3.98%, | |||
| 4/02/13 | 694 | 677,261 | |
| Tranche B Term Loan, 3.98%, 4/02/13 | 56 | 54,519 | |
| Texas Competitive Electric Holdings Co., LLC (TXU): | |||
| Initial Tranche B-1 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 1,097 | 881,518 | |
| Initial Tranche B-2 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 231 | 185,477 | |
| 1,798,775 | |||
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Industrial Conglomerates — 0.4% | |||
| Sequa Corp., Term Loan, 3.51% -3.94%, 12/03/14 | USD | 522 | $ 477,602 |
| Insurance — 0.4% | |||
| Alliant Holdings I, Inc., Term Loan, 3.25%, 8/21/14 | 489 | 461,258 | |
| Internet & Catalog Retail — 0.3% | |||
| FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14 | 422 | 422,391 | |
| Machinery — 1.9% | |||
| Accuride Term Loan, 10.00%, 1/31/12 | 460 | 459,042 | |
| Bucyrus International Term Loan C, 4.50%, 1/26/16 | 1,000 | 1,005,300 | |
| Oshkosh Truck Corp., Term B Loan, 6.25% – 6.26%, | |||
| 12/06/13 | 999 | 998,059 | |
| 2,462,401 | |||
| Media — 18.8% | |||
| Affinion Group Holdings, Inc., Loan, 7.89%, 3/01/12 (f) | 864 | 816,416 | |
| Cengage Learning Acquisitions, Inc. (Thomson Learning), | |||
| Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 1,495 | 1,480,000 | |
| Cequel Communications, LLC: | |||
| Term Loan, 2.25% – 4.25%, 11/05/13 | 283 | 267,988 | |
| Tranche A Term Loan, (Second Lien)4.75%, 5/05/14 | 2,000 | 1,948,200 | |
| Charter Communications Operating, LLC, New Term Loan, | |||
| 2.23%, 3/06/14 | 3,200 | 2,984,870 | |
| EB Sports Corp., Loan, 11.50%, 5/01/12 | 428 | 397,803 | |
| Ellis Communications KDOC, LLC, Loan, 10.00%, | |||
| 12/30/11 | 1,939 | 543,007 | |
| HMH Publishing Co. Ltd.: | |||
| Mezzanine, 17.50%, 11/14/14 (f) | 252 | 31,102 | |
| Tranche A Term Loan, 5.23%, 6/12/14 | 800 | 672,786 | |
| Hanley-Wood, LLC (FSC Acquisition), Term Loan, | |||
| 2.50% – 2.56%, 3/10/14 | 744 | 332,449 | |
| Insight Midwest Holdings, LLC, B Term Loan, 2.25%, | |||
| 4/07/14 | 475 | 456,074 | |
| Intelsat Corp. (fka PanAmSat Corp.): | |||
| Tranche B-2-A Term Loan, 2.73%, 1/03/14 | 166 | 158,061 | |
| Tranche B-2-B Term Loan, 2.73%, 1/03/14 | 166 | 158,013 | |
| Tranche B-2-C Term Loan, 2.73%, 1/03/14 | 166 | 158,013 | |
| Lamar Media Corp.: | |||
| Series B Incremental Loan, 5.50% – 5.75%, | |||
| 9/28/12 | 540 | 535,725 | |
| Series E Incremental Loan, 5.50% – 5.75%, | |||
| 3/31/13 | 235 | 234,943 | |
| Term Loan, 5.50% – 5.75%, 9/28/12 | 1,155 | 1,146,516 | |
| Lavena Holding 3 GmbH (Prosiebensat.1 Media AG), | |||
| Facility B1, 3.34%, 6/30/15 | EUR | 337 | 314,143 |
| Mediacom Illinois, LLC (fka Mediacom | |||
| Communications, LLC), Tranche D Term Loan, | |||
| 5.50%, 3/31/17 | USD | 499 | 498,122 |
| Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | 2,000 | 2,137,500 | |
| Nielsen Finance LLC: | |||
| Class B Dollar Term Loan, 3.98%, 5/01/16 | 1,028 | 995,348 | |
| Dollar Term Loan, 2.23%, 8/09/13 | 590 | 555,627 | |
| Penton Media, Inc.: | |||
| Loan (Second Lien), 9.25%, 2/01/14 (c)(g) | 1,000 | 133,333 | |
| Term Loan (First Lien), 2.48% – 2.50%, 2/01/13 | 973 | 709,925 | |
| Sinclair Television Group, Inc., Tranche B Term Loan, | |||
| 6.50%, 10/29/15 | 750 | 753,750 | |
| Springer Science+Business Media SA, Facility A1, | |||
| 6.75%, 7/01/16 | EUR | 1,000 | 1,345,769 |
| Sunshine Acquisition Ltd. (aka HIT Entertainment), | |||
| Term Facility, 2.50%, 3/20/12 | USD | 825 | 725,313 |
| TWCC Holding Corp., Term Loan, 7.25%, 9/14/15 | 494 | 494,980 | |
| United Pan Europe Communications, Term Loan, 3.93%, | |||
| 12/30/16 | 1,000 | 972,000 | |
| Virgin Media Investment Holdings Ltd., C Facility, 3.58%, | |||
| 7/17/13 | GBP | 570 | 811,923 |
See Notes to Financial Statements.
20 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Media (concluded) | |||
| Worldcolor Press Inc. and Worldcolor (USA) Corp. | |||
| (fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12 | USD | 349 | $ 352,771 |
| Yell Group Plc TPI Term Loan A, 7.12%, 8/09/11 | 750 | 718,125 | |
| 23,840,595 | |||
| Metals & Mining — 1.7% | |||
| Euramax International, Inc., Domestic Term Loan: | |||
| 10.00%, 6/29/13 | 643 | 521,067 | |
| 14.00%, 6/29/13 (f) | 659 | 533,769 | |
| RathGibson, Inc., Loan (Debtor in Possession), 10.75%, | |||
| 6/30/10 | 1,148 | 1,147,507 | |
| 2,202,343 | |||
| Multi-Utilities — 0.4% | |||
| FirstLight Power Resources, Inc. (fka NE Energy, Inc: | |||
| Synthetic Letter of Credit, 2.81%, 11/01/13 | 46 | 42,597 | |
| Term B Advance (First Lien), 2.75%, 11/01/13 | 496 | 462,685 | |
| 505,282 | |||
| Multiline Retail — 1.9% | |||
| Dollar General Corp., Tranche B-2 Term Loan, 2.98%, | |||
| 7/07/14 | 640 | 615,941 | |
| Hema Holding BV, Facility D, 5.42%, 1/01/17 | EUR | 1,400 | 1,601,307 |
| The Neiman Marcus Group Inc., Term Loan, 2.26%, | |||
| 4/06/13 | USD | 195 | 175,024 |
| 2,392,272 | |||
| Oil, Gas & Consumable Fuels — 1.8% | |||
| Big West Oil, LLC: | |||
| Delayed Advance Loan, 4.50%, 5/15/14 | 363 | 355,418 | |
| Initial Advance Loan, 4.50%, 5/15/14 | 288 | 282,559 | |
| Initial Advance Loan, 9.75%, 1/26/15 | 325 | 326,625 | |
| Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 (f) | 1,760 | 1,320,358 | |
| 2,284,960 | |||
| Paper & Forest Products — 0.6% | |||
| Georgia-Pacific LLC, Term Loan B, 2.25% – 2.26%, | |||
| 12/23/12 | 738 | 721,118 | |
| Personal Products — 0.4% | |||
| American Safety Razor Co., LLC: | |||
| Loan (Second Lien), 6.51%, 1/30/14 | 325 | 190,125 | |
| Term Loan (First Lien), 2.75% – 2.76%, 7/31/13 | 225 | 203,777 | |
| Revlon Consumer Products Corp., Term Loan, | |||
| 4.25% – 4.26%, 1/15/12 | 150 | 147,610 | |
| 541,512 | |||
| Pharmaceuticals — 1.3% | |||
| Warner Chilcott Co., LLC, Term A Loan, 5.50%, 10/30/14 | 542 | 542,237 | |
| Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15 | 1,153 | 1,152,279 | |
| 1,694,516 | |||
| Professional Services — 0.8% | |||
| Booz Allen Hamilton, Inc., Term Loan C, 6.00%, 7/31/15 | 1,000 | 1,003,125 | |
| Real Estate Management & Development — 1.0% | |||
| Realogy Corp.: | |||
| Delayed Draw Term B Loan, 3.25%, 10/10/13 | 549 | 483,763 | |
| Initial Term B Loan, 3.25%, 10/10/13 | 196 | 173,247 | |
| Synthetic Letter of Credit, 3.23%, 10/10/13 | 53 | 46,643 | |
| Term Loan (Second Lien), 13.50%, 10/15/17 | 500 | 543,750 | |
| 1,247,403 | |||
| Specialty Retail — 0.6% | |||
| Michaels Stores, Inc.: | |||
| Term Loan B, 2.50% – 2.56%, 10/31/13 | 280 | 252,095 | |
| Term Loan B-1, 4.75% – 4.81%, 7/31/16 | 516 | 491,915 | |
| 744,010 | |||
| Textiles, Apparel & Luxury Goods — 0.3% | |||
| Hanesbrands Inc., New Term Loan, 5.25%, 12/10/15 | 400 | 403,000 |
| Par | ||
| Floating Rate Loan Interests (a) | (000) | Value |
| Wireless Telecommunication Services — 0.7% | ||
| Digicel International Finance Ltd., Tranche A, 2.81%, | ||
| 3/30/12 | USD 175 | $ 168,438 |
| MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50%, | ||
| 11/03/13 | 748 | 720,716 |
| 889,154 | ||
| Total Floating Rate Loan Interests — 82.7% | 104,929,643 | |
| Beneficial | ||
| Interest | ||
| Other Interests (i) | (000) | |
| Auto Components — 0.9% | ||
| Delphi Debtor in Possession Holding Co. LLP, Class B | ||
| Membership Interests | —(j) | 1,067,720 |
| Intermet Liquidating Trust, Class A | 417 | 121,477 |
| 1,189,197 | ||
| Diversified Financial Services — 0.5% | ||
| J.G. Wentworth LLC Preferred Equity Interests | —(j) | 573,521 |
| Hotels Restaurants & Leisure — 0.0% | ||
| Buffets, Inc. | 360 | 36 |
| Household Durables — 0.3% | ||
| Stanley Martin, Class B Memebership Units | 1 | 375,000 |
| Total Other Interests — 1.7% | 2,137,754 | |
| Warrants (k) | Shares | |
| Hotels Restaurants & Leisure — 0.0% | ||
| Buffets Restaurants Holdings, Inc. (expires 4/29/14) | 304 | 3 |
| Oil, Gas & Consumable Fuels — 0.0% | ||
| Turbo Cayman Ltd. (no expiration) | 1 | — |
| Total Warrants — 0.0% | 3 | |
| Total Long-Term Investments | ||
| (Cost — $180,489,619) — 126.2% | 160,131,871 | |
| Short-Term Securities | ||
| BlackRock Liquidity Funds, TempFund, Institutional | ||
| Class 0.09% (l)(m) | 1,615,121 | 1,615,121 |
| Total Short-Term Securities | ||
| (Cost — $1,615,121) — 1.3% | 1,615,121 | |
| Options Purchased | Contracts | |
| Over-the-Counter Call Options — 0.0% | ||
| Marsico Parent Superholdco LLC, | ||
| Strike Price $942.86, Expires 12/21/19, | ||
| Broker Goldman Sachs Bank USA | 13 | 2,470 |
| Total Options Purchased (Cost — $12,711) — 0.0% | 2,470 | |
| Total Investments (Cost — $182,117,451*) — 127.5% | 161,749,462 | |
| Liabilities in Excess of Other Assets — (27.5)% | (34,852,999) | |
| Net Assets — 100.0% | $126,896,463 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 21
Schedule of Investments (continued) BlackRock Diversified Income Strategies Fund, Inc. (DVF)
| * The cost and unrealized appreciation (depreciation) of investments as of | |||||||||
| February 28, 2010, as computed for federal income tax purposes, were as follows: | |||||||||
| Aggregate cost | $182,793,594 | ||||||||
| Gross unrealized appreciation | $ 4,887,935 | ||||||||
| Gross unrealized depreciation | (25,868,167) | ||||||||
| Net unrealized depreciation | $ (20,980,232) | ||||||||
| (a) Variable rate security. Rate shown is as of report date. | |||||||||
| (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. | |||||||||
| These securities may be resold in transactions exempt from registration to qualified | |||||||||
| institutional investors. | |||||||||
| (c) Non-income producing security. | |||||||||
| (d) Represents a zero-coupon bond. Rate shown reflects the current yield as of | |||||||||
| report date. | |||||||||
| (e) Convertible security. | |||||||||
| (f) Represents a payment-in-kind security which may pay interest/dividends in | |||||||||
| additional face/shares. | |||||||||
| (g) Issuer filed for bankruptcy and/or is in default of interest payments. | |||||||||
| (h) All or a portion of security has been pledged as collateral in connection with swaps. | |||||||||
| (i) Other interests represent beneficial interest in liquidation trusts and other reorgani- | |||||||||
| zation entities and are non-income producing. | |||||||||
| (j) Amount is less than $1,000. | |||||||||
| (k) Warrants entitle the Fund to purchase a predetermined number of shares of com- | |||||||||
| mon stock and are non-income producing. The purchase price and number of | |||||||||
| shares are subject to adjustment under certain conditions until the expiration date. | |||||||||
| (l) Investments in companies considered to be an affiliate of the Fund, for purposes of | |||||||||
| Section 2(a)(3) of the Investment Company Act of 1940, were as follows: | |||||||||
| Net | |||||||||
| Affiliate | Activity | Income | |||||||
| BlackRock Liquidity Funds, TempFund, | |||||||||
| Institutional Class | $ (756,457) | $2,200 | |||||||
| (m) Represents the current yield as of report date. | |||||||||
| • | Foreign currency exchange contracts as of February 28, 2010 were as follows: | ||||||||
| Currency | Currency | Settlement Unrealized | |||||||
| Purchased | Sold | Counterparty | Date | Appreciation | |||||
| USD 6,887,624 | EUR 4,822,000 | Citibank NA | 3/24/10 | $ 322,031 | |||||
| USD | 693,072 | CAD | 725,000 | Goldman Sachs | |||||
| International | 4/21/10 | 4,104 | |||||||
| USD | 156,898 | GBP | 100,500 | Citibank NA | 4/21/10 | 3,717 | |||
| USD | 337,184 | GBP | 209,000 | Deutsche Bank AG 4/21/10 | 18,627 | ||||
| USD 1,062,877 | GBP | 656,500 | Morgan Stanley | ||||||
| Capital | |||||||||
| Service, Inc. | 4/21/10 | 62,243 | |||||||
| Total | $ 410,722 | ||||||||
| • | Interest rate swaps outstanding as of February 28, 2010 were as follows: | ||||||||
| Notional | |||||||||
| Fixed | Floating | Amount | Unrealized | ||||||
| Rate | Rate | Counterparty Expiration | (000) | Depreciation | |||||
| 4.82%1 | 3-month | JPMorgan | January | ||||||
| LIBOR | Chase Bank NA | 2013 | USD 20,000 | $ (1,842,608) | |||||
| 1 Pays fixed interest rate and receives floating rate. | |||||||||
| • | Credit default swaps on single-name issues — buy protection outstanding as of | ||||||||
| February 28, 2010 were as follows: | |||||||||
| Pay | Notional | ||||||||
| Fixed | Amount | Unrealized | |||||||
| Issuer | Rate | Counterparty | Expiration | (000) | Depreciation | ||||
| Brunswick | 5.00% Goldman Sachs September USD 100 $ (2,826) | ||||||||
| Corp. | Bank USA | 2014 | |||||||
| • | Credit default swaps on trade index — sold protection outstanding as of | ||||||||
| February 28, 2010 were as follows: | |||||||||
| Receive | Notional | ||||||||
| Fixed | Counter- | Credit | Amount | Unrealized | |||||
| Index | Rate | party Expiration Rating2 | (000)3 | Depreciation | |||||
| Aces High | 5.00% | Morgan | March | CCC | USD 6,736 | $ (148,600) | |||
| Yield Index | Stanley | 2010 | |||||||
| Capital | |||||||||
| Services, Inc. | |||||||||
| • | Credit default swaps on single-name issues — sold protection outstanding as of | ||||||||
| February 28, 2010 were as follows: | |||||||||
| Receive | Notional | ||||||||
| Fixed | Counter- | Credit | Amount | Unrealized | |||||
| Issuer | Rate | party Expiration Rating4 | (000)3 | Depreciation | |||||
| BAA | 2.00% Deutsche | March | A– | GBP 300 | $ (31,565) | ||||
| Ferrovial | Bank AG | 2012 | |||||||
| Junior Term | |||||||||
| Loan | |||||||||
| 2 | Using Standard & Poor’s weighted average ratings of the underlying securities | ||||||||
| in the index. | |||||||||
| 3 | The maximum potential amount the Fund may pay should a negative credit | ||||||||
| event take place under the terms of the agreement. See Note 2 of the Notes to | |||||||||
| Financial Statements. | |||||||||
| 4 | Using Standard & Poor’s rating of the issuer. | ||||||||
| • | For Fund compliance purposes, the Fund's industry classifications refer to any one | ||||||||
| or more of the industry sub-classifications used by one or more widely recognized | |||||||||
| market indexes or rating group indexes, and/or as defined by Fund management. | |||||||||
| This definition may not apply for purposes of this report, which may combine such | |||||||||
| industry sub-classifications for reporting ease. | |||||||||
| • | Fair Value Measurements — Various inputs are used in determining the fair value of | ||||||||
| investments, which are as follows: | |||||||||
| • Level 1 — price quotations inactive markets/exchanges for identical assets | |||||||||
| and liabilities | |||||||||
| • Level 2 — other observable inputs (including, but not limited to: quoted prices for | |||||||||
| similar assets or liabilities in markets that are active, quoted prices for identical | |||||||||
| or similar assets or liabilities in markets that are not active, inputs other than | |||||||||
| quoted prices that are observable for the assets or liabilities (such as interest | |||||||||
| rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and | |||||||||
| default rates) or other market- corroborated inputs) | |||||||||
| • Level 3 — unobservable inputs based on the best information available in the | |||||||||
| circumstances, to the extent observable inputs are not available (including the | |||||||||
| Fund’s own assumptions used in determining the face value of investments) | |||||||||
| The inputs or methodologies used for valuing securities are not necessarily an indi- | |||||||||
| cation of the risk associated with investing in those securities. For information about | |||||||||
| the Fund’s policy regarding valuation of investments and other significant accounting | |||||||||
| policies, please refer to the Note 1 of the Notes to Financial Statements. | |||||||||
See Notes to Financial Statements.
22 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (concluded) BlackRock Diversified Income Strategies Fund, Inc. (DVF)
| The following tables summarize the inputs used as of February 28, 2010 in deter- | |||||
| mining the fair valuation of the Fund’s investments: | |||||
| Investments in Securities | |||||
|
| |||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
| Assets: | |||||
| Long-Term | |||||
| Investments: | |||||
| Asset-Backed | |||||
| Securities | — | — $ | 513,243 | $ 513,243 | |
| Common Stocks | $ 2,050,798 | $ 734,669 | 72,518 | 2,857,985 | |
| Corporate Bonds | — | 48,607,728 | 1,085,515 | 49,693,243 | |
| Floating Rate | |||||
| Loan Interests | — | 83,082,162 | 21,847,481 | 104,929,643 | |
| Other Interests | — | — | 2,137,754 | 2,137,754 | |
| Warrants | — | — | 3 | 3 | |
| Short-Term | |||||
| Securities | 1,615,121 | — | — | 1,615,121 | |
| Total | $ 3,665,919 | $132,424,559 $ 25,656,514 | $161,746,992 | ||
| Other Financial Instruments1 | |||||
|
| |||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
| Assets | — | $ 413,192 $ | 3,737 | $ 416,929 | |
| Liabilities | — | (2,025,599) | (16,408) | (2,042,007) | |
| Total | — | $ (1,612,407) $ | (12,671) $ | (1,625,078) | |
| 1 Other financial instruments are swaps, foreign currency exchange contracts, | |||||
| options and unfunded loan commitments. Swaps, foreign currency exchange | |||||
| contracts and unfunded loan commitments are shown at the unrealized appre- | |||||
| ciation/depreciation on the instrument and options are shown at value. | |||||
| The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value: | |||||||
| Investments in Securities | |||||||
| Asset-Backed | Common | Corporate | Floating Rate | Other | |||
| Securities | Stocks | Bonds | Loan Interests | Interests | Warrants | Total | |
| Balance, as of August 31, 2009 | $ 528,255 | $ 5,436 | $ 1,033,683 | $25,553,048 | $ 228,602 | $ 3 | $27,349,027 |
| Accrued discounts/premiums | — | — | — | — | — | — | — |
| Realized gain (loss) | — | — | (4,207) | (5,829,137) | (7,383) | — | (5,840,727) |
| Change in unrealized appreciation/depreciation2 | (15,012) | 13,808 | 4,207 | 9,588,838 | 352,338 | — | 9,944,179 |
| Net purchases (sales) | — | — | 3,506 | (9,421,534) | — | — | (9,418,028) |
| Net transfers in/out of Level 3 | — | 53,274 | 48,326 | 1,956,266 | 1,564,197 | — | 3,622,063 |
| Balance, as of February 28, 2010 | $ 513,243 | $ 72,518 | $ 1,085,515 | $21,847,481 | $ 2,137,754 | $ 3 | $25,656,514 |
| 2 Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities | |||||||
| still held at February 28, 2010 was $6,059,889. | |||||||
| The following table is a reconciliation of Level 3 other financial instruments for which significant | ||
| unobservable inputs were used to determine fair value: | ||
| Other Financial Instruments3 | ||
| Assets | Liabilities | |
| Balance, as of August 31, 2009 | $ 38,010 | — |
| Accrued discounts/premiums | — | — |
| Realized gain (loss) | — | — |
| Change in unrealized appreciation/depreciation | — | — |
| Net purchases (sales) | — | — |
| Net transfers in/out of Level 3 | (34,273) | $ (16,408) |
| Balance as of February 28, 2010 | $ 3,737 | $ (16,408) |
| 3 Other financial instruments are unfunded loan commitments. | ||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 23
Schedule of Investments February 28, 2010 (Unaudited)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
| Common Stocks (a) | Shares | Value | |
| Building Products — 0.6% | |||
| Masonite Worldwide Holdings | USD | 33,758 | $ 1,417,836 |
| Chemicals — 0.0% | |||
| GEO Specialty Chemicals, Inc. | 13,117 | 5,036 | |
| Wellman Holdings, Inc. | 430 | 107 | |
| 5,143 | |||
| Construction Materials — 0.0% | |||
| Nortek, Inc. | 1,540 | 56,980 | |
| Electrical Equipment — 0.0% | |||
| Medis Technologies Ltd. | 71,654 | 5,088 | |
| Energy Equipment & Services — 0.1% | |||
| Trico Marine Services, Inc. | 119,185 | 308,689 | |
| Paper & Forest Products — 0.2% | |||
| Ainsworth Lumber Co. Ltd. | 136,289 | 286,256 | |
| Ainsworth Lumber Co. Ltd. (b) | 152,951 | 321,252 | |
| Western Forest Products, Inc. (b) | 84,448 | 17,657 | |
| 625,165 | |||
| Total Common Stocks — 0.9% | 2,418,901 | ||
| Par | |||
| Corporate Bonds | (000) | ||
| Airlines — 0.2% | |||
| Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 | 600 | 618,000 | |
| Auto Components — 0.0% | |||
| Delphi International Holdings Unsecured, 12.00%, | |||
| 10/06/14 | 32 | 32,306 | |
| Building Products — 2.1% | |||
| CPG International I, Inc.: | |||
| 7.18%, 7/01/12 (c) | 3,500 | 3,325,000 | |
| 10.50%, 7/01/13 | 2,300 | 2,254,000 | |
| 5,579,000 | |||
| Capital Markets — 0.3% | |||
| Marsico Parent Co., LLC, 10.63%, 1/15/16 (b) | 1,048 | 630,110 | |
| Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(d) | 447 | 98,895 | |
| Marsico Parent Superholdco, LLC, 14.50%, | |||
| 1/15/18 (b)(d) | 292 | 50,734 | |
| 779,739 | |||
| Chemicals — 0.5% | |||
| GEO Specialty Chemicals, Inc.: | |||
| 7.50%, 3/31/15 (b)(e) | 857 | 557,042 | |
| 10.00%, 3/31/15 | 844 | 548,704 | |
| Wellman Holdings, Inc. Third Lien Subordinate Note, | |||
| 5.00%, 1/29/19 (d)(e) | 451 | 226,366 | |
| 1,332,112 | |||
| Commercial Services & Supplies — 0.5% | |||
| Clean Harbors, Inc., 7.63%, 8/15/16 | 800 | 808,000 | |
| The Geo Group, Inc., 7.75%, 10/15/17 (b) | 550 | 556,875 | |
| 1,364,875 | |||
| Communications Equipment — 0.1% | |||
| Brocade Communications Systems, Inc., 6.88%, | |||
| 1/15/20 (b) | 105 | 107,100 | |
| Construction Materials — 0.6% | |||
| Nortek, Inc., 11.00%, 12/01/13 | 1,547 | 1,624,186 | |
| Consumer Finance — 0.6% | |||
| Credit Acceptance Corp., 9.13%, 2/01/17 (b) | 360 | 358,200 | |
| Inmarsat Finance Plc, 7.38%, 12/01/17 (b) | 1,225 | 1,255,625 | |
| 1,613,825 | |||
| Par | |||
| Corporate Bonds | (000) | Value | |
| Containers & Packaging — 2.8% | |||
| Berry Plastics Escrow LLC, 8.25%, 11/15/15 (b) | USD | 1,600 | $ 1,596,000 |
| Clondalkin Acquisition BV, 2.25%, 12/15/13 (b)(c) | 4,000 | 3,570,000 | |
| Crown European Holdings SA, 6.25%, 9/01/11 | EUR | 15 | 20,833 |
| Owens Brockway Glass Container, Inc., 6.75%, | |||
| 12/01/14 | 143 | 194,717 | |
| Packaging Dynamics Finance Corp., 10.00%, | |||
| 5/01/16 (b) | USD | 730 | 581,262 |
| Smurfit Kappa Acquisitions (b): | |||
| 7.25%, 11/15/17 | EUR | 525 | 700,572 |
| 7.75%, 11/15/19 | 500 | 677,424 | |
| 7,340,808 | |||
| Diversified Financial Services — 2.6% | |||
| CIT Group, Inc., 7.00%, 5/01/17 | USD | 2,990 | 2,642,412 |
| FCE Bank Plc, 7.13%, 1/16/12 | EUR | 900 | 1,214,706 |
| GMAC, Inc., 2.45%, 12/01/14 (c) | USD | 1,675 | 1,432,956 |
| Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b) | 800 | 810,000 | |
| Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b) | EUR | 400 | 543,306 |
| 6,643,380 | |||
| Diversified Telecommunication Services — 1.7% | |||
| Cincinnati Bell, Inc., 8.25%, 10/15/17 | USD | 1,100 | 1,100,000 |
| PAETEC Holding Corp., 8.88%, 6/30/17 | 225 | 226,687 | |
| Qwest Communications International, Inc., 8.00%, | |||
| 10/01/15 (b) | 600 | 621,000 | |
| Qwest Corp., 8.38%, 5/01/16 | 540 | 591,300 | |
| Windstream Corp., 7.88%, 11/01/17 | 2,000 | 1,955,000 | |
| 4,493,987 | |||
| Energy Equipment & Services — 0.5% | |||
| Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b) | 1,250 | 1,243,750 | |
| Food & Staples Retailing — 0.1% | |||
| AmeriQual Group LLC, 9.50%, 4/01/12 (b) | 250 | 225,000 | |
| Food Products — 1.0% | |||
| B&G Foods, Inc., 7.63%, 1/15/18 | 600 | 606,000 | |
| Bumble Bee Foods LLC, 7.75%, 12/15/15 (b) | 450 | 451,125 | |
| Smithfield Foods, Inc., 10.00%, 7/15/14 (b) | 1,500 | 1,623,750 | |
| 2,680,875 | |||
| Health Care Equipment & Supplies — 0.5% | |||
| DJO Finance LLC, 10.88%, 11/15/14 | 1,245 | 1,332,150 | |
| Health Care Providers & Services — 1.5% | |||
| Tenet Healthcare Corp. (b): | |||
| 9.00%, 5/01/15 | 175 | 183,313 | |
| 8.88%, 7/01/19 | 2,530 | 2,669,150 | |
| Vanguard Health Holding Co. II LLC, 8.00%, 2/01/18 (b) | 925 | 908,812 | |
| 3,761,275 | |||
| Health Care Technology — 0.8% | |||
| IMS Health, Inc., 12.50%, 3/01/18 (b) | 1,860 | 2,139,000 | |
| Hotels Restaurants & Leisure — 1.2% | |||
| Icahn Enterprises LP (b): | |||
| 7.75%, 1/15/16 | 1,000 | 940,000 | |
| 8.00%, 1/15/18 | 2,000 | 1,880,000 | |
| Little Traverse Bay Bands of Odawa Indians, 10.25%, | |||
| 2/15/14 (a)(b)(f) | 1,565 | 395,163 | |
| 3,215,163 | |||
| Household Durables — 0.5% | |||
| Beazer Homes USA, Inc., 12.00%, 10/15/17 (b) | 1,200 | 1,338,000 | |
| Independent Power Producers & Energy Traders — 1.2% | |||
| Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b) | 1,000 | 1,012,500 | |
| NRG Energy, Inc., 7.25%, 2/01/14 | 2,155 | 2,171,163 | |
| 3,183,663 | |||
See Notes to Financial Statements.
24 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
| Par | |||
| Corporate Bonds | (000) | Value | |
| Industrial Conglomerates — 0.9% | |||
| Sequa Corp. (b): | |||
| 11.75%, 12/01/15 | USD | 640 | $ 627,200 |
| 13.50%, 12/01/15 (d) | 1,757 | 1,761,729 | |
| 2,388,929 | |||
| Machinery — 0.6% | |||
| Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b) | 1,880 | 1,630,900 | |
| Marine — 0.2% | |||
| Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b) | 530 | 539,275 | |
| Media — 4.0% | |||
| Affinion Group, Inc., 10.13%, 10/15/13 | 1,050 | 1,060,500 | |
| CSC Holdings, Inc., 8.50%, 4/15/14 (b) | 420 | 441,525 | |
| Cablevision Systems Corp., Series B, 8.00%, 4/15/12 | 975 | 1,027,406 | |
| Clear Channel Worldwide Holdings, Inc., 9.25%, | |||
| 12/15/17 (b) | 2,520 | 2,586,292 | |
| DISH DBS Corp., 7.00%, 10/01/13 | 925 | 945,813 | |
| Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b) | EUR | 893 | 1,125,613 |
| UPC Germany GmbH, 8.13%, 12/01/17 (b) | USD | 2,000 | 2,000,000 |
| Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (b) | 1,250 | 1,231,250 | |
| 10,418,399 | |||
| Metals & Mining — 0.4% | |||
| FMG Finance Property Ltd., 4.25%, 9/01/11 (b)(c) | 265 | 261,025 | |
| Ryerson, Inc., 7.62%, 11/01/14 (c) | 900 | 803,250 | |
| 1,064,275 | |||
| Multiline Retail — 0.2% | |||
| Dollar General Corp., 11.88%, 7/15/17 (d) | 445 | 517,313 | |
| Paper & Forest Products — 0.8% | |||
| Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(d) | 1,205 | 897,911 | |
| NewPage Corp., 10.00%, 5/01/12 | 610 | 350,750 | |
| Verso Paper Holdings LLC, Series B, 4.00%, 8/01/14 (c) | 910 | 734,825 | |
| 1,983,486 | |||
| Pharmaceuticals — 0.9% | |||
| Angiotech Pharmaceuticals, Inc., 4.00%, 12/01/13 (c) | 605 | 490,050 | |
| Elan Finance Plc, 4.25%, 11/15/11 (c) | 1,820 | 1,747,200 | |
| 2,237,250 | |||
| Semiconductors & Semiconductor Equipment — 1.1% | |||
| Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b) | 660 | 668,250 | |
| Spansion, Inc., 3.79%, 6/01/13 (a)(b)(f) | 1,720 | 1,702,800 | |
| STATS ChipPAC Ltd.: | |||
| 7.50%, 7/19/10 | 180 | 181,575 | |
| 6.75%, 11/15/11 | 385 | 383,556 | |
| 2,936,181 | |||
| Software — 0.1% | |||
| JDA Software Group, Inc., 8.00%, 12/15/14 (b) | 177 | 182,310 | |
| Wireless Telecommunication Services — 1.6% | |||
| Cricket Communications, Inc., 7.75%, 5/15/16 | 2,500 | 2,540,625 | |
| Digicel Group Ltd., 9.13%, 1/15/15 (b)(d) | 278 | 271,050 | |
| iPCS, Inc., 2.37%, 5/01/13 (c) | 1,500 | 1,380,000 | |
| 4,191,675 | |||
| Total Corporate Bonds — 30.1% | 78,738,187 | ||
| Floating Rate Loan Interests (c) | |||
| Aerospace & Defense — 1.1% | |||
| Avio SpA: | |||
| Facility B2, 2.35%, 12/15/14 | 15 | 14,621 | |
| Facility C2, 2.98%, 12/14/15 | 16 | 15,587 | |
| Hawker Beechcraft Acquisition Co. LLC: | |||
| Letter of Credit Facility Deposit, 2.25%, 3/26/14 | 70 | 51,286 | |
| Term Loan, 2.23% – 2.25%, 3/26/14 | 1,135 | 835,465 |
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Aerospace & Defense (concluded) | |||
| IAP Worldwide Services, Inc., Term Loan (First-Lien), | |||
| 2.00% – 7.25%, 12/30/12 | —(h) | — | |
| TASC, Inc.: | |||
| Tranche A Term Loan, 5.50%, 12/18/14 | USD | 680 $ | 682,834 |
| Tranche B Term Loan, 5.75%, 12/18/15 | 1,320 | 1,328,800 | |
| 2,928,593 | |||
| Airlines — 0.4% | |||
| Delta Air Lines, Inc., Credit- Linked Deposit Loan, | |||
| 0.08% – 2.25%, 4/30/12 | 1,225 | 1,144,355 | |
| Auto Components — 3.1% | |||
| Affinion Group Holdings, Inc., Tranche B Term Loan, | |||
| 2.73%, 10/17/12 | 675 | 655,087 | |
| Allison Transmission, Inc., Term Loan, 2.98% – 3.00%, | |||
| 8/07/14 | 4,274 | 3,914,353 | |
| Dana Holding Corp., Term Advance, 4.48% – 6.50%, | |||
| 1/30/15 | 1,136 | 1,106,877 | |
| Exide Technologies Term Loan, 3.91%, 5/15/12 | EUR | 325 | 398,284 |
| GPX International Tire Corp., Tranche B Term Loan (a)(f): | |||
| 14.00%, 4/11/12 | USD | 19 | 9,300 |
| 12.25%, 3/30/12 | 1,141 | 570,273 | |
| Lear Corp., Loan (Closing Date Loan & Delayed | |||
| Draw Loan), 7.50%, 11/09/14 | 1,406 | 1,409,168 | |
| 8,063,342 | |||
| Automobiles — 1.0% | |||
| Ford Motor Co., Tranche B-1 Term Loan, 3.24% – 3.26%, | |||
| 12/15/13 | 2,661 | 2,478,423 | |
| Beverages — 0.1% | |||
| Culligan International Co., Loan (Second Lien), 5.18%, | |||
| 4/24/13 | EUR | 500 | 281,409 |
| Building Products — 2.7% | |||
| Building Materials Corp. of America: | |||
| Second Lien Term Loan, 6.00%, 9/15/14 | USD | 1,650 | 1,623,600 |
| Term Loan Advance, 3.00%, 2/22/14 | 1,833 | 1,784,733 | |
| Goodman Global, Inc., Term Loan, 6.25%, 2/13/14 | 2,442 | 2,451,355 | |
| PGT Industries, Inc., Tranche A-2 Term Loan, 7.25%, | |||
| 2/14/12 | 1,453 | 1,264,134 | |
| 7,123,822 | |||
| Chemicals — 6.1% | |||
| Ashland Inc., Term B Borrowing, 7.65%, 5/13/14 | 726 | 734,218 | |
| Chemtura Corp. Debtor in Possession Return of Capital | |||
| Term Loan, 6.00%, 1/26/11 | 1,600 | 1,607,000 | |
| Edwards (Cayman Islands II) Ltd., Term Loan (First Lien), | |||
| 2.25%, 5/31/14 | 488 | 388,172 | |
| Gentek Holding, LLC, Tranche B Term Loan, 7.00%, | |||
| 10/29/14 | 900 | 904,500 | |
| Huish Detergents Inc., Tranche B Term Loan, 2.01%, | |||
| 4/26/14 | 714 | 685,841 | |
| Matrix Acquisition Corp. (fka MacDermid, Inc.), | |||
| Tranche C Term Loan, 2.63%, 12/15/13 | EUR | 571 | 633,385 |
| Nalco Co., Term Loan, 6.50%, 5/13/16 | USD | 2,438 | 2,454,814 |
| PQ Corp. (fka Niagara Acquisition, Inc.), Original | |||
| Term Loan (First Lien), 3.48% – 3.50%, 7/30/14 | 2,715 | 2,484,225 | |
| Rockwood Specialties Group, Inc., Term Loan H, 6.00%, | |||
| 5/15/14 | 1,525 | 1,529,575 | |
| Solutia Inc., Loan, 7.25%, 2/28/14 | 2,907 | 2,944,948 | |
| Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%, | |||
| 6/24/10 | 1,600 | 1,641,920 | |
| 16,008,598 | |||
| Commercial Services & Supplies — 3.2% | |||
| ARAMARK Corp.: | |||
| Letter of Credit Facility, 2.11%, 1/26/14 | 92 | 87,304 | |
| US Term Loan, 2.13%, 1/26/14 | 1,392 | 1,327,533 | |
| Advanced Disposal Services, Inc., Term B Loan, 6.00%, | |||
| 1/14/15 | 1,100 | 1,100,000 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 25
Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Commercial Services & Supplies (concluded) | |||
| Casella Waste Systems, Inc, Term B Loan, 7.00%, | |||
| 4/09/14 | USD | 746 | $ 750,914 |
| John Maneely Co., Term Loan, 3.50%, 12/09/13 | 706 | 662,194 | |
| Johnson Diversey, Inc. Term Loan B, 5.50%, 11/24/15 | 900 | 906,750 | |
| Synagro Technologies, Inc., Term Loan (First Lien), | |||
| 2.23%, 4/02/14 | 1,564 | 1,378,906 | |
| West Corp.: | |||
| Incremental Term B-3 Loan, 7.25%, 10/24/13 | 1,492 | 1,506,771 | |
| Term B-2 Loan, 2.60% – 2.63%, 10/24/13 | 531 | 511,856 | |
| 8,232,228 | |||
| Construction & Engineering — 1.2% | |||
| Safway First Out Term Loan, 9.00%, 12/14/17 | 1,700 | 1,700,000 | |
| Welding Services Term Loan B, 9.35%, 12/16/13 | 1,495 | 1,502,394 | |
| 3,202,394 | |||
| Consumer Finance — 0.9% | |||
| DaimlerChrysler Financial Services Americas LLC, | |||
| Term Loan (First Lien), 4.24%, 8/03/12 | 2,401 | 2,370,407 | |
| Containers & Packaging — 1.2% | |||
| Anchor Glass Term Loan B, 6.00%, 2/18/16 | 1,350 | 1,336,500 | |
| Berry Plastics Holding Corp., Term C Loan, 2.25%, | |||
| 4/03/15 | 1,047 | 937,049 | |
| Graham Packaging Co., LP: | |||
| B Term Loan, 2.50%, 10/07/11 | 105 | 103,224 | |
| C Term Loan, 6.75%, 4/05/14 | 664 | 667,033 | |
| 3,043,806 | |||
| Diversified Consumer Services — 2.2% | |||
| Coinmach Service Corp., Term Loan, 3.26%, 11/14/14 | 2,702 | 2,337,017 | |
| Laureate Education Term Loan B, 7.00%, 8/15/14 | 3,491 | 3,459,567 | |
| 5,796,584 | |||
| Diversified Financial Services — 1.2% | |||
| CIT Group, Inc., Tranche 2A Term Loan, 9.50% – 9.75%, | |||
| 1/20/12 | 1,875 | 1,920,703 | |
| Reynolds Group Holdings Inc., US Term Loan, 6.25%, | |||
| 11/05/15 | 1,300 | 1,308,125 | |
| 3,228,828 | |||
| Diversified Telecommunication Services — 1.9% | |||
| Integra Telecom Holdings, Inc., Term Loan (First Lien), | |||
| 10.50%, 8/31/13 | 1,141 | 1,140,381 | |
| Level 3 Communications Incremental Term Loan, 7.59%, | |||
| 3/13/14 | 1,125 | 1,013,672 | |
| US Telepacific Corp. Second Lien Term Loan, 7.75%, | |||
| 7/25/15 | 475 | 475,891 | |
| Wind Finance SL SA, Euro Facility (Second Lien), | |||
| 7.67%, 12/17/14 | EUR | 1,000 | 1,356,190 |
| Wind Telecomunicazioni SpA, A1 Term Loan Facility, | |||
| 2.90%, 9/22/12 | 712 | 932,127 | |
| 4,918,261 | |||
| Electrical Equipment — 0.7% | |||
| Baldor Electric Co., Term Loan, 5.25%, 1/31/14 | USD | 1,338 | 1,339,836 |
| Generac Acquisition Corp., Term Loan (First Lien), | |||
| 2.75%, 11/10/13 | 524 | 480,183 | |
| 1,820,019 | |||
| Energy Equipment & Services — 0.4% | |||
| MEG Energy Corp., Tranche D Term Loan, 6.00%, | |||
| 4/03/16 | 1,094 | 1,074,052 | |
| Food & Staples Retailing — 3.7% | |||
| AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots), | |||
| Facility B1, 3.54%, 7/09/15 | GBP | 1,300 | 1,775,766 |
| Bolthouse Farms, Inc. Term Loan B, 3.75%, 2/04/16 | USD | 1,100 | 1,100,000 |
| DS Waters of America, Inc., Term Loan, 2.50%, | |||
| 10/29/12 | 914 | 855,006 |
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Food & Staples Retailing (concluded) | |||
| Pierre Foods Term Loan B, 8.50%, 9/30/14 | USD | 656 | $ 653,861 |
| Pilot Travel Centers Term Loan B, 3.50%, 11/18/15 | 2,750 | 2,762,749 | |
| Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15 | 1,900 | 1,968,400 | |
| SUPERVALU Inc., Term B Advance, 1.48%, 6/02/12 | 685 | 664,027 | |
| 9,779,809 | |||
| Food Products — 4.5% | |||
| CII Investment, LLC (fka Cloverhill), Term Loan B, 8.50%, | |||
| 10/14/14 | 1,889 | 1,889,286 | |
| Dole Food Co., Inc.: | |||
| Credit-Linked Deposit, 7.89%, 4/12/13 | 390 | 390,102 | |
| Term Loan B, 3.50%, 2/10/17 | 912 | 912,221 | |
| Term Loan C, 5.50%, 2/10/17 | 2,188 | 2,189,329 | |
| Tranche B Term Loan, 8.00%, 4/12/13 | 678 | 678,409 | |
| Pilgrim’s Pride Corp. Term Loan A, 5.29%, 12/01/12 | 950 | 935,750 | |
| Pinnacle Foods Finance LLC, Tranche C Term Loan, | |||
| 7.50%, 4/02/14 | 2,500 | 2,510,267 | |
| Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%, | |||
| 4/12/13 | 2,201 | 2,201,118 | |
| 11,706,482 | |||
| Health Care Equipment & Supplies — 1.0% | |||
| Biomet, Inc., Dollar Term Loan, 3.23% – 3.25%, | |||
| 3/25/15 | 1,814 | 1,754,198 | |
| DJO Finance LLC (ReAble Therapeutics Finance LLC), | |||
| Term Loan, 3.23%, 5/20/14 | 885 | 854,836 | |
| Hologic, Inc., Tranche B Term Loan, 3.50%, 3/29/13 | 52 | 51,511 | |
| 2,660,545 | |||
| Health Care Providers & Services — 4.2% | |||
| CCS Medical, Inc. (Chronic Care), Loan (Debtor In | |||
| Possession), 13.00%, 3/31/10 | 31 | 31,247 | |
| CHS/Community Health Systems, Inc.: | |||
| Delayed Draw Term Loan, 2.50%, 7/25/14 | 176 | 164,681 | |
| Funded Term Loan, 2.48% – 2.50%, 7/25/14 | 3,429 | 3,203,874 | |
| DaVita Inc., Tranche B-1 Term Loan, 1.73% – 1.76%, | |||
| 10/05/12 | 285 | 278,338 | |
| Fresenius SE.: | |||
| Tranche B1 Term Loan, 6.75%, 9/10/14 | 1,225 | 1,231,687 | |
| Tranche B2 Term Loan, 6.75%, 9/10/14 | 749 | 752,594 | |
| HCA Inc.: | |||
| Tranche A-1 Term Loan, 1.75%, 11/16/12 | 1,532 | 1,446,956 | |
| Tranche B-1 Term Loan, 2.50%, 11/18/13 | 1,948 | 1,848,297 | |
| Vanguard Health Systems Term Loan B, 5.00%, 1/29/16 | 2,000 | 2,002,500 | |
| 10,960,174 | |||
| Health Care Technology — 1.0% | |||
| IMS Healthcare Term Loan B, 5.25%, 2/16/16 | 2,500 | 2,510,000 | |
| Hotels Restaurants & Leisure — 5.5% | |||
| Cedar Fair LP Term Loan B, 4.00% 2/04/16 | 1,600 | 1,597,501 | |
| Green Valley Ranch Gaming, LLC, Loan (Second Lien), | |||
| 3.50%, 8/16/14 | 500 | 50,000 | |
| Harrah’s Operating Co., Inc.: | |||
| Term B-1 Loan, 3.25%, 1/28/15 | 192 | 154,978 | |
| Term B-2 Loan, 3.25%, 1/28/15 | 2,259 | 1,823,666 | |
| Term B-3 Loan, 3.25%, 1/28/15 | 168 | 135,591 | |
| Penn National Gaming, Inc., Term Loan B, | |||
| 1.98% – 2.00%, 10/03/12 | 1,136 | 1,112,613 | |
| QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%, | |||
| 5/05/13 | 424 | 361,291 | |
| SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16 | 2,250 | 2,259,844 | |
| Six Flags Theme Parks, Inc. Term Loan, 4.50%, 6/13/15 | 3,500 | 3,467,625 | |
| Travelport LLC (fka Travelport, Inc.): | |||
| Original Post-First Amendment and Restatement | |||
| Synthetic Letter of Credit Loan, 2.75%, 8/23/13 | 178 | 167,341 | |
| Tranche B Dollar Term Loan, 2.74% – 2.75%, | |||
| 8/23/13 | 889 | 833,991 | |
See Notes to Financial Statements.
26 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Hotels Restaurants & Leisure (concluded) | |||
| Universal City Development Term Loan B, 7.75%, | |||
| 11/06/14 | USD | 1,500 | $ 1,508,437 |
| VML US Finance LLC (aka Venetian Macau) Term B: | |||
| Delayed Draw Project Loan, 4.76%, 5/25/12 | 320 | 304,159 | |
| Funded Project Loan, 4.76%, 5/27/13 | 723 | 687,635 | |
| 14,464,672 | |||
| Household Durables — 1.0% | |||
| American Residential Services LLC, Term Loan | |||
| (Second Lien), 12.00%, 4/17/15 (d) | 2,061 | 1,983,308 | |
| Jarden Corp., Term Loan B3, 2.75%, 1/24/12 | 544 | 539,736 | |
| 2,523,044 | |||
| IT Services — 4.0% | |||
| Audio Visual Services Group, Inc.: | |||
| Tranche B Term Loan (First Lien), 2.51%, 2/28/14 | 995 | 696,437 | |
| Loan (Second Lien), 5.76%, 8/28/14 | 1,077 | 107,704 | |
| Ceridian Corp., US Term Loan, 3.23% – 3.25%, | |||
| 11/09/14 | 1,152 | 1,007,492 | |
| First Data Corp.: | |||
| Initial Tranche B-1 Term Loan, 2.98% – 3.00%, | |||
| 9/24/14 | 356 | 310,851 | |
| Initial Tranche B-2 Term Loan, 2.98% – 3.00%, | |||
| 9/24/14 | 4,606 | 4,016,721 | |
| Initial Tranche B-3 Term Loan, 3.00%, | |||
| 9/24/14 | 340 | 295,556 | |
| RedPrairie Corp.: | |||
| Loan (Second Lien), 6.75%, 1/20/13 | 300 | 285,000 | |
| Term Loan B, 3.31%, 7/20/12 | 523 | 507,688 | |
| SunGard Data Systems, Inc. (Solar Capital Corp.): | |||
| Incremental Term Loan, 6.75%, 2/28/14 | 895 | 898,600 | |
| Tranche B US Term Loan, 3.86% – 3.87%, 2/28/16 | 2,249 | 2,191,538 | |
| 10,317,587 | |||
| Independent Power Producers & Energy Traders — 1.8% | |||
| Dynegy Holdings Inc., Tranche B Term Loan, 3.98%, | |||
| 4/02/13 | 1,500 | 1,463,560 | |
| Texas Competitive Electric Holdings Co., LLC (TXU): | |||
| Initial Tranche B-1 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 2,516 | 2,022,307 | |
| Initial Tranche B-2 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 224 | 180,507 | |
| Initial Tranche B-3 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 1,435 | 1,148,202 | |
| 4,814,576 | |||
| Industrial Conglomerates — 0.6% | |||
| Sequa Corp., Term Loan, 3.51% – 3.94%, 12/03/14 | 1,769 | 1,617,881 | |
| Insurance — 0.2% | |||
| Alliant Holdings I, Inc., Term Loan, 3.25%, 8/21/14 | 489 | 461,258 | |
| Internet & Catalog Retail — 0.2% | |||
| FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14 | 634 | 633,587 | |
| Leisure Equipment & Products — 0.3% | |||
| 24 Hour Fitness Worldwide, Inc., Tranche B Term Loan, | |||
| 2.76%, 6/08/12 | 425 | 401,625 | |
| Fender Musical Instruments Corp.: | |||
| Delayed Draw Loan, 2.51%, 6/09/14 | 164 | 139,364 | |
| Initial Loan, 2.51%, 6/09/14 | 326 | 275,897 | |
| 816,886 | |||
| Machinery — 2.4% | |||
| Accuride Term Loan, 10.00%, 1/31/12 | 790 | 788,354 | |
| Bucyrus International Term Loan C, 4.50%, 1/26/16 | 2,250 | 2,261,925 | |
| NACCO Materials Handling Group, Inc., Loan, | |||
| 2.23% – 2.52%, 3/21/13 | 1,448 | 1,165,238 | |
| Oshkosh Truck Corp., Term B Loan, 6.25% – 6.26%, | |||
| 12/06/13 | 2,069 | 2,067,039 | |
| 6,282,556 |
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Media — 19.5% | |||
| Affinion Group Holdings, Inc., Loan, 7.89%, | |||
| 3/01/12 (d) | USD | 1,349 | $ 1,274,412 |
| Catalina Marketing Corp., Initial Term Loan, 2.98%, | |||
| 10/01/14 | 645 | 621,876 | |
| Cengage Learning Acquisitions, Inc. (Thomson Learning), | |||
| Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 4,179 | 4,137,000 | |
| Cequel Communications, LLC: | |||
| Term Loan, 2.25%, 11/05/13 | 526 | 498,709 | |
| Tranche A Term Loan (Second Lien), 4.75%, | |||
| 5/05/14 | 2,000 | 1,948,200 | |
| Tranche B Term Loan (Second Lien), 6.25%, | |||
| 5/05/14 | 475 | 475,760 | |
| Charter Communications Operating, LLC, New Term Loan, | |||
| 2.23%, 3/06/14 | 5,600 | 5,223,523 | |
| HMH Publishing Co. Ltd.: | |||
| Mezzanine, 17.50%, 11/14/14 | 593 | 73,150 | |
| Tranche A Term Loan, 5.23%, 6/12/14 | 1,607 | 1,351,642 | |
| Hanley-Wood, LLC (FSC Acquisition), Term Loan, | |||
| 2.50% – 2.56%, 3/10/14 | 1,466 | 654,925 | |
| Harland Clarke Holdings Corp. (fka Clarke American | |||
| Corp.), Tranche B Term Loan, 2.73% – 2.75%, 6/30/14 | 975 | 852,638 | |
| Insight Midwest Holdings, LLC, B Term Loan, 2.25%, | |||
| 4/07/14 | 1,825 | 1,752,285 | |
| Intelsat Corp. (fka PanAmSat Corp.): | |||
| Initial Tranche B-2-A Term Loan, 2.73%, 1/03/14 | 333 | 316,123 | |
| Initial Tranche B-2-B Term Loan, 2.73%, 1/03/14 | 332 | 316,026 | |
| Initial Tranche B-2-C Term Loan, 2.73%, 1/03/14 | 332 | 316,026 | |
| Intelsat Subsidiary Holding Co. Ltd., Tranche B | |||
| Term Loan, 2.73%, 7/03/13 | 1,682 | 1,605,099 | |
| Lamar Media Corp.: | |||
| Series B Incremental Loan, 5.50% – 5.75%, | |||
| 9/28/12 | 971 | 963,702 | |
| Series E Incremental Loan, 5.50% – 5.75%, | |||
| 3/31/13 | 470 | 469,886 | |
| Term Loan, 5.50%, 9/28/12 | 2,818 | 2,796,907 | |
| Lavena Holding 3 GmbH (Prosiebensat.1 Media AG): | |||
| Facility B1, 3.34%, 6/30/15 | EUR | 337 | 314,143 |
| Facility C1, 3.59%, 6/30/16 | 337 | 314,143 | |
| MCC Iowa LLC (Mediacom Broadband Group): | |||
| Tranche A Term Loan, 1.71%, 3/31/10 | USD | 200 | 199,000 |
| Tranche E Term Loan, 6.50%, 1/03/16 | 2,853 | 2,876,101 | |
| MCNA Cable Holdings LLC (OneLink Communications), | |||
| Loan, 7.23%, 3/01/13 (d) | 1,289 | 1,005,369 | |
| Mediannuaire Holding (Pages Jaunes), Term Loan D, | |||
| 4.96%, 1/11/17 | EUR | 500 | 427,560 |
| Metro-Goldwyn-Mayer Inc., Tranche B Term Loan, | |||
| 20.50%, 4/09/12 | USD | 992 | 595,880 |
| Multicultural Radio Broadcasting, Inc., Term Loan, | |||
| 2.98%, 12/18/12 | 304 | 241,300 | |
| Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | 1,750 | 1,870,312 | |
| Nielsen Finance LLC: | |||
| Class A, Dollar Term Loan, 2.23%, 8/09/13 | 547 | 515,300 | |
| Class B, Dollar Term Loan, 3.98%, 5/01/16 | 2,534 | 2,453,526 | |
| Penton Media, Inc., Loan, 9.25%, 2/01/14 (a)(f) | 1,000 | 133,333 | |
| Sinclair Television Group, Inc., Tranche B Term Loan, | |||
| 6.50%, 10/29/15 | 1,250 | 1,256,250 | |
| Springer Science+Business Media SA, Facility A1, | |||
| 6.75%, 7/01/16 | EUR | 2,000 | 2,691,539 |
| Sunshine Acquisition Ltd. (aka HIT Entertainment), | |||
| Term Facility, 2.50%, 3/20/12 | USD | 1,757 | 1,544,726 |
| TWCC Holding Corp., Term Loan, 7.25%, 9/14/15 | 2,726 | 2,732,342 | |
| UPC Financing Partnership, Facility U, 4.99%, 12/31/17 EUR | 1,850 | 2,346,928 | |
| Virgin Media Investment Holdings Ltd., C Facility, 3.57%, | |||
| 7/17/13 | GBP | 790 | 1,125,296 |
| Worldcolor Press Inc. and Worldcolor (USA) Corp. | |||
| (fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12 | 1,620 | 1,636,508 | |
| Yell Group Plc TPI Term Loan A, 7.12%, 8/09/11 | 1,000 | 957,500 | |
| 50,884,945 | |||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 27
Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (c) | (000) | Value | |
| Multi-Utilities — 0.8% | |||
| Energy Transfer Equity, LP, Term Loan, 1.98%, 11/01/12 | USD | 1,000 | $ 986,243 |
| FirstLight Power Resources, Inc. (fka NE Energy, Inc.): | |||
| Synthetic Letter of Credit, 2.81%, 11/01/13 | 53 | 49,150 | |
| Term Advance (Second Lien), 4.81%, 5/01/14 | 500 | 459,166 | |
| Term B Advance (First Lien), 2.75%, 11/01/13 | 572 | 533,868 | |
| 2,028,427 | |||
| Multiline Retail — 0.8% | |||
| Dollar General Corp., Tranche B-2 Term Loan, 2.98%, | |||
| 7/07/14 | 1,686 | 1,621,979 | |
| The Neiman Marcus Group Inc., Term Loan, 2.26%, | |||
| 4/06/13 | 410 | 367,998 | |
| 1,989,977 | |||
| Oil, Gas & Consumable Fuels — 1.3% | |||
| Big West Oil, LLC: | |||
| Delayed Draw Loan, 4.50%, 5/15/14 | 779 | 763,241 | |
| Initial Advance Loan, 4.50%, 5/15/14 | 619 | 606,983 | |
| Initial Advance Loan, 9.75%, 5/15/14 | 625 | 628,125 | |
| Coffeyville Resources, LLC, Tranche D Term Loan, 8.50%, | |||
| 12/30/13 | 1,470 | 1,478,752 | |
| 3,477,101 | |||
| Paper & Forest Products — 1.4% | |||
| Georgia-Pacific LLC, Term Loan B, 2.25% – 2.26%, | |||
| 12/23/12 | 2,648 | 2,586,550 | |
| Verso Paper Finance Holdings LLC, Loan, | |||
| 6.50% – 7.25%, 2/01/13 (d) | 2,051 | 1,127,776 | |
| 3,714,326 | |||
| Personal Products — 0.4% | |||
| American Safety Razor Co., LLC: | |||
| Loan (Second Lien), 6.51%, 1/30/14 | 675 | 394,875 | |
| Term Loan (First Lien), 2.75% – 2.76%, 7/31/13 | 474 | 430,359 | |
| Revlon Consumer Products Corp., Term Loan, | |||
| 4.25% – 4.26%, 1/15/12 | 300 | 295,219 | |
| 1,120,453 | |||
| Pharmaceuticals — 1.5% | |||
| Catalent Pharma Solutions, Inc. (fka Cardinal | |||
| Health 409, Inc.), Euro Term Loan, 2.67%, 4/15/14 | EUR | 277 | 333,551 |
| Warner Chilcott Co., LLC, Term A Loan, 5.50%, | |||
| 10/30/14 | USD | 1,119 | 1,118,365 |
| Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15 | 2,375 | 2,373,761 | |
| 3,825,677 | |||
| Professional Services — 0.9% | |||
| Booz Allen Hamilton, Inc., Term Loan C, 6.00%, 7/31/15 | 2,250 | 2,257,031 | |
| Real Estate Management & Development — 1.4% | |||
| Mattamy Funding Partnership, Loan, 2.56%, 4/11/13 | 963 | 880,688 | |
| Realogy Corp.: | |||
| Delayed Draw Term B Loan, 3.25%, 10/10/13 | 1,097 | 967,525 | |
| Initial Term B Loan, 3.25%, 10/10/13 | 1,950 | 1,719,545 | |
| 3,567,758 | |||
| Specialty Retail — 0.9% | |||
| Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan, | |||
| 2.98%, 10/21/13 | 814 | 785,206 | |
| Michaels Stores, Inc.: | |||
| Term Loan B, 2.50% – 2.56%, 10/31/13 | 596 | 536,657 | |
| Term Loan B-1, 4.75% – 4.81%, 7/31/16 | 1,091 | 1,039,472 | |
| 2,361,335 | |||
| Textiles, Apparel & Luxury Goods — 0.3% | |||
| Hanesbrands Inc., New Term Loan, 5.25%, 12/10/15 | 800 | 806,000 | |
| Wireless Telecommunication Services — 1.6% | |||
| Digicel International Finance Ltd., Tranche A, 2.81%, | |||
| 3/30/12 | 2,717 | 2,614,811 |
| Par | ||||
| Floating Rate Loan Interests (c) | (000) | Value | ||
| Wireless Telecommunication Services (concluded) | ||||
| MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50%, | ||||
| 11/03/13 | USD 1,745 | $ 1,681,671 | ||
| 4,296,482 | ||||
| Total Floating Rate Loan Interests — 88.6% | 231,593,690 | |||
| Beneficial | ||||
| Interest | ||||
| Other Interests (g) | (000) | |||
| Auto Components — 1.0% | ||||
| Delphi DIP Holding Co. LLP, Class B Membership Interests | —(h) | 2,669,295 | ||
| Diversified Financial Services — 0.3% | ||||
| J.G. Wentworth LLC Preferred Equity Interests | —(h) | 657,741 | ||
| Total Other Interests — 1.3% | 3,327,036 | |||
| Total Long-Term Investments | ||||
| (Cost — $335,041,580) — 120.9% | 316,077,814 | |||
| Short-Term Securities | Shares | |||
| BlackRock Liquidity Funds, TempFund, Institutional | ||||
| Class 0.09% (i)(j) | 1,442,325 | 1,442,325 | ||
| Total Short-Term Securities (Cost — $1,442,325) — 0.5% | 1,442,325 | |||
| Options Purchased | Contracts | |||
| Over-the-Counter Call Options — 0.0% | ||||
| Marsico Parent Superholdco LLC, Strike Price $942.86, | ||||
| Expires 12/21/19, Broker Goldman Sachs Bank USA | 20 | 3,800 | ||
| Total Options Purchased (Cost — $19,556) — 0.0% | 3,800 | |||
| Total Investments (Cost — $336,503,461*) — 121.4% | 317,523,939 | |||
| Liabilities in Excess of Other Assets — (21.4)% | (55,918,011) | |||
| Net Assets — 100.0% | $261,605,928 | |||
| * The cost and unrealized appreciation (depreciation) of investments as of | ||||
| February 28, 2010, as computed for federal income tax purposes, were as follows: | ||||
| Aggregate cost | $336,764,990 | |||
| Gross unrealized appreciation | $ 7,774,962 | |||
| Gross unrealized depreciation | (27,016,013) | |||
| Net unrealized depreciation | $ (19,241,051) | |||
| (a) Non-income producing security. | ||||
| (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. | ||||
| These securities may be resold in transactions exempt from registration to qualified | ||||
| institutional investors. | ||||
| (c) Variable rate security. Rate shown is as of report date. | ||||
| (d) Represents a payment-in-kind security which may pay interest/dividends in addi- | ||||
| tional face/shares. | ||||
| (e) Convertible security. | ||||
| (f) Issuer filed for bankruptcy and/or is in default of interest payments. | ||||
| (g) Other interests represent beneficial interest in liquidation trusts and other reorgani- | ||||
| zation entities and are non-income producing. | ||||
| (h) Amount is less than $1,000. | ||||
| (i) Investments in companies considered to be an affiliate of the Fund, for purposes of | ||||
| Section 2(a)(3) of the Investment Company Act of 1940, were as follows: | ||||
| Net | ||||
| Affiliate | Activity | Income | ||
| BlackRock Liquidity Funds, TempFund, | ||||
| Institutional Class | $ (576,054) | $ 3,046 | ||
| (j) Represents the current yield as of report date. | ||||
See Notes to Financial Statements.
28 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (concluded) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| • | Credit default swaps on single-name issues — sold protection outstanding as of | ||||||
| February 28, 2010 were as follows: | |||||||
| Receive | Notional | ||||||
| Fixed | Counter- | Credit | Amount | Unrealized | |||
| Issuer | Rate | party Expiration Ratings1 | (000)2 | Appreciation | |||
| Ford Motor | |||||||
| Co. | 3.80% | UBS AG March 2010 CCC | USD 2,000 | $ 1,712 | |||
| 1 | Using Standard & Poor’s rating of the issuer. | ||||||
| 2 | The maximum potential amount the Fund may pay should a negative credit | ||||||
| event take place as defined under the terms of the agreement. See Note 2 of | |||||||
| the Notes to Financial Statements. | |||||||
| • | Foreign currency exchange contracts as of February 28, 2010 were as follows: | ||||||
| Currency | Currency | Settlement Unrealized | |||||
| Purchased | Sold | Counterparty | Date | Appreciation | |||
| USD 301,128 CAD | 315,000 | Goldman Sachs | |||||
| Bank USA | 4/21/10 | $ 1,783 | |||||
| USD14,596,885 EUR 10,155,500 CitiBank NA | 3/24/10 | 769,245 | |||||
| USD 3,479,242 GBP 2,149,000 | Morgan Stanley | ||||||
| Capital Services, Inc. 4/21/10 | 203,747 | ||||||
| Total | $ 974,775 | ||||||
| • | For Fund compliance purposes, the Fund’s industry classifications refer to any one | ||||||
| or more of the industry sub-classifications used by one or more widely recognized | |||||||
| market indexes or rating group indexes, and/or as defined by Fund management. | |||||||
| This definition may not apply for purposes of this report, which may combine such | |||||||
| industry sub-classifications for reporting ease. | |||||||
| • | Fair Value Measurements — Various inputs are used in determining the fair value of | ||||||
| investments, which are as follows: | |||||||
| • Level 1 — price quotations inactive markets/exchanges for identical assets | |||||||
| and liabilities | |||||||
| • Level 2 — other observable inputs (including, but not limited to: quoted prices for | |||||||
| similar assets or liabilities in markets that are active, quoted prices for identical | |||||||
| or similar assets or liabilities in markets that are not active, inputs other than | |||||||
| quoted prices that are observable for the assets or liabilities (such as interest | |||||||
| rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and | |||||||
| default rates) or other market- corroborated inputs) | |||||||
| • Level 3 — unobservable inputs based on the best information available in the | |||||||
| circumstances, to the extent observable inputs are not available (including the | |||||||
| Fund’s own assumptions used in determining the face value of investments) | |||||||
| The inputs or methodologies used for valuing securities are not necessarily an indi- | |||||
| cation of the risk associated with investing in those securities. For information about | |||||
| the Fund’s policy regarding valuation of investments and other significant accounting | |||||
| policies, please refer to the Note 1 of the Notes to Financial Statements. | |||||
| The following tables summarize the inputs used as of February 28, 2010 in deter- | |||||
| mining the fair valuation of the Fund’s investments: | |||||
| Investments in Securities | |||||
|
| |||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
| Assets: | |||||
| Long-Term | |||||
| Investments: | |||||
| Common Stocks | $ 2,035,526 | $ 321,252 $ | 62,123 | $ 2,418,901 | |
| Corporate Bonds | — | 77,373,769 | 1,364,418 | 78,738,187 | |
| Floating Rate | |||||
| Loan Interests | — | 194,094,273 | 37,499,417 | 231,593,690 | |
| Other Interests | — | — | 3,327,036 | 3,327,036 | |
| Short-Term | |||||
| Securities | 1,442,325 | — | — | 1,442,325 | |
| Total | $ 3,477,851 | $271,789,294 $ 42,252,994 | $317,520,139 | ||
| Other Financial Instruments1 | |||||
|
| |||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
| Assets | — | $ 980,287 $ | 7,813 | $ 988,100 | |
| Liabilities | — | — | (95,429) | (95,429) | |
| Total | — | $ 980,287 $ | (87,616) $ | 892,671 | |
| 1 Other financial instruments are swaps, foreign currency exchange contracts, | |||||
| options and unfunded loan commitments. Swaps, foreign currency exchange | |||||
| contracts and unfunded loan commitments are shown at the unrealized appre- | |||||
| ciation/depreciation on the instrument and options are shown at value. | |||||
| The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value: | ||||||
| Investments in Securities | ||||||
| Common | Corporate | Floating Rate | Other | |||
| Stocks | Bonds | Loan Interests | Interests | Total | ||
| Balance, as of August 31, 2009 | $ 5,143 | $ 2,823,032 | $54,573,840 | $ 262,849 | $57,664,864 | |
| Accrued discounts/premiums | — | — | — | — | — | |
| Realized gain (loss) | — | (7,066) | (9,560,443) | (14,550) | (9,582,059) | |
| Change in unrealized appreciation/depreciation2 | — | 77,444 | 18,099,332 | 409,442 | 18,586,218 | |
| Net purchases (sales) | — | 8,702 | (15,924,503) | — | (15,915,801) | |
| Net transfers in/out of Level 3 | 56,980 | (1,537,694) | (9,688,809) | 2,669,295 | (8,500,228) | |
| Balance, as of February 28, 2010 | $ 62,123 | $ 1,364,418 | $37,499,417 | $ 3,327,036 | $42,252,994 | |
| 2 Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities | ||||||
| still held at February 28, 2010 was $11,844,022. | ||||||
| The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value: | ||||||
| Other Financial | ||
| Instruments3 | ||
| Assets | Liabilities | |
| Balance, as of August 31, 2009 | — | $ (49,905) |
| Accrued discounts/premiums | — | — |
| Realized gain (loss) | — | — |
| Change in unrealized appreciation/depreciation | — | — |
| Net purchases (sales) | — | — |
| Net transfers in/out of Level 3 | $ 7,813 | (45,524) |
| Balance as of February 28, 2010 | $ 7,813 | $ (95,429) |
| 3 Other financial instruments are unfunded loan commitments. | ||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 29
Schedule of Investments February 28, 2010 (Unaudited)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
| Par | |||
| Asset-Backed Securities | (000) | Value | |
| Ford Credit Auto Owner Trust, Series 2009-A, | |||
| Class A3B, 2.73%, 5/15/13 (a) | USD | 9,135 | $ 9,345,317 |
| Interest Only — 0.5% | |||
| Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, | |||
| 3/30/30 | 16,561 | 1,299,030 | |
| Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 | 14,233 | 1,467,809 | |
| 2,766,839 | |||
| Total Asset-Backed Securities — 2.0% | 12,112,156 | ||
| Common Stocks (b) | Shares | ||
| Auto Components — 0.1% | |||
| Lear Corp. | 12,302 | 852,160 | |
| Machinery — 0.1% | |||
| Accuride Corp. | 139,370 | 181,181 | |
| Accuride Corp. — Restricted Shares | 139,371 | 181,182 | |
| 362,363 | |||
| Software — 0.0% | |||
| Euramax International | 234 | 7,011 | |
| SIRVA | 1,109 | 11,090 | |
| USI United Subcontractors | 6,116 | 79,503 | |
| 97,604 | |||
| Specialty Retail — 0.0% | |||
| Lazydays RV Center, Inc. | 10,549 | 41,140 | |
| Total Common Stocks — 0.2% | 1,353,267 | ||
| Par | |||
| Corporate Bonds | (000) | ||
| Air Freight & Logistics — 0.1% | |||
| Park-Ohio Industries, Inc., 8.38%, 11/15/14 | USD | 905 | 733,050 |
| Airlines — 0.2% | |||
| Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 | 1,444 | 1,487,320 | |
| Auto Components — 0.0% | |||
| Delphi International Holdings Unsecured, 12.00%, | |||
| 10/06/14 | 65 | 64,613 | |
| Building Products — 0.4% | |||
| Building Materials Corp. of America, 7.00%, 2/15/20 (c) | 1,875 | 1,875,000 | |
| CPG International I, Inc., 10.50%, 7/01/13 | 750 | 735,000 | |
| 2,610,000 | |||
| Capital Markets — 0.6% | |||
| E*Trade Financial Corp., 3.99%, 8/31/19 (c)(d)(e) | 249 | 378,480 | |
| MU Finance Plc, 8.75%, 2/01/17 (c) | GBP | 1,007 | 1,420,321 |
| Marsico Parent Co., LLC, 10.63%, 1/15/16 | 2,381 | 1,431,576 | |
| Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (c)(f) | 1,010 | 223,430 | |
| Marsico Parent Superholdco, LLC, 14.50%, | |||
| 1/15/18 (c)(f) | 661 | 114,795 | |
| 3,568,602 | |||
| Chemicals — 1.1% | |||
| American Pacific Corp., 9.00%, 2/01/15 | USD | 1,100 | 1,086,250 |
| Ames True Temper, Inc., 4.25%, 1/15/12 (a) | 2,085 | 1,949,475 | |
| Huntsman International LLC, 5.50%, 6/30/16 (c) | 1,385 | 1,218,800 | |
| Innophos, Inc., 8.88%, 8/15/14 | 2,225 | 2,286,187 | |
| 6,540,712 | |||
| Commercial Services & Supplies — 0.9% | |||
| ACCO Brands Corp., 10.63%, 3/15/15 (c) | 1,025 | 1,114,175 | |
| DI Finance, Series B, 9.50%, 2/15/13 | 2,326 | 2,343,445 | |
| Waste Services, Inc., 9.50%, 4/15/14 | 2,065 | 2,121,787 | |
| 5,579,407 | |||
| Par | |||
| Corporate Bonds | (000) | Value | |
| Consumer Finance — 0.8% | |||
| Ford Motor Credit Co. LLC: | |||
| 7.38%, 2/01/11 | USD | 2,800 | $ 2,856,070 |
| 3.00%, 1/13/12 (a) | 565 | 529,688 | |
| 7.80%, 6/01/12 | 1,665 | 1,682,597 | |
| 5,068,355 | |||
| Containers & Packaging — 1.7% | |||
| Berry Plastics Escrow LLC, 8.25%, 11/15/15 (c) | 2,400 | 2,394,000 | |
| Berry Plastics Holding Corp., 8.88%, 9/15/14 | 295 | 283,938 | |
| Beverage Packaging Holdings Luxembourg II SA, 8.00%, | |||
| 12/15/16 | EUR | 165 | 214,563 |
| Crown Americas LLC, 7.75%, 11/15/15 | USD | 885 | 913,762 |
| Impress Holdings BV, 3.38%, 9/15/13 (a)(c) | 1,255 | 1,170,287 | |
| Pregis Corp., 12.38%, 10/15/13 | 2,020 | 2,004,850 | |
| Smurfit Kappa Acquisitions (c): | |||
| 7.25%, 11/15/17 | EUR | 1,215 | 1,621,324 |
| 7.75%, 11/15/19 | 1,155 | 1,564,849 | |
| 10,167,573 | |||
| Diversified Financial Services — 3.0% | |||
| CIT Group, Inc., 7.00%, 5/01/17 | USD | 6,885 | 6,084,619 |
| GMAC LLC: | |||
| 6.88%, 9/15/11 | 5,050 | 5,050,000 | |
| 6.88%, 8/28/12 (c) | 1,371 | 1,357,290 | |
| 8.30%, 2/12/15 (c) | 3,150 | 3,177,562 | |
| Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (c) | 2,615 | 2,647,688 | |
| 18,317,159 | |||
| Diversified Telecommunication Services — 3.0% | |||
| Deutsche Telekom International Finance BV, 8.50%, | |||
| 6/15/10 | 5,000 | 5,110,055 | |
| Nordic Telephone Co. Holdings ApS, 8.88%, 5/01/16 (c) | 580 | 620,600 | |
| PAETEC Holding Corp., 8.88%, 6/30/17 (c) | 525 | 528,686 | |
| Qwest Communications International, Inc.: | |||
| 7.50% , 2/15/14 | 3,595 | 3,630,950 | |
| 8.00%, 10/01/15 (c) | 2,500 | 2,587,500 | |
| Qwest Corp., 8.38%, 5/01/16 | 590 | 646,050 | |
| Wind Acquisition Finance SA, 10.75%, 12/01/15 | 900 | 963,000 | |
| Windstream Corp.: | |||
| 8.13%, 8/01/13 | 590 | 613,600 | |
| 8.63%, 8/01/16 | 690 | 702,075 | |
| 7.88%, 11/01/17 (c) | 2,500 | 2,443,750 | |
| 17,846,266 | |||
| Electric Utilities — 0.0% | |||
| Elwood Energy LLC, 8.16%, 7/05/26 | 129 | 123,887 | |
| Energy Equipment & Services — 0.5% | |||
| Compagnie Generale de Geophysique-Veritas: | |||
| 7.50%, 5/15/15 | 255 | 249,900 | |
| 7.75%, 5/15/17 | 420 | 411,600 | |
| Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (c) | 2,500 | 2,487,500 | |
| North American Energy Partners, Inc., 8.75%, 12/01/11 | 140 | 139,300 | |
| 3,288,300 | |||
| Food & Staples Retailing — 0.1% | |||
| Duane Reade, Inc., 11.75%, 8/01/15 (c) | 455 | 573,300 | |
| Food Products — 0.6% | |||
| Bumble Bee Foods LLC, 7.75%, 12/15/15 (c) | 1,040 | 1,042,600 | |
| Smithfield Foods, Inc., 10.00%, 7/15/14 (c) | 2,410 | 2,608,825 | |
| 3,651,425 | |||
| Health Care Equipment & Supplies — 0.5% | |||
| DJO Finance LLC, 10.88%, 11/15/14 | 2,780 | 2,974,600 |
See Notes to Financial Statements.
30 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
| Par | |||
| Corporate Bonds | (000) | Value | |
| Health Care Providers & Services — 2.2% | |||
| Community Health Systems, Inc., 8.88%, 7/15/15 | USD | 450 | $ 465,750 |
| DaVita, Inc., 6.63%, 3/15/13 | 1,980 | 1,984,950 | |
| Tenet Healthcare Corp. (c): | |||
| 9.00%, 5/01/15 | 812 | 850,570 | |
| 10.00%, 5/01/18 | 6,682 | 7,350,200 | |
| Viant Holdings, Inc., 10.13%, 7/15/17 (c) | 2,948 | 2,874,300 | |
| 13,525,770 | |||
| Health Care Technology — 0.8% | |||
| IMS Health, Inc., 12.50%, 3/01/18 (c) | 4,300 | 4,945,000 | |
| Hotels Restaurants & Leisure — 0.0% | |||
| Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(c)(g) | 1,059 | 63,540 | |
| Tropicana Entertainment LLC, 9.63%, 12/15/14 (b)(g) | 375 | 234 | |
| 63,774 | |||
| Household Durables — 1.3% | |||
| Beazer Homes USA, Inc., 12.00%, 10/15/17 (c) | 3,800 | 4,237,000 | |
| Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (b)(c)(g) | 200 | — | |
| K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16 | 3,300 | 3,448,500 | |
| 7,685,500 | |||
| IT Services — 0.4% | |||
| iPayment, Inc., 9.75%, 5/15/14 | 950 | 828,875 | |
| iPayment Investors LP, 11.63%, 7/15/14 (c)(f) | 1,337 | 1,069,747 | |
| SunGard Data Systems, Inc., 4.88%, 1/15/14 | 215 | 200,756 | |
| 2,099,378 | |||
| Independent Power Producers & Energy Traders — 3.1% | |||
| The AES Corp., 8.75%, 5/15/13 (c) | 2,803 | 2,852,053 | |
| Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (c) | 3,550 | 3,594,375 | |
| Energy Future Holdings Corp., 10.00%, 1/15/20 (c) | 1,800 | 1,836,000 | |
| NRG Energy, Inc.: | |||
| 7.25%, 2/01/14 | 9,710 | 9,782,825 | |
| 7.38%, 2/01/16 | 425 | 419,156 | |
| 18,484,409 | |||
| Industrial Conglomerates — 1.5% | |||
| Sequa Corp. (c): | |||
| 11.75%, 12/01/15 | 2,950 | 2,891,000 | |
| 13.50%, 12/01/15 (f) | 5,870 | 5,884,674 | |
| 8,775,674 | |||
| Machinery — 1.1% | |||
| AGY Holding Corp., 11.00%, 11/15/14 | 1,500 | 1,200,000 | |
| Accuride Corp., 7.50%, 2/26/20 (d)(f) | 14 | 24,396 | |
| Navistar International Corp., 8.25%, 11/01/21 | 2,700 | 2,740,500 | |
| Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (c) | 2,935 | 2,546,113 | |
| Synventive Molding Solutions Sub-Series A, 14.00%, | |||
| 1/14/11 | 760 | 22,795 | |
| 6,533,804 | |||
| Marine — 0.2% | |||
| Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (c) | 1,230 | 1,251,525 | |
| Media — 6.3% | |||
| Affinion Group, Inc., 10.13%, 10/15/13 | 2,825 | 2,853,250 | |
| CCH II LLC, 13.50%, 11/30/16 | 1,406 | 1,660,882 | |
| CMP Susquehanna Corp., 3.20%, 5/15/14 (c) | 194 | 3,880 | |
| Clear Channel Worldwide Holdings, Inc., 9.25%, | |||
| 12/15/17 (c) | 5,850 | 6,003,877 | |
| DISH DBS Corp.: | |||
| 7.00%, 10/01/13 | 1,450 | 1,482,625 | |
| 7.13%, 2/01/16 | 200 | 200,500 | |
| Lighthouse International Co. SA: | |||
| 8.00%, 4/30/14 | 613 | 521,684 | |
| 8.00%, 4/30/14 (c) | EUR | 235 | 199,993 |
| Network Communications, Inc., 10.75%, 12/01/13 | USD | 1,520 | 699,200 |
| Nielsen Finance LLC, 10.00%, 8/01/14 | 3,695 | 3,833,562 | |
| Par | |||
| Corporate Bonds | (000) | Value | |
| Media (concluded) | |||
| ProtoStar I Ltd., 18.00%, 10/15/12 (b)(c)(d)(g) | USD | 3,454 | $ 3,281,404 |
| Rainbow National Services LLC (c): | |||
| 8.75%, 9/01/12 | 925 | 943,500 | |
| 10.38%, 9/01/14 | 3,134 | 3,294,618 | |
| Seat Pagine Gialle SpA, 10.50%, 1/31/17 (c) | EUR | 2,060 | 2,596,599 |
| TL Acquisitions, Inc., 10.50%, 1/15/15 (c) | USD | 4,815 | 4,387,669 |
| UPC Germany GmbH, 8.13%, 12/01/17 (c) | 4,500 | 4,500,000 | |
| Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (c) | 1,500 | 1,477,500 | |
| 37,940,743 | |||
| Metals & Mining — 1.3% | |||
| Arch Western Finance LLC, 6.75%, 7/01/13 | 2,500 | 2,506,250 | |
| Murray Energy Corp., 10.25%, 10/15/15 (c) | 1,430 | 1,431,788 | |
| New World Resources NV, 7.38%, 5/15/15 | EUR | 1,400 | 1,696,623 |
| Teck Resources Ltd., 10.75%, 5/15/19 | USD | 1,995 | 2,453,850 |
| 8,088,511 | |||
| Multiline Retail — 0.5% | |||
| Dollar General Corp., 11.88%, 7/15/17 (f) | 2,458 | 2,857,425 | |
| Oil, Gas & Consumable Fuels — 2.1% | |||
| Berry Petroleum Co., 8.25%, 11/01/16 | 550 | 551,375 | |
| Chesapeake Energy Corp.: | |||
| 6.38%, 6/15/15 | 335 | 324,113 | |
| 7.25%, 12/15/18 | 2,500 | 2,462,500 | |
| Crosstex Energy LP, 8.88%, 2/15/18 (c) | 855 | 867,825 | |
| Denbury Resources, Inc., 8.25%, 2/15/20 | 975 | 1,009,125 | |
| EXCO Resources, Inc., 7.25%, 1/15/11 | 165 | 165,206 | |
| El Paso Corp., 7.00%, 6/15/17 | 2,500 | 2,507,672 | |
| Encore Acquisition Co., 6.00%, 7/15/15 | 250 | 251,875 | |
| Overseas Shipholding Group, Inc., 8.75%, 12/01/13 | 1,190 | 1,261,400 | |
| Sabine Pass LNG LP, 7.50%, 11/30/16 | 1,515 | 1,329,413 | |
| SandRidge Energy, Inc., 8.63%, 4/01/15 (f) | 180 | 177,300 | |
| Whiting Petroleum Corp.: | |||
| 7.25%, 5/01/12 | 75 | 75,375 | |
| 7.25%, 5/01/13 | 1,390 | 1,403,900 | |
| 12,387,079 | |||
| Paper & Forest Products — 1.7% | |||
| Domtar Corp., 7.88%, 10/15/11 | 10 | 10,575 | |
| NewPage Corp.: | |||
| 6.50%, 5/01/12 (a) | 1,500 | 795,000 | |
| 10.00%, 5/01/12 | 190 | 109,250 | |
| 11.38%, 12/31/14 | 9,845 | 9,401,975 | |
| 10,316,800 | |||
| Pharmaceuticals — 0.2% | |||
| Valeant Pharmaceuticals International, 8.38%, | |||
| 6/15/16 (c) | 1,320 | 1,366,200 | |
| Professional Services — 0.1% | |||
| FTI Consulting, Inc., 7.75%, 10/01/16 | 350 | 350,875 | |
| Semiconductors & Semiconductor Equipment — 0.3% | |||
| Advanced Micro Devices, Inc., 8.13%, 12/15/17 (c) | 1,545 | 1,564,312 | |
| Software — 0.0% | |||
| BMS Holdings, Inc., 7.89%, 2/15/12 (a)(c)(f) | 594 | 11,888 | |
| Specialty Retail — 1.5% | |||
| General Nutrition Centers, Inc., 10.75%, 3/15/15 | 870 | 879,788 | |
| Group 1 Automotive, Inc., 8.25%, 8/15/13 | 5,000 | 5,012,500 | |
| Sonic Automotive, Inc., Series B, 8.63%, 8/15/13 | 3,135 | 3,142,837 | |
| 9,035,125 | |||
| Textiles, Apparel & Luxury Goods — 0.7% | |||
| Levi Strauss & Co., 8.63%, 4/01/13 | EUR | 2,400 | 3,284,314 |
| Quiksilver, Inc., 6.88%, 4/15/15 | USD | 1,410 | 1,202,025 |
| 4,486,339 | |||
| Tobacco — 0.2% | |||
| Reynolds American, Inc., 7.63%, 6/01/16 | 1,000 | 1,128,801 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 31
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
| Par | |||
| Corporate Bonds | (000) | Value | |
| Wireless Telecommunication Services — 1.0% | |||
| Cricket Communications, Inc.: | |||
| 9.38%, 11/01/14 | USD | 30 | $ 29,850 |
| 10.00%, 7/15/15 | 240 | 243,000 | |
| 7.75%, 5/15/16 (c) | 2,250 | 2,286,562 | |
| Digicel Group Ltd. (c): | |||
| 8.88%, 1/15/15 | 1,120 | 1,069,600 | |
| 9.13%, 1/15/15 (f) | 2,467 | 2,405,325 | |
| MetroPCS Wireless, Inc., 9.25%, 11/01/14 | 270 | 269,325 | |
| 6,303,662 | |||
| Total Corporate Bonds — 40.0% | 241,797,163 | ||
| Floating Rate Loan Interests (a) | |||
| Aerospace & Defense — 0.3% | |||
| Hawker Beechcraft Acquisition Co. LLC: | |||
| Letter of Credit Facility Deposit, 2.25%, 3/26/14 | 156 | 114,523 | |
| Term Loan, 2.23% – 2.25%, 3/26/14 | 2,623 | 1,930,477 | |
| 2,045,000 | |||
| Auto Components — 1.0% | |||
| Allison Transmission, Inc., Term Loan, 2.98% – 3.00%, | |||
| 8/07/14 | 3,983 | 3,647,109 | |
| Dana Holding Corp., Term Advance, 4.48% – 6.50%, | |||
| 1/30/15 | 1,772 | 1,725,777 | |
| Dayco Products: | |||
| Term Loan B, 10.50%, 5/13/14 | 205 | 196,408 | |
| Term Loan C, 12.50%, 11/13/14 (f) | 29 | 27,901 | |
| Lear Corp., Loan (Closing Date Loan & Delayed | |||
| Draw Loan), 7.50%, 11/09/14 | 325 | 325,674 | |
| 5,922,869 | |||
| Automobiles — 0.9% | |||
| Ford Motor Co., Tranche B-1 Term Loan, 3.24% – 3.26%, | |||
| 12/15/13 | 6,193 | 5,741,990 | |
| Beverages — 0.2% | |||
| Culligan International Co., Loan (Second Lien), 5.18%, | |||
| 4/24/13 | EUR | 1,500 | 844,226 |
| Le-Nature’s, Inc., Tranche B Term Loan, 9.50%, | |||
| 3/01/11 (b)(g) | USD | 1,000 | 386,667 |
| 1,230,893 | |||
| Building Products — 1.7% | |||
| Building Materials Corp. of America: | |||
| Second Lien Term Loan, 6.00%, 9/15/14 | 3,500 | 3,444,000 | |
| Term Loan Advance, 3.00%, 2/22/14 | 2,573 | 2,505,526 | |
| Custom Building Products, Inc., Loan (Second Lien), | |||
| 10.75%, 4/20/12 | 1,500 | 1,445,625 | |
| Goodman Global, Inc., Term Loan, 6.25%, 2/13/14 | 1,343 | 1,348,245 | |
| Momentive Performance Materials (Blitz 06-103 GmbH), | |||
| Tranche B-2 Term Loan, 2.67%, 12/04/13 | EUR | 992 | 1,212,267 |
| United Subcontractors, First Lien Term Loan, 1.76%, | |||
| 6/30/15 | USD | 143 | 121,834 |
| 10,077,497 | |||
| Capital Markets — 0.2% | |||
| Marsico Parent Co., LLC, Term Loan, 5.25% – 7.25%, | |||
| 12/15/14 | 381 | 241,724 | |
| Nuveen Investments, Inc., Term Loan, 3.25% – 3.32%, | |||
| 11/13/14 | 1,359 | 1,182,497 | |
| 1,424,221 |
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Chemicals — 3.3% | |||
| Ashland Inc., Term B Borrowing, 7.65%, 5/13/14 | USD | 548 | $ 554,127 |
| Brenntag AG, Term Loan B, 2.77%, 11/24/37 | EUR | 276 | 364,972 |
| Brenntag Holding GmbH & Co. KG: | |||
| Facility 3A (Second Lien), 5.02%, 3/21/16 | 115 | 149,313 | |
| Facility 3B (Second Lien), 4.25%, 7/17/15 | USD | 500 | 476,875 |
| Facility 3B (Second Lien), 5.02%, 3/15/16 | EUR | 385 | 500,026 |
| Facility B6A and B6B, 2.77%, 11/24/37 | 213 | 282,559 | |
| Chemtura Corp. Debtor in Possession Return of Capital | |||
| Term Loan, 6.00%, 1/26/11 | USD | 1,550 | 1,556,781 |
| Cognis GmbH, Facility B (French): | |||
| 2.71%, 11/16/13 | EUR | 197 | 254,339 |
| 2.71%, 11/17/13 | 803 | 1,038,553 | |
| Edwards (Cayman Islands II) Ltd., Term Loan (First Lien), | |||
| 2.25%, 5/31/14 | USD | 447 | 355,577 |
| ElectricInvest Holding Co. Ltd. (Viridian Group PLC), | |||
| Junior Term Facility, 5.04%, 12/21/12 | GBP | 900 | 1,111,586 |
| Gentek Holding, LLC, Tranche B Term Loan, 7.00%, | |||
| 10/29/14 | USD | 700 | 703,500 |
| Huish Detergents Inc., Tranche B Term Loan, 2.01%, | |||
| 4/26/14 | 1,231 | 1,181,818 | |
| Ineos US Finance LLC, Term A4 Facility, 7.00%, | |||
| 12/14/12 | 294 | 278,172 | |
| Nalco Co., Term Loan, 6.50%, 5/13/16 | 2,065 | 2,079,077 | |
| PQ Corp. (fka Niagara Acquisition, Inc.), Original | |||
| Term Loan (First Lien), 3.48% – 3.50%, 7/30/14 | 3,940 | 3,605,100 | |
| Rockwood Specialties Group, Inc., Term Loan H, 6.00%, | |||
| 5/15/14 | 1,936 | 1,941,357 | |
| Solutia Inc., Loan, 7.25%, 2/28/14 | 1,284 | 1,300,657 | |
| Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%, | |||
| 6/24/10 | 1,900 | 1,949,780 | |
| 19,684,169 | |||
| Commercial Services & Supplies — 1.6% | |||
| ARAMARK Corp.: | |||
| Letter of Credit Facility, 2.11%, 1/26/14 | 185 | 176,173 | |
| US Term Loan, 2.13%, 1/26/14 | 2,808 | 2,678,830 | |
| Casella Waste Systems, Inc, Term B Loan, 7.00%, | |||
| 4/09/14 | 632 | 635,774 | |
| SIRVA Worldwide, Inc., Loan (Second Lien), 12.00%, | |||
| 5/12/15 | 275 | 27,487 | |
| Synagro Technologies, Inc., Term Loan (First Lien), | |||
| 2.23%, 4/02/14 | 2,702 | 2,381,833 | |
| West Corp., Incremental Term B-3 Loan, 7.25%, | |||
| 10/24/13 | 3,458 | 3,492,662 | |
| 9,392,759 | |||
| Construction & Engineering — 0.6% | |||
| Safway First Out Term Loan, 9.00%, 12/14/17 | 3,750 | 3,750,000 | |
| Consumer Finance — 1.6% | |||
| Chrysler Financial Corp. Return of Capital, 4.24%, | |||
| 8/03/12 | 2,750 | 2,650,313 | |
| DaimlerChrysler Financial Services Americas LLC, | |||
| Term Loan (First Lien), 4.24%, 8/03/12 | 6,932 | 6,843,832 | |
| 9,494,145 | |||
| Containers & Packaging — 0.6% | |||
| Anchor Glass Term Loan B, 6.00%, 2/18/16 | 1,200 | 1,196,250 | |
| Graham Packaging Co., LP, B Term Loan, 2.50%, | |||
| 10/07/11 | 1,478 | 1,457,958 | |
| Smurfit-Stone Container, Revolving Credit: | |||
| 0.01% – 4.50%, 11/01/09 | 459 | 456,720 | |
| 0.20% – 5.00%, 11/12/09 | 152 | 151,591 | |
| Smurfit-Stone Container Canada, Inc.: | |||
| Tranche C, 2.50%, 11/01/11 | 198 | 195,419 | |
| Tranche C-1 Term Loan, 2.50%, 11/01/11 | 60 | 59,084 |
See Notes to Financial Statements.
32 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Containers & Packaging (concluded) | |||
| Smurfit-Stone Container Enterprises, Inc.: | |||
| Deposit Funded Facility, 4.50%, 11/01/10 | USD | 92 | $ 91,124 |
| Tranche B, 2.50%, 11/01/11 | 105 | 103,702 | |
| 3,711,848 | |||
| Diversified Consumer Services — 1.2% | |||
| Coinmach Service Corp., Term Loan, 3.26%, 11/14/14 | 4,667 | 4,036,667 | |
| Laureate Education Term Loan B, 7.00%, 8/15/14 | 3,491 | 3,459,567 | |
| 7,496,234 | |||
| Diversified Financial Services — 1.0% | |||
| CIT Group, Inc., Tranche 2A Term Loan, 9.50% – 9.75%, | |||
| 1/20/12 | 4,338 | 4,443,227 | |
| Professional Service Industries, Inc., Term Loan | |||
| (First Lien), 2.98%, 10/31/12 | 526 | 263,219 | |
| Reynolds Group Holdings Inc., US Term Loan, 6.25%, | |||
| 11/05/15 | 1,400 | 1,408,750 | |
| 6,115,196 | |||
| Diversified Telecommunication Services — 1.3% | |||
| Cavtel Holdings, LLC, Term Loan, 2.00% – 8.50%, | |||
| 12/31/12 (f) | 1,194 | 1,022,026 | |
| Hawaiian Telcom Communications, Inc., Tranche C | |||
| Term Loan, 4.75%, 5/30/14 | 1,938 | 1,458,142 | |
| Integra Telecom Holdings, Inc., Term Loan (First Lien), | |||
| 10.50%, 8/31/13 | 1,467 | 1,466,576 | |
| US Telepacific Corp., Second Lien Term Loan, 7.75%, | |||
| 7/25/15 | 1,175 | 1,177,203 | |
| Wind Telecomunicazioni SpA, A1 Term Loan Facility, | |||
| 2.92%, 9/22/12 | EUR | 2,081 | 2,725,660 |
| 7,849,607 | |||
| Electric Utilities — 0.1% | |||
| TPF Generation Holdings, LLC: | |||
| Synthetic Letter of Credit Deposit (First Lien), | |||
| 2.25%, 12/15/13 | USD | 151 | 145,148 |
| Synthetic Revolving Deposit, 2.25%, 12/15/11 | 47 | 45,501 | |
| Term Loan (First Lien), 2.23%, 12/15/13 | 390 | 375,623 | |
| 566,272 | |||
| Electrical Equipment — 0.1% | |||
| Electrical Components International Holdings Co. (ECI), | |||
| Term Loan (Second Lien), 11.50%, 5/01/14 (b)(g) | 500 | 50,000 | |
| Generac Acquisition Corp., Term Loan (First Lien), | |||
| 2.75%, 11/10/13 | 682 | 625,142 | |
| 675,142 | |||
| Electronic Equipment, Instruments & | |||
| Components — 0.9% | |||
| Flextronics International Ltd.: | |||
| A Closing Date Loan, 2.48% – 2.50%, 10/01/14 | 1,190 | 1,124,022 | |
| Term Loan B, 2.50%, 10/01/12 | 3,699 | 3,569,985 | |
| Matinvest 2 SAS/ Butterfly Wendel US, Inc. (Deutsche | |||
| Connector): | |||
| B-2 Facility, 2.75%, 6/22/14 | 478 | 373,989 | |
| C-2 Facility, 3.00%, 6/22/15 | 829 | 648,863 | |
| 5,716,859 | |||
| Energy Equipment & Services — 0.6% | |||
| MEG Energy Corp., Tranche D Term Loan, 6.00%, | |||
| 4/03/16 | 2,726 | 2,676,266 | |
| Trinidad USA Partnership LP, US Term Loan, 2.73%, | |||
| 5/01/11 | 1,014 | 938,389 | |
| 3,614,655 | |||
| Food & Staples Retailing — 1.8% | |||
| AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots), | |||
| Facility B1, 3.54%, 7/09/15 | GBP | 3,500 | 4,780,909 |
| DS Waters of America, Inc., Term Loan, 4.25%, 3/02/12 USD | 400 | 352,000 | |
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Food & Staples Retailing (concluded) | |||
| Pilot Travel Centers Term Loan B, 3.50%, 11/18/15 | USD | 3,500 | $ 3,516,226 |
| Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15 | 2,150 | 2,227,400 | |
| 10,876,535 | |||
| Food Products — 1.7% | |||
| Dole Food Co., Inc.: | |||
| Credit-Linked Deposit, 7.89%, 4/12/13 | 280 | 279,689 | |
| Term Loan B, 3.50%, 2/10/17 | 824 | 823,941 | |
| Term Loan C, 5.50%, 2/10/17 | 1,976 | 1,977,459 | |
| Tranche B Term Loan, 8.00%, 4/12/13 | 486 | 486,395 | |
| Michael Foods, Term Loan B, 6.50% – 6.75%, 4/24/14 | 1,375 | 1,380,606 | |
| Pilgrim’s Pride Corp. Term Loan A, 5.29%, 12/01/12 | 1,100 | 1,083,500 | |
| Pinnacle Foods Finance LLC, Tranche C Term Loan, | |||
| 7.50%, 4/02/14 | 2,800 | 2,811,500 | |
| Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%, | |||
| 4/12/13 | 1,578 | 1,578,124 | |
| 10,421,214 | |||
| Health Care Equipment & Supplies — 0.6% | |||
| Biomet, Inc., Dollar Term Loan, 3.23% – 3.25%, 3/25/15 | 1,670 | 1,615,045 | |
| DJO Finance LLC (ReAble Therapeutics Finance LLC), | |||
| Term Loan, 3.23%, 5/20/14 | 2,212 | 2,137,091 | |
| 3,752,136 | |||
| Health Care Providers & Services — 2.0% | |||
| CCS Medical, Inc. (Chronic Care), Loan (Debtor in | |||
| Possession), 13.00%, 3/31/10 | 31 | 31,247 | |
| CHS/Community Health Systems, Inc.: | |||
| Delayed Draw Term Loan, 2.50%, 7/25/14 | 274 | 256,333 | |
| Funded Term Loan, 2.48% – 2.50%, 7/25/14 | 5,371 | 5,018,083 | |
| Catalent Pharma Solutions, Inc. (fka Cardinal | |||
| Health 409, Inc.), Euro Term Loan, 2.67%, 11/19/37 EUR | 653 | 787,299 | |
| DaVita Inc., Tranche B-1 Term Loan, 1.73% – 1.76%, | |||
| 10/05/12 | 600 | 585,975 | |
| HCA Inc., Tranche A-1 Term Loan, 1.75%, 11/16/12 | 2,324 | 2,195,189 | |
| HealthSouth Corp., Term Loan, 2.51%, 3/10/13 | 1,261 | 1,219,679 | |
| Vanguard Health Systems Term Loan B, 5.00%, 1/29/16 | 1,800 | 1,802,250 | |
| 11,896,055 | |||
| Health Care Technology — 0.6% | |||
| IMS Healthcare Term Loan B, 5.25%, 2/16/16 | 3,000 | 3,012,000 | |
| Sunquest Information Systems, Inc. (Misys Hospital | |||
| Systems, Inc.), Term Loan, 3.48%, 10/13/14 | 368 | 337,566 | |
| 3,349,566 | |||
| Hotels Restaurants & Leisure — 5.0% | |||
| BLB Worldwide Holdings, Inc. (Wembley, Inc.), First | |||
| Priority Term Loan, 4.75%, 7/18/11 (b)(g) | 1,989 | 1,362,469 | |
| CCM Merger Inc. (Motor City Casino), Term B Loan, | |||
| 8.50%, 7/13/12 | 1,481 | 1,459,568 | |
| Cedar Fair LP Term Loan B, 4.00%, 2/04/16 | 2,250 | 2,246,485 | |
| Green Valley Ranch Gaming, LLC, Loan (Second Lien), | |||
| 3.50%, 8/16/14 | 1,500 | 150,000 | |
| Harrah’s Operating Co., Inc.: | |||
| Term B-1 Loan, 3.25%, 1/28/15 | 449 | 361,615 | |
| Term B-3 Loan, 3.25%, 1/28/15 | 546 | 440,197 | |
| Term B-4 Loan, 9.50%, 10/31/16 | 1,250 | 1,246,527 | |
| OSI Restaurant Partners, LLC, Pre-Funded Revolving | |||
| Credit Loan, 0.07% – 2.56%, 6/14/13 | 32 | 28,486 | |
| Penn National Gaming, Inc., Term Loan B, | |||
| 1.98% – 2.00%, 10/03/12 | 2,828 | 2,769,103 | |
| QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%, | |||
| 5/05/13 | 955 | 814,529 | |
| SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16 | 3,250 | 3,264,219 | |
| Six Flags Theme Parks, Inc. Term Loan, 4.50%, 6/13/15 | 7,750 | 7,678,312 | |
| Travelport LLC (fka Travelport Inc.), Loan, 8.25%, | |||
| 3/27/12 | 4,822 | 4,411,737 | |
| Universal City Development Term Loan B, 7.75%, | |||
| 11/06/14 | 3,750 | 3,771,094 | |
| 30,004,341 | |||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 33
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Household Durables — 0.0% | |||
| Berkline/Benchcraft, LLC., Term Loan, 14.00%, | |||
| 11/03/11 (b)(f)(g) | USD | 116 | $ 5,776 |
| Household Products — 0.2% | |||
| Central Garden & Pet Co., Tranche B Term Loan, 3.75%, | |||
| 9/30/12 | 985 | 930,466 | |
| IT Services — 1.5% | |||
| Amadeus IT Group SA / Amadeus Verwaltungs GmbH: | |||
| Term B3 Facility, 2.43%, 6/30/13 | EUR | 307 | 399,336 |
| Term B4 Facility, 2.43%, 6/30/13 | 184 | 238,423 | |
| Term C3 Facility, 2.93% , 6/30/14 | 491 | 637,759 | |
| Audio Visual Services Group, Inc., Loan (Second Lien), | |||
| 5.76%, 8/28/14 | USD | 1,077 | 107,704 |
| Ceridian Corp., US Term Loan, 3.23% – 3.25%, | |||
| 11/09/14 | 1,385 | 1,211,163 | |
| First Data Corp.: | |||
| Initial Tranche B-1 Term Loan, 2.98%, 9/24/14 | 2,818 | 2,461,785 | |
| Initial Tranche B-2 Term Loan, 3.00%, 9/24/14 | 1,231 | 1,073,629 | |
| Initial Tranche B-3 Term Loan, 3.00%, 9/24/14 | 560 | 487,080 | |
| RedPrairie Corp., Term Loan B, 3.31%, 7/20/12 | 564 | 546,680 | |
| SunGard Data Systems, Inc. (Solar Capital Corp.), | |||
| Incremental Term Loan, 6.75%, 2/28/14 | 1,191 | 1,195,123 | |
| Travelex Plc: | |||
| Term Loan B, 0.00%, 10/31/13 | 500 | 456,666 | |
| Term Loan C, 3.29%, 10/31/14 | 500 | 456,667 | |
| 9,272,015 | |||
| Independent Power Producers & Energy Traders — 0.7% | |||
| Texas Competitive Electric Holdings Co., LLC (TXU): | |||
| Initial Tranche B-2 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 2,571 | 2,067,244 | |
| Initial Tranche B-3 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 2,719 | 2,174,968 | |
| 4,242,212 | |||
| Leisure Equipment & Products — 0.1% | |||
| 24 Hour Fitness Worldwide, Inc., Tranche B Term Loan, | |||
| 2.76%, 6/08/12 | 575 | 543,375 | |
| Machinery — 1.4% | |||
| Accuride Term Loan, 9.75%, 1/31/12 | 2,935 | 2,928,886 | |
| Blount International Term Loan, 5.50% – 5.75%, | |||
| 2/09/12 | 648 | 646,168 | |
| Bucyrus International Term Loan C, 4.50%, 1/26/16 | 2,000 | 2,010,600 | |
| LN Acquisition Corp. (Lincoln Industrial), Initial Term Loan | |||
| (Second Lien), 5.98%, 1/09/15 | 1,500 | 1,260,000 | |
| Oshkosh Truck Corp., Term B Loan, 6.25% – 6.26%, | |||
| 12/06/13 | 1,364 | 1,362,855 | |
| 8,208,509 | |||
| Media — 10.2% | |||
| Affinion Group Holdings, Inc., Loan, 7.89%, 3/01/12 | 1,091 | 1,030,755 | |
| Alpha Topco Ltd. (Formula One), Facility D, 3.82%, | |||
| 6/30/14 | 1,000 | 873,889 | |
| Atlantic Broadband, Term Loan B, 6.75%, 6/01/13 | 931 | 927,809 | |
| Atlantic Broadband Finance, LLC, Tranche B-2 | |||
| Term Loan, 2.51%, 9/01/11 | 35 | 34,001 | |
| Catalina Marketing Corp., Initial Term Loan, 2.98%, | |||
| 10/01/14 | 587 | 566,420 | |
| Cengage Learning Acquisitions, Inc. (Thomson Learning), | |||
| Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 4,094 | 4,052,813 | |
| Cequel Communications, LLC, Tranche B Term Loan | |||
| (Second Lien), 6.25%, 5/05/14 | 3,738 | 3,744,160 | |
| Charter Communications Operating, LLC, New Term Loan, | |||
| 2.23%, 3/06/14 | 7,000 | 6,529,404 | |
| FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15 | 1,888 | 1,812,806 |
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Media (concluded) | |||
| Hanley-Wood, LLC (FSC Acquisition), Term Loan, | |||
| 2.50% – 2.56%, 3/10/14 | USD | 2,707 | $ 1,209,008 |
| HIT Entertainment, Inc., Term Loan (Second Lien), | |||
| 5.75%, 2/26/13 | 1,000 | 572,500 | |
| HMH Publishing Co. Ltd.: | |||
| Mezzanine, 17.50%, 11/14/14 | 2,007 | 247,581 | |
| Tranche A Term Loan, 5.48%, 6/12/14 | 1,641 | 1,380,154 | |
| Harland Clarke Holdings Corp. (fka Clarke | |||
| American Corp.), Tranche B Term Loan, | |||
| 2.73% – 2.75%, 6/30/14 | 1,462 | 1,278,383 | |
| Insight Midwest Holdings, LLC, B Term Loan, 2.25%, | |||
| 4/07/14 | 1,550 | 1,488,242 | |
| Intelsat Corp. (fka PanAmSat Corp.): | |||
| Tranche B-2-A Term Loan, 2.73%, 1/03/14 | 584 | 555,635 | |
| Tranche B-2-B Term Loan, 2.73%, 1/03/14 | 584 | 555,465 | |
| Tranche B-2-C Term Loan, 2.73%, 1/03/14 | 584 | 555,465 | |
| Lamar Media Corp.: | |||
| Series B Incremental Loan, 5.50% – 5.75%, | |||
| 9/28/12 | 1,985 | 1,970,117 | |
| Term Loan, 5.50% – 5.75%, 9/28/12 | 1,732 | 1,718,825 | |
| Lavena Holding 3 GmbH (Prosiebensat.1 Media AG): | |||
| Facility B1, 3.34%, 6/30/15 | EUR | 337 | 314,143 |
| Facility C1, 3.59%, 6/30/16 | 337 | 314,143 | |
| Facility D, 4.71%, 12/28/16 | 904 | 663,874 | |
| MCC Iowa LLC (Mediacom Broadband Group), Tranche E | |||
| Term Loan, 6.50%, 1/03/16 | USD | 447 | 450,172 |
| MCNA Cable Holdings LLC (OneLink Communications), | |||
| Loan, 7.23%, 3/01/13 (f) | 1,933 | 1,508,054 | |
| Mediacom Illinois, LLC (fka Mediacom | |||
| Communications, LLC), Tranche D Term Loan, 5.50%, | |||
| 3/31/17 | 998 | 996,243 | |
| Metro-Goldwyn-Mayer Inc., Tranche B Term Loan, | |||
| 20.50%, 4/09/12 | 1,019 | 612,415 | |
| Multicultural Radio Broadcasting, Inc., Term Loan, | |||
| 5.00%, 12/18/12 | 304 | 241,300 | |
| New Vision Exit Term Loan, 13.00%, 10/01/12 | 160 | 160,850 | |
| Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | 4,505 | 4,814,719 | |
| Nielsen Finance LLC: | |||
| Class A Dollar Term Loan, 2.23%, 8/09/13 | 1,026 | 965,947 | |
| Class B Dollar Term Loan, 3.98%, 5/01/16 | 2,704 | 2,618,271 | |
| Penton Media, Inc.: | |||
| Loan (Second Lien), 9.25%, 2/01/14 (b)(g) | 1,000 | 133,333 | |
| Term Loan (First Lien), 2.48% – 2.50%, 2/01/13 | 1,094 | 798,666 | |
| Protostar Ltd., Debtor in Possession Term Loan, 18.00%, | |||
| 3/15/10 | 692 | 691,656 | |
| Springer Science+Business Media SA, Facility A1, 6.75%, | |||
| 7/01/16 | EUR | 1,700 | 2,287,808 |
| Sunshine Acquisition Ltd. (aka HIT Entertainment), | |||
| Term Facility, 2.50%, 3/20/12 | USD | 2,407 | 2,116,241 |
| TWCC Holding Corp., Term Loan, 7.25%, 9/14/15 | 1,488 | 1,491,780 | |
| Telecommunications Management, LLC: | |||
| Multi-Draw Term Loan, 3.48%, 6/30/13 | 231 | 189,536 | |
| Term Loan, 3.48%, 6/30/13 | 917 | 751,735 | |
| UPC Financing Partnership, Facility U, 4.99%, | |||
| 12/31/17 | EUR | 1,838 | 2,331,070 |
| Virgin Media Investment Holdings Ltd., C Facility, 3.58%, | |||
| 7/17/13 | GBP | 2,000 | 2,848,852 |
| Worldcolor Press, Inc. and Worldcolor (USA) Corp. | |||
| (fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12 | USD | 1,295 | 1,308,259 |
| Yell Group Plc, Term Loan B, 3.98%, 7/31/14 | 1,817 | 1,365,829 | |
| Yell Group Plc TPI Term Loan A, 7.12%, 8/09/11 | 898 | 859,788 | |
| 61,938,116 | |||
See Notes to Financial Statements.
34 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests (a) | (000) | Value | |
| Multi-Utilities — 0.2% | |||
| FirstLight Power Resources, Inc. (fka NE Energy, Inc.): | |||
| Synthetic Letter of Credit, 2.76%, 11/01/13 | USD | 83 | $ 77,251 |
| Term B Advance (First Lien), 2.75%, 11/01/13 | 899 | 839,093 | |
| MACH Gen, LLC, Synthetic Letter of Credit Loan | |||
| (First Lien), 2.25%, 2/22/13 | 69 | 63,604 | |
| 979,948 | |||
| Multiline Retail — 0.6% | |||
| Dollar General Corp., Tranche B-2 Term Loan, 2.98%, | |||
| 7/07/14 | 213 | 205,314 | |
| Hema Holding BV, Facility D, 5.42%, 1/01/17 | EUR | 2,600 | 2,973,856 |
| The Neiman Marcus Group Inc., Term Loan, 2.25%, | |||
| 4/06/13 | USD | 350 | 314,145 |
| 3,493,315 | |||
| Oil, Gas & Consumable Fuels — 1.5% | |||
| Big West Oil, LLC: | |||
| Delayed Advance Loan, 4.50%, 5/15/14 | 1,268 | 1,242,334 | |
| Initial Advance Loan, 4.50%, 5/15/14 | 1,007 | 987,220 | |
| Initial Advance Loan, 9.75%, 1/26/15 | 2,250 | 2,261,250 | |
| Coffeyville Resources, LLC, Tranche D Term Loan, 8.50%, | |||
| 12/30/13 | 735 | 739,376 | |
| Drummond Co., Inc., Term Advance, 1.48%, 2/14/11 | 825 | 800,250 | |
| Niska Gas Storage Canada ULC, Canadian Term Loan B, | |||
| 1.98%, 5/12/13 | 448 | 429,357 | |
| Niska Gas Storage US, LLC, US Term B Loan, 1.98%, | |||
| 5/12/13 | 47 | 45,107 | |
| Niska Gas Storage US, LLC, Wild Goose Acquisition | |||
| Draw-US Term B, 1.98%, 5/12/13 | 32 | 30,555 | |
| Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 (f) | 3,107 | 2,330,043 | |
| 8,865,492 | |||
| Paper & Forest Products — 0.8% | |||
| Georgia-Pacific LLC, Term Loan B: | |||
| 2.24% – 2.25%, 12/20/12 | 1,677 | 1,638,086 | |
| 2.25% – 2.26%, 12/23/12 | 3,245 | 3,169,217 | |
| Verso Paper Finance Holdings LLC, Loan, | |||
| 6.50% – 7.25%, 2/01/13 (f) | 621 | 341,337 | |
| 5,148,640 | |||
| Personal Products — 0.3% | |||
| American Safety Razor Co., LLC: | |||
| Term Loan (First Lien), 2.75% – 2.76%, 7/31/13 | 723 | 656,472 | |
| Loan (Second Lien), 6.51%, 1/30/14 | 1,925 | 1,126,125 | |
| 1,782,597 | |||
| Pharmaceuticals — 0.6% | |||
| Warner Chilcott Co., LLC, Term A Loan, 5.50%, 10/30/14 | 881 | 881,135 | |
| Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15 | 2,755 | 2,754,568 | |
| 3,635,703 | |||
| Professional Services — 0.2% | |||
| Booz Allen Hamilton, Inc., Term Loan C, 6.00%, 7/31/15 | 1,500 | 1,504,687 | |
| Real Estate Management & Development — 1.1% | |||
| Enclave, First Lien Term Loan, 6.14%, 3/01/12 | 3,000 | 325,689 | |
| Georgian Towers, Term Loan, 2.25% – 2.26%, 3/01/12 | 3,000 | 310,104 | |
| Pivotal Promontory, LLC, Second Lien Term Loan, | |||
| 12.00%, 8/31/11 (b)(g) | 750 | 37,500 | |
| Realogy Corp.: | |||
| Delayed Draw Term B Loan, 3.25%, 10/10/13 | 2,618 | 2,308,867 | |
| Initial Term B Loan, 3.25%, 10/10/13 | 982 | 866,236 | |
| Synthetic Letter of Credit, 3.23%, 10/10/13 | 264 | 233,218 | |
| Term Loan (Second Lien), 13.50%, 10/15/17 | 2,250 | 2,446,875 | |
| 6,528,489 |
| Par | ||
| Floating Rate Loan Interests (a) | (000) | Value |
| Software — 0.1% | ||
| Bankruptcy Management Solutions, Inc., Term Loan | ||
| (First Lien), 4.23%, 7/31/12 | USD 935 $ | 631,293 |
| Specialty Retail — 0.8% | ||
| Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan, | ||
| 2.98%, 10/21/13 | 1,018 | 981,507 |
| Michaels Stores, Inc.: | ||
| Term Loan B, 2.50% -2.56%, 10/31/13 | 1,798 | 1,619,617 |
| Term Loan B-1, 4.75% – 4.81%, 7/31/16 | 671 | 638,871 |
| Orchard Supply Hardware, Term Loan B, 2.68%, | ||
| 12/21/13 | 1,500 | 1,340,100 |
| 4,580,095 | ||
| Textiles, Apparel & Luxury Goods — 0.1% | ||
| St. John Knits International, Inc., Term Loan, 9.25%, | ||
| 3/23/12 | 571 | 513,571 |
| Trading Companies & Distributors — 0.2% | ||
| Beacon Sales Acquisition, Inc., Term B Loan, | ||
| 2.23% – 2.25%, 9/30/13 | 1,160 | 1,089,933 |
| Wireless Telecommunication Services — 0.6% | ||
| Digicel International Finance Ltd., Tranche A, 2.81%, | ||
| 3/30/12 | 3,884 | 3,738,477 |
| Total Floating Rate Loan Interests — 50.1% | 302,441,912 | |
| Foreign Agency Obligations | ||
| Peru Government International Bond, 8.38%, 5/03/16 | 4,871 | 5,930,443 |
| Turkey Government International Bond, 7.00%, 9/26/16 | 5,093 | 5,602,300 |
| Total Foreign Agency Obligations — 1.9% | 11,532,743 | |
| Non-Agency Mortgage Backed Securities | ||
| Commercial Mortgage-Backed Securities — 2.6% | ||
| Wachovia Bank Commercial Mortgage Trust, | ||
| Series 2007-C33, Class A2, 5.86%, 2/15/51 (a)(h) | 15,000 | 15,576,712 |
| Total Non-Agency Mortgage Backed Securities — 2.6% | 15,576,712 | |
| Beneficial | ||
| Interest | ||
| Other Interests (i) | (000) | |
| Auto Components — 0.9% | ||
| Dayco Products LLC Mark IV Industrials, Inc. | 9 | 203,192 |
| Delphi Debtor in Possession Holding Co. LLP, | ||
| Class B Membership Interests | —(j) | 5,338,579 |
| Lear Corp. Escrow | 1,000 | 15,000 |
| 5,556,771 | ||
| Diversified Financial Services — 0.2% | ||
| J.G. Wentworth LLC, Preferred Equity Interests | 1 | 1,257,920 |
| Health Care Providers & Services — 0.0% | ||
| Critical Care Systems International, Inc. | 8 | 1,525 |
| Household Durables — 0.0% | ||
| Berkline Benchcraft Equity LLC | 3 | — |
| Total Other Interests — 1.1% | 6,816,216 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 35
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
| Preferred Stocks | Shares | Value | |
| Media — 0.0% | |||
| CMP Susquehanna Radio Holdings Corp. (k) | 45,243 | $ — | |
| Specialty Retail — 0.1% | |||
| Lazydays RV Center, Inc. (b) | 224 | 223,800 | |
| Total Preferred Stocks — 0.1% | 223,800 | ||
| U.S. Government Sponsored | Par | ||
| Agency Securities | (000) | ||
| Mortgaged-Backed Securities — 22.1% | |||
| Fannie Mae Mortgage Backed Securities: | |||
| 5.00%, 3/15/25 – 4/15/25 (l) | USD | 121,000 | 127,354,002 |
| 5.50%, 12/01/28 – 11/01/33 | 5,780 | 6,119,189 | |
| 5.50%, 3/01/32 | 226 | 240,118 | |
| 5.50%, 7/01/33 (m) | 15 | 15,433 | |
| Total U.S. Government Sponsored | |||
| Agency Securities — 22.1% | 133,728,742 | ||
| U.S. Treasury Obligations | |||
| U.S. Treasury Notes, 4.25%, 8/15/15 | 1,815 | 1,982,887 | |
| Total U.S. Treasury Obligations — 0.3% | 1,982,887 | ||
| Warrants (n) | Shares | ||
| Machinery — 0.0% | |||
| Synventive Molding Solutions (expires 1/15/13) | 1 | — | |
| Media — 0.0% | |||
| CMP Susquehanna Radio Holdings Corp. (expires | |||
| 3/26/19) | 51,701 | — | |
| Oil, Gas & Consumable Fuels — 0.0% | |||
| Turbo Cayman Ltd. (no expiration) | 2 | — | |
| Total Warrants — 0.0% | — | ||
| Total Long-Term Investments | |||
| (Cost — $755,528,446) — 120.4% | 727,565,598 | ||
| Short-Term Securities | |||
| BlackRock Liquidity Funds, TempFund, Institutional | |||
| Class, 0.10% (o)(p) | 32,179,987 | 32,179,987 | |
| Total Short-Term Securities | |||
| (Cost — $32,179,987) — 5.3% | 32,179,987 | ||
| Options Purchased | Contracts | ||
| Over-the-Counter Call Options — 0.0% | |||
| Marsico Parent Superholdco LLC, | |||
| Strike Price $942.86, Expires 12/21/19, | |||
| Broker Goldman Sachs Bank USA | 46 | 8,740 | |
| Total Options Purchased | |||
| (Cost — $44,978) — 0.0% | 8,740 | ||
| Total Investments (Cost — $787,753,411*) — 125.7% | 759,754,325 | ||
| Liabilities in Excess of Other Assets — (25.7)% | (155,382,595) | ||
| Net Assets — 100.0% | $604,371,730 | ||
| * The cost and unrealized appreciation (depreciation) of investments as of February 28, | |||||||
| 2010, as computed for federal income tax purposes, were as follows: | |||||||
| Aggregate cost | $ 788,309,025 | ||||||
| Gross unrealized appreciation | $ 18,987,503 | ||||||
| Gross unrealized depreciation | (47,542,203) | ||||||
| Net unrealized depreciation | $ (28,554,700) | ||||||
| (a) Variable rate security. Rate shown is as of report date. | |||||||
| (b) Non-income producing security. | |||||||
| (c) Security exempt from registration under Rule 144A of the Securities Act of 1933. | |||||||
| These securities may be resold in transactions exempt from registration to qualified | |||||||
| institutional investors. | |||||||
| (d) Convertible security. | |||||||
| (e) Represents a zero-coupon bond. Rate shown reflects the current yield as of | |||||||
| report date. | |||||||
| (f) Represents a payment-in-kind security which may pay interest/dividends in | |||||||
| additional face/shares. | |||||||
| (g) Issuer filed for bankruptcy and/or is in default of interest payments. | |||||||
| (h) All or a portion of security has been pledged as collateral in connection with | |||||||
| TALF Program. | |||||||
| (i) Other interests represent beneficial interest in liquidation trusts and other reorgani- | |||||||
| zation entities and are non-income producing. | |||||||
| (j) Amount is less than $1,000. | |||||||
| (k) Security is perpetual in nature and has no stated maturity date. | |||||||
| (l) Represents or includes a “to-be-announced” (“TBA”) transaction. Unsettled TBA | |||||||
| transactions as of report date were as follows: | |||||||
| Unrealized | |||||||
| Counterparty | Value | Appreciation | |||||
| Goldman Sachs & Co. | $ 127,354,002 | $ 182,315 | |||||
| (m) All or a portion of security has been pledged as collateral in connection with open | |||||||
| financial futures contracts. | |||||||
| (n) Warrants entitle the Fund to purchase a predetermined number of shares of com- | |||||||
| mon stock and are non-income producing. The purchase price and number of | |||||||
| shares are subject to adjustment under certain conditions until the expiration date. | |||||||
| (o) Investments in companies considered to be an affiliate of the Fund, for purposes of | |||||||
| Section 2(a)(3) of the Investment Company Act of 1940, were as follows: | |||||||
| Net | |||||||
| Affiliate | Activity | Income | |||||
| BlackRock Liquidity Funds, TempFund, | |||||||
| Institutional Class | $ (64,491,579) | $ 41,202 | |||||
| (p) Represents the current yield as of report date. | |||||||
| • | Foreign currency exchange contracts as of February 28, 2010 were as follows: | ||||||
| Unrealized | |||||||
| Currency | Currency | Settlement Appreciation | |||||
| Purchased | Sold | Counterparty | Date | (Depreciation) | |||
| USD 30,670,173 EUR 21,311,000 | Citibank NA | 3/24/10 | $ 1,653,301 | ||||
| EUR | 153,000 | USD | 209,882 | Citibank NA | 3/24/10 | (1,149) | |
| GBP | 601,200 | USD | 943,411 | Citibank NA | 4/21/10 | (27,065) | |
| USD 1,593,960 GBP | 988,000 Deutsche Bank AG 4/21/10 | 88,055 | |||||
| USD 10,076,687 GBP | 6,224,000 | Morgan Stanley | |||||
| Capital Services, Inc. 4/21/10 | 590,097 | ||||||
| Total | $ 2,303,239 | ||||||
| • | Financial futures contracts purchased as of February 28, 2010 were as follows: | ||||||
| Expiration | Notional | Unrealized | |||||
| Contracts | Issue | Date | Value | Appreciation | |||
| 45 | 5-Year U.S. Treasury Bond | June 2010 | USD 5,188,611 $ 28,377 | ||||
See Notes to Financial Statements.
36 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (concluded) BlackRock Limited Duration Income Trust (BLW)
| • | Credit default swaps on traded indexes — buy protection outstanding as of | ||||||
| February 28, 2010 were as follows: | |||||||
| Pay | Notional | Unrealized | |||||
| Fixed | Amount | Appreciation | |||||
| Issuer | Rate | Counterparty Expiration | (000) | (Depreciation) | |||
| K. Hovnanian | 5.00% | Goldman Sachs December | |||||
| Bank USA | 2011 | USD 800 | $ (5,149) | ||||
| K. Hovnanian | 5.00% | Goldman Sachs December | |||||
| Bank USA | 2012 | USD 600 | 4,118 | ||||
| Total | $ (1,031) | ||||||
| • | For Fund compliance purposes, the Fund’s industry classifications refer to any one | ||||||
| or more of the industry sub-classifications used by one or more widely recognized | |||||||
| market indexes or rating group indexes, and/or as defined by Fund management. | |||||||
| This definition may not apply for purposes of this report, which may combine such | |||||||
| industry sub-classifications for reporting ease. | |||||||
| • | Fair Value Measurements — Various inputs are used in determining the fair value of | ||||||
| investments, which are as follows: | |||||||
| • Level 1 — price quotations inactive markets/exchanges for identical assets | |||||||
| and liabilities | |||||||
| • Level 2 — other observable inputs (including, but not limited to: quoted prices for | |||||||
| similar assets or liabilities in markets that are active, quoted prices for identical | |||||||
| or similar assets or liabilities in markets that are not active, inputs other than | |||||||
| quoted prices that are observable for the assets or liabilities (such as interest | |||||||
| rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and | |||||||
| default rates) or other market- corroborated inputs) | |||||||
| • Level 3 — unobservable inputs based on the best information available in the | |||||||
| circumstances, to the extent observable inputs are not available (including the | |||||||
| Fund’s own assumptions used in determining the face value of investments) | |||||||
| The inputs or methodologies used for valuing securities are not necessarily an indi- | |||||||
| cation of the risk associated with investing in those securities. For information about | |||||||
| the Fund’s policy regarding valuation of investments and other significant accounting | |||||||
| policies, please refer to the Note 1 of the Notes to Financial Statements. | |||||||
| The following tables summarize the inputs used as of February 28, 2010 in deter- | |||||||
| mining the fair valuation of the Fund’s investments: | |||||||
| Investments in Securities | |||||||
|
| |||||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||
| Assets: | |||||||
| Long-Term Investments: | |||||||
| Asset-Backed | |||||||
| Securities | — | $ 9,345,317 | $ 2,766,839 | $ 12,112,156 | |||
| Common Stocks | $ 852,160 | 362,363 | 138,744 | 1,353,267 | |||
| Corporate Bonds | — | 238,424,471 | 3,372,692 | 241,797,163 | |||
| Floating Rate | |||||||
| Loan Interests | — | 228,933,277 | 73,508,635 | 302,441,912 | |||
| Foreign Agency | |||||||
| Obligations | — | 11,532,743 | — | 11,532,743 | |||
| Non-Agency | |||||||
| Mortgage-Backed | |||||||
| Securities | — | 15,576,712 | — | 15,576,712 | |||
| Other Interests | — | 15,000 | 6,801,216 | 6,816,216 | |||
| Preferred Stocks | — | — | 223,800 | 223,800 | |||
| U.S. Government | |||||||
| Sponsored Agency | |||||||
| Securities | — | 133,728,742 | — | 133,728,742 | |||
| U.S. Treasury | |||||||
| Obligations | — | 1,982,887 | — | 1,982,887 | |||
| Short Term | |||||||
| Securities | 32,179,987 | — | — | 32,179,987 | |||
| Total | $ 33,032,147 | $639,901,512 | $ 86,811,926 | $759,745,585 | |||
| Other Financial Instruments1 | |||||||
|
| |||||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||
| Assets | $ 28,377 $ | 2,344,311 | $ 1,550 | $ 2,374,238 | |||
| Liabilities | — | (33,363) | (82,039) | (115,402) | |||
| Total | $ 28,377 | $ 2,310,948 | $ (80,489) $ | 2,258,836 | |||
| 1 Other financial instruments are swaps, foreign currency exchange contracts, | |||||||
| options and unfunded loan commitments. Swaps, foreign currency exchange | |||||||
| contracts and unfunded loan commitments are shown at the unrealized appre- | |||||||
| ciation/depreciation on the instrument and options are shown at value. | |||||||
| The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value: | |||||||
| Investments in Securities | |||||||
| Asset-Backed | Common | Corporate | Floating Rate | Other | Preferred | ||
| Securities | Stocks | Bonds | Loan Interests | Interests | Stocks | Total | |
| Balance, as of August 31, 2009 | $ 2,668,212 | $ 81,956 | $ 6,270,943 | $83,910,390 | $ 504,368 | — | $ 93,435,869 |
| Accrued discounts/premiums | — | — | — | — | — | — | — |
| Realized gain (loss) | — | — | (805,867) | (7,708,595) | (29,532) | — | (8,543,994) |
| Change in unrealized appreciation/depreciation2 | 98,627 | 4,558 | 6,679,827 | 20,096,018 | 2,571,581 | — | 29,450,611 |
| Net purchases (sales) | — | — | (5,313,951) | (17,998,932) | — | — | (23,312,883) |
| Net transfers in/out of Level 3 | — | 52,230 | (3,458,260) | (4,790,246) | 3,754,799 | $ 223,800 | (4,217,677) |
| Balance, as of February 28, 2010 | $ 2,766,839 | $ 138,744 | $ 3,372,692 | $73,508,635 | $ 6,801,216 | $ 223,800 | $ 86,811,926 |
| 2 Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities | |||||||
| still held at February 28, 2010 was $14,894,205. | |||||||
| The following table is a reconciliation of Level 3 other financial instruments for which significant | ||
| unobservable inputs were used to determine fair value: | ||
| Other Financial | ||
| Instruments3 | ||
| Assets | Liabilities | |
| Balance, as of August 31, 2009 | $ 63,812 | — |
| Accrued discounts/premiums | — | — |
| Realized gain (loss) | — | — |
| Change in unrealized appreciation/depreciation | — | — |
| Net purchases (sales) | — | — |
| Net transfers in/out of Level 3 | (62,262) | $ (82,039) |
| Balance as of February 28, 2010 | $ 1,550 | $ (82,039) |
| 3 Other financial instruments are unfunded loan commitments. | ||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 37
| Statements of Assets and Liabilities | ||||
| BlackRock | BlackRock | |||
| BlackRock | Diversified | Floating Rate | BlackRock | |
| Defined | Income | Income | Limited | |
| Opportunity | Strategies | Strategies | Duration | |
| Credit Trust | Fund, Inc. | Fund, Inc. | Income Trust | |
| February 28, 2010 (Unaudited) | (BHL) | (DVF) | (FRA) | (BLW) |
| Assets | ||||
| Investments at value — unaffiliated1 | $ 147,264,593 | $ 160,134,341 | $ 316,081,614 | $ 727,574,338 |
| Investments at value — affiliated2 | 2,618,127 | 1,615,121 | 1,442,325 | 32,179,987 |
| Unrealized appreciation on foreign currency exchange contracts | 756,237 | 410,722 | 974,775 | 2,331,453 |
| Unrealized appreciation on unfunded loan commitments | 7,410 | 3,737 | 7,813 | 1,550 |
| Unrealized appreciation on swaps | — | — | 1,712 | 4,118 |
| Foreign currency at value3 | 214,110 | 199,081 | 1,619,118 | 1,090,253 |
| Cash | — | — | 496,388 | — |
| Cash pledged as collateral in connection with swaps | — | 2,200,000 | — | — |
| Investments sold receivable | 7,183,450 | 6,194,764 | 17,409,182 | 96,137,091 |
| Interest receivable | 1,142,398 | 1,766,095 | 3,820,307 | 8,256,672 |
| Principal paydown receivable | 144,438 | 195,776 | 183,355 | 820,421 |
| Swap premium paid | — | 4,463 | — | 91,170 |
| Income receivable — affiliated | — | — | — | 598 |
| Dividends receivable | — | 16,822 | — | — |
| Swaps receivable | — | 71,970 | 14,778 | — |
| Commitment fees receivable | 468 | 344 | 1,692 | 21 |
| Margin variation receivable | — | — | — | 11,250 |
| Prepaid expenses | 48,790 | 43,771 | 88,878 | 60,055 |
| Other assets | — | 63,900 | — | 492,614 |
| Total assets | 159,380,021 | 172,920,907 | 342,141,937 | 869,051,591 |
| Liabilities | ||||
| Bank overdraft | — | — | — | 46,182 |
| Loan payable | 23,000,000 | 26,000,000 | 46,000,000 | 12,744,165 |
| Unrealized depreciation on foreign currency exchange contracts | 36,487 | — | — | 28,214 |
| Unrealized depreciation on unfunded loan commitments | 16,408 | 16,408 | 95,429 | 82,039 |
| Unrealized depreciation on swaps | — | 2,025,599 | — | 5,149 |
| Investments purchased payable | 15,367,817 | 17,245,895 | 33,932,956 | 251,044,772 |
| Investment advisory fees payable | 111,065 | 90,955 | 182,014 | 257,106 |
| Swaps payable | — | 92,073 | — | 13,611 |
| Income dividends payable | 76,964 | — | — | 96,812 |
| Interest expense payable | 47,667 | 58,931 | 115,970 | 56,940 |
| Officer’s and Directors’ fees payable | 218 | 215 | 738 | 141,088 |
| Other affiliates payable | 466 | 426 | 2,270 | 4,545 |
| Other accrued expenses payable | 214,878 | 93,987 | 104,864 | 157,342 |
| Other liabilities | — | 399,955 | 101,768 | 1,896 |
| Total liabilities | 38,871,970 | 46,024,444 | 80,536,009 | 264,679,861 |
| Net Assets | $ 120,508,051 | $ 126,896,463 | $ 261,605,928 | $ 604,371,730 |
| Net Assets Consist of | ||||
| Paid-in capital4,5,6 | $ 127,810,765 | $ 229,734,137 | $ 349,990,822 | $ 701,342,104 |
| Undistributed (distributions in excess of) net investment income | (417,467) | (1,069,852) | (1,389,038) | 671,459 |
| Accumulated net realized loss | (8,843,702) | (79,799,548) | (68,976,767) | (72,426,242) |
| Net unrealized appreciation/depreciation | 1,958,455 | (21,968,274) | (18,019,089) | (25,215,591) |
| Net Assets | $ 120,508,051 | $ 126,896,463 | $ 261,605,928 | $ 604,371,730 |
| Net asset value | $ 13.38 | $ 10.30 | $ 14.24 | $ 16.38 |
| 1 Investment at cost — unaffiliated | $ 146,018,527 | $ 180,502,330 | $ 335,061,136 | $ 755,573,424 |
| 2 Investment at cost — affiliated | $ 2,618,127 | $ 1,615,121 | $ 1,442,325 | $ 32,179,987 |
| 3 Foreign currency at cost | $ 215,319 | $ 200,369 | $ 1,689,320 | $ 1,088,344 |
| 4 Par value per share | $ 0.001 | $ 0.10 | $ 0.10 | $ 0.001 |
| 5 Shares outstanding | 9,008,704 | 12,322,083 | 18,371,617 | 36,889,650 |
| 6 Shares authorized | unlimited | 200 million | 200 million | unlimited |
See Notes to Financial Statements.
38 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Statements of Assets and Liabilities (concluded) | ||
| BlackRock | BlackRock | |
| Senior Floating | Senior Floating | |
| February 28, 2010 (Unaudited) | Rate Fund, Inc. | Rate Fund II, Inc. |
| Assets | ||
| Investment at value — Master Senior Floating Rate (the “Master LLC”)1 | $ 306,223,524 | $ 156,073,806 |
| Capital shares sold receivable | 506,830 | 698,675 |
| Prepaid expenses | 192,029 | 101,804 |
| Total assets | 306,922,383 | 156,874,285 |
| Liabilities | ||
| Income dividends payable | 1,065,616 | 501,379 |
| Contributions payable to the Master LLC | 506,830 | 698,675 |
| Administration fees payable | 58,069 | 47,175 |
| Other affiliates payable | 4,102 | 750 |
| Officer’s and Directors’ fees payable | 402 | 202 |
| Other accrued expenses payable | 146,633 | 61,885 |
| Total liabilities | 1,781,652 | 1,310,066 |
| Net Assets | $ 305,140,731 | $ 155,564,219 |
| Net Assets Consist of | ||
| Paid-in capital2 | $ 655,175,715 | $ 224,431,161 |
| Undistributed net investment income | 1,030,342 | 4,358 |
| Accumulated net realized loss allocated from the Master LLC | (328,655,275) | (59,386,708) |
| Net unrealized appreciation/depreciation allocated from the Master LLC | (22,410,051) | (9,484,592) |
| Net Assets | $ 305,140,731 | $ 155,564,219 |
| Net asset value | $ 7.54 | $ 8.17 |
| 1 Cost — investment in Master LLC | $ 328,633,575 | $ 165,558,398 |
| 2 Shares outstanding, par value $0.10 per share, 1 billion shares authorized | 40,453,407 | 19,044,477 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 39
| Statements of Operations | ||||
| BlackRock | BlackRock | |||
| BlackRock | Diversified | Floating Rate | BlackRock | |
| Defined | Income | Income | Limited | |
| Opportunity | Strategies | Strategies | Duration | |
| Credit Trust | Fund, Inc. | Fund, Inc. | Income Trust | |
| Six Months Ended February 28, 2010 (Unaudited) | (BHL) | (DVF) | (FRA) | (BLW) |
| Investment Income | ||||
| Interest | $ 4,640,353 | $ 5,922,488 | $ 10,024,717 | $ 20,517,199 |
| Facility and other fees | 81,636 | 49,074 | 155,046 | 662,100 |
| Income — affiliated | 2,405 | 2,200 | 3,046 | 47,811 |
| Total income | 4,724,394 | 5,973,762 | 10,182,809 | 21,227,110 |
| Expenses | ||||
| Investment advisory | 709,522 | 541,770 | 1,129,581 | 1,604,714 |
| Borrowing costs1 | 84,610 | 74,834 | 137,203 | 12,195 |
| Professional | 72,797 | 53,219 | 66,464 | 65,563 |
| Custodian | 32,726 | 12,600 | 40,660 | 68,535 |
| Printing | 18,446 | 12,402 | 24,157 | 118,889 |
| Accounting services | 16,527 | 14,959 | 33,198 | 62,659 |
| Transfer agent | 10,497 | 13,762 | 16,437 | 6,074 |
| Officer and Directors | 6,852 | 6,802 | 12,496 | 43,260 |
| Registration | 4,879 | 4,543 | 4,035 | 6,016 |
| Miscellaneous | 26,750 | 25,504 | 49,097 | 51,047 |
| Total expenses excluding interest expense | 983,606 | 760,395 | 1,513,328 | 2,038,952 |
| Interest expense | 153,005 | 143,722 | 301,704 | 87,333 |
| Total expenses | 1,136,611 | 904,117 | 1,815,032 | 2,126,285 |
| Less fees waived by advisor | (1,051) | (976) | (1,347) | (18,003) |
| Total expenses after fees waived | 1,135,560 | 903,141 | 1,813,685 | 2,108,282 |
| Net investment income | 3,588,834 | 5,070,621 | 8,369,124 | 19,118,828 |
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) from: | ||||
| Investments | (413,154) | (10,900,510) | (10,278,981) | (6,058,606) |
| Financial futures contracts | — | — | — | 146,933 |
| Swaps | — | (643,991) | (1,205,766) | (246,028) |
| Foreign currency transactions | (424,620) | (114,599) | (754,689) | (678,118) |
| (837,774) | (11,659,100) | (12,239,436) | (6,835,819) | |
| Net change in unrealized appreciation/depreciation on: | ||||
| Investments | 7,101,599 | 28,613,664 | 34,227,210 | 53,147,641 |
| Financial futures contracts | — | — | — | 6,300 |
| Swaps | — | 2,117,407 | 1,110,590 | 82,828 |
| Foreign currency transactions | 943,834 | 520,006 | 1,495,221 | 2,985,372 |
| Unfunded loan commitments | (69,515) | (50,681) | (37,711) | (144,301) |
| 7,975,918 | 31,200,396 | 36,795,310 | 56,077,840 | |
| Total realized and unrealized gain | 7,138,144 | 19,541,296 | 24,555,874 | 49,242,021 |
| Net Increase in Net Assets Resulting from Operations | $ 10,726,978 | $ 24,611,917 | $ 32,924,998 | $ 68,360,849 |
| 1 See Note 9 of the Notes to Financial Statements for details of borrowings. |
See Notes to Financial Statements.
40 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Statements of Operations (concluded) | ||
| BlackRock | Blackrock | |
| Senior Floating | Senior Floating | |
| Six Months Ended February 28, 2010 (Unaudited) | Rate Fund, Inc. | Rate Fund II, Inc. |
| Investment Income | ||
| Net Investment income allocated from the Master LLC: | ||
| Interest | $ 9,697,203 | $ 4,820,149 |
| Income — affiliated | 9,913 | 5,061 |
| Facility and other fees | 123,431 | 61,219 |
| Expenses | (1,622,682) | (806,759) |
| Total income | 8,207,865 | 4,079,670 |
| Expenses | ||
| Administration | 380,282 | 302,477 |
| Transfer agent | 143,097 | 42,519 |
| Tender offer | 63,697 | 35,241 |
| Professional | 49,836 | 29,513 |
| Printing | 44,650 | 24,128 |
| Registration | 18,835 | 13,828 |
| Officer and Directors | 481 | 243 |
| Miscellaneous | 6,729 | 6,417 |
| Total expenses | 707,607 | 454,366 |
| Net investment income | 7,500,258 | 3,625,304 |
| Realized and Unrealized Gain (Loss) Allocated from the Master LLC | ||
| Net realized loss from investments, swaps and foreign currency transactions | (13,667,157) | (6,770,208) |
| Net change in unrealized appreciation/depreciation on investments, swaps and foreign currency transactions | 30,014,754 | 14,797,879 |
| Total realized and unrealized gain | 16,347,597 | 8,027,671 |
| Net Increase in Net Assets Resulting from Operations | $ 23,847,855 | $ 11,652,975 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 41
| Statements of Changes in Net Assets | BlackRock Defined Opportunity Credit Trust (BHL) | |
| Six Months Ended | ||
| February 28, | Year Ended | |
| 2010 | August 31, | |
| Increase (Decrease) in Net Assets: | (Unaudited) | 2009 |
| Operations | ||
| Net investment income | $ 3,588,834 | $ 7,823,996 |
| Net realized loss | (837,774) | (6,261,039) |
| Net change in unrealized appreciation/depreciation | 7,975,918 | (7,306,747) |
| Net increase (decrease) in net assets resulting from operations | 10,726,978 | (5,743,790) |
| Dividends and Distributions to Shareholders From | ||
| Net investment income | (3,080,977) | (9,810,137) |
| Tax return of capital | — | (88,324) |
| Decrease in net assets resulting from dividends and distributions to shareholders | (3,080,977) | (9,898,461) |
| Capital Share Transactions | ||
| Reinvestment of dividends | — | 809,153 |
| Net Assets | ||
| Total increase (decrease) in net assets | 7,646,001 | (14,833,098) |
| Beginning of period | 112,862,050 | 127,695,148 |
| End of period | $ 120,508,051 | $ 112,862,050 |
| Distributions in excess of net investment income | $ (417,467) | $ (925,324) |
| BlackRock Diversified Income Strategies Fund, Inc. (DVF) | ||
| Six Months Ended | ||
| February 28, | Year Ended | |
| 2010 | August 31, | |
| Increase (Decrease) in Net Assets: | (Unaudited) | 2009 |
| Operations | ||
| Net investment income | $ 5,070,621 | $ 12,960,138 |
| Net realized loss | (11,659,100) | (51,026,972) |
| Net change in unrealized appreciation/depreciation | 31,200,396 | (8,137,200) |
| Net increase (decrease) in net assets resulting from operations | 24,611,917 | (46,204,034) |
| Dividends and Distributions to Shareholders From | ||
| Net investment income | (5,430,266) | (13,947,075) |
| Tax return of capital | — | (2,882,990) |
| Decrease in net assets resulting from dividends and distributions to shareholders | (5,430,266) | (16,830,065) |
| Capital Share Transactions | ||
| Reinvestment of dividends | 158,417 | 883,415 |
| Net Assets | ||
| Total increase (decrease) in net assets | 19,340,068 | (62,150,684) |
| Beginning of period | 107,556,395 | 169,707,079 |
| End of period | $ 126,896,463 | $ 107,556,395 |
| Distributions in excess of net investment income | $ (1,069,852) | $ (710,207) |
See Notes to Financial Statements.
42 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Statements of Changes in Net Assets | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) | |
| Six Months Ended | ||
| February 28, | Year Ended | |
| 2010 | August 31, | |
| Increase (Decrease) in Net Assets: | (Unaudited) | 2009 |
| Operations | ||
| Net investment income | $ 8,369,124 | $ 20,915,709 |
| Net realized loss | (12,239,436) | (45,729,155) |
| Net change in unrealized appreciation/depreciation | 36,795,310 | (9,488,290) |
| Net increase (decrease) in net assets resulting from operations | 32,924,998 | (34,301,736) |
| Dividends to Shareholders From | ||
| Net investment income | (8,971,165) | (23,842,077) |
| Capital Share Transactions | ||
| Reinvestment of dividends | 492,531 | 298,574 |
| Net Assets | ||
| Total increase (decrease) in net assets | 24,446,364 | (57,845,239) |
| Beginning of period | 237,159,564 | 295,004,803 |
| End of period | $ 261,605,928 | $ 237,159,564 |
| Distributions in excess of net investment income | $ (1,389,038) | $ (786,997) |
| BlackRock Limited Duration Income Trust (BLW) | ||
| Six Months Ended | ||
| February 28, | Year Ended | |
| 2010 | August 31, | |
| Increase (Decrease) in Net Assets: | (Unaudited) | 2009 |
| Operations | ||
| Net investment income | $ 19,118,828 | $ 37,187,662 |
| Net realized loss | (6,835,819) | (37,468,788) |
| Net change in unrealized appreciation/depreciation | 56,077,840 | (21,814,023) |
| Net increase (decrease) in net assets resulting from operations | 68,360,849 | (22,095,149) |
| Dividends and Distributions to Shareholders From | ||
| Net investment income | (15,493,653) | (42,793,064) |
| Capital Share Transactions | ||
| Reinvestment of dividends | — | — |
| Net Assets | ||
| Total increase (decrease) in net assets | 52,867,196 | (64,888,213) |
| Beginning of period | 551,504,534 | 616,392,747 |
| End of period | $ 604,371,730 | $ 551,504,534 |
| Undistributed (distributions in excess of) net investment income | $ 671,459 | $ (2,953,716) |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 43
| Statements of Changes in Net Assets | BlackRock Senior Floating Rate Fund, Inc. | |
| Six Months Ended | ||
| February 28, | Year Ended | |
| 2010 | August 31, | |
| Increase (Decrease) in Net Assets: | (Unaudited) | 2009 |
| Operations | ||
| Net investment income | $ 7,500,258 | $ 17,486,074 |
| Net realized loss | (13,667,157) | (34,004,504) |
| Net change in unrealized appreciation/depreciation | 30,014,754 | (11,952,665) |
| Net increase (decrease) in net assets resulting from operations | 23,847,855 | (28,471,095) |
| Dividends to Shareholders From | ||
| Net investment income | (7,718,970) | (17,470,993) |
| Capital Share Transactions | ||
| Net decrease in net assets resulting from capital share transactions | (22,650,549) | (41,795,738) |
| Net Assets | ||
| Total decrease in net assets | (6,521,664) | (87,737,826) |
| Beginning of period | 311,662,395 | 399,400,221 |
| End of period | $ 305,140,731 | $ 311,662,395 |
| Undistributed net investment income | $ 1,030,342 | $ 1,249,054 |
| BlackRock Senior Floating Rate Fund II, Inc. | ||
| Six Months Ended | ||
| February 28, | Year Ended | |
| 2010 | August 31, | |
| Increase (Decrease) in Net Assets: | (Unaudited) | 2009 |
| Operations | ||
| Net investment income | $ 3,625,304 | $ 7,880,750 |
| Net realized loss | (6,770,208) | (15,895,082) |
| Net change in unrealized appreciation/depreciation | 14,797,879 | (4,973,635) |
| Net increase (decrease) in net assets resulting from operations | 11,652,975 | (12,987,967) |
| Dividends to Shareholders From | ||
| Net investment income | (3,734,675) | (8,332,675) |
| Capital Share Transactions | ||
| Net decrease in net assets resulting from capital share transactions | (2,701,126) | (14,969,362) |
| Net Assets | ||
| Total increase (decrease) in net assets | 5,217,174 | (36,290,004) |
| Beginning of period | 150,347,045 | 186,637,049 |
| End of period | $ 155,564,219 | $ 150,347,045 |
| Undistributed net investment income | $ 4,358 | $ 113,729 |
See Notes to Financial Statements.
44 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Statements of Cash Flows | |||
| BlackRock | BlackRock | ||
| BlackRock | Diversified | Floating Rate | |
| Defined | Income | Income | |
| Opportunity | Strategies | Strategies | |
| Credit Trust | Fund, Inc. | Fund, Inc. | |
| February 28, 2010 (Unaudited) | (BHL) | (DVF) | (FRA) |
| Cash Provided by Operating Activities | |||
| Net increase in net assets resulting from operations | $ 10,726,978 | $ 24,611,917 | $ 32,924,998 |
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided | |||
| by operating activities: | |||
| Decrease (increase) in interest receivable | (412,716) | 502,591 | (426,010) |
| Increase in cash pledged as collateral for swaps | — | (600,000) | — |
| Decrease in swap receivable | — | 5,426 | 60,167 |
| Increase in commitment fees receivable | (468) | (344) | (1,692) |
| Decrease in income receivable — affiliated | 241 | — | — |
| Decrease in other assets | 106,457 | 17,692 | 61,990 |
| Increase in other liabilties | — | — | 101,768 |
| Increase (decrease) in investment advisor payable | (3,474) | 12,506 | 9,939 |
| Increase in interest expense payable | 22,687 | 40,235 | 77,480 |
| Increase in other affiliates payable | 36 | 60 | 1,420 |
| Increase in accrued expenses payable | 93,300 | 4,123 | 2,231 |
| Decrease in swaps payable | — | (30,223) | (73,465) |
| Increase (decrease) in officer’s and directors’ payable | 133 | (43) | 285 |
| Decrease in deferred income | (120,455) | (80,469) | (79,562) |
| Swap premium received | — | 50,292 | 234,207 |
| Swap premium paid | — | (153,204) | (419,097) |
| Net realized and unrealized gain | (7,423,456) | (19,896,316) | (24,731,776) |
| Amortization of premium and discount on investments | (1,002,726) | (763,597) | (1,615,205) |
| Paid-in-kind income | (12,149) | (370,359) | (1,010,894) |
| Decrease in cash held as collateral on swaps | — | — | (100,000) |
| Proceeds from sales and paydowns of long-term securities | 74,784,863 | 81,212,859 | 144,027,399 |
| Purchases of long-term securities | (69,380,782) | (87,965,404) | (150,216,625) |
| Net proceeds (purchases) from sales of short-term investments | (2,618,127) | 756,456 | 576,054 |
| Cash provided by operating activities | 4,760,342 | (2,645,802) | (596,388) |
| Cash Used for Financing Activities | |||
| Cash receipts from borrowings | 56,000,000 | 78,000,000 | 126,000,000 |
| Cash payments from borrowings | (60,000,000) | (70,000,000) | (118,000,000) |
| Cash dividends paid to shareholders | (3,104,411) | (5,272,571) | (8,643,137) |
| Decrease in custodian bank payable | — | — | (43,905) |
| Cash used for financing activities | (7,104,411) | 2,727,429 | (687,042) |
| Cash Impact from Foreign Exchange Fluctuations | |||
| Cash impact from foreign exchange fluctuations | (1,277) | (1,702) | (77,217) |
| Cash | |||
| Net increase (decrease) in cash | (2,345,346) | 79,925 | (1,360,647) |
| Cash and foreign currency at beginning of period | 2,559,456 | 119,156 | 3,476,153 |
| Cash and foreign currency at end of period | $ 214,110 | $ 199,081 | $ 2,115,506 |
| Cash Flow Information | |||
| Cash paid for interest | $ 130,318 | $ 103,487 | $ 224,224 |
| A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to | |||
| average total assets. | |||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 45
| Financial Highlights | BlackRock Defined Opportunity Credit Trust (BHL) | ||
| Six Months | Period | ||
| Ended | January 31, | ||
| February 28, | Year Ended | 20081 | |
| 2010 | August 31, | to August 31, | |
| (Unaudited) | 2009 | 2008 | |
| Per Share Operating Performance | |||
| Net asset value, beginning of period | $ 12.53 | $ 14.31 | $ 14.332 |
| Net investment income3 | 0.40 | 0.87 | 0.47 |
| Net realized and unrealized gain (loss) | 0.79 | (1.55) | 0.21 |
| Net increase (decrease) from investment operations | 1.19 | (0.68) | 0.68 |
| Dividends and distributions from: | |||
| Net investment income | (0.34) | (1.09) | (0.62) |
| Tax return of capital | — | (0.01) | (0.06) |
| Total dividends and distributions | (0.34) | (1.10) | (0.68) |
| Capital charges with respect to issuance of shares | — | — | (0.02) |
| Net asset value, end of period | $ 13.38 | $ 12.53 | $ 14.31 |
| Market price, end of period | $ 12.62 | $ 11.03 | $ 12.66 |
| Total Investment Return4 | |||
| Based on net asset value | 9.88%5 | (2.16)% | 4.79%5 |
| Based on market price | 17.73%5 | (2.65)% | (11.44)%5 |
| Ratios to Average Net Assets | |||
| Total expenses | 1.95%6 | 2.39% | 1.78%6 |
| Total expenses after fees waived and paid indirectly and excluding interest expense | 1.69%6 | 1.94% | 1.48%6 |
| Net investment income | 6.16%6 | 8.11% | 5.52%6 |
| Supplemental Data | |||
| Net assets, end of period (000) | $ 120,508 | $ 112,862 | $ 127,695 |
| Borrowings outstanding, end of period (000) | $ 23,000 | $ 27,000 | $ 38,500 |
| Average borrowings outstanding, during the period (000) | $ 25,633 | $ 31,141 | $ 13,788 |
| Portfolio turnover | 56% | 41% | 18% |
| Asset coverage, end of period per $1,000 | $ 6,239 | $ 5,180 | $ 4,317 |
| 1 Commencement of operations. | |||
| 2 Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share. | |||
| 3 Based on average shares outstanding. | |||
| 4 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. | |||
| Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. | |||
| 5 Aggregate total investment return. | |||
| 6 Annualized. | |||
See Notes to Financial Statements.
46 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Financial Highlights | BlackRock Diversified Income Strategies Fund, Inc. (DVF) | ||||||
| Six Months | Period | ||||||
| Ended | January 31, | ||||||
| February 28, | 20051 to | ||||||
| Year Ended August 31, | |||||||
| 2010 | August 31, | ||||||
| (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||
| Per Share Operating Performance | |||||||
| Net asset value, beginning of period | $ 8.74 | $ 13.94 | $ 17.50 | $ 18.70 | $ 18.38 | $ 19.10 | |
| Net investment income2 | 0.41 | 1.06 | 1.61 | 1.83 | 1.77 | 0.84 | |
| Net realized and unrealized gain (loss) | 1.59 | (4.88) | (3.41) | (1.23) | 0.25 | (0.77) | |
| Net increase (decrease) from investment operations | 2.00 | (3.82) | (1.80) | 0.60 | 2.02 | 0.07 | |
| Dividends and distributions from: | |||||||
| Net investment income | (0.44) | (1.14) | (1.72) | (1.80) | (1.70) | (0.75) | |
| Tax return of capital | — | (0.24) | (0.04) | — | — | — | |
| Total dividends and distributions | (0.44) | (1.38) | (1.76) | (1.80) | (1.70) | (0.75) | |
| Capital charges with respect to issuance of shares | — | — | — | — | (0.00)3 | (0.04) | |
| Net asset value, end of period | $ 10.30 | $ 8.74 | $ 13.94 | $ 17.50 | $ 18.70 | $ 18.38 | |
| Market price, end of period | $ 10.67 | $ 8.80 | $ 12.77 | $ 17.16 | $ 18.85 | $ 17.53 | |
| Total Investment Return4 | |||||||
| Based on net asset value | 23.33%5 | (23.82)% | (10.17)% | 3.00% | 11.99% | 0.42%5 | |
| Based on market price | 26.89%5 | (16.27)% | (16.08)% | 0.19% | 18.36% | (8.53)%5 | |
| Ratios to Average Net Assets | |||||||
| Total expenses | 1.50%6 | 2.47% | 2.77% | 3.66% | 3.17% | 2.48%6 | |
| Total expenses after fees waived and paid indirectly | 1.50%6 | 2.47% | 2.77% | 3.66% | 3.17% | 2.20%6 | |
| Total expenses after fees waived and paid indirectly and excluding | |||||||
| interest expense | 1.26%6 | 1.57% | 1.23% | 1.30% | 1.29% | 1.00%6 | |
| Net investment income | 8.42%6 | 13.63% | 10.40% | 9.63% | 9.57% | 7.88%6 | |
| Supplemental Data | |||||||
| Net assets, end of period (000) | $ 126,896 | $ 107,556 | $ 169,707 | $ 212,792 | $ 224,156 | $ 219,748 | |
| Borrowings outstanding, end of period (000) | $ 26,000 | $ 18,000 | $ 65,500 | $ 72,000 | $ 88,800 | $ 101,400 | |
| Average borrowings outstanding, during the period (000) | $ 24,177 | $ 28,247 | $ 64,335 | $ 95,465 | $ 86,132 | $ 75,543 | |
| Portfolio turnover | 58% | 45% | 41% | 72% | 64% | 17% | |
| Asset coverage, end of period per $1,000 | $ 5,881 | $ 6,975 | $ 3,591 | $ 3,955 | $ 3,524 | $ 3,167 | |
| 1 Commencement of operations. | |||||||
| 2 Based on average shares outstanding. | |||||||
| 3 Amount is less than $(0.01) per share. | |||||||
| 4 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. | |||||||
| Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. | |||||||
| 5 Aggregate total investment return. | |||||||
| 6 Annualized. | |||||||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 47
| Financial Highlights | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) | |||||
| Six Months | ||||||
| Ended | ||||||
| February 28, | ||||||
| 2010 | Year Ended August 31, | |||||
| (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | |
| Per Share Operating Performance | ||||||
| Net asset value, beginning of period | $ 12.93 | $ 16.12 | $ 18.25 | $ 19.32 | $ 19.35 | $ 19.16 |
| Net investment income1 | 0.46 | 1.14 | 1.45 | 1.54 | 1.40 | 1.23 |
| Net realized and unrealized gain (loss) | 1.34 | (3.04) | (2.03) | (1.07) | (0.06) | 0.08 |
| Net increase (decrease) from investment operations | 1.80 | (1.90) | (0.58) | 0.47 | 1.34 | 1.31 |
| Dividends and distributions from: | ||||||
| Net investment income | (0.49) | (1.29) | (1.55) | (1.54) | (1.37) | (1.11) |
| Net realized gain | — | — | — | — | — | (0.01) |
| Total dividends and distributions | (0.49) | (1.29) | (1.55) | (1.54) | (1.37) | (1.12) |
| Net asset value, end of period | $ 14.24 | $ 12.93 | $ 16.12 | $ 18.25 | $ 19.32 | $ 19.35 |
| Market price, end of period | $ 15.64 | $ 12.26 | $ 14.49 | $ 16.70 | $ 17.49 | $ 17.85 |
| Total Investment Return2 | ||||||
| Based on net asset value | 14.12%3 | (8.88)% | (2.56)% | 2.74% | 7.92% | 7.27% |
| Based on market price | 32.19%3 | (3.88)% | (4.28)% | 3.85% | 5.91% | (2.47)% |
| Ratios to Average Net Assets | ||||||
| Total expenses | 1.45%4 | 1.96% | 2.61% | 3.33% | 2.54% | 2.18% |
| Total expenses after fees waived and paid indirectly | 1.45%4 | 1.96% | 2.60% | 3.33% | 2.54% | 2.18% |
| Total expenses after fees waived and paid indirectly and excluding | ||||||
| interest expense | 1.21%4 | 1.31% | 1.18% | 1.20% | 1.14% | 1.22% |
| Net investment income | 6.67%4 | 10.18% | 8.49% | 7.88% | 7.30% | 6.34% |
| Supplemental Data | ||||||
| Net assets, end of period (000) | $ 261,606 | $ 237,160 | $ 295,005 | $ 334,065 | $ 353,713 | $ 354,114 |
| Borrowings outstanding, end of period (000) | $ 46,000 | $ 38,000 | $ 101,500 | $ 107,000 | $ 135,200 | $ 123,600 |
| Average borrowings outstanding, during the period (000) | $ 50,740 | $ 50,591 | $ 102,272 | $ 133,763 | $ 101,916 | $ 117,702 |
| Portfolio turnover | 51% | 58% | 49% | 69% | 57% | 48% |
| Asset coverage, end of period per $1,000 | $ 6,687 | $ 7,241 | $ 3,906 | $ 4,122 | $ 3,616 | $ 3,865 |
| 1 Based on average shares outstanding. | ||||||
| 2 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. | ||||||
| Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. | ||||||
| 3 Aggregate total investment return. | ||||||
| 4 Annualized. | ||||||
See Notes to Financial Statements.
48 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Financial Highlights | BlackRock Limited Duration Income Trust (BLW) | ||||||
| Six Months | Period | ||||||
| Ended | November 1, | ||||||
| February 28, | Year Ended | 2007 to | |||||
| 2010 | August 31, | August 31, | Year Ended October 31, | ||||
| (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | |
| Per Share Operating Performance | |||||||
| Net asset value, beginning of period | $ 14.95 | $ 16.71 | $ 18.52 | $ 19.01 | $ 19.17 | $ 20.13 | $ 19.74 |
| Net investment income | 0.511 | 1.011 | 1.141 | 1.50 | 1.35 | 1.46 | 1.46 |
| Net realized and unrealized gain (loss) | 1.34 | (1.61) | (1.76) | (0.49) | 0.03 | (0.94) | 0.43 |
| Net increase (decrease) from investment operations | 1.85 | (0.60) | (0.62) | 1.01 | 1.38 | 0.52 | 1.89 |
| Dividends and distributions from: | |||||||
| Net investment income | (0.42) | (1.16) | (1.19) | (1.41) | (1.52) | (1.33) | (1.49) |
| Net realized gain | — | — | — | (0.06) | — | (0.15) | (0.01) |
| Tax return of capital | — | — | — | (0.03) | (0.02) | — | — |
| Total dividends and distributions | (0.42) | (1.16) | (1.19) | (1.50) | (1.54) | (1.48) | (1.50) |
| Net asset value, end of period | $ 16.38 | $ 14.95 | $ 16.71 | $ 18.52 | $ 19.01 | $ 19.17 | $ 20.13 |
| Market price, end of period | $ 15.64 | $ 14.09 | $ 14.57 | $ 16.68 | $ 18.85 | $ 17.48 | $ 19.95 |
| Total Investment Return2 | |||||||
| Based on net asset value | 12.73%3 | (1.57)% | (2.60)%3 | 5.66% | 7.85% | 2.93% | 10.17% |
| Based on market price | 14.21%3 | 6.40% | (5.70)%3 | (4.03)% | 17.31% | (5.30)% | 14.64% |
| Ratios to Average Net Assets | |||||||
| Total expenses | 0.73%4 | 0.72% | 1.39%4 | 2.16% | 2.20% | 1.71% | 1.26% |
| Total expenses after fees waived and before fees | |||||||
| paid indirectly | 0.73%4 | 0.71% | 1.39%4 | 2.16% | 2.20% | 1.71% | 1.26% |
| Total expenses after fees waived and paid indirectly | 0.73%4 | 0.71% | 1.38%4 | 2.14% | 2.19% | 1.71% | 1.25% |
| Total expenses after fees waived and paid indirectly and | |||||||
| excluding interest expense | 0.70%4 | 0.69% | 0.76%4 | 0.83% | 0.91% | 0.92% | 0.90% |
| Net investment income | 6.61%4 | 7.42% | 7.84%4 | 7.92% | 7.10% | 7.42% | 7.34% |
| Supplemental Data | |||||||
| Net assets, end of period (000) | $ 604,372 | $ 551,505 | $ 616,393 | $ 638,109 | $ 699,206 | $ 704,961 | $ 739,225 |
| Borrowings outstanding, end of period (000) | $ 12,744 | $ — | $ 64,538 | $ 109,287 | $ 220,000 | $ 176,010 | $ 159,416 |
| Average borrowings outstanding, during the period (000) | $ 4,871 | $ 11,705 | $ 120,295 | $ 172,040 | $ 179,366 | $ 186,660 | $ 195,845 |
| Portfolio turnover | 156%5 | 287%6 | 191%7 | 65% | 132% | 70% | 215% |
| Asset coverage, end of period per $1,000 | $ 48,423 | $ — | $ 10,551 | $ 7,251 | $ 4,178 | $ 5,005 | $ 5,637 |
| 1 Based on average shares outstanding. | |||||||
| 2 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. | |||||||
| Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. | |||||||
| 3 Aggregate total investment return. | |||||||
| 4 Annualized. | |||||||
| 5 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 12%. | |||||||
| 6 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%. | |||||||
| 7 Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 24%. | |||||||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 49
| Financial Highlights | BlackRock Senior Floating Rate Fund, Inc. | ||||||
| Six Months | |||||||
| Ended | |||||||
| February 28, | |||||||
| 2010 | Year Ended August 31, | ||||||
| (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||
| Per Share Operating Performance | |||||||
| Net asset value, beginning of period | $ 7.16 | $ 7.98 | $ 8.60 | $ 8.92 | $ 9.01 | $ 8.91 | |
| Net investment income1 | 0.18 | 0.39 | 0.51 | 0.60 | 0.52 | 0.37 | |
| Net realized and unrealized gain (loss) | 0.39 | (0.83) | (0.62) | (0.32) | (0.08) | 0.10 | |
| Net increase (decrease) from investment operations | 0.57 | (0.44) | (0.11) | 0.28 | 0.44 | 0.47 | |
| Dividends from net investment income | (0.19) | (0.38) | (0.51) | (0.60) | (0.53) | (0.37) | |
| Net asset value, end of period | $ 7.54 | $ 7.16 | $ 7.98 | $ 8.60 | $ 8.92 | $ 9.01 | |
| Total Investment Return2 | |||||||
| Based on net asset value | 7.97%3 | (4.69)% | (1.32)%4 | 3.07% | 4.97% | 5.38% | |
| Ratios to Average Net Assets5 | |||||||
| Total expenses | 1.53%6 | 1.53% | 1.28%4 | 1.44% | 1.43% | 1.41% | |
| Net investment income | 4.93%6 | 5.97% | 6.16% | 6.67% | 5.84% | 4.11% | |
| Supplemental Data | |||||||
| Net assets, end of period (000) | $ 305,141 | $ 311,662 | $ 399,400 | $ 505,515 | $ 601,807 | $ 676,703 | |
| Portfolio turnover for the Master LLC | 56% | 47% | 56% | 46% | 54% | 53% | |
| 1 Based on average shares outstanding. | |||||||
| 2 Where applicable, total investment returns exclude the early withdrawal charge, but do include the reinvestment of dividends and distributions. The Fund is a continuously offered | |||||||
| closed-end fund, the shares of which are offered at net asset value. No secondary market for the Fund’s shares exists. | |||||||
| 3 Aggregate total investment return. | |||||||
| 4 During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years’ tender offer fees, which increased net investment income per | |||||||
| share $0.02 and increased total investment return 0.24%. The expense ratio excluding the refund was 1.46%. | |||||||
| 5 Includes the Fund’s share of the Master LLC’s allocated expenses and/or net investment income. | |||||||
| 6 Annualized. | |||||||
See Notes to Financial Statements.
50 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Financial Highlights | BlackRock Senior Floating Rate Fund II, Inc. | ||||||
| Six Months | |||||||
| Ended | |||||||
| February 28, | |||||||
| 2010 | Year Ended August 31, | ||||||
| (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||
| Per Share Operating Performance | |||||||
| Net asset value, beginning of period | $ 7.76 | $ 8.67 | $ 9.35 | $ 9.70 | $ 9.79 | $ 9.67 | |
| Net investment income1 | 0.19 | 0.41 | 0.54 | 0.63 | 0.56 | 0.39 | |
| Net realized and unrealized gain (loss) | 0.42 | (0.89) | (0.69) | (0.34) | (0.10) | 0.11 | |
| Net increase (decrease) from investment operations | 0.61 | (0.48) | (0.15) | 0.29 | 0.46 | 0.50 | |
| Dividends from net investment income | (0.20) | (0.43) | (0.53) | (0.64) | (0.55) | (0.38) | |
| Net asset value, end of period | $ 8.17 | $ 7.76 | $ 8.67 | $ 9.35 | $ 9.70 | $ 9.79 | |
| Total Investment Return2 | |||||||
| Based on net asset value | 7.88%3 | (4.70)% | (1.61)%4 | 2.89% | 4.90% | 5.26% | |
| Ratios to Average Net Assets5 | |||||||
| Total expenses | 1.67%6 | 1.68% | 1.50%4 | 1.59% | 1.57% | 1.54% | |
| Net investment income | 4.79%6 | 5.79% | 5.96% | 6.53% | 5.70% | 4.03% | |
| Supplemental Data | |||||||
| Net assets, end of period (000) | $ 155,564 | $ 150,347 | $ 186,637 | $ 247,861 | $ 322,202 | $ 355,108 | |
| Portfolio turnover for the Master LLC | 56% | 47% | 56% | 46% | 54% | 53% | |
| 1 Based on average shares outstanding. | |||||||
| 2 Where applicable, total investment returns exclude the early withdrawal charge, but do include the reinvestment of dividends and distributions. The Fund is a continuously offered | |||||||
| closed-end fund, the shares of which are offered at net asset value. No secondary market for the Fund’s shares exists. | |||||||
| 3 Aggregate total investment return. | |||||||
| 4 During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years’ tender offer fees, which increased net investment income per | |||||||
| share $0.02 and increased total investment return 0.11%. The expense ratio excluding the refund was 1.64%. | |||||||
| 5 Includes the Fund’s share of the Master LLC’s allocated expenses and/or net investment income. | |||||||
| 6 Annualized. | |||||||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 51
Notes to Financial Statements (Unaudited)
1. Organization and Significant Accounting Policies:
BlackRock Defined Opportunity Credit Trust (“BHL”), BlackRock Diversified
Income Strategies Fund, Inc. (“DVF”), BlackRock Floating Rate Income
Strategies Fund, Inc. (“FRA”), BlackRock Limited Duration Income Trust
(“BLW”), BlackRock Senior Floating Rate Fund, Inc. (“Senior Floating Rate”)
and BlackRock Senior Floating Rate Fund II, Inc. (“Senior Floating Rate II”)
(collectively, referred to as the “Funds” or individually as the “Fund”) are
registered under the Investment Company Act of 1940, as amended (the
“1940 Act”). BHL and BLW are organized as Delaware Statutory trusts. DVF,
FRA, Senior Floating Rate and Senior Floating Rate II are organized as
Maryland corporations. BHL, DVF, FRA and BLW are registered as diversi-
fied, closed-end management investment companies. Senior Floating Rate
and Senior Floating Rate II are registered as continuously offered, nondiver-
sified, closed-end management investment companies. The Funds’ financial
statements are prepared in conformity with accounting principles generally
accepted in the United States of America, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates. The Boards of Directors and the Boards of Trustees of the Funds
are referred to throughout this report as the “Board of Directors” or the
“Board.” The Funds determine and make available for publication the net
asset value of their shares on a daily basis.
Senior Floating Rate and Senior Floating Rate II seek to achieve their
investment objectives by investing all their assets in the Master Senior
Floating Rate LLC (the “Master LLC”), which has the same investment
objective and strategies as these Funds. The value of each Fund’s invest-
ment in the Master LLC reflects each Fund’s proportionate interest in the
net assets of the Master LLC. The performance of each Fund is directly
affected by the performance of the Master LLC. The financial statements of
the Master LLC, including the Schedule of Investments, are included else-
where in this report and should be read in conjunction with Senior Floating
Rate and Senior Floating Rate II’s financial statements. The percentage of
the Master LLC owned by Senior Floating Rate and Senior Floating Rate II
at February 28, 2010 was 66% and 34%, respectively.
The following is a summary of significant accounting policies followed by
the Funds:
Valuation: The Funds’ policy is to fair value their financial instruments at
market value. The Funds value their bond investments on the basis of last
available bid prices or current market quotations provided by dealers or
pricing services selected under the supervision of each Fund’s Board.
Floating rate loan interests are valued at the mean between the last avail-
able 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 based on valuation
technology commonly employed in the market for such investments. 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, establishes a benchmark yield and develops 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 at the current market value of the underlying securities. Swap
agreements are valued utilizing quotes received daily by the Funds’ pricing
service or through brokers, which are derived using daily swap curves
and trades of underlying securities. Investments in open-end investment
companies are valued at net asset value each business day. Short-term
securities with remaining maturities of 60 days or less may be valued at
amortized cost, which approximates fair value.
Certain Funds value their investment in BlackRock Liquidity Series, LLC
Money Market Series (the "Money Market Series") at fair value, which is
ordinarily based upon their pro rata ownership in the net assets of the
underlying fund. The Money Market Series seeks current income consistent
with maintaining liquidity and preserving capital. Although the Money
Market Series is not registered under the 1940 Act, its investments will
follow the parameters of investments by a money market fund that is
subject to Rule 2a-7 promulgated by the Securities and Exchange
Commission (“SEC”) under the 1940 Act. The Funds may withdraw up to
25% of their investment daily, although the manager of the Money Market
Series, in its sole discretion, may permit an investor to withdraw more than
25% on any one day.
Equity investments traded on a recognized securities exchange or the
NASDAQ Global Market System are valued at the last reported sale price
that day or the NASDAQ official closing price, if applicable. For equity
investments traded on more than one exchange, the last reported sale
price on the exchange where the stock is primarily traded is used. Equity
investments traded on a recognized exchange for which there were no
sales on that day are valued at the last available bid price. If no bid price
is available, the prior day’s price will be used, unless it is determined that
such prior day’s price no longer reflects the fair value of the security.
Exchange-traded options are valued at the mean between the last bid
and ask prices at the close of the options market in which the options
trade. An exchange-traded option for which there is no mean price is
valued at the last bid price. If no bid price is available, the prior day’s price
will be used, unless it is determined that such day’s price no longer reflects
the fair value of the option. Over-the-counter (“OTC”) options and swap-
tions 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.
Securities and other assets and liabilities denominated in foreign curren-
cies are translated into US dollars using exchange rates determined as of
the close of business on the New York Stock Exchange (“NYSE”). Foreign
currency exchange contracts are valued at the mid between the bid and
ask prices and are determined as of the close of business on the NYSE.
Interpolated values are derived when the settlement date of the contract
is an interim date for which quotations are not available.
In the event that application of these methods of valuation results in a
price for an investment which is deemed not to be representative of the
market value of such investment or is not available, the investment will be
valued by a method approved by each Fund’s Board as reflecting fair value
(“Fair Value Assets”). When determining the price for Fair Value Assets, the
investment advisor and/or the sub-advisor seeks to determine the price
52 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Notes to Financial Statements (continued)
that each Fund might reasonably expect to receive from the current sale
of that asset in an arm’s-length transaction. Fair value determinations shall
be based upon all available factors that the investment advisor and/or
sub-advisor deems relevant. The pricing of all Fair Value Assets is subse-
quently reported to the Board or a committee thereof.
Generally, trading in foreign instruments is substantially completed
each day at various times prior to the close of business on the NYSE.
Occasionally, events affecting the values of such instruments may occur
between the foreign market close and the close of business on the NYSE
that may not be reflected in the computation of a Fund’s net assets. If
events (for example, a company announcement, market volatility or a natu-
ral disaster) occur during such periods that are expected to materially
affect the value of such instruments, those instruments may be Fair Value
Assets and be valued at their fair value, as determined in good faith by the
Board or by the investment advisor using a pricing service and/or proce-
dures approved by the Board.
Senior Floating Rate and Senior Floating Rate II record their investments in
the Master LLC at fair value. Valuation of securities held by the Master LLC
is discussed in Note 1 of the Master LLC’s Notes to Financial Statements,
which are included elsewhere in this report.
Fair Value Measurements: Various inputs are used in determining the fair
value of investments, which are as follows:
• Level 1 — price quotations in active markets/exchanges for identical
assets and liabilities.
• Level 2 — other observable inputs (including, but not limited to: quoted
prices for similar assets or liabilities in markets that are active, quoted
prices for identical or similar assets or liabilities in markets that are not
active, inputs other than quoted prices that are observable for the
assets or liabilities (such as interest rates, yield curves, volatilities, pre-
payment 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)
The inputs or methodologies used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities.
As of February 28, 2010, Senior Floating Rate and Senior Floating rate II’s
investment in the Master LLC was classified as level 2. More relevant dis-
closure regarding fair value measurements relates to the Master LLC, which
is disclosed in the Master LLC’s Schedule of Investments included else-
where in this report.
Foreign Currency Transactions: Foreign currency amounts are translated
into United States dollars on the following basis: (i) market value of in-
vestment securities, assets and liabilities at the current rate of exchange;
and (ii) purchases and sales of investment securities, income and ex-
penses at the rates of exchange prevailing on the respective dates of
such transactions.
The Funds report foreign currency related transactions as components of
realized gains for financial reporting purposes, whereas such components
are treated as ordinary income for federal income tax purposes.
Asset-Backed and Mortgaged-Backed Securities: Certain Funds may
invest in asset-backed securities. Asset-backed securities are generally
issued as pass-through certificates, which represent undivided fractional
ownership interests in an underlying pool of assets, or as debt instruments,
which are also known as collateralized obligations, and are generally issued
as the debt of a special purpose entity organized solely for the purpose of
owning such assets and issuing such debt. Asset-backed securities are
often backed by a pool of assets representing the obligations of a number
of different parties. The yield characteristics of certain asset-backed securi-
ties may differ from traditional debt securities. One such major difference
is that all or a principal part of the obligations may be prepaid at any time
because the underlying assets (i.e., loans) may be prepaid at any time. As
a result, a decrease in interest rates in the market may result in increases
in the level of prepayments as borrowers, particularly mortgagors, refinance
and repay their loans. An increased prepayment rate with respect to an
asset-backed security subject to such a prepayment feature will have the
effect of shortening the maturity of the security. If a Fund has purchased
such an asset-backed security at a premium, a faster than anticipated
prepayment rate could result in a loss of principal to the extent of the
premium paid.
Certain Funds may purchase certain mortgage pass-through securities.
There are a number of important differences among the agencies and
instrumentalities of the US Government that issue mortgage-related sec-
urities and among the securities that they issue. For example, mortgage-
related securities guaranteed by the Government National Mortgage
Association (“GNMA”) are guaranteed as to the timely payment of principal
and interest by GNMA and such guarantee is backed by the full faith and
credit of the United States. However, mortgage-related securities issued
by the Federal Home Loan Mortgage Corporation (“FHLMC”) and Federal
National Mortgage Association (“FNMA”), including FNMA guaranteed
Mortgage Pass-Through Certificates which are solely the obligations of
the FNMA, are not backed by or entitled to the full faith and credit of the
United States and are supported by the right of the issuer to borrow from
the Treasury.
Certain Funds invest a significant portion of their assets in securities
backed by commercial or residential mortgage loans or in issuers that hold
mortgage and other asset-backed securities. Please see the Schedules of
Investments for these securities. Changes in economic conditions, including
delinquencies and/or defaults on assets underlying these securities, can
affect the value, income and/or liquidity of such positions.
Forward Commitments and When-Issued Delayed Delivery Securities:
Certain Funds may purchase securities on a when-issued basis and may
purchase or sell securities on a forward commitment basis. Settlement of
such transactions normally occurs within a month or more after the pur-
chase or sale commitment is made. The Funds may purchase securities
under such conditions with the intention of actually acquiring them, but
may enter into a separate agreement to sell the securities before the settle-
ment date. Since the value of securities purchased may fluctuate prior
to settlement, the Funds may be required to pay more at settlement than
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 53
Notes to Financial Statements (continued)
the security is worth. In addition, the purchaser is 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 gain of the commitment, which is shown on the Schedules of
Investments, if any.
Preferred Stock: Certain Funds may invest in preferred stocks. Preferred
stock has a preference over common stock in liquidation (and generally
in receiving dividends as well) but is subordinated to the liabilities of the
issuer in all respects. As a general rule, the market value of preferred stock
with a fixed dividend rate and no conversion element varies inversely with
interest rates and perceived credit risk, while the market price of convert-
ible preferred stock generally also reflects some element of conversion
value. Because preferred stock is junior to debt securities and other obliga-
tions 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 pay-
ments 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 Loans: Certain Funds may invest in floating rate loans, which
are generally non-investment grade, made by banks, other financial institu-
tions, and privately and publicly offered corporations. Floating rate loans
are senior in the debt structure of a corporation. Floating rate loans gener-
ally pay interest at rates that are periodically determined by reference to
a base lending rate plus a premium. The base lending rates are generally
(i) the lending rate offered by one or more European banks, such as LIBOR
(London Inter Bank Offered Rate), (ii) the prime rate offered by one or
more US banks or (iii) the certificate of deposit rate. The Funds consider
these investments to be investments in debt securities for purposes of
their investment policies.
The Funds earn and/or pay facility and other fees on floating rate loans.
Other fees earned/paid include commitment, amendment, consent and
prepayment penalty fees. Facility, commitment and amendment fees are
typically amortized over the term of the loan. Consent fees and various
other fees are recorded as income. Prepayment penalty fees are recorded
as realized gains. When a Fund buys a floating rate loan it may receive a
facility fee and when it sells a floating rate loan it may pay a facility fee.
On an ongoing basis, the Funds may receive a commitment fee based on
the undrawn portion of the underlying line of credit portion of a floating
rate loan. In certain circumstances, the Funds may receive a prepayment
penalty fee upon the prepayment of a floating rate loan by a borrower.
Other fees received by the Funds may include covenant waiver fees and
covenant modification fees.
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 loans are usually freely callable at the issuer’s option. The
Funds may invest in such loans in the form of participations in loans
(“Participations”) and 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
it is entitled only from the lender selling the Participation and only upon
receipt by the lender of the payments from the borrower.
In connection with purchasing Participations, the Funds generally will
have no right to enforce compliance by the borrower with the terms of the
loan agreement relating to the loans, nor any rights of offset against the
borrower, and the Funds may not benefit directly from any collateral sup-
porting the loan in which it has purchased the Participation.
As a result, the Funds will assume the credit risk of both the borrower and
the lender that is selling the Participation. The Funds’ investments in loan
participation interests involve the risk of insolvency of the financial interme-
diaries 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.
Mortgage Dollar Roll Transactions: Certain Funds may sell mortgage-
backed securities and simultaneously contract to repurchase substantially
similar (same type, coupon and maturity) securities on a specific future
date at an agreed-upon price. During the period between the sale and
repurchase, the Funds will not be entitled to receive interest and principal
payments on the securities sold. The Funds account for dollar roll transac-
tions as purchases and sales and realize gains and losses on these trans-
actions. Mortgage dollar rolls involve the risk that the market value of the
securities that the Funds are required to purchase may decline below the
agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Certain Funds may enter into reverse
repurchase agreements with qualified third party broker-dealers. In a
reverse repurchase agreement, the Funds sell securities to a bank or bro-
ker-dealer and agree to repurchase the securities at a mutually agreed
upon date and price. Certain agreements have no stated maturity and
can be terminated by either party at any time. Interest on the value of the
reverse repurchase agreements issued and outstanding is based upon
competitive market rates determined at the time of issuance. The Funds
may utilize reverse repurchase agreements when it is anticipated that the
interest income to be earned from the investment of the proceeds of the
transaction is greater than the interest expense of the transaction. Reverse
repurchase agreements involve leverage risk and also the risk that the
market value of the securities that the Funds are obligated to repurchase
under the agreement may decline below the repurchase price. In the event
the buyer of securities under a reverse repurchase agreement files for
bankruptcy or becomes insolvent, the Funds’ use of the proceeds of the
agreement may be restricted while the other party, or its trustee or receiver,
determines whether or not to enforce the Funds’ obligation to repurchase
the securities.
TBA Commitments: Certain Funds may enter into TBA commitments to pur-
chase or sell securities for a fixed price at a future date. TBA commitments
involve a risk of loss if the value of the security to be purchased or sold
declines or increases prior to settlement date, which is in addition to the
risk of decline in the value of the Funds’ other assets.
54 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Notes to Financial Statements (continued)
Segregation and Collateralization: In cases in which the 1940 Act and
the interpretive positions of the SEC require that the Funds either deliver
collateral or segregate assets in connection with certain investments
(e.g., dollar rolls, TBAs beyond normal settlement, financial futures con-
tracts, foreign currency exchange contracts and swaps), or certain borrow-
ings (e.g., reverse repurchase agreements and loan payable) each Fund
will, consistent with SEC rules and/or certain interpretive letters issued by
the SEC, segregate collateral or designate on its books and records cash or
other liquid securities having a market value at least equal to the amount
that would otherwise be required to be physically segregated. Furthermore,
based on requirements and agreements with certain exchanges and third
party broker-dealers, each party has requirements to deliver/deposit secu-
rities as collateral for certain investments.
Investment Transactions and Investment Income: For financial reporting
purposes, investment transactions are recorded on the dates the trans-
actions are entered into (the trade dates). Realized gains and losses
on investment transactions are determined on the identified cost basis.
Dividend income is recorded on the ex-dividend dates. Dividends from
foreign securities where the ex-dividend date may have passed are sub-
sequently recorded when the Funds have determined the ex-dividend date.
Interest income is recognized on the accrual basis. The Funds amortize
all premiums and discounts on debt securities. Consent fees are compen-
sation for agreeing to changes in the terms of debt instruments and are
included in interest income in the Statements of Operations.
Senior Floating Rate and Senior Floating Rate II record daily their propor-
tionate share of the Master LLC’s income, expenses and realized and unre-
alized gains and losses. In addition, both Funds accrue their own expenses.
Dividends and Distributions: Dividends from net investment income are
declared and paid monthly. Distributions of capital gains are recorded on
the ex-dividend dates. If the total dividends and distributions made in any
tax year exceed net investment income and accumulated realized capital
gains, a portion of the total distribution may be treated as a tax return
of capital.
Income Taxes: It is each Fund’s policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies
and to distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required. Under the applicable
foreign tax laws, a withholding tax may be imposed on interest, dividends
and capital gains at various rates.
Each Fund files US federal and various state and local tax returns. No
income tax returns are currently under examination. The statute of limita-
tions on the Funds’ US federal tax returns remains open for the two periods
ended August 31, 2009 for BHL, the four years ended August 31, 2009
for DVF, FRA, Senior Floating Rate and Senior Floating Rate II, and the two
years ended October 31, 2007 and the two periods ended August 31,
2009 for BLW. The statutes of limitations on the Funds’ state and local
tax returns may remain open for an additional year depending upon
the jurisdiction.
Recent Accounting Standards: In June 2009, amended guidance was
issued by the Financial Accounting Standards Board (“FASB”) for transfers
of financial assets. This guidance is intended to improve the relevance,
representational faithfulness and comparability of the information that
a reporting entity provides in its financial statements about a transfer of
financial assets; the effects of a transfer on its financial position, financial
performance, and cash flows; and a transferor’s continuing involvement, if
any, in transferred financial assets. The amended guidance is effective for
financial statements for fiscal years and interim periods beginning after
November 15, 2009. Earlier application is prohibited. The recognition and
measurement provisions of this guidance must be applied to transfers
occurring on or after the effective date. Additionally, the enhanced disclo-
sure provisions of the amended guidance should be applied to transfers
that occurred both before and after the effective date of this guidance.
The impact of this guidance on the Funds’ financial statements and dis-
closures, if any, is currently being assessed.
In January 2010, the FASB issued amended guidance to improve dis-
closure about fair value measurements which will require additional dis-
closures about transfers into and out of Levels 1 and 2 and separate
disclosures about purchases, sales, issuances and settlements in the
reconciliation for fair value measurements using significant unobservable
inputs (Level 3). It also clarifies existing disclosure requirements relating
to the levels of disaggregation for fair value measurement and inputs and
valuation techniques used to measure fair value. The amended guidance
is effective for financial statements for fiscal years and interim periods
beginning after December 15, 2009 except for disclosures about pur-
chases, sales, issuances and settlements in the rollforward of activity
in Level 3 fair value measurements, which are effective for fiscal years
beginning after December 15, 2010 and for interim periods within
those fiscal years. The impact of this guidance on the Funds’ financial
statements and disclosures is currently being assessed.
Deferred Compensation and BlackRock Closed-End Share Equivalent
Investment Plan: Under the deferred compensation plan approved by each
Fund’s Board, non-interested Directors (“Independent Directors”) may defer
a portion of their annual complex-wide compensation. Deferred amounts
earn an approximate return as though equivalent dollar amounts had been
invested in common shares of other certain BlackRock Closed-End Funds
selected by the Independent Directors. This has approximately the same
economic effect for the Independent Directors as if the Independent
Directors had invested the deferred amounts directly in other certain
BlackRock Closed-End Funds.
The deferred compensation plan is not funded and obligations there under
represent general unsecured claims against the general assets of each
Fund. Each Fund may, however, elect to invest in common shares of other
certain BlackRock Closed-End Funds selected by the Independent Directors
in order to match its deferred compensation obligations. Investments to
cover each Fund’s deferred compensation liability, if any, are included in
other assets in the Statements of Assets and Liabilities. Dividends and dis-
tributions from the BlackRock Closed-End Funds investments under the
plan are included in income — affiliated in the Statements of Operations.
Other: Expenses directly related to a Fund are charged to that Fund. Other
operating expenses shared by several funds are pro rated among those
funds on the basis of relative net assets or other appropriate methods.
The Funds have an arrangement with the custodians whereby fees may be
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 55
Notes to Financial Statements (continued)
reduced by credits earned on uninvested cash balances, which if applica-
ble are shown as fees paid indirectly in the Statements of Operations. The
custodians impose fees on overdrawn cash balances, which can be offset
by accumulated credits earned or may result in additional custody charges.
2. Derivative Financial Instruments:
The Funds may engage in various portfolio investment strategies both to
increase the returns of the Funds and to economically hedge, or protect,
their exposure to certain risks such as credit risk, equity risk, interest rate
risk and foreign currency exchange rate risk. Losses may arise if the value
of the contract decreases due to an unfavorable change in the price of the
underlying instrument or if the counterparty does not perform under the
contract. The Funds may mitigate counterparty risk through master netting
agreements included within an International Swap and Derivatives Asso-
ciation, Inc. (“ISDA”) Master Agreement between a Fund and each of its
counterparties. The ISDA Master Agreement allows each Fund to offset with
its counterparty certain derivative financial instrument’s payables and/or
receivables with collateral held with each counterparty. The amount of col-
lateral moved to/from applicable counterparties is based upon minimum
transfer amounts of up to $500,000. To the extent amounts due to the
Funds from their counterparties are not fully collateralized contractually or
otherwise, the Funds bear the risk of loss from counterparty non-perform-
ance. See Note 1 “Segregation and Collateralization” for information with
respect to collateral practices.
The Fund’s maximum risk of loss from counterparty credit risk on OTC
derivatives is generally the aggregate unrealized gain in excess of any
collateral pledged by the counterparty to the Funds. For OTC options pur-
chased, the Funds bear the risk of loss in the amount of the premiums
paid and change in market value of the options should the counterparty
not perform under the contracts. Options written by the Funds do not give
rise to counterparty credit risk, as options written obligate the Funds to
perform and not the counterparty. Certain ISDA Master Agreements allow
counterparties to OTC derivatives to terminate derivative contracts prior to
maturity in the event a Fund’s net assets decline by a stated percentage or
a Fund fails to meet the terms of its ISDA Master Agreements, which would
cause a Fund to accelerate payment of any net liability owed to the coun-
terparty. Counterparty risk related to exchange-traded financial futures con-
tracts and options is minimal because of the protection against defaults
provided by the exchange on which they trade.
Financial Futures Contracts: The Funds may purchase or sell financial
futures contracts and options on financial futures contracts to gain
exposure to, or economically hedge against, changes in interest rates
(interest rate risk) or foreign currencies (foreign currency exchange rate
risk). Financial futures contracts are contracts for delayed delivery of
securities or currencies at a specific future date and at a specific price or
yield. Pursuant to the contract, the Funds agree to receive from or pay to
the broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as margin variation and are
recognized by the Funds as unrealized gains or losses. 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 transactions involves
the risk of an imperfect correlation in the movements in the price of finan-
cial futures contracts, interest or foreign currency exchange rates and the
underlying assets.
Foreign Currency Exchange Contracts: The Funds may enter into foreign
currency exchange contracts as an economic hedge against either specific
transactions or portfolio positions (foreign currency exchange rate risk). A
foreign currency exchange contract is an agreement between two parties
to buy and sell a currency at a set exchange rate on a future date. Foreign
currency exchange contracts, when used by the Funds, help to manage the
overall exposure to the currency backing some of the investments held by
the Funds. The contract is marked-to-market daily and the change in mar-
ket 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 dif-
ference between the value at the time it was opened and the value at the
time it was closed. The use of foreign currency exchange contracts involves
the risk that counterparties may not meet the terms of the agreement or
unfavorable movements in the value of a foreign currency relative to the
US dollar.
Options: The Funds may purchase and write call and put options to
increase or decrease their exposure to underlying instruments (equity risk)
and/or, in the case of options written, to generate gains from options pre-
miums. A call option gives the purchaser of the option the right (but not
the obligation) to buy, and obligates the seller to sell (when the option is
exercised), the underlying instrument at the exercise price at any time or at
a specified time during the option period. A put option gives the holder the
right to sell and obligates the writer to buy the underlying instrument at the
exercise price at any time or at a specified time during the option period.
When a Fund purchases (writes) an option, an amount equal to the pre-
mium paid (received) by a Fund 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 instru-
ment 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 a Fund enters into a closing
transaction), a Fund realizes 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 premium received or paid). When a Fund
writes a call option, such option is “covered,” meaning that a Fund holds
the underlying instrument subject to being called by the option counter-
party, or cash in an amount sufficient to cover the obligation. When a Fund
writes 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 swap option is granting or buying the right to
enter into a previously agreed upon interest rate swap agreement at any
time before the expiration of the option.
In purchasing and writing options, a Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that a Fund
may not be able to enter into a closing transaction due to an illiquid mar-
ket. Exercise of an option written could result in a Fund purchasing or
56 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Notes to Financial Statements (continued)
selling a security at a price different from the current market value. The
Funds may execute transactions in both listed and OTC options.
Swaps: Each Fund may enter into swap agreements, in which a Fund
and a counterparty agree to make periodic net payments on a specified
notional amount. These periodic payments received or made by the Funds
are recorded in the Statements of Operations as realized gains or losses,
respectively. Any upfront fees paid are recorded as assets and any upfront
fees received are recorded as liabilities and amortized over the term of
the swap. Swaps are marked-to-market daily and changes in value are
recorded as unrealized appreciation (depreciation). When the swap is ter-
minated, the Fund will record a realized gain or loss equal to the difference
between the proceeds from (or cost of) the closing transaction and the
Fund’s basis in the contract, if any. Swap transactions involve, to varying
degrees, elements of interest rate, credit and market risk in excess of the
amounts recognized in the Statements of Assets and Liabilities. Such risks
involve the possibility that there will be no liquid market for these agree-
ments, that the counterparty to the agreements may default on its obliga-
tion to perform or disagree as to the meaning of the contractual terms in
the agreements, and that there may be unfavorable changes in interest
rates and/or market values associated with these transactions.
• Credit default swaps — Each Fund may enter into credit default swaps
to manage its exposure to the market or certain sectors of the market,
to reduce its risk exposure to defaults of corporate and/or sovereign
issuers or to create exposure to corporate and/or sovereign issuers to
which it is not otherwise exposed (credit risk). The Funds enter into
credit default agreements to provide a measure of protection against
the default of an issuer (as buyer protection) and/or gain credit expo-
sure to an issuer to which it is not otherwise exposed (as seller of pro-
tection). The Fund may either buy or sell (write) credit default swaps on
single-name issuers (corporate or sovereign) or traded indexes. Credit
default swaps on single-name issuers are agreements in which the
buyer pays fixed periodic payments to the seller in consideration for a
guarantee from the seller to make a specific payment should a negative
credit event take place (e.g., bankruptcy, failure to pay, obligation accel-
erators, repudiation, moratorium or restructuring). Credit default swaps
on traded indexes are agreements in which the buyer pays fixed peri-
odic payments to the seller in consideration for a guarantee from the
seller to make a specific payment should a write-down, principal or
interest shortfall or default of all or individual underlying securities
included in the index occurs. As a buyer, if an underlying credit event
occurs, a Fund will either receive from the seller an amount equal to
the notional amount of the swap and deliver the referenced security or
underlying securities comprising of an index or receive a net settlement
of cash equal to the notional amount of the swap less the recovery
value of the security or underlying securities comprising of an index.
As a seller (writer), if an underlying credit event occurs, a Fund will
either pay the buyer an amount equal to the notional amount of the
swap and take delivery of the referenced security or underlying securi-
ties comprising of an 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 of an index.
• Interest rate swaps — Each Fund may enter into interest rate swaps 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 floating rate of interest on a notional princi-
pal amount and receives a fixed rate of interest on the same notional
principal amount for a specified period of time. Interest rate floors,
which are a type of interest rate swap, are agreements in which one
party agrees to make payments to the other party to the extent that
interest rates fall below a specified rate or floor in return for a premium.
In more complex swaps, the notional principal amount may decline (or
amortize) over time.
| Derivative Instruments Categorized by Risk Exposure: | |||||||
| Values of Derivative Instruments as of February 28, 2010 | |||||||
|
| |||||||
| Asset Derivatives | |||||||
|
| |||||||
| Statements of Assets | |||||||
| and Liabilities Location | BHL | DVF | FRA | BLW | |||
| Interest rate contracts | Net unrealized appreciation/depreciation* | — | — | — | $ 28,377 | ||
| Foreign currency exchange contracts | Unrealized appreciation on foreign | ||||||
| currency exchange contracts | $ 756,237 | $ 410,722 | $ 974,774 | 2,331,453 | |||
| Credit contracts | Unrealized appreciation on swaps | — | — | 1,712 | 4,118 | ||
| Equity contracts | Investments at value — unaffiliated** | — | 2,470 | 3,800 | 8,740 | ||
| Total | $ 756,237 | $ 413,192 | $ 980,286 | $2,372,688 | |||
| Liability Derivatives | |||||||
|
| |||||||
| Statements of Assets | |||||||
| and Liabilities Location | BHL | DVF | BLW | ||||
| Interest rate contracts | Net unrealized appreciation/depreciation* | — | $1,842,608 | — | |||
| Foreign currency exchange contracts | Unrealized depreciation on foreign | ||||||
| currency exchange contracts | $ 36,487 | — | $ 28,214 | ||||
| Credit contracts | Unrealized depreciation on swaps | — | 182,991 | 5,149 | |||
| Total | $ 36,487 | $2,025,599 | $ 33,363 | ||||
| * | Includes cumulative unrealized appreciation/depreciation of financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported | ||||||
| within the Statements of Assets and Liabilities. | |||||||
| ** | Includes options purchased at value as reported in the Schedules of Investments. | ||||||
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 57
| Notes to Financial Statements (continued) | ||||||
| The Effect of Derivative Instruments on the Statements of Operations | ||||||
| Six Months Ended February 28, 2010 | ||||||
| Net Realized Gain (Loss) from | ||||||
| BHL | DVF | FRA | BLW | |||
| Interest rate contracts: | ||||||
| Financial futures contracts | — | — | — | $ 146,933 | ||
| Foreign currency exchange contracts: | ||||||
| Foreign currency transactions | $ (369,932) | $ (128,085) | $ (759,427) | (767,789) | ||
| Credit contracts: | ||||||
| Swaps | — | (643,991) | (1,205,766) | (246,028) | ||
| Total | $ (369,932) | $ (772,076) | $(1,965,193) | $ (866,884) | ||
| Net Change in Unrealized Appreciation/Depreciation on | ||||||
| BHL | DVF | FRA | BLW | |||
| Interest rate contracts: | ||||||
| Financial futures contracts | — | — | — | $ 6,299 | ||
| Swaps | — | $ (91,419) | — | — | ||
| Foreign currency exchange contracts: | ||||||
| Foreign currency transactions | $ 940,037 | 503,439 | $1,354,167 | 2,808,305 | ||
| Credit contracts: | ||||||
| Swaps | — | 2,208,826 | 1,110,590 | 82,828 | ||
| Equity contracts: | ||||||
| Options*** | — | (10,530) | (16,200) | (37,260) | ||
| Total | $ 940,037 | $ 2,610,316 | $2,448,557 | $ 2,860,172 | ||
| *** Includes options purchased which are shown in the net change in unrealized appreciation/depreciation on investments. | ||||||
| For the six months ended February 28, 2010, the average quarterly balance of outstanding derivative financial instruments was as follows: | ||||||
| BHL | DVF | FRA | BLW | |||
| Financial futures contracts: | ||||||
| Average number of contracts purchased | — | — | — | 46 | ||
| Average number of contracts sold | — | — | — | — | ||
| Average notional value of contracts purchased | — | — | — | $ 37,872 | ||
| Average notional value of contracts sold | — | — | — | — | ||
| Foreign currency exchange contracts: | ||||||
| Average number of contracts—US dollars purchased | 6 | 8 | 7 | 6 | ||
| Average number of contracts—US dollars sold | 1 | 1 | — | 1 | ||
| Average US dollar amounts purchased | $14,477,955 | $ 9,113,336 | $19,496,844 | $40,158,206 | ||
| Average US dollar amounts sold | $ 635,924 | $ 135,242 | — | $ 576,646 | ||
| Options purchased: | ||||||
| Average number of contracts | — | 13 | 20 | 46 | ||
| Average premium | — | $ 12,711 | $ 19,556 | $ 44,978 | ||
| Credit default swaps: | ||||||
| Average number of contracts—buy protection | — | 3 | 2 | 3 | ||
| Average number of contracts—sell protection | — | 2 | 1 | — | ||
| Average notional value—buy protection | — | $ 787,500 | $ 1,425,000 | $ 2,250,000 | ||
| Average notional value—sell protection | — | $ 7,211,269 | $ 2,000,000 | — | ||
| Interest rate swaps: | ||||||
| Average number of contracts—pays fixed rate | — | 1 | — | — | ||
| Average number of contracts—receives fixed rate | — | — | — | — | ||
| Average notional value—pays fixed rate | — | $20,000,000 | — | — | ||
| Average notional value—receives fixed rate | — | — | — | — | ||
3. Investment Advisory Agreement and Other Transactions
with Affiliates:
The PNC Financial Services Group, Inc. ("PNC"), Bank of America
Corporation ("BAC") and Barclays Bank PLC ("Barclays") are the largest
stockholders of BlackRock, Inc. ("BlackRock"). Due to the ownership
structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays
are not.
BHL, DVF, FRA and BLW have entered into an Investment Advisory
Agreement with BlackRock Advisors, LLC (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 necessary to the operations of each Fund. For such services,
each Fund pays the Manager a monthly fee of each Fund’s average daily
value of its respective net assets plus the proceeds of any outstanding
borrowings at the following annual rates:
| BHL | 1.00% |
| DVF | 0.75% |
| FRA | 0.75% |
| BLW | 0.55% |
The Manager has voluntarily agreed to waive its advisory fees by the
amount of investment advisory fees each Fund pays to the Manager
58 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Notes to Financial Statements (continued)
indirectly through its investment in affiliated money market funds; however,
the Manager does not waive its advisory fees by the amount of investment
advisory fees through its investment in other affiliated investment comp-
anies. These amounts are included in fees waived by advisor in the
Statements of Operations. For the six months ended February 28, 2010,
the amounts waived were as follows:
| Fees Waived | |
| by Manager | |
| BHL | $ 1,051 |
| DVF | $ 976 |
| FRA | $ 1,347 |
| BLW | $18,003 |
The Manager, on behalf of BHL, DVF, FRA and BLW has entered into a
separate sub-advisory agreement with BlackRock Financial Management,
Inc. (“BFM”), an affiliate of the Manager, under which the Manager pays
BFM for services it provides, a monthly fee that is a percentage of the
investment advisory fee paid by each Fund to the Manager.
For the six months ended February 28, 2010, certain Funds reimbursed
the Manager for certain accounting services, which are included in
accounting services in the Statements of Operations.
| Accounting | |
| Services | |
| BHL | $1,453 |
| DVF | $1,289 |
| FRA | $2,415 |
| BLW | $5,260 |
Senior Floating Rate and Senior Floating Rate II have entered into an
Administration Agreement with the Manager. The administration fee paid
to the Manager is calculated daily and paid monthly based on an annual
rate of 0.25% and 0.40%, respectively, of the average daily value of these
Fund’s net assets for the performance of administrative services (other
than investment advice and related portfolio activities) necessary for the
operation of these Funds.
Senior Floating Rate and Senior Floating Rate II entered into a separate
Distribution Agreement and Distribution Plan with BlackRock Investments,
LLC (“BRIL”), which is an affiliate of BlackRock.
For the six months ended February 28, 2010, BRIL received early with-
drawal charges for Senior Floating Rate and Senior Floating Rate II in the
amount of $154,083 and $22,869, respectively, relating to the tender of
each Fund’s shares.
PNC Global Investment Servicing (U.S.) Inc., an indirect, wholly owned sub-
sidiary of PNC and an affiliate of the Manager, is the transfer agent and
dividend disbursing agent for Senior Floating Rate and Senior Floating Rate
II. Transfer agency fees borne by the Funds are comprised of those fees
charged for all shareholder communications including mailing of share-
holder reports, dividend and distribution notices, and proxy materials for
shareholder meetings, as well as per account and per transaction fees
related to servicing and maintenance of shareholder accounts, including
the issuing, redeeming and transferring of shares, check writing, anti-money
laundering services, and customer identification services.
Senior Floating Rate and Senior Floating Rate II may earn income on posi-
tive cash balances in demand deposit accounts that are maintained by
the transfer agent on behalf of the Funds. These amounts are included in
income — affiliated in the Statements of Operations.
Certain officers and/or directors of the Funds are officers and/or directors
of BlackRock or its affiliates. The Funds reimburse the Manager for com-
pensation paid to the Funds’ Chief Compliance Officer.
4. Investments:
Purchases and sales of investments (including paydowns and mortgage
dollar roll transactions and excluding short-term securities and US
government securities) for the six months ended February 28, 2010, were
as follows:
| Purchases | Sales | |
| BHL | $ 79,601,150 | $ 80,273,519 |
| DVF | $ 100,130,378 | $ 86,983,707 |
| FRA | $ 167,412,050 | $ 155,107,562 |
| BLW | $1,149,665,741 | $1,049,052,368 |
For the six months ended February 28, 2010, sales of US government
securities for BLW were $3,482,797.
For the six months ended February 28, 2010, purchases and sales
for BLW attributable to mortgage dollar rolls were $966,354,141 and
$968,993,352, respectively.
5. Commitments:
Certain Funds may invest in floating rate loans. In connection with these
investments, the Funds may also enter into unfunded corporate loans
(“commitments”). Commitments may obligate the Funds to furnish tempo-
rary financing to a borrower until permanent financing can be arranged.
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 classified in the Statements of Operations as facility and other
fees, is recognized ratably over the commitment period. As of February 28,
2010, the Funds had the following unfunded loan commitments:
| Borrower | ||
| Value of | ||
| Unfunded | Underlying | |
| Commitment | Loans | |
| BHL | (000) | (000) |
| CloverHill | $ 232 | $ 236 |
| Delphi | $ 123 | $ 107 |
| New Vision | $ 99 | $ 102 |
| DVF | ||
| CII Investment | $ 196 | $ 179 |
| Delphi | $ 123 | $ 127 |
| FRA | ||
| CloverHill | $ 411 | $ 419 |
| Delphi A-1 | $ 8 | $ 7 |
| Delphi A-2 | $ 19 | $ 17 |
| Delphi B-1 | $ 84 | $ 72 |
| Delphi B-2 | $ 196 | $ 169 |
| Vought Aircraft | $1,148 | $1,094 |
| BLW | ||
| Delphi | $ 614 | $ 532 |
| New Vision | $ 50 | $ 52 |
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 59
Notes to Financial Statements (continued)
6. Capital Loss Carryforwards:
As of August 31, 2009, the Funds had capital carry loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates:
| Expires August 31, | BHL | DVF | FRA | BLW |
| 2013 | — | — | $ 691,829 | — |
| 2014 | — | $ 1,755,694 | — | — |
| 2015 | — | 2,237,399 | — | — |
| 2016 | — | 1,444,704 | 475,453 | $ 21,933,927 |
| 2017 | $ 1,063,204 | 20,249,830 | 20,954,032 | 9,996,868 |
| Total | $ 1,063,204 | $ 25,687,627 | $ 22,121,314 | $ 31,930,795 |
| Senior | Senior | |||
| Floating Rate | Floating Rate | |||
| Expires August 31, | Fund | Fund II | ||
| 2010 | $ 87,904,309 | $ 864,375 | ||
| 2011 | 53,409,203 | 17,719,049 | ||
| 2012 | 34,221,818 | 6,383,383 | ||
| 2013 | 56,166,095 | — | ||
| 2014 | 945,546 | — | ||
| 2015 | 2,561,691 | — | ||
| 2016 | 31,419,599 | 4,923,144 | ||
| 2017 | 16,221,457 | 7,728,284 | ||
| Total | $282,849,718 | $ 37,618,235 |
7. Market and Credit Risk:
In the normal course of business, the Funds invest in securities and enter
into transactions where risks exist due to fluctuations in the market (market
risk) or failure of the issuer of a security to meet all its obligations (credit
risk). The value of securities held by the Funds may decline in response to
certain events, including those directly involving the issuers whose securi-
ties are owned by the Funds; conditions affecting the general economy;
overall market changes; local, regional or global political, social or eco-
nomic instability; and currency and interest rate and price fluctuations.
Similar to credit risk, the Funds may be exposed to counterparty risk, or
the risk that an entity with which the Funds have unsettled or open trans-
actions may default. Financial assets, which potentially expose the Funds
to credit and counterparty risks, consist principally of investments and
cash due from counterparties. The extent of the Funds’ exposure to credit
and counterparty risks with respect to these financial assets is generally
approximated by their value recorded in the Funds’ Statements of Assets
and Liabilities, less any collateral held by the Funds.
8. Capital Share Transactions:
BHL and BLW are authorized to issue an unlimited number of shares, par
value $0.001, all of which were initially classified as Common Shares. DVF
and FRA are authorized to issue 200 million shares, par value $0.10, all of
which were initially classified as Common Shares. The Board is authorized,
however, to classify and reclassify any unissued shares without approval of
Common Shareholders.
During the six months ended February 28, 2010 and the year ended
August 31, 2009, the shares issued and outstanding increased by the
following amounts as a result of dividend reinvestments:
| Six Months Ended | Year Ended | |
| February 28, 2010 | August 31, 2009 | |
| BHL | — | 84,923 |
| DVF | 15,929 | 129,277 |
| FRA | 34,797 | 31,791 |
Shares issued and outstanding remained constant during the six months
ended February 28, 2010 and the year ended August 31, 2009 for BLW.
At February 28, 2010, the shares owned by affiliates of the Manager of the
Funds were as follows:
| Shares | |
| BHL | 8,517 |
| FRA | 8,726 |
| BLW | 6,021 |
| Transactions in capital shares, with respect to Senior Floating Rate and Senior Floating Rate II, were as follows: | |||||
| Six Months Ended | Year Ended | ||||
| February 28, 2010 | August 31, 2009 | ||||
| Senior Floating Rate | Shares | Amount | Shares | Amount | |
| Shares sold | 975,726 | $ 7,282,805 | 3,495,709 | $ 22,066,554 | |
| Shares issued to shareholders in reinvestment of dividends | 73,448 | 547,445 | 189,466 | 1,198,984 | |
| Total issued | 1,049,174 | 7,830,250 | 3,685,175 | 23,265,538 | |
| Shares tendered | (4,116,162) | (30,480,799) | (10,231,989) | (65,061,276) | |
| Net decrease | (3,066,988) | $ (22,650,549) | (6,546,814) | $ (41,795,738) | |
| Senior Floating Rate II | |||||
| Shares sold | 940,702 | $ 7,602,535 | 3,475,221 | $ 23,697,009 | |
| Shares issued to shareholders in reinvestment of dividends | 52,402 | 422,993 | 83,856 | 580,777 | |
| Total issued | 993,104 | 8,025,528 | 3,559,077 | 24,277,786 | |
| Shares tendered | (1,335,186) | (10,726,654) | (5,697,156) | (39,247,148) | |
| Net decrease | (342,082) | $ (2,701,126) | (2,138,079) | $ (14,969,362) | |
60 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Notes to Financial Statements (concluded)
9. Borrowings
On December 22, 2009, BLW borrowed under the Term Asset-Backed
Securities Loan Facility (“TALF”). The TALF program was launched by the
U.S. Department of Treasury and the Federal Reserve Board as a credit
facility designed to restore liquidity to the market for asset-backed securi-
ties. The Federal Reserve Bank of New York (“FRBNY”) will provide up to $1
trillion in non-recourse loans to support the issuance of certain AAA-rated
asset-backed securities and commercial mortgage-backed securities
(“Eligible Securities”). The Fund posted as collateral already-held Eligible
Securities, which were all commercial mortgage-backed securities, in return
for non-recourse, 5-year term loans (“TALF loans”) in an amount equal to
approximately 85% of the value of such Eligible Securities. The TALF loans
are shown as loan payable on the Statements of Assets and Liabilities. The
following is a summary of the outstanding TALF loans and related informa-
tion as of February 28, 2010:
| Aggregate | Value of | ||||
| Number | Amount | Maturity | Interest | Eligible | |
| of Loans | of Loans | Date(s) | Rates | Securities | |
| BLW | 1 | $12,744,165 | 12/22/14 | 3.62% | $15,576,712 |
The non-recourse provision of the TALF loans allows the Fund to satisfy loan
obligations with Eligible Securities, subject to certain conditions, even if the
value of the Eligible Securities falls below the outstanding amount of the
loan. The Fund can repay TALF loans prior to the maturity dates with no
penalty. Principal and interest due on the loans will typically be paid with
principal paydowns and interest received from the Eligible Securities. Credit
agreements underlying each loan contain provisions to address instances
in which interest payments on Eligible Securities fall short of amounts due
to the FRBNY. The Fund paid to the FRBNY a one time administration fee
of 0.20% of the amount borrowed, which was expensed as incurred in
the current period by the Fund and is included in borrowing costs in the
Statements of Operations. The Fund also pays a financing fee equal to
the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount
payable monthly, which is included in interest expense in the Statements
of Operations.
Since the Fund has the ability to potentially satisfy TALF loan obligations
by surrendering Eligible Securities, potential losses by the Fund associated
with the TALF loans are limited to the difference between the amount of
Eligible Securities posted at the time of loan initiation and the loan pro-
ceeds received by the Fund.
The Fund has elected to account for the outstanding TALF loans at fair
value. The Fund elected to fair value its TALF loans to more closely align
changes in the value of the TALF loans with changes in the value of the
Eligible Securities and to reduce the potential volatility in the Statements
of Operations which could result if only the Eligible Securities were fair val-
ued. In fair valuing TALF loans, the Fund considers various factors such as
observable market transactions, if available, changes in the value of Eligible
Securities, interest rate movements, and the potential likelihood and timing
of loan repayments. Any change in unrealized gain or loss associated with
fair valuing TALF loans will be reflected in the Statements of Operations. As
of February 28, 2010, the fair value of the Fund’s TALF loan obligation was
determined to be equal to its face value and as a result there were no
unrealized gains or losses recorded by the Fund.
On March 5, 2009, BHL, DVF, and FRA entered into a senior committed
secured, 364-day revolving line of credit and a separate security agreement
(the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”).
The Funds have granted a security interest in substantially all of their
assets to SSB. The agreement allowed for the following maximum
commitment amounts:
| Commitment Amount | |
| BHL | $ 55,000,000 |
| DVF | $ 50,000,000 |
| FRA | $103,000,000 |
Advances are made by SSB to the Funds, at the Funds option (a) the
higher of (i) 1.0% above the Fed Effective Rate and (ii) 1.0% above the
Overnight LIBOR or (b) 1.0% above 7-day, 30-day, 60-day or 90-day LIBOR.
In addition, the Funds pay a facility fee and a commitment fee based upon
SSB’s total commitment to the Funds. The fees associated with each of the
agreements are included in the Statements of Operations as borrowing
costs. Advances to the Funds as of February 28, 2010 are shown in the
Statements of Assets and Liabilities as loan payable. The SSB Agreement
was renewed for 364 days under substantially the same terms effective
March 4, 2010. The SSB Agreement allows for the following maximum
commitment amounts:
| Commitment Amount | |
| BHL | $ 55,000,000 |
| DVF | $ 55,000,000 |
| FRA | $103,000,000 |
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, 2010, the daily weighted average
interest rates for funds with loans under the revolving credit agreements
were as follows:
| Daily Weighted | |
| Average | |
| Interest Rate | |
| BHL | 1.20% |
| DVF | 1.20% |
| FRA | 1.20% |
For the six months ended February 28, 2010, the daily weighted average
interest rates for funds with reverse repurchase agreements were
as follows:
| Daily Weighted | |
| Average | |
| Interest Rate | |
| BLW | 0.18% |
10. Subsequent Events:
Management’s evaluation of the impact of all subsequent events on the
Funds’ financial statements was completed through the date the financial
statements were issued and the following items were noted:
Each Fund paid a net investment income dividend on March 31, 2010 to
Common Shareholders of record on March 15, 2010 as follows:
| BHL | $0.0540 |
| DVF | $0.0685 |
| FRA | $0.0815 |
| BLW | $0.0750 |
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 61
Master Portfolio Summary as of February 28, 2010 Master Senior Floating Rate LLC
| Portfolio Composition | ||
| Percent of | ||
| Long-Term Investments | ||
| Asset Mix | 2/28/2010 | 8/31/09 |
| Floating Rate Loan Interests | 82% | 91% |
| Corporate Bonds | 18 | 9 |
62 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments February 28, 2010 (Unaudited)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
| Common Stocks (a) | Shares | Value | |
| Chemicals — 0.0% | |||
| GEO Specialty Chemicals, Inc. (b) | 39,151 | $ 15,030 | |
| Wellman Holdings, Inc. | 5,206 | 1,302 | |
| 16,332 | |||
| Paper & Forest Products — 0.3% | |||
| Ainsworth Lumber Co. Ltd. | 335,138 | 703,911 | |
| Ainsworth Lumber Co. Ltd. (b) | 376,109 | 789,964 | |
| 1,493,875 | |||
| Software — 0.0% | |||
| SIRVA | 1,817 | 18,170 | |
| Total Common Stocks — 0.3% | 1,528,377 | ||
| Par | |||
| Corporate Bonds | (000) | ||
| Building Products — 0.3% | |||
| Building Materials Corp. of America, 7.00%, | |||
| 2/15/20 (b) | USD | 1,425 | 1,425,000 |
| Chemicals — 1.8% | |||
| GEO Specialty Chemicals, Inc.: | |||
| 7.50%, 3/31/15 (b)(c) | 2,555 | 1,660,565 | |
| 10.00%, 3/31/15 | 2,515 | 1,634,464 | |
| Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b) | 1,110 | 1,037,850 | |
| Nalco Co., 8.25%, 5/15/17 (b) | 1,015 | 1,083,513 | |
| Wellman Holdings, Inc. (c): | |||
| 5.00%, 1/29/19 | 2,322 | 1,161,342 | |
| 10.00%, 1/29/19 | 2,000 | 2,000,000 | |
| 8,577,734 | |||
| Commercial Services & Supplies — 0.6% | |||
| Clean Harbors, Inc., 7.63%, 8/15/16 (b) | 1,600 | 1,616,000 | |
| The Geo Group, Inc., 7.75%, 10/15/17 (b) | 1,050 | 1,063,125 | |
| 2,679,125 | |||
| Communications Equipment — 0.1% | |||
| Brocade Communications Systems, Inc. (b): | |||
| 6.63%, 1/15/18 | 275 | 277,750 | |
| 6.88%, 1/15/20 | 190 | 193,800 | |
| 471,550 | |||
| Consumer Finance — 0.5% | |||
| Inmarsat Finance Plc, 7.38%, 12/01/17 (b) | 2,300 | 2,357,500 | |
| Containers & Packaging — 0.9% | |||
| Berry Plastics Escrow LLC, 8.25%, 11/15/15 (b) | 1,700 | 1,695,750 | |
| Crown Americas LLC, 7.63%, 5/15/17 (b) | 1,190 | 1,237,600 | |
| Owens-Brockway Glass Container, Inc., 7.38%, | |||
| 5/15/16 | 1,210 | 1,249,325 | |
| 4,182,675 | |||
| Diversified Financial Services — 0.9% | |||
| FCE Bank Plc: | |||
| 7.88%, 2/15/11 | GBP | 100 | 153,624 |
| 7.13%, 1/16/12 | EUR | 1,300 | 1,754,575 |
| 7.13%, 1/15/13 | 200 | 266,885 | |
| GMAC, Inc., 8.30%, 2/12/15 (b) | USD | 2,100 | 2,118,375 |
| 4,293,459 | |||
| Par | |||
| Corporate Bonds | (000) | Value | |
| Diversified Telecommunication Services — 1.4% | |||
| Cincinnati Bell, Inc., 8.25%, 10/15/17 | USD | 1,800 | $ 1,800,000 |
| PAETEC Holding Corp.: | |||
| 8.88%, 6/30/17 | 373 | 375,797 | |
| 8.88%, 6/30/17 (b) | 2 | 2,015 | |
| Qwest Communications International, Inc., 8.00%, | |||
| 10/01/15 (b) | 1,200 | 1,242,000 | |
| Qwest Corp., 8.38%, 5/01/16 | 990 | 1,084,050 | |
| Windstream Corp., 7.88%, 11/01/17 (b) | 2,250 | 2,199,375 | |
| 6,703,237 | |||
| Energy Equipment & Services — 0.4% | |||
| Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b) | 1,750 | 1,741,250 | |
| Food Products — 0.6% | |||
| Smithfield Foods, Inc., 10.00%, 7/15/14 (b) | 2,390 | 2,587,175 | |
| Health Care Providers & Services — 0.4% | |||
| DaVita, Inc., 6.63%, 3/15/13 | 1,660 | 1,664,150 | |
| Hotels Restaurants & Leisure — 0.9% | |||
| Icahn Enterprises LP (b): | |||
| 7.75%, 1/15/16 | 1,125 | 1,057,500 | |
| 8.00%, 1/15/18 | 2,250 | 2,115,000 | |
| MGM Mirage, 11.13%, 11/15/17 (b) | 1,030 | 1,112,400 | |
| 4,284,900 | |||
| Household Durables — 0.6% | |||
| Beazer Homes USA, Inc., 12.00%, 10/15/17 (b) | 2,300 | 2,564,500 | |
| Household Products — 0.1% | |||
| Libbey Glass, Inc., 10.00%, 2/15/15 (b) | 245 | 253,575 | |
| IT Services — 0.3% | |||
| SunGard Data Systems, Inc., 4.88%, 1/15/14 | 1,429 | 1,334,329 | |
| Independent Power Producers & Energy Traders — 2.1% | |||
| Calpine Construction Finance Co. LP, 8.00%, | |||
| 6/01/16 (b) | 3,770 | 3,817,125 | |
| Energy Future Holdings Corp., 10.00%, 1/15/20 (b) | 1,400 | 1,428,000 | |
| NRG Energy, Inc., 7.25%, 2/01/14 | 4,300 | 4,332,250 | |
| 9,577,375 | |||
| Media — 1.4% | |||
| Clear Channel Worldwide Holdings, Inc., 9.25%, | |||
| 12/15/17 (b) | 3,675 | 3,770,550 | |
| UPC Germany GmbH, 8.13%, 12/01/17 (b) | 2,750 | 2,750,000 | |
| 6,520,550 | |||
| Paper & Forest Products — 2.1% | |||
| NewPage Corp.: | |||
| 6.50%, 5/01/12 (e) | 650 | 344,500 | |
| 11.38%, 12/31/14 | 8,450 | 8,069,750 | |
| Verso Paper Holdings LLC, Series B, 4.00%, 8/01/14 (e) | 1,670 | 1,348,525 | |
| 9,762,775 | |||
| Real Estate Investment Trusts (REITs) — 0.2% | |||
| Omega Healthcare Investors, Inc., 7.50%, 2/15/20 (b) | 1,100 | 1,111,000 | |
| Textiles, Apparel & Luxury Goods — 0.6% | |||
| Levi Strauss & Co., 8.63%, 4/01/13 | EUR | 2,000 | 2,736,928 |
| Wireless Telecommunication Services — 0.9% | |||
| Cricket Communications, Inc., 7.75%, 5/15/16 | USD | 4,250 | 4,319,063 |
| Total Corporate Bonds — 17.1% | 79,147,850 |
| Portfolio Abbreviations | ||||
| To simplify the listings of portfolio holdings in the | CAD | Canadian Dollar | GBP | Pound Sterling |
| Schedule of Investments, the names and descriptions of | EUR | Euro | USD | US Dollar |
| many of the securities have been abbreviated according | ||||
| to the following list: |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 63
Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests | (000) | Value | |
| Aerospace & Defense — 0.9% | |||
| Hawker Beechcraft Acquisition Co. LLC: | |||
| Letter of Credit Facility Deposit, 2.25%, 3/26/14 | USD | 121 | $ 88,762 |
| Term Loan, 2.23% – 2.25%, 3/26/14 | 1,985 | 1,460,696 | |
| TASC, Inc.: | |||
| Tranche A Term Loan, 5.50%, 12/18/14 | 850 | 853,542 | |
| Tranche B Term Loan, 5.75%, 12/18/15 | 1,650 | 1,661,000 | |
| 4,064,000 | |||
| Airlines — 0.3% | |||
| Delta Air Lines, Inc., Credit-Linked Deposit Loan, | |||
| 0.08% – 2.25%, 4/30/12 | 1,470 | 1,373,226 | |
| Auto Components — 2.5% | |||
| Affinion Group Holdings, Inc., Tranche B Term Loan, | |||
| 2.73%, 10/17/12 | 851 | 825,852 | |
| Allison Transmission, Inc., Term Loan, 2.98% – 3.00%, | |||
| 8/07/14 | 6,315 | 5,783,011 | |
| Dana Holding Corp., Term Advance, 4.48% – 6.50%, | |||
| 1/30/15 | 1,869 | 1,820,440 | |
| Exide Technologies, Term Loan, 3.91%, 5/15/12 | EUR | 575 | 704,293 |
| Lear Corp., Loan (Closing Date Loan & Delayed | |||
| Draw Loan), 7.50%, 11/09/14 | USD | 2,375 | 2,379,928 |
| 11,513,524 | |||
| Automobiles — 0.9% | |||
| Ford Motor Co., Tranche B-1 Term Loan, 3.24% – 3.26%, | |||
| 12/15/13 | 4,538 | 4,198,048 | |
| Building Products — 2.5% | |||
| Building Materials Corp. of America: | |||
| Second Lien Term Loan, 6.00%, 9/15/14 | 2,500 | 2,460,000 | |
| Term Loan Advance, 3.00%, 2/22/14 | 1,993 | 1,940,592 | |
| Goodman Global, Inc., Term Loan, 6.25%, 2/13/14 | 5,206 | 5,226,288 | |
| Momentive Performance Materials (Blitz 06-103 GmbH): | |||
| Tranche B-1 Term Loan, 2.50%, 12/04/13 | 967 | 882,614 | |
| Tranche B-2 Term Loan, 2.67%, 12/04/13 | EUR | 964 | 1,178,561 |
| 11,688,055 | |||
| Capital Markets — 0.5% | |||
| Marsico Parent Co., LLC, Term Loan, 5.25% – 7.25%, | |||
| 12/15/14 | USD | 766 | 486,623 |
| Nuveen Investments, Inc., Term Loan, 3.25% – 3.32%, | |||
| 11/13/14 | 2,068 | 1,798,902 | |
| 2,285,525 | |||
| Chemicals — 5.7% | |||
| Ashland Inc., Term B Borrowing, 7.65%, 5/13/14 | 1,260 | 1,274,491 | |
| Brenntag Holding GmbH & Co. KG: | |||
| Acquisition Facility 1, 2.00% – 2.14%, 1/20/14 | 125 | 121,864 | |
| Facility B2, 1.98% – 2.00%, 1/20/14 | 1,831 | 1,780,234 | |
| Chemtura Corp. Debtor in Possession Return of Capital | |||
| Term Loan, 6.00%, 1/26/11 | 2,800 | 2,812,250 | |
| Edwards (Cayman Islands II) Ltd., Term Loan (First Lien), | |||
| 2.25%, 5/31/14 | 731 | 582,258 | |
| Gentek Holding, LLC, Tranche B Term Loan, 7.00%, | |||
| 10/29/14 | 1,300 | 1,306,500 | |
| Huish Detergents, Inc.: | |||
| Loan (Second Lien), 4.51%, 10/26/14 | 750 | 709,688 | |
| Tranche B Term Loan, 2.01%, 4/26/14 | 618 | 593,461 | |
| Matrix Acquisition Corp. (fka MacDermid, Inc.), | |||
| Tranche C Term Loan, 2.63%, 12/15/13 | EUR | 1,045 | 1,159,294 |
| Nalco Co., Term Loan, 6.50%, 5/13/16 | USD | 3,607 | 3,632,123 |
| PQ Corp. (fka Niagara Acquisition, Inc.), Original | |||
| Term Loan (First Lien), 3.48% – 3.50%, 7/30/14 | 4,942 | 4,522,290 | |
| Rockwood Specialties Group, Inc., Term Loan H, 6.00%, | |||
| 5/15/14 | 2,681 | 2,688,764 | |
| Solutia Inc., Loan, 7.25%, 2/28/14 | 3,054 | 3,093,371 | |
| Tronox Worldwide LLC, Tranche B-1 Term Loan, 9.00%, | |||
| 6/24/10 | 2,300 | 2,360,260 | |
| 26,636,848 |
| Par | |||
| Floating Rate Loan Interests | (000) | Value | |
| Commercial Services & Supplies — 2.9% | |||
| Advanced Disposal Services, Inc., Term B Loan, 6.00%, | |||
| 1/14/15 | USD | 1,300 | $ 1,300,000 |
| Alliance Laundry Systems LLC, Term Loan, 2.74%, | |||
| 1/27/12 | 511 | 491,128 | |
| ARAMARK Corp.: | |||
| Letter of Credit Facility, 2.11%, 1/26/14 | 136 | 129,598 | |
| US Term Loan, 2.13%, 1/26/14 | 2,066 | 1,970,629 | |
| Casella Waste Systems, Inc, Term B Loan, 7.00%, | |||
| 4/09/14 | 1,244 | 1,251,523 | |
| John Maneely Co., Term Loan, 3.50%, 12/09/13 | 954 | 893,962 | |
| Johnson Diversey, Inc. Term Loan B, 5.50%, 11/24/15 | 1,600 | 1,612,000 | |
| SIRVA Worldwide, Inc., Loan (Second Lien), 12.00%, | |||
| 5/12/15 | 450 | 45,045 | |
| Synagro Technologies, Inc., Term Loan (First Lien), | |||
| 2.23%, 4/02/14 | 2,702 | 2,382,380 | |
| West Corp., Incremental Term B-3 Loan, 7.25%, | |||
| 10/24/13 | 3,434 | 3,468,123 | |
| 13,544,388 | |||
| Construction & Engineering — 0.7% | |||
| Safway First Out Term Loan, 9.00%, 12/14/17 | 1,500 | 1,500,000 | |
| Welding Services Term Loan B, 9.35%, 12/16/13 | 1,495 | 1,502,394 | |
| 3,002,394 | |||
| Consumer Finance — 1.5% | |||
| DaimlerChrysler Financial Services Americas LLC, | |||
| Term Loan (First Lien), 4.24% – 6.25%, 8/03/12 | 6,870 | 6,781,953 | |
| Containers & Packaging — 1.7% | |||
| Anchor Glass Term Loan B, 6.00%, 2/18/16 | 2,300 | 2,277,000 | |
| Berry Plastics Holding Corp., Term C Loan, 2.25%, | |||
| 4/03/15 | 2,856 | 2,555,320 | |
| Graham Packaging Co., LP: | |||
| B Term Loan, 2.50%, 10/07/11 | 1,435 | 1,415,434 | |
| C Term Loan, 6.75%, 4/05/14 | 750 | 753,602 | |
| Smurfit-Stone Container, Revolving Credit: | |||
| 0.01% – 4.50%, 11/01/09 | 313 | 311,791 | |
| 0.20% – 5.00%, 11/12/09 | 104 | 103,487 | |
| Smurfit-Stone Container Canada, Inc.: | |||
| Tranche C, 2.50%, 11/01/11 | 135 | 133,408 | |
| Tranche C-1 Term Loan, 2.50%, 11/01/11 | 41 | 40,335 | |
| Smurfit-Stone Container Enterprises, Inc.: | |||
| Deposit Funded Facility, 4.50%, 11/01/10 | 63 | 62,208 | |
| Tranche B, 2.50%, 11/01/11 | 72 | 70,794 | |
| 7,723,379 | |||
| Diversified Consumer Services — 2.0% | |||
| Coinmach Service Corp., Term Loan, 3.26%, 11/14/14 | 3,930 | 3,399,298 | |
| Laureate Education Term Loan B, 7.00%, 8/15/14 | 5,985 | 5,930,686 | |
| 9,329,984 | |||
| Diversified Financial Services — 1.7% | |||
| CIT Group, Inc., Tranche 2A Term Loan, 9.50% – 9.75%, | |||
| 1/20/12 | 3,303 | 3,382,998 | |
| Reynolds Group Holdings Inc., US Term Loan, 6.25%, | |||
| 11/05/15 | 4,600 | 4,628,750 | |
| 8,011,748 | |||
| Diversified Telecommunication Services — 2.0% | |||
| Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 | 746 | 638,766 | |
| Hawaiian Telcom Communications, Inc., Tranche C | |||
| Term Loan, 4.75%, 5/30/14 | 1,629 | 1,225,546 | |
| Integra Telecom Holdings, Inc., Term Loan (First Lien), | |||
| 10.50%, 8/31/13 | 2,030 | 2,028,655 | |
| Level 3 Communications, Incremental Term Loan, 7.59%, | |||
| 3/13/14 | 1,975 | 1,779,558 |
See Notes to Financial Statements.
64 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests | (000) | Value | |
| Diversified Telecommunication Services (concluded) | |||
| US Telepacific Corp., Term Loan (Second Lien), 7.75%, | |||
| 7/25/15 | USD | 875 | $ 876,641 |
| Wind Finance SL SA, Euro Facility (Second Lien), | |||
| 7.67%, 12/17/14 | EUR | 2,000 | 2,712,380 |
| 9,261,546 | |||
| Electrical Equipment — 0.6% | |||
| Baldor Electric Co., Term Loan, 5.25%, 1/31/14 | USD | 2,690 | 2,694,080 |
| Electronic Equipment, Instruments & | |||
| Components — 1.2% | |||
| Flextronics International Ltd.: | |||
| A Closing Date Loan, 2.48% – 2.50%, 10/01/14 | 311 | 294,081 | |
| Term Loan B, 2.50%, 10/01/12 | 1,614 | 1,557,510 | |
| L-1 Identity Solutions Operating Co., Term Loan, 6.75%, | |||
| 8/05/13 | 2,327 | 2,326,421 | |
| Safenet, Inc., Loan (Second Lien), 6.23%, 4/12/15 | 1,250 | 1,154,166 | |
| 5,332,178 | |||
| Energy Equipment & Services – 0.5% | |||
| Dresser, Inc., Term Loan (Second Lien), 6.00%, 5/04/15 | 500 | 467,500 | |
| MEG Energy Corp., Tranche D Term Loan, 6.00%, | |||
| 4/03/16 | 1,930 | 1,894,869 | |
| 2,362,369 | |||
| Food & Staples Retailing — 3.6% | |||
| AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots), | |||
| Facility B1, 3.54%, 7/09/15 | GBP | 2,800 | 3,824,727 |
| Bolthouse Farms, Inc. Term Loan B, 5.50%, 2/04/16 | USD | 1,900 | 1,900,000 |
| DS Waters of America, Inc., Term Loan: | |||
| 4.25%, 3/02/12 | 400 | 352,000 | |
| 2.50%, 10/29/12 | 1,375 | 1,285,723 | |
| Pierre Foods Term Loan B, 8.50%, 9/30/14 | 1,254 | 1,250,865 | |
| Pilot Travel Centers Term Loan B, 3.50%, 11/18/15 | 3,500 | 3,516,226 | |
| Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15 | 3,175 | 3,289,300 | |
| SUPERVALU Inc., Term B Advance, 1.48%, 6/02/12 | 1,256 | 1,218,115 | |
| 16,636,956 | |||
| Food Products — 3.2% | |||
| Dole Food Co., Inc.: | |||
| Credit-Linked Deposit, 7.89%, 4/12/13 | 442 | 442,020 | |
| Term Loan B, 5.50% , 2/10/17 | 1,618 | 1,618,456 | |
| Term Loan C, 5.50% , 2/10/17 | 3,882 | 3,884,294 | |
| Tranche B Term Loan, 8.00%, 4/12/13 | 607 | 606,922 | |
| Pilgrim’s Pride Corp. Term Loan A, 5.29%, 12/01/12 | 1,800 | 1,773,000 | |
| Pinnacle Foods Finance LLC, Tranche C Term Loan, | |||
| 7.50%, 4/02/14 | 4,400 | 4,418,071 | |
| Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%, | |||
| 4/12/13 | 1,969 | 1,969,175 | |
| 14,711,938 | |||
| Health Care Equipment & Supplies — 1.3% | |||
| Biomet, Inc., Dollar Term Loan, 3.23% – 3.25%, | |||
| 3/25/15 | 3,645 | 3,525,866 | |
| DJO Finance LLC (ReAble Therapeutics Finance LLC), | |||
| Term Loan, 3.23%, 5/20/14 | 2,654 | 2,564,509 | |
| Hologic, Inc., Tranche B Term Loan, 3.50%, 3/29/13 | USD | 121 | 120,193 |
| 6,210,568 | |||
| Health Care Providers & Services — 4.7% | |||
| CHS/Community Health Systems, Inc.: | |||
| Delayed Draw Term Loan, 2.50%, 7/25/14 | 316 | 295,341 | |
| Funded Term Loan, 2.48% – 2.50%, 7/25/14 | 6,184 | 5,778,329 | |
| DaVita, Inc., Tranche B-1 Term Loan, 1.73% – 1.76%, | |||
| 10/05/12 | 600 | 585,975 | |
| Fresenius SE: | |||
| Tranche B1 Term Loan, 6.75%, 9/10/14 | 2,080 | 2,090,614 | |
| Tranche B2 Term Loan, 6.75%, 9/10/14 | 1,313 | 1,319,869 |
| Par | |||
| Floating Rate Loan Interests | (000) | Value | |
| Health Care Providers & Services (concluded) | |||
| HCA Inc., Tranche A-1 Term Loan, 1.75%, 11/16/12 | USD | 7,895 | $ 7,456,219 |
| HealthSouth Corp., Term Loan, 2.51%, 3/10/13 | 659 | 637,225 | |
| Vanguard Health Systems, Inc., Term Loan B, 5.00%, | |||
| 1/29/16 | 3,400 | 3,404,250 | |
| 21,567,822 | |||
| Health Care Technology — 1.0% | |||
| IMS Healthcare, Term Loan B, 5.25%, 2/16/16 | 4,400 | 4,417,600 | |
| Hotels Restaurants & Leisure — 4.2% | |||
| CCM Merger Inc. (Motor City Casino), Term B Loan, | |||
| 8.50%, 7/13/12 | 1,688 | 1,662,946 | |
| Cedar Fair LP, Term Loan B, 4.00%, 2/04/16 | 1,750 | 1,747,267 | |
| Green Valley Ranch Gaming, LLC, Loan (Second Lien), | |||
| 3.50%, 8/16/14 | 1,750 | 175,000 | |
| Harrah’s Operating Co., Inc.: | |||
| Term B-2 Loan, 3.25%, 1/28/15 | 1,856 | 1,498,045 | |
| Term B-4 Loan, 9.50%, 10/31/16 | 3,000 | 2,991,666 | |
| Lake at Las Vegas Joint Venture / LLV-1, LLC (a)(f): | |||
| Mezzanine, 20.00%, 10/01/10 | 8 | 74 | |
| Revolving Loan Credit-Linked Deposit Account, | |||
| 14.35%, 6/20/12 | 361 | 3,611 | |
| Term Loan, 14.35% – 20.00%, 6/20/12 | 3,934 | 39,343 | |
| Penn National Gaming, Inc., Term Loan B, | |||
| 1.98% – 2.00%, 10/03/12 | 1,653 | 1,619,142 | |
| QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%, | |||
| 5/05/13 | 728 | 621,316 | |
| SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16 | 2,875 | 2,887,578 | |
| Six Flags Theme Parks, Inc., Term Loan, 4.50%, 6/13/15 | 4,750 | 4,706,062 | |
| VML US Finance LLC (aka Venetian Macau), Term B | |||
| Funded Project Loan, 4.76%, 5/27/13 | 1,355 | 1,289,649 | |
| 19,241,699 | |||
| Household Durables — 0.2% | |||
| American Achievement Corp., Tranche B Term Loan, | |||
| 6.25% -6.50%, 3/25/11 | 576 | 541,318 | |
| Jarden Corp., Term Loan B3, 2.75%, 1/24/12 | 595 | 590,485 | |
| 1,131,803 | |||
| IT Services — 3.0% | |||
| Audio Visual Services Group, Inc.: | |||
| Loan (Second Lien), 5.76%, 8/28/14 | 1,616 | 161,556 | |
| Tranche B Term Loan (First Lien), 2.51%, 2/28/14 | 1,343 | 940,191 | |
| Ceridian Corp., US Term Loan, 3.23% – 3.25%, | |||
| 11/09/14 | 2,213 | 1,935,010 | |
| First Data Corp., Initial Tranche B-2 Term Loan, 3.00%, | |||
| 9/24/14 | 8,204 | 7,154,413 | |
| RedPrairie Corp., Term Loan B: | |||
| 3.25%, 7/20/12 | 242 | 234,574 | |
| 3.31%, 7/20/12 | 402 | 389,926 | |
| SunGard Data Systems, Inc., (Solar Capital Corp.), | |||
| Incremental Term Loan, 6.75%, 2/28/14 | 2,982 | 2,992,825 | |
| 13,808,495 | |||
| Independent Power Producers & Energy Traders — 1.4% | |||
| Dynegy Holdings Inc.: | |||
| Term Letter of Credit Facility Term Loan, 3.98%, | |||
| 4/02/13 | 1,897 | 1,850,999 | |
| Tranche B Term Loan, 3.98%, 4/02/13 | 153 | 149,005 | |
| Texas Competitive Electric Holdings Co., LLC (TXU): | |||
| Initial Tranche B-2 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 4,412 | 3,547,996 | |
| Initial Tranche B-3 Term Loan, 3.73% – 3.75%, | |||
| 10/10/14 | 1,126 | 901,043 | |
| 6,449,043 | |||
| Industrial Conglomerates — 1.0% | |||
| Sequa Corp., Term Loan, 3.51% – 3.94%, 12/03/14 | 4,808 | 4,397,632 | |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 65
Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
| Par | |||
| Floating Rate Loan Interests | (000) | Value | |
| Insurance — 0.4% | |||
| Alliant Holdings I, Inc., Term Loan, 3.25%, 8/21/14 | USD | 1,704 | $ 1,608,572 |
| Internet Software & Services — 0.0% | |||
| Channel Master Holdings, Inc. (a)(f)(g): | |||
| Revolver, 8.31%, 11/15/04 | 128 | — | |
| Term Loan, 9.00%, 11/15/04 | 1,014 | — | |
| — | |||
| Leisure Equipment & Products — 0.4% | |||
| Fender Musical Instruments Corp.: | |||
| Delayed Draw Loan, 2.51%, 6/09/14 | 658 | 557,454 | |
| Initial Loan, 2.51%, 6/09/14 | 1,302 | 1,103,589 | |
| True Temper Sports Debtor in Possession Term Loan, | |||
| 13.00%, 10/14/13 | 344 | 326,791 | |
| 1,987,834 | |||
| Machinery — 1.8% | |||
| Accuride, Term Loan, 9.75%, 1/31/12 | 2,290 | 2,285,230 | |
| Bucyrus International, Term Loan C, 4.50%, 1/26/16 | 2,500 | 2,513,250 | |
| Oshkosh Truck Corp., Term B Loan, 6.25% – 6.26%, | |||
| 12/06/13 | 3,591 | 3,587,756 | |
| 8,386,236 | |||
| Media — 16.6% | |||
| Alpha Topco Ltd. (Formula One), Facility D, 3.82%, | |||
| 6/30/14 | 1,000 | 873,889 | |
| Catalina Marketing Corp., Initial Term Loan, 2.98%, | |||
| 10/01/14 | 433 | 417,414 | |
| Cengage Learning Acquisitions, Inc. (Thomson Learning), | |||
| Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 7,500 | 7,424,895 | |
| Cequel Communications, LLC, Tranche A Term Loan | |||
| (Second Lien), 4.75%, 5/05/14 | 5,000 | 4,870,500 | |
| Charter Communications Operating, LLC, New Term Loan, | |||
| 2.23%, 3/06/14 | 8,675 | 8,091,797 | |
| FoxCo Acquisition Sub, LLC, Term Loan, 7.50%, 7/14/15 | 1,332 | 1,278,424 | |
| HMH Publishing Co. Ltd., Mezzanine, 17.50%, 11/14/14 | 1,186 | 146,269 | |
| Hanley-Wood, LLC (FSC Acquisition), Term Loan, | |||
| 2.50% – 2.56%, 3/10/14 | 2,210 | 987,325 | |
| Harland Clarke Holdings Corp. (fka Clarke | |||
| American Corp.), Tranche B Term Loan, | |||
| 2.73% – 2.75%, 6/30/14 | 2,272 | 1,987,045 | |
| Insight Midwest Holdings, LLC, B Term Loan, 2.25%, | |||
| 4/07/14 | 2,075 | 1,992,324 | |
| Intelsat Corp. (fka PanAmSat Corp.): | |||
| Tranche B-2-A Term Loan, 2.73%, 1/03/14 | 575 | 546,439 | |
| Tranche B-2-B Term Loan, 2.73%, 1/03/14 | 574 | 546,116 | |
| Tranche B-2-C Term Loan, 2.73%, 1/03/14 | 574 | 546,116 | |
| Intelsat Subsidiary Holding Co. Ltd., Tranche B | |||
| Term Loan, 2.73%, 1/03/14 | 207 | 197,079 | |
| Lamar Media Corp.: | |||
| Series B Incremental Loan, 5.50% – 5.75%, | |||
| 9/28/12 | 1,417 | 1,406,278 | |
| Series E Incremental Loan, 5.50% – 5.75%, | |||
| 3/31/13 | 940 | 939,772 | |
| Term Loan, 5.50% 5.75%, 9/28/12 | 3,598 | 3,571,470 | |
| Local TV Finance, LLC, Term Loan, 2.26%, 5/07/13 | 689 | 595,675 | |
| MCC Iowa LLC (Mediacom Broadband Group), | |||
| Tranche E Term Loan, 6.50%, 1/03/16 | 2,382 | 2,400,919 | |
| MCNA Cable Holdings LLC (OneLink Communications), | |||
| Loan, 7.23%, 3/01/13 (h) | 1,289 | 1,005,369 | |
| Mediacom Illinois, LLC (fka Mediacom | |||
| Communications, LLC), Tranche D Term Loan, 5.50%, | |||
| 3/31/17 | 1,496 | 1,494,365 | |
| Metro-Goldwyn-Mayer Inc., Tranche B Term Loan, | |||
| 20.50%, 4/09/12 | 1,421 | 853,895 | |
| Multicultural Radio Broadcasting, Inc., Term Loan, | |||
| 2.98%, 12/18/12 | 494 | 392,112 | |
| Par | |||
| Floating Rate Loan Interests | (000) | Value | |
| Media (concluded) | |||
| New Vision Exit Term Loan, 13.00%, 10/01/12 | USD | 130 | $ 130,212 |
| Newsday, LLC, Floating Rate Term Loan, 6.50%, 8/01/13 | 2,500 | 2,506,250 | |
| Nielsen Finance LLC: | |||
| Class A Dollar Term Loan, 2.23%, 8/09/13 | 446 | 419,995 | |
| Class B Dollar Term Loan, 3.98%, 5/01/16 | 4,123 | 3,992,251 | |
| Penton Media, Inc.: | |||
| Loan (Second Lien), 9.25%, 2/01/14 (a)(f) | 500 | 66,666 | |
| Term Loan (First Lien), 2.48% – 2.50%, 2/01/13 | 486 | 354,962 | |
| Sinclair Television Group, Inc., Tranche B Term Loan, | |||
| 6.50%, 10/29/15 | 2,250 | 2,261,250 | |
| Springer Science+Business Media SA, Facility A1, | |||
| 6.75%, 7/01/16 | EUR | 3,400 | 4,575,616 |
| Sunshine Acquisition Ltd. (aka HIT Entertainment), | |||
| Term Facility, 2.50%, 3/20/12 | USD | 4,243 | 3,730,465 |
| TWCC Holding Corp., Term Loan, 7.25%, 9/14/15 | 3,667 | 3,676,287 | |
| UPC Financing Partnership, Facility U, 4.99%, | |||
| 12/31/17 | EUR | 2,100 | 2,664,080 |
| Virgin Media Investment Holdings Ltd.: | |||
| B1 Facility, 4.17%, 7/30/12 | GBP | 653 | 985,603 |
| B1 Facility, 4.43%, 7/30/12 | 906 | 1,366,091 | |
| B7 Facility, 4.40%, 9/03/12 | 4246 | 630,106 | |
| C Facility, 4.40% , 9/03/12 | 1,028 | 1,527,924 | |
| C Facility, 3.58%, 7/17/13 | 600 | 854,656 | |
| Worldcolor Press, Inc. and Worldcolor (USA) Corp. | |||
| (fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12 | 2,386 | 2,410,141 | |
| Yell Group Plc TPI, Term Loan A, 2.48%, 8/09/11 | 1,750 | 1,675,625 | |
| 76,393,667 | |||
| Multi-Utilities — 0.6% | |||
| Energy Transfer Equity, LP, Term Loan, 1.98%, 11/01/12 | USD | 750 | 739,682 |
| FirstLight Power Resources, Inc. (fka NE Energy, Inc.): | |||
| Synthetic Letter of Credit, 2.81%, 11/01/13 | 139 | 129,566 | |
| Term B Advance (First Lien), 2.75%, 11/01/13 | 1,528 | 1,425,749 | |
| Mach Gen, LLC, Synthetic Letter of Credit Loan | |||
| (First Lien), 2.25%, 2/22/13 | 69 | 63,604 | |
| USPF Holdings, LLC, Term Loan, 1.98%, 4/11/14 | 607 | 599,898 | |
| 2,958,499 | |||
| Multiline Retail — 0.6% | |||
| Dollar General Corp.: | |||
| Tranche B-1 Term Loan, 2.98% – 3.00%, 7/07/14 | 1,963 | 1,904,868 | |
| Tranche B-2 Term Loan, 2.98%, 7/07/14 | 427 | 410,628 | |
| The Neiman Marcus Group Inc., Term Loan, 2.26%, | |||
| 4/06/13 | 745 | 668,679 | |
| 2,984,175 | |||
| Oil, Gas & Consumable Fuels — 0.8% | |||
| Big West Oil, LLC,: | |||
| Delayed Draw Loan, 4.50%, 1/26/15 | 1,517 | 1,487,145 | |
| Initial Advance Loan, 4.50% , 5/15/14 | 1,207 | 1,182,758 | |
| Initial Advance Loan, 9.75% , 5/15/14 | 1,075 | 1,080,375 | |
| 3,750,278 | |||
| Paper & Forest Products — 0.8% | |||
| Georgia-Pacific LLC, Term Loan B: | |||
| 2.24% – 2.25%, 12/20/12 | 1,342 | 1,310,469 | |
| 2.25% – 2.26%, 12/23/12 | 2,615 | 2,553,743 | |
| 3,864,212 | |||
| Personal Products — 0.5% | |||
| American Safety Razor Co., LLC: | |||
| Loan (Second Lien), 6.51%, 1/30/14 | 1,600 | 936,000 | |
| Term Loan (First Lien), 2.75% -2.76%, 7/31/13 | 824 | 747,515 | |
| Revlon Consumer Products Corp., Term Loan, 4.26%, | |||
| 1/15/12 | 500 | 492,032 | |
| 2,175,547 |
See Notes to Financial Statements.
66 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
| Par | ||
| Floating Rate Loan Interests | (000) | Value |
| Pharmaceuticals — 1.2% | ||
| Warner Chilcott Co., LLC, Term A Loan, 5.50%, | ||
| 10/30/14 | USD 1,729 | $ 1,728,382 |
| Warner Chilcott Corp., Term B-1 Loan, 5.75%, 4/30/15 | 3,836 | 3,834,495 |
| 5,562,877 | ||
| Professional Services — 0.5% | ||
| Booz Allen Hamilton, Inc., Tranche B Term Loan, 7.50%, | ||
| 7/31/15 | 2,362 | 2,377,152 |
| Real Estate Management & Development — 1.0% | ||
| Mattamy Funding Partnership, Loan, 2.56%, 4/11/13 | 888 | 812,063 |
| Realogy Corp.: | ||
| Delayed Draw Term Loan B, 3.25% , 10/10/13 | 1,197 | 1,055,482 |
| Initial Term B Loan, 3.25% , 10/10/13 | 2,554 | 2,252,214 |
| Synthetic Letter of Credit, 3.25%, 10/10/13 | 688 | 606,365 |
| 4,726,124 | ||
| Specialty Retail — 1.0% | ||
| Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan, | ||
| 2.98%, 10/21/13 | 611 | 588,904 |
| General Nutrition Centers, Inc., Term Loan, | ||
| 2.48% – 2.51%, 9/16/13 | 546 | 518,684 |
| Michaels Stores, Inc.: | ||
| Term Loan B, 2.50% – 2.56%, 10/31/13 | 1,521 | 1,370,137 |
| Term Loan B-1, 4.75% – 4.81%, 7/31/16 | 2,004 | 1,909,100 |
| 4,386,825 | ||
| Textiles, Apparel & Luxury Goods — 0.3% | ||
| Hanesbrands, Inc., New Term Loan, 5.25%, 12/10/15 | 1,500 | 1,511,250 |
| Trading Companies & Distributors — 0.2% | ||
| Beacon Sales Acquisition, Inc., Term B Loan, | ||
| 2.23% – 2.25%, 9/30/13 | 928 | 871,947 |
| Wireless Telecommunication Services — 1.5% | ||
| Digicel International Finance Ltd., Tranche A, 2.81%, | ||
| 3/30/12 | 5,154 | 4,960,957 |
| MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50%, | ||
| 11/03/13 | 2,214 | 2,133,430 |
| 7,094,387 | ||
| Total Floating Rate Loan Interests — 79.9% | 369,016,383 | |
| Beneficial | ||
| Interest | ||
| Other Interests (i) | (000) | |
| Diversified Financial Services — 0.4% | ||
| J.G. Wentworth LLC Preferred Equity Interests | 1 | 1,944,443 |
| Total Other Interests — 0.4% | 1,944,443 | |
| Warrants (j) | Shares | |
| Media — 0.0% | ||
| Cumulus Media (expires 12/31/19) | 1,543 | 2,377 |
| New Vision Holdings LLC (expires 9/30/14) | 48,636 | 486 |
| Total Warrants — 0.0% | 2,863 | |
| Total Long-Term Investments | ||
| (Cost — $485,119,192) — 97.7% | 451,639,916 |
| Short-Term Securities | Shares | Value | ||||||
| BlackRock Liquidity Funds, TempFund, | ||||||||
| Institutional Class, 0.11% (k)(l) | 36,095,866 | $ 36,095,866 | ||||||
| Total Short-Term Securities | ||||||||
| (Cost — $36,095,866) — 7.8% | 36,095,866 | |||||||
| Total Investments (Cost — $521,215,058*) — 105.5% | 487,735,782 | |||||||
| Liabilities in Excess of Other Assets — (5.5)% | (25,438,452) | |||||||
| Net Assets — 100.0% | $462,297,330 | |||||||
| * The cost and unrealized appreciation (depreciation) of investments as of February 28, | ||||||||
| 2010, as computed for federal income tax purposes, were as follows: | ||||||||
| Aggregate cost | $ 521,284,614 | |||||||
| Gross unrealized appreciation | $ 9,925,386 | |||||||
| Gross unrealized depreciation | (43,474,218) | |||||||
| Net unrealized depreciation | $ (33,548,832) | |||||||
| (a) Non-income producing security. | ||||||||
| (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. | ||||||||
| These securities may be resold in transactions exempt from registration to qualified | ||||||||
| institutional investors. | ||||||||
| (c) Convertible security. | ||||||||
| (d) Represents a payment-in-kind security which may pay interest/dividends in addi- | ||||||||
| tional face/shares. | ||||||||
| (e) Variable rate security. Rate shown is as of report date. | ||||||||
| (f) Issuer filed for bankruptcy and/or is in default of interest payments. | ||||||||
| (g) As a result of bankruptcy proceedings, the company did not repay the principal | ||||||||
| amount of the security upon maturity. | ||||||||
| (h) Represents a payment-in-kind security which may pay interest/dividends in addi- | ||||||||
| tional par/shares. | ||||||||
| (i) Other interests represent beneficial interest in liquidation trusts and other reorgani- | ||||||||
| zation entities and are non-income producing. | ||||||||
| (j) Warrants entitle the Fund to purchase a predetermined number of shares of com- | ||||||||
| mon stock and are non-income producing. The purchase price and number of | ||||||||
| shares are subject to adjustment under certain conditions until the expiration date. | ||||||||
| (k) Investments in companies considered to be an affiliate of the Fund, for purposes of | ||||||||
| Section 2(a)(3) of the Investment Company Act of 1940, were as follows: | ||||||||
| Net | ||||||||
| Affiliate | Activity | Income | ||||||
| BlackRock Liquidity Funds, TempFund, | ||||||||
| Institutional Class | USD 2,487,443 | $ 14,974 | ||||||
| (l) Represents the current yield as of report date. | ||||||||
| • | Foreign currency exchange contracts as of February 28, 2010 were as follows: | |||||||
| Unrealized | ||||||||
| Currency | Currency | Settlement Appreciation | ||||||
| Purchased | Sold | Counterparty | Date | (Depreciation) | ||||
| USD 19,197,704 | EUR | 13,292,500 | CitiBank NA | 3/24/10 | $ 1,098,752 | |||
| GBP 1,438,500 USD | 2,257,313 | CitiBank NA | 4/21/10 | (64,758) | ||||
| USD | 592,696 | CAD | 620,000 Goldman Sachs | |||||
| Bank USA | 4/21/10 | 3,510 | ||||||
| USD | 803,493 | GBP | 503,000 | CitiBank NA | 4/21/10 | 36,823 | ||
| USD 8,489,253 GBP | 5,243,500 | Morgan Stanley | ||||||
| Capital | ||||||||
| Services, Inc. | 4/21/10 | 497,135 | ||||||
| Total | $ 1,571,462 | |||||||
| • | For Master LLC compliance purposes, the Master LLC’s industry classifications refer | |||||||
| to any one or more of the industry sub-classifications used by one or more widely | ||||||||
| recognized market indexes or rating group indexes, and/or as defined by Master LLC | ||||||||
| management. This definition may not apply for purposes of this report, which may | ||||||||
| combine such industry sub-classifications for reporting ease. | ||||||||
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 67
Schedule of Investments (concluded) Master Senior Floating Rate LLC
• Fair Value Measurements — Various inputs are used in determining the fair value of
investments, which are as follows:
• Level 1 — price quotations inactive markets/exchanges for identical assets
and liabilities
• Level 2 — other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other than
quoted prices that are observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market- corroborated inputs)
• Level 3 — unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Master LLC’s own assumptions used in determining the face value of invest-
ments)
The inputs or methodologies used for valuing securities are not necessarily an indi-
cation of the risk associated with investing in those securities. For information about
the Master LLC’s policy regarding valuation of investments and other significant
accounting policies, please refer to the Note 1 of the Notes to Financial Statements.
| The following tables summarize the inputs used as of February 28, 2010 in | ||||||
| determining the fair valuation of the Master LLC’s investments: | ||||||
| Investments in Securities | ||||||
|
| ||||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||
| Assets: | ||||||
| Long-Term | ||||||
| Investments: | ||||||
| Common Stocks | $ 703,911 | $ 789,964 | $ 34,502 | $ 1,528,377 | ||
| Corporate Bonds | — | 72,691,479 | 6,456,371 | 79,147,850 | ||
| Floating Rate | ||||||
| Loan Interests | — | 314,769,878 | 54,246,505 | 369,016,383 | ||
| Other Interests | — | — | 1,944,443 | 1,944,443 | ||
| Warrants | — | 2,377 | 486 | 2,863 | ||
| Short-Term | ||||||
| Securities | 36,095,866 | — | — | 36,095,866 | ||
| Total | $36,799,777 | $388,253,698 | $62,682,307 | $487,735,782 | ||
| Other Financial Instruments1 | ||||||
|
| ||||||
| Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||
| Assets | — | $ 1,636,220 | $ 2,039 | $ 1,638,259 | ||
| Liabilities | — | (64,758) | (103,303) | (168,061) | ||
| Total | — | $ 1,571,462 | $ (101,264) $ | 1,470,198 | ||
| 1 Other financial instruments are unfunded loan commitments and foreign | ||||||
| currency exchange contracts, which are shown at the unrealized appreciation/ | ||||||
| depreciation on the instrument. | ||||||
| The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value: | |||||||
| Investments in Securities | |||||||
| Common | Corporate | Floating Rate | Other | ||||
| Stocks | Bonds | Loan Interests | Interests | Warrants | Total | ||
| Balance, as of August 31, 2009 | $ 16,332 | $ 6,417,361 | $ 97,288,159 | $ 777,120 | — | $104,498,972 | |
| Accrued discounts/premiums | — | — | — | — | — | — | |
| Realized gain (loss) | — | (3,718) | (11,699,270) | (44,038) | — | (11,747,026) | |
| Change in unrealized appreciation/depreciation2 | — | 3,717 | 23,786,736 | 1,211,361 | — | 25,001,814 | |
| Net purchases (sales) | — | 39,011 | (37,558,238) | — | — | (37,519,227) | |
| Net transfers in/out of Level 3 | 18,170 | — | (17,570,882) | — | $ 486 | (17,552,226) | |
| Balance, as of February 28, 2010 | $ 34,502 | $ 6,456,371 | $ 54,246,505 | $ 1,944,443 | $ 486 | $ 62,682,307 | |
| 2 Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securites still | |||||||
| held at February 28, 2010 was $11,128,072. | |||||||
| The following table is a reconciliation of Level 3 other financial instruments for which significant | ||
| unobservable inputs were used to determine fair value: | ||
| Other Financial | ||
| Instruments3 | ||
| Assets | Liabilities | |
| Balance, as of August 31, 2009 | — | $ (112,385) |
| Accrued discounts/premiums | — | — |
| Realized gain (loss) | — | — |
| Change in unrealized appreciation/depreciation | — | — |
| Net purchases (sales) | — | — |
| Net transfers in/out of Level 3 | $ 2,039 | 9,082 |
| Balance as of February 28, 2010 | $ 2,039 | $ (103,303) |
| 3 Other financial instruments are unfunded loan commitments. | ||
See Notes to Financial Statements.
68 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Statement of Assets and Liabilities | Master Senior Floating Rate LLC |
| February 28, 2010 (Unaudited) | |
| Assets | |
| Investments at value - unaffiliated (cost — $485,119,192) | $ 451,639,916 |
| Investments at value - affiliated (cost — $36,095,866) | 36,095,866 |
| Unrealized appreciation on foreign currency exchange contracts | 1,636,220 |
| Unrealized appreciation on unfunded loan commitments | 2,039 |
| Cash | 1,065,997 |
| Foreign currency at value — (cost — $771,509) | 767,029 |
| Investments sold receivable | 19,126,745 |
| Interest receivable | 4,637,475 |
| Contributions receivable from investors | 1,205,505 |
| Principal paydown receivable | 12,500 |
| Commitment fees receivable | 1,792 |
| Prepaid expenses | 18,214 |
| Other assets | 5,001 |
| Total assets | 516,214,299 |
| Liabilities | |
| Unrealized depreciation on foreign currency exchange contracts | 64,758 |
| Unrealized depreciation on unfunded loan commitments | 103,303 |
| Investments purchased payable | 53,352,591 |
| Investment advisory fees payable | 332,834 |
| Other affiliates payable | 3,660 |
| Officer's and Directors' fees payable | 512 |
| Other accrued expenses payable | 55,284 |
| Other liabilities | 4,027 |
| Total liabilities | 53,916,969 |
| Net Assets | $ 462,297,330 |
| Net Assets Consist of | |
| Investors' capital | $ 494,191,973 |
| Net unrealized appreciation/depreciation | (31,894,643) |
| Net Assets | $ 462,297,330 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 69
| Statement of Operations | Master Senior Floating Rate LLC |
| Six Months Ended February 28, 2010 (Unaudited) | |
| Investment Income | |
| Interest | $ 14,517,352 |
| Income - affiliated | 14,974 |
| Facility and other fees | 184,650 |
| Total income | 14,716,976 |
| Expenses | |
| Investment advisory | 2,165,409 |
| Professional | 84,391 |
| Accounting services | 79,597 |
| Custodian | 24,279 |
| Officer and Directors | 21,782 |
| Printing | 3,190 |
| Miscellaneous | 41,472 |
| Total expenses excluding interest expense | 2,420,120 |
| Interest expense | 16,110 |
| Total expenses | 2,436,230 |
| Less fees waived by advisor | (6,789) |
| Total expenses after fees waived | 2,429,441 |
| Net investment income | 12,287,535 |
| Realized and Unrealized Gain (Loss) | |
| Net realized loss from: | |
| Investments | (19,313,686) |
| Swaps | (500,317) |
| Foreign currency transactions | (623,362) |
| (20,437,365) | |
| Net change in unrealized appreciation/depreciation on: | |
| Investments | 42,601,613 |
| Swaps | 290,086 |
| Foreign currency transactions | 1,909,813 |
| Unfunded loan commitments | 11,121 |
| 44,812,633 | |
| Total realized and unrealized gain | 24,375,268 |
| Net Increase in Net Assets Resulting from Operations | $ 36,662,803 |
| Statement of Changes in Net Assets | Master Senior Floating Rate LLC | |
| Six Months Ended | ||
| February 28, | Year Ended | |
| 2010 | August 31, | |
| Increase (Decrease) in Net Assets: | (Unaudited) | 2009 |
| Operations | ||
| Net investment income | $ 12,287,535 | $ 27,640,754 |
| Net realized loss | (20,437,365) | (49,899,586) |
| Net change in unrealized appreciation/depreciation | 44,812,633 | (16,926,300) |
| Net increase (decrease) in net assets resulting from operations | 36,662,803 | (39,185,132) |
| Capital Transactions | ||
| Proceeds from contributions | 14,885,341 | 45,763,562 |
| Value of withdrawals | (52,534,771) | (132,042,492) |
| Net decrease in net assets derived from capital transactions | (37,649,430) | (86,278,930) |
| Net Assets | ||
| Total decrease in net assets | (986,627) | (125,464,062) |
| Beginning of period | 463,283,957 | 588,748,019 |
| End of period | $ 462,297,330 | $ 463,283,957 |
| See Notes to Financial Statements. | ||
70 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
| Statement of Cash Flows | Master Senior Floating Rate LLC |
| Six Months Ended February 28, 2010 (Unaudited) | |
| Cash Provided by Operating Activities | |
| Net increase in net assets resulting from operations, excluding dividends to Preferred Shareholders | $ 36,662,803 |
| Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities: | |
| Increase in interest receivable | (666,329) |
| Increase in commitment fees receivable | (1,792) |
| Decrease in other assets | 184,285 |
| Decrease in investment advisor payable | (34,691) |
| Increase in other affiliates payable | 2,218 |
| Decrease in accrued expenses payable | (54,809) |
| Decrease in deferred income | (142,136) |
| Decrease in swaps payable | (32,025) |
| Decrease in other liabilities | (11,575) |
| Decrease in officers and directors payable | (213) |
| Swap premium received | 52,260 |
| Realized and unrealized gain-net | (24,128,369) |
| Amortization of premium and discount on investments | (2,669,933) |
| Paid-in-kind income | (197,900) |
| Proceeds from sales and paydowns of long-term investments | 256,294,242 |
| Purchases of long-term investments | (222,971,306) |
| Net Purchases of short-term securities | (2,487,443) |
| Cash provided by operating activities | 39,797,287 |
| Cash Used for Financing Activities | |
| Proceeds from issuance of Common Stock | 14,428,091 |
| Cash Payments on Common Stock | (52,534,771) |
| Cash receipts from borrowings | 32,000,000 |
| Cash payments from borrowings | (32,000,000) |
| Cash used for financing activities | (38,106,680) |
| Cash Impact From Foreign Exchange Fluctuations | |
| Cash impact from foreign exchange fluctuations | (4,465) |
| Cash | |
| Net increase in cash | 1,686,142 |
| Cash at beginning of period | 146,884 |
| Cash at end of period | $ 1,833,026 |
| Cash Flow Information | |
| Cash paid for interest | $ 16,110 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 71
| Financial Highlights | Master Senior Floating Rate LLC | |||||
| Six Months | ||||||
| Ended | ||||||
| February 28, | ||||||
| 2010 | Year Ended August 31, | |||||
| (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | |
| Total Investment Return | ||||||
| Total investment return | 8.21%1 | (4.23)% | (1.08)% | 3.49% | 5.37% | 5.78% |
| Ratios to Average Net Assets | ||||||
| Total expenses | 1.07%2 | 1.05% | 1.04% | 1.04% | 1.04% | 1.01% |
| Total expenses after fees waived | 1.07%2 | 1.05% | 1.04% | 1.04% | 1.04% | 1.01% |
| Total expenses after fees waived and excluding interest expense | 1.06%2 | 1.04% | 1.04% | 1.02% | 1.03% | 1.01% |
| Net investment income | 5.42%2 | 6.44% | 6.41% | 7.07% | 6.22% | 4.52% |
| Supplemental Data | ||||||
| Net assets, end of period (000) | $ 462,297 | $ 463,284 | $ 588,748 | $ 758,328 | $ 925,910 | $ 1,032,819 |
| Portfolio turnover | 56% | 47% | 56% | 46% | 54% | 53% |
| Average loan outstanding during the period (000) | $ 2,105 | $ 420 | — | $ 2,255 | $ 1,932 | — |
| 1 Aggregate total investment return. | ||||||
| 2 Annualized. | ||||||
See Notes to Financial Statements.
72 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Notes to Financial Statements (Unaudited) Master Senior Floating Rate LLC
1. Organization and Significant Accounting Policies:
Master Senior Floating Rate LLC (the “Master LLC”) is registered under
the Investment Company Act of 1940, as amended (the “1940 Act”),
and is organized as a Delaware limited liability company. The Master LLC’s
Limited Liability Company Agreement permits the Board of Directors of
the Master LLC (the “Board”) to issue nontransferable interests, subject
to certain limitations. The Master LLC’s financial statements are prepared
in conformity with accounting principles generally accepted in the United
States of America, which may require the use of management accruals
and estimates. Actual results may differ from these estimates.
The following is a summary of significant accounting policies followed by
the Master LLC:
Valuation: The Master LLC’s policy is to fair value its financial instruments
at market value. The Master LLC values its bond investments on the basis
of last available bid prices or current market quotations provided by deal-
ers or pricing services selected under the supervision of the Master LLC’s
Board. Floating rate loan interests are valued at the mean between the
last available 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 based on
valuation technology commonly employed in the market for such invest-
ments. Swap agreements are valued utilizing quotes received daily by the
Master LLC’s pricing service or through brokers which are derived using
daily swap curves and trades of underlying securities. Investments in open-
end investment companies are valued at net asset value each business
day. Short-term securities with remaining maturities of 60 days or less may
be valued at amortized cost, which approximates fair value.
Equity investments traded on a recognized securities exchange or the
NASDAQ Global Market System are valued at the last reported sale price
that day or the NASDAQ official closing price, if applicable. For equity
investments traded on more than one exchange, the last reported sale
price on the exchange where the stock is primarily traded is used. Equity
investments traded on a recognized exchange for which there were no
sales on that day are valued at the last available bid price. If no bid price
is available, the prior day’s price will be used, unless it is determined that
such prior day’s price no longer reflects the fair value of the security.
In the event that application of these methods of valuation results in a
price for an investment which is deemed not to be representative of the
market value of such investment or is not available, the investment will
be valued by a method approved by the Master LLC’s Board as reflecting
fair value (“Fair Value Assets”). When determining the price for Fair Value
Assets, the investment advisor and/or the sub-advisor seeks to determine
the price that the Master LLC might reasonably expect to receive from the
current sale of that asset in an arm’s-length transaction. Fair value deter-
minations shall be based upon all available factors that the investment
advisor and/or sub-advisor deems relevant. The pricing of all Fair Value
Assets is subsequently reported to the Board or a committee thereof.
Generally, trading in foreign instruments is substantially completed
each day at various times prior to the close of business on the NYSE.
Occasionally, events affecting the values of such instruments may occur
between the foreign market close and the close of business on the NYSE
that may not be reflected in the computation of the Master LLC’s net
assets. If events (for example, a company announcement, market volatility
or a natural disaster) occur during such periods that are expected to
materially affet the value of such instruments, those instruments may be
Fair Value Assets and be valued at their fair value, as determined in good
faith by the Board or by the investment advisor using a pricing service
and/or procedures approved by the Board.
Foreign Currency Transactions: Foreign currency amounts are translated
into United States dollars on the following basis: (i) market value of in-
vestment securities, assets and liabilities at the current rate of exchange;
and (ii) purchases and sales of investment securities, income and
expenses at the rates of exchange prevailing on the respective dates
of such transactions.
The Master LLC reports foreign currency related transactions as compo-
nents of realized gains for financial reporting purposes, whereas such com-
ponents are treated as ordinary income for federal income tax purposes.
Floating Rate Loans: The Master LLC may invest in floating rate loans,
which are generally non-investment grade, made by banks, other financial
institutions and privately and publicly offered corporations. Floating rate
loans are senior in the debt structure of a corporation. Floating rate loans
generally pay interest at rates that are periodically determined by reference
to a base lending rate plus a premium. The base lending rates are gener-
ally (i) the lending rate offered by one or more European banks, such as
LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one
or more US banks or (iii) the certificate of deposit rate. The Master LLC
considers these investments to be investments in debt securities for pur-
poses of their investment policies.
The Master LLC earns and/or pays facility and other fees on floating rate
loans. Other fees earned/paid include commitment, amendment, consent
and prepayment penalty fees. Facility, commitment and amendment fees
are typically amortized over the term of the loan. Consent fees and various
other fees are recorded as income. Prepayment penalty fees are recorded
as realized gains. When the Master LLC buys a floating rate loan it may
receive a facility fee and when it sells a floating rate loan it may pay a
facility fee. On an ongoing basis, the Master LLC may receive a commit-
ment fee based on the undrawn portion of the underlying line of credit
portion of a floating rate loan. In certain circumstances, the Master LLC
may receive a prepayment penalty fee upon the prepayment of a floating
rate loan by a borrower. Other fees received by the Master LLC may include
covenant waiver fees and covenant modification fees.
The Master LLC may invest in multiple series or tranches of a loan. A
different series or tranche may have varying terms and carry different
associated risks.
Floating rate loans are usually freely callable at the issuer’s option. The
Master LLC may invest in such loans in the form of participations in loans
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 73
Notes to Financial Statements (continued) Master Senior Floating Rate LLC
(“Participations”) and assignments of all or a portion of loans from third
parties. Participations typically will result in the Master LLC having a con-
tractual relationship only with the lender, not with the borrower. The Master
LLC will have the right to receive payments of principal, interest and any
fees to which it is entitled only from the lender selling the Participation and
only upon receipt by the lender of the payments from the borrower.
In connection with purchasing Participations, the Master LLC generally will
have no right to enforce compliance by the borrower with the terms of the
loan agreement relating to the loans, nor any rights of offset against the
borrower, and the Master LLC may not benefit directly from any collateral
supporting the loan in which it has purchased the Participation.
As a result, the Master LLC will assume the credit risk of both the borrower
and the lender that is selling the Participation. The Master LLC’s invest-
ments in loan participation interests involve the risk of insolvency of the
financial intermediaries who are parties to the transactions. In the event of
the insolvency of the lender selling the Participation, the Master LLC may
be treated as a general creditor of the lender and may not benefit from any
offset between the lender and the borrower.
Segregation and Collateralization: In cases in which the 1940 Act and the
interpretive positions of the SEC require that the Master LLC either delivers
collateral or segregates assets in connection with certain investments (e.g.,
swaps and foreign currency exchange contracts), the Master LLC will, con-
sistent with SEC rules and/or certain interpretive letters issued by the SEC,
segregate collateral or designate on its books and records cash or other
liquid securities having a market value at least equal to the amount that
would otherwise be required to be physically segregated. Furthermore,
based on requirements and agreements with certain exchanges and third
party broker-dealers, each party has requirements to deliver/deposit secu-
rities as collateral for certain investments.
Investment Transactions and Investment Income: For financial reporting
purposes, investment transactions are recorded on the dates the trans-
actions are entered into (the trade dates). Realized gains and losses
on investment transactions are determined on the identified cost basis.
Interest income is recognized on the accrual basis. The Master LLC amor-
tizes all premiums and discounts on debt securities.
Income Taxes: The Master LLC is classified as a partnership for federal
income tax purposes. As such, each investor in the Master LLC is treated
as owner of its proportionate share of the net assets, income, expenses
and realized and unrealized gains and losses of the Master LLC. Therefore,
no federal income tax provision is required. It is intended that the Master
LLC’s assets will be managed so an investor in the Master LLC can satisfy
the requirements of Subchapter M of the Internal Revenue Code.
The Master LLC files US federal and various state and local tax returns.
No income tax returns are currently under examination. The statute of limi-
tations on the Master LLC’s US federal tax returns remains open for each
of the four years ended August 31, 2009. The statutes of limitations on the
Master LLC’s state and local tax returns may remain open for an additional
year depending upon the jurisdiction.
Recent Accounting Standards: In June 2009, amended guidance was
issued by the Financial Accounting Standards Board (“FASB”) for transfers
of financial assets. This guidance is intended to improve the relevance,
representational faithfulness and comparability of the information that a
reporting entity provides in its financial statements about a transfer of
financial assets; the effects of a transfer on its financial position, financial
performance, and cash flows; and a transferor’s continuing involvement, if
any, in transferred financial assets. The amended guidance is effective for
financial statements issued for fiscal years and interim periods beginning
after November 15, 2009. Earlier application is prohibited. The recognition
and measurement provisions of this guidance must be applied to transfers
occurring on or after the effective date. Additionally, the enhanced disclo-
sure provisions of the amended guidance should be applied to transfers
that occurred both before and after the effective date of this guidance. The
impact of this guidance on the Master LLC’s financial statements and dis-
closures, if any, is currently being assessed.
In January 2010, the FASB issued amended guidance to improve
disclosure about fair value measurements which will require additional
disclosures about transfers into and out of Levels 1 and 2 and separate
disclosures about purchases, sales, issuances and settlements in the
reconciliation for fair value measurements using significant unobservable
inputs (Level 3). It also clarifies existing disclosure requirements relating
to the levels of disaggregation for fair value measurement and inputs and
valuation techniques used to measure fair value. The amended guidance is
effective for financial statements for fiscal years and interim periods begin-
ning after December 15, 2009 except for disclosures about purchases,
sales, issuances and settlements in the rollforward of activity in Level 3 fair
value measurements, which are effective for fiscal years beginning after
December 15, 2010, and for interim periods within those fiscal years. The
impact of this guidance on the Master LLC’s financial statements and dis-
closures is currently being assessed.
Other: Expenses directly related to the Master LLC are charged to the
Master LLC. Other operating expenses shared by several funds are pro
rated among those funds on the basis of relative net assets or other
appropriate methods. The Master LLC has an arrangement with its custo-
dian whereby fees may be reduced by credits earned on uninvested cash
balances, which if applicable are shown as fees paid indirectly in the
Statement of Operations. The custodian imposes fees on overdrawn cash
balances, which can be offset by accumulated credits earned or may result
in additional custody charges.
2. Derivative Financial Instruments:
The Master LLC may engage in various portfolio investment strategies
both to increase the return of the Master LLC and to economically hedge,
or protect, its exposure to certain risks such as credit risk and foreign
currency exchange rate risk. Losses may arise if the value of the contract
decreases due to an unfavorable change in the price of the underlying
instrument or if the counterparty does not perform under the contract. The
Master LLC may mitigate counterparty risk through master netting agree-
ments included within an International Swap and Derivatives Association,
Inc. (“ISDA”) Master Agreement between the Master LLC and each of its
counterparties. The ISDA Master Agreement allows the Master LLC to offset
74 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Notes to Financial Statements (continued) Master Senior Floating Rate LLC
with its counterparty certain derivative financial instrument’s payables
and/or receivables with collateral held with each counterparty. The amount
of collateral moved to/from applicable counterparties is based upon mini-
mum transfer amounts of up to $500,000. To the extent amounts due to
the Master LLC from its counterparties are not fully collateralized contractu-
ally or otherwise, the Master LLC bears the risk of loss from counterparty
non-performance. See Note 1 “Segregation and Collateralization” for infor-
mation with respect to collateral practices.
The Master LLC’s maximum risk of loss from counterparty credit risk on
over-the counter (“OTC”) derivatives is generally the aggregate unrealized
gain in excess of any collateral pledged by the counterparty to the Master
LLC. Certain ISDA Master Agreements allow counterparties to OTC deriva-
tives to terminate derivative contracts prior to maturity in the event the
Master LLC’s net assets decline by a stated percentage or the Master LLC
fails to meet the terms of its ISDA Master Agreements, which would
cause the Master LLC to accelerate payment of any net liability owed to
the counterparty.
Foreign Currency Exchange Contracts: The Master LLC may enter into for-
eign currency exchange contracts as an economic hedge against either
specific transactions or portfolio positions (foreign currency exchange rate
risk). A foreign currency exchange contract is an agreement between two
parties to buy and sell a currency at a set exchange rate on a future date.
Foreign currency exchange contracts, when used by the Master LLC, help to
manage the overall exposure to the foreign currency backing some of the
investments held by the Master LLC. The contract is marked-to-market daily
and the change in market value is recorded by the Master LLC as an unre-
alized gain or loss. When the contract is closed, the Master LLC records a
realized gain or loss equal to the difference between the value at the time
it was opened and the value at the time it was closed. The use of foreign
currency exchange contracts involves the risk that counterparties may not
meet the terms of the agreement or unfavorable movements in the value
of a foreign currency relative to the US dollar.
Swaps: The Master LLC may enter into swap agreements, in which the
Master LLC and a counterparty agree to make periodic net payments on
a specified notional amount. These periodic payments received or made
by the Master LLC are recorded in the Statement of Operations as realized
gains or losses, respectively. Any upfront fees paid are recorded as assets
and any upfront fees received are recorded as liabilities and amortized
over the term of the swap. Swaps are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). When
the swap is terminated, the Master LLC will record a realized gain or loss
equal to the difference between the proceeds from (or cost of) the closing
transaction and the Master LLC’s basis in the contract, if any. Swap trans-
actions involve, to varying degrees, elements of interest rate, credit and
market risk in excess of the amounts recognized in the Statement 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 Master LLC may enter into credit default
swaps to manage its exposure to the market or certain sectors of the
market, to reduce its risk exposure to defaults of corporate and/or
sovereign issuers or to create exposure to corporate and/or sovereign
issuers to which it is not otherwise exposed (credit risk). The Master LLC
enters into credit default agreements to provide a measure of protec-
tion against the default of an issuer (as buyer protection) and/or gain
credit exposure to an issuer to which it is not otherwise exposed (as
seller of protection). The Master LLC may either buy or sell (write)
credit default swaps on single-name issuers (corporate or sovereign) or
traded indexes. Credit default swaps on single-name issuers are agree-
ments in which the buyer pays fixed periodic payments to the seller in
consideration for a guarantee from the seller to make a specific pay-
ment should a negative credit event take place (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 under-
lying securities included in the index occurs. As a buyer, if an underlying
credit event occurs, the Master LLC will either receive from the seller an
amount equal to the notional amount of the swap and deliver the refer-
enced security or underlying securities comprising of an index or receive
a net settlement of cash equal to the notional amount of the swap less
the recovery value of the security or underlying securities comprising of
an index. As a seller (writer), if an underlying credit event occurs, the
Master LLC 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 of an 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 of an index.
| Derivatives Instruments Categorized by Risk Exposure: | |||
| Values of Derivative Instruments as of February 28, 2010 | |||
|
| |||
| Asset Derivatives | Liability Derivatives | ||
| Statement | Statement | ||
| of Assets and | of Assets and | ||
| Liabilities | Liabilities | ||
| Location Value | Location | Value | |
| Unrealized | Unrealized | ||
| appreciation | depreciation | ||
| on foreign | on foreign | ||
| currency | curency | ||
| Foreign currency exchange | exchange | exchange | |
| contracts | contracts $1,636,220 | contracts | $64,758 |
| The Effect of Derivative Instruments on the Statement of Operations | |||
| Six Months Ended February 28, 2010 | |||
|
| |||
| Net Realized Gain (Loss) from | |||
|
| |||
| Foreign currency exchange contracts: | |||
| Foreign currency transactions | $ (516,772) | ||
| Credit contracts: | |||
| Swaps | (500,317) | ||
| Total | $(1,017,089) | ||
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 75
Notes to Financial Statements (continued) Master Senior Floating Rate LLC
| Net Change in Unrealized Appreciation/Depreciation on | |
| Foreign currency exchange contracts: | |
| Foreign currency transactions | $ 1,772,384 |
| Credit contracts: | |
| Swaps | 290,086 |
| Total | $ 2,062,470 |
| For the six months ended February 28, 2010, the average quarterly | |
| balance of outstanding derivative financial instruments was as follows: | |
| Foreign currency exchange contracts: | |
| Average number of contracts—US dollars purchased | 7 |
| Average number of contracts—US dollars sold | 1 |
| Average US dollar amounts purchased | $28,717,937 |
| Average US dollar amounts sold | $ 1,128,656 |
3. Investment Advisory Agreements and Other Transactions
with Affiliates:
The PNC Financial Services Group, Inc. ("PNC"), Bank of America
Corporation ("BAC"), and Barclays Bank PLC ("Barclays") are the largest
stockholders of BlackRock, Inc. ("BlackRock"). Due to the ownership
structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays
are not.
The Master LLC has entered into an Investment Advisory Agreement with
BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment
advisor, an indirect, wholly owned subsidiary of BlackRock, to provide
investment advisory and administration services.
The Manager is responsible for the management of the Master LLC’s portfo-
lio and provides the necessary personnel, facilities, equipment and certain
other services necessary to the operations of the Master LLC. For such
services, the Master LLC pays the Manager a monthly fee at an annual
rate of 0.95% of the average daily value of the Master LLC’s net assets.
The Manager has entered into a separate sub-advisory agreement with
BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager,
under which the Manager pays BFM for services it provides, a monthly fee
that is a percentage of the investment advisory fees paid by the Master LLC
to the Manager.
The Manager has voluntarily agreed to waive its advisory fees by the
amount of investment advisory fees the Master LLC pays to the Manager
indirectly through its investment in affiliated money market funds; however,
the Manager does not waive its advisory fees by the amount of investment
advisory fees through its investment in other affiliated investment compa-
nies. This amount is shown as fees waived by advisor in the Statement
of Operations.
For the six months ended February 28, 2010, the Master LLC reimbursed
the Manager $3,951 for certain accounting services, which is included in
accounting services in the Statement of Operations.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock or its affiliates.
4. Investments:
Purchases and sales of investments, including paydowns and excluding
short-term securities, for the six months ended February 28, 2010 were
$253,714,452 and $271,526,468, respectively.
5. Borrowings:
The Master LLC, along with certain other funds managed by the Manager
and its affiliates, is a party to a $500 million credit agreement with a group
of lenders, which was renewed until November 2010. The Master LLC may
borrow under the credit agreement to fund shareholder redemptions and
for other lawful purposes other than for leverage. The Master LLC may bor-
row up to the maximum amount allowable under the Master LLC’s current
Prospectus and Statement of Additional Information, subject to various
other legal, regulatory or contractual limits. Prior to its renewal the credit
agreement had the following terms: 0.02% upfront fee on the aggregate
commitment amount which was allocated to the Master LLC based on
its net assets as of October 31, 2008; a commitment fee of 0.08% per
annum based on the Master LLC’s pro rata share of the unused portion of
the credit agreement, which is included in miscellaneous in the Statement
of Operations, and interest at a rate equal to the higher of the (a) federal
funds effective rate and (b) reserve adjusted one-month LIBOR, plus, in
each case, the higher of (i) 1.50% and (ii) 50% of the CDX Index (as
defined in the credit agreement) on amounts borrowed. Effective November
2009, the credit agreement was renewed with the following terms: 0.02%
upfront fee on the aggregate commitment amount which was allocated to
the Master LLC based on its net assets as of October 31, 2009, a commit-
ment fee of 0.10% per annum on the Master LLC’s pro rata share of the
unused portion of the credit agreement and interest at a rate equal to the
higher of the (a) one-month LIBOR plus 1.25% per annum and (b) the
Fed Funds rate plus 1.25% per annum on amounts borrowed. For the six
months ended February 28, 2010, the daily average weighted interest
rate was 1.54%.
6. Market and Credit Risk:
In the normal course of business, the Master LLC invests in securities and
enters into transactions where risks exist due to fluctuations in the market
(market risk) or failure of the issuer of a security to meet all its obligations
(credit risk). The value of securities held by the Master LLC may decline in
response to certain events, including those directly involving the issuers
whose securities are owned by the Master LLC; conditions affecting the
general economy; overall market changes; local, regional or global political,
social or economic instability; and currency and interest rate and price
fluctuations. Similar to credit risk, the Master LLC may be exposed to coun-
terparty risk, or the risk that an entity with which the Master LLC has unset-
tled or open transactions may default. Financial assets, which potentially
expose the Master LLC to credit and counterparty risks, consist principally
of investments and cash due from counterparties. The extent of the Master
LLC’s exposure to credit and counterparty risks with respect to these finan-
cial assets is generally approximated by their value recorded in the Master
LLC’s Statement of Assets and Liabilities, less any collateral held by the
Master LLC.
76 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Notes to Financial Statements (concluded) Master Senior Floating Rate LLC
7. Commitments:
The Master LLC may invest in floating rate loans. In connection with these
investments, the Mater LLC may also enter into unfunded corporate loans
(“commitments”). Commitments may obligate the Master LLC to furnish
temporary financing to a borrower until permanent financing can be
arranged. In connection with these commitments, the Master LLC earns a
commitment fee, typically set as a percentage of the commitment amount.
Such fee income, which is classified in the Statement of Operations as
facility and other fees, is recognized ratably over the commitment period.
As of February 28, 2010, the Master LLC had the following unfunded
loan commitments:
| Value of | ||
| Unfunded | Underlying | |
| Commitment | Loan | |
| Borrower | (000) | (000) |
| New Vision | $2,185 | $2,082 |
| Vought Aircraft Industries, Inc | $ 40 | $ 42 |
8. Subsequent Events:
Management has evaluated the impact of all subsequent events on the
Master LLC through the date that the financial statements were issued and
has determined that there were no subsequent events requiring adjustment
or additional disclosure in the financial statements.
Officers and Directors
Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee
and Director
G. Nicholas Beckwith, III, Director
Richard S. Davis, Director
Frank J. Fabozzi, Director and Member of the Audit Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Henry Gabbay, Director
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
Anne Ackerley, Fund President and Chief Executive Officer
Brendan Kyne, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer of the Funds
Howard Surloff, Secretary
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor
BlackRock Financial
Management, Inc.
New York, NY 10055
Custodians
State Street Bank and Trust Company1
Boston, MA 02111
The Bank of New York Mellon2
New York, NY 10286
Transfer Agents
Common Shares
Computershare Trust Company, N.A.1
Providence, RI 02940
PNC Global Investment Servicing
(U.S.) Inc.2
Wilmington, DE 19809
Accounting Agent
State Street Bank and Trust Company
Princeton, NJ 08540
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Skadden, Arps, Slate, Meagher
& Flom LLP
New York, NY 10036
Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809
1 For BHL, DVF, FRA, and BLW.
2 For Senior Floating Rate and
Senior Floating Rate II.
Effective January 1, 2010, Kent Dixon, a Director of the Funds, retired.
Effective March 31, 2010, G. Nicholas Beckwith, III, a Director of the Funds, resigned.
The Funds’ Board of Directors wishes both Mr. Dixon and Mr. Beckwith well.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 77
Additional Information
Dividend Policy
The Funds’ dividend policy is to distribute all or a portion of their net
investment income to its shareholders on a monthly basis. In order to pro-
vide shareholders with a more stable level of dividend distributions, the
Funds may at times pay out less than the entire amount of net investment
income earned in any particular month and may at times in any particular
month pay out such accumulated but undistributed income in addition to
net investment income earned in that month. As a result, the dividends
paid by the Funds for any particular month may be more or less than the
amount of net investment income earned by the Funds during such month.
The Funds’ current accumulated but undistributed net investment income,
if any, is disclosed in the Statements of Assets and Liabilities, which com-
prises part of the financial information included in this report.
General Information
Electronic Delivery
Electronic copies of most financial reports are available on the Funds’ web-
sites or shareholders can sign up for e-mail notifications of quarterly state-
ments, annual and semi-annual reports by enrolling in the Funds’ electronic
delivery program.
Shareholders Who Hold Accounts with Investment Advisors, Banks
or Brokerages:
Please contact your financial advisor to enroll. Please note that not all
investment advisors, banks or brokerages may offer this service.
Householding
The Funds will mail only one copy of shareholder documents, including
annual and semi-annual reports and proxy statements, to shareholders
with multiple accounts at the same address. This practice is commonly
called “householding” and is intended to reduce expenses and eliminate
duplicate mailings of shareholder documents. Mailings of your shareholder
documents may be householded indefinitely unless you instruct us
otherwise. If you do not want the mailing of these documents to be
combined with those for other members of your household, please
call (800) 441-7762.
Availability of Quarterly Schedule of Investments
Each Fund/Master LLC files its complete schedule of portfolio holdings
with the Securities and Exchange Commission (“SEC”) for the first and third
quarters of each fiscal year on Form N-Q. The Funds’/Master LLC’s Forms
N-Q are available on the SEC’s website at http://www.sec.gov and may
also be reviewed and copied at the SEC’s Public Reference Room in
Washington, DC. Information on the operation of the Public Reference
Room may be obtained by calling (202) 551-8090. Each Fund’s/Master
LLC’s Forms N-Q may also be obtained upon request and without charge
by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that each Fund/Master LLC
uses to determine how to vote proxies relating to portfolio securities is
available (1) without charge, upon request, by calling (800) 441-7762; (2)
at www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Funds/Master LLC voted proxies relating to
securities held in each Fund’s/Master LLC’s portfolio during the most
recent 12-month period ended June 30 is available upon request and
without charge (1) at www.blackrock.com or by calling (800) 441-7762
and (2) on the SEC’s website at http://www.sec.gov.
78 SEMI-ANNUAL REPORT FEBRUARY 28, 2010
Additional Information (concluded)
Section 19(a) Notices
These reported amounts and sources of distributions are estimates and are not provided for tax reporting purposes. The actual amounts and sources for tax
reporting purposes will depend upon each Fund’s investment results during the year and may be subject to changes based on tax regulations. Each Fund
will provide a Form 1099-DIV for the calendar year that will explain the character of these dividends and distributions for federal income tax purposes.
| February 28, 2010 | ||||||||
| Total Cumulative Distributions | % Breakdown of the Total Cumulative | |||||||
| for the Fiscal Year-to-Date | Distributions for the Fiscal Year-to-Date | |||||||
| Net | Net Realized | Total Per | Net | Net Realized | Total Per | |||
| Investment | Capital | Return of | Common | Investment | Capital | Return of | Common | |
| Income | Gains | Capital | Share | Income | Gains | Capital | Share | |
| BHL | $0.34200 | — | — | $0.34200 | 100% | — | — | 100% |
| DVF | $0.37571 | — | $0.06529 | $0.44100 | 85% | — | 15% | 100% |
| FRA | $0.42400 | — | $0.06500 | $0.48900 | 87% | — | 13% | 100% |
| BLW | $0.42000 | — | — | $0.42000 | 100% | — | — | 100% |
Each Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be
a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder.
A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with ‘yield’ or ‘income.’
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and for-
mer fund investors and individual clients (collectively, “Clients”) and to
safeguarding their non-public personal information. The following infor-
mation is provided to help you understand what personal information
BlackRock collects, how we protect that information and why in certain
cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and
about you from different sources, including the following: (i) information we
receive from you or, if applicable, your financial intermediary, on applica-
tions, forms or other documents; (ii) information about your transactions
with us, our affiliates, or others; (iii) information we receive from a consumer
reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-
public personal information about its Clients, except as permitted by law
or as is necessary to respond to regulatory requests or to service Client
accounts. These non-affiliated third parties are required to protect the
confidentiality and security of this information and to use it only for its
intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services
that may be of interest to you. In addition, BlackRock restricts access
to non-public personal information about its Clients to those BlackRock
employees with a legitimate business need for the information. BlackRock
maintains physical, electronic and procedural safeguards that are designed
to protect the non-public personal information of its Clients, including pro-
cedures relating to the proper storage and disposal of such information.
SEMI-ANNUAL REPORT FEBRUARY 28, 2010 79
This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a represen-
tation of future performance. BlackRock Defined Opportunity Credit Trust, BlackRock Diversified Income Strategies Fund, Inc., BlackRock Floating Rate
Income Strategies Fund, Inc., BlackRock Limited Duration Income Trust, BlackRock Senior Floating Rate Fund, Inc. and BlackRock Senior Floating Rate
Fund II, Inc. leverage their Common Shares, which creates risk 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.
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 – Not Applicable to
this semi-annual report
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 – The registrant’s Nominating and
Governance Committee will consider nominees to the board of directors recommended by
shareholders when a vacancy becomes available. Shareholders who wish to recommend a
nominee should send nominations that include biographical information and set forth the
qualifications of the proposed nominee to the registrant’s Secretary. There have been no
material changes to these procedures.
Item 11 – Controls and Procedures
11(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 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.
11(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
12(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
12(a)(2) – Certifications – Attached hereto
12(a)(3) – Not Applicable
12(b) – Certifications – Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment
Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by
the undersigned, thereunto duly authorized.
BlackRock Floating Rate Income Strategies Fund, Inc.
By: /s/ Anne F. Ackerley
Anne F. Ackerley
Chief Executive Officer of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: April 28, 2010
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/ Anne F. Ackerley
Anne F. Ackerley
Chief Executive Officer (principal executive officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: April 28, 2010
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: April 28, 2010