UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO
HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21349
Name of Fund: BlackRock Limited Duration Income Trust (BLW)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Limited Duration Income Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2014
Date of reporting period: 11/30/2013
Item 1 – Schedule of Investments
Consolidated Schedule of Investments November 30, 2013 (Unaudited) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares |
Value | |||||||
Auto Components — 0.0% | |||||||||
Lear Corp. | 807 | $ | 66,908 | ||||||
Construction & Engineering — 0.0% | |||||||||
USI United Subcontractors (a) | 6,454 | 6,454 | |||||||
Diversified Financial Services — 0.3% | |||||||||
Kcad Holdings I Ltd. (a) | 384,412,912 | 2,191,154 | |||||||
Hotels, Restaurants & Leisure — 0.4% | |||||||||
BLB Worldwide Holdings, Inc. (a) | 51,947 | 1,272,701 | |||||||
Travelport Worldwide Ltd. (a) | 1,158,668 | 1,494,682 | |||||||
2,767,383 | |||||||||
Metals & Mining — 0.0% | |||||||||
Euramax International (a) | 234 | 56,088 | |||||||
Paper & Forest Products — 0.2% | |||||||||
NewPage Corp. (a) | 13,780 | 1,171,300 | |||||||
Software — 0.3% | |||||||||
HMH Holdings/EduMedia (a) | 128,441 | 1,990,836 | |||||||
Total Common Stocks — 1.2% | 8,250,123 | ||||||||
Asset-Backed Securities | Par (000) |
||||||||
Asset-Backed Securities — 6.7% | |||||||||
321 Henderson Receivables I LLC, Class A (b): | |||||||||
Series 2010-2A, 4.07%, 1/15/48 | USD | 1,302 | 1,401,124 | ||||||
Series 2010-3A, 3.82%, 12/15/48 | 3,758 | 4,000,700 | |||||||
ACAS CLO Ltd. (b)(c): | |||||||||
Series 2007-1A, Class A1S, 0.45%, 4/20/21 | 746 | 734,474 | |||||||
Series 2013-1A, Class D, 3.84%, 4/20/25 | 750 | 716,250 | |||||||
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.89%, 4/15/24 (b)(c) | 1,750 | 1,680,000 | |||||||
Aircraft Lease Securitisation, Ltd., Series 2007-1A, Class G3, 0.43%, 5/10/32 (b)(c) | 815 | 778,714 | |||||||
ALM Loan Funding (b)(c): | |||||||||
Series 2010-3AR, Class D, 4.49%, 11/20/20 | 4,000 | 4,000,000 | |||||||
Series 2013-7R2A, Class B, 2.86%, 4/24/24 | 865 | 837,493 | |||||||
Series 2013-7RA, Class C, 3.71%, 4/24/24 | 2,410 | 2,331,916 | |||||||
Series 2013-7RA, Class D, 5.26%, 4/24/24 | 1,040 | 956,488 | |||||||
Asset-Backed Securities | Par (000) |
Value | |||||||
Asset-Backed Securities (continued) | |||||||||
Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24 (b)(c) | USD | 1,100 | $ | 1,052,150 | |||||
Battalion CLO IV, Ltd., Series 2013-4A, Class C, 3.64%, 10/22/25 (b)(c) | 500 | 468,300 | |||||||
Capital One Multi-Asset Execution Trust, Series 4-3C, 6.63%, 4/19/17 | GBP | 2,650 | 4,415,434 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.24%, 2/14/25 (b)(c) | USD | 250 | 247,625 | ||||||
CarMax Auto Owner Trust 2012-3, Series 2012-3, Class D, 2.29%, 4/15/19 | 2,530 | 2,540,269 | |||||||
Cavalry CLO II, Series 2A, Class D, 4.24%, 1/17/24 (b)(c) | 500 | 490,000 | |||||||
Central Park CLO Ltd., Series 2011-1A, Class D, 3.44%, 7/23/22 (b)(c) | 500 | 481,250 | |||||||
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.33%, 10/25/47 (c) | 1,932 | 1,892,121 | |||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (b) | 2,883 | 2,703,089 | |||||||
ECP CLO Ltd., Series 2013-5A, Class C, 3.74%, 1/20/25 (b)(c) | 1,500 | 1,419,600 | |||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23 (b)(c) | 1,090 | 1,081,171 | |||||||
GSAA Trust, Series 2007-3, Class 1A2, 0.34%, 3/25/47 (c) | 2,832 | 1,347,171 | |||||||
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.74%, 4/15/25 (b)(c) | 1,000 | 957,100 | |||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.80%, 10/23/25 (b)(c) | 420 | 398,832 | |||||||
Neuberger Berman CLO XV, Series 2013-15A, Class C, 3.10%, 10/15/25 (b)(c) | 1,000 | 963,780 | |||||||
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.62%, 7/17/25 (b)(c) | 500 | 470,450 | |||||||
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 (b)(c) | 500 | 495,400 | |||||||
Regatta Funding LP, Series 2013-2A, Class C, 4.24%, 1/15/25 (b)(c) | 500 | 495,350 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 1 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) |
Value | |||||||
Asset-Backed Securities (concluded) | |||||||||
Santander Consumer Acquired Receivables Trust, Series 2011-S1A, Class D, 3.15%, 8/15/16 (b) | USD | 1,563 | $ | 1,566,653 | |||||
Santander Drive Auto Receivables Trust, Series 2011-S2A (b): | |||||||||
Class B, 2.06%, 6/15/17 | 241 | 242,317 | |||||||
Class C, 2.86%, 6/15/17 | 250 | 250,933 | |||||||
SLC Student Loan Trust, Series 2006-A, Class A4, 0.36%, 1/15/19 (c) | 183 | 183,185 | |||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22 | 3,000 | 3,071,184 | |||||||
44,670,523 | |||||||||
Interest Only Asset-Backed Securities — 0.2% | |||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b) | 8,801 | 635,332 | |||||||
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b) | 9,013 | 605,592 | |||||||
1,240,924 | |||||||||
Total Asset-Backed Securities — 6.9% | 45,911,447 | ||||||||
Corporate Bonds | |||||||||
Aerospace & Defense — 0.6% | |||||||||
DigitalGlobe, Inc., 5.25%, 2/01/21 (b)(d) | 928 | 904,800 | |||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 (d) | 570 | 621,300 | |||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 (d) | 1,966 | 2,128,195 | |||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b) | 339 | 352,503 | |||||||
4,006,798 | |||||||||
Airlines — 2.5% | |||||||||
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b) | 651 | 647,745 | |||||||
American Airlines Pass-Through Trust, Series 2013-2 (b): | |||||||||
Class A, 4.95%, 7/15/24 (d) | 3,250 | 3,404,375 | |||||||
Class B, 5.60%, 1/15/22 | 755 | 757,831 | |||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (d) | 2,090 | 2,163,150 | |||||||
Corporate Bonds | Par (000) |
Value | |||||||
Airlines (concluded) | |||||||||
Continental Airlines, Inc., 6.75%, 9/15/15 (b)(d) | USD | 1,350 | $ | 1,387,125 | |||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 | 234 | 264,932 | |||||||
United Continental Holdings, Inc., 6.00%, 12/01/20 | 950 | 945,250 | |||||||
US Airways Pass-Through Trust, Class C (d): | |||||||||
Series 2011-1, 10.88%, 10/22/14 | 847 | 887,267 | |||||||
Series 2012-1, 9.13%, 10/01/15 | 2,115 | 2,220,757 | |||||||
Virgin Australia Trust (b): | |||||||||
Series 2013-1A, 5.00%, 10/23/23 | 800 | 817,697 | |||||||
Series 2013-1B, 6.00%, 10/23/20 | 1,700 | 1,742,500 | |||||||
Series 2013-1, Class C, 7.13%, 10/23/18 | 1,240 | 1,244,550 | |||||||
16,483,179 | |||||||||
Auto Components — 1.0% | |||||||||
Affinia Group, Inc., 7.75%, 5/01/21 (b)(d) | 1,095 | 1,144,275 | |||||||
Brighthouse Group PLC, 7.88%, 5/15/18 | GBP | 100 | 168,539 | ||||||
GKN Holdings PLC, 5.38%, 9/19/22 | 120 | 207,989 | |||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | USD | 610 | 636,687 | ||||||
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20 | GBP | 554 | 1,022,090 | ||||||
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (b) | USD | 445 | 462,800 | ||||||
Rhino Bondco SpA, 7.25%, 11/15/20 | EUR | 110 | 151,538 | ||||||
Schaeffler Holding Finance BV (e): | |||||||||
6.88%, 8/15/18 (b)(d) | USD | 1,085 | 1,155,525 | ||||||
6.88%, 8/15/18 | EUR | 375 | 543,690 | ||||||
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18 | 342 | 486,384 | |||||||
Titan International, Inc., 6.88%, 10/01/20 (b) | USD | 555 | 573,038 | ||||||
6,552,555 | |||||||||
Automobiles — 0.5% | |||||||||
Ford Motor Co., 4.25%, 11/15/16 (f) | 434 | 878,036 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 2 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Automobiles (concluded) | |||||||||
General Motors Co., 3.50%, 10/02/18 (b)(d) | USD | 2,478 | $ | 2,524,463 | |||||
3,402,499 | |||||||||
Beverages — 0.0% | |||||||||
Constellation Brands, Inc., 7.25%, 5/15/17 | 82 | 95,018 | |||||||
Building Products — 1.2% | |||||||||
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b) | 415 | 420,188 | |||||||
Builders FirstSource, Inc., 7.63%, 6/01/21 (b)(d) | 890 | 923,375 | |||||||
Building Materials Corp. of America (b)(d): | |||||||||
7.00%, 2/15/20 | 1,345 | 1,445,875 | |||||||
6.75%, 5/01/21 | 1,030 | 1,109,825 | |||||||
CPG Merger Sub LLC, 8.00%, 10/01/21 (b)(d) | 1,030 | 1,073,775 | |||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 530 | 557,825 | |||||||
Texas Industries, Inc., 9.25%, 8/15/20 | 523 | 573,992 | |||||||
USG Corp., 9.75%, 1/15/18 (d) | 1,390 | 1,626,300 | |||||||
7,731,155 | |||||||||
Capital Markets — 0.4% | |||||||||
American Capital Ltd., 6.50%, 9/15/18 (b)(d) | 975 | 1,010,344 | |||||||
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(f)(g) | 249 | 431,392 | |||||||
KCG Holdings, Inc., 8.25%, 6/15/18 (b) | 240 | 246,900 | |||||||
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (b)(d) | 1,097 | 1,139,615 | |||||||
2,828,251 | |||||||||
Chemicals — 1.4% | |||||||||
Ashland, Inc., 3.88%, 4/15/18 (d) | 675 | 678,375 | |||||||
Chemtura Corp., 5.75%, 7/15/21 | 200 | 202,500 | |||||||
Huntsman International LLC, 8.63%, 3/15/21 (d) | 655 | 733,600 | |||||||
INEOS Finance PLC, 7.50%, 5/01/20 (b)(d) | 445 | 487,275 | |||||||
INEOS Group Holdings SA: | |||||||||
6.13%, 8/15/18 (b) | 680 | 684,250 | |||||||
6.50%, 8/15/18 | EUR | 328 | 452,916 | ||||||
LSB Industries, Inc., 7.75%, 8/01/19 (b) | USD | 301 | 313,793 | ||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b)(d) | 320 | 331,200 | |||||||
Corporate Bonds | Par (000) |
Value | |||||||
Chemicals (concluded) | |||||||||
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (b)(d) | USD | 898 | $ | 992,290 | |||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (b) | 260 | 260,975 | |||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (d) | 3,175 | 3,262,312 | |||||||
Solvay Finance SA, 4.20% (c)(h) | EUR | 360 | 494,451 | ||||||
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV: | |||||||||
5.75%, 2/01/21 | 200 | 281,978 | |||||||
7.38%, 5/01/21 (b) | USD | 398 | 421,880 | ||||||
9,597,795 | |||||||||
Commercial Banks — 2.3% | |||||||||
BNP Paribas SA, 2.38%, 9/14/17 (d) | 3,225 | 3,310,572 | |||||||
CIT Group, Inc. (d): | |||||||||
5.00%, 5/15/17 | 890 | 950,075 | |||||||
5.50%, 2/15/19 (b) | 1,370 | 1,476,175 | |||||||
HSBC Bank PLC, 3.10%, 5/24/16 (b)(d) | 2,560 | 2,694,817 | |||||||
HSBC Holdings PLC, 6.25%, 3/19/18 | EUR | 1,000 | 1,587,823 | ||||||
ING Bank NV, 2.00%, 9/25/15 (b)(d) | USD | 3,245 | 3,296,660 | ||||||
Lloyds Bank PLC, 11.88%, 12/16/21 (c) | EUR | 52 | 87,616 | ||||||
Nordea Bank AB, 4.50%, 3/26/20 | 1,020 | 1,526,626 | |||||||
14,930,364 | |||||||||
Commercial Services & Supplies — 1.6% | |||||||||
AA Bond Co., Ltd., 9.50%, 7/31/43 | GBP | 200 | 357,531 | ||||||
ACCO Brands Corp., 6.75%, 4/30/20 | USD | 100 | 99,625 | ||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b) | 292 | 308,790 | |||||||
The ADT Corp., 6.25%, 10/15/21 (b) | 401 | 418,544 | |||||||
ARAMARK Corp., 5.75%, 3/15/20 (b)(d) | 712 | 742,260 | |||||||
Aviation Capital Group Corp., 4.63%, 1/31/18 (b)(d) | 1,000 | 1,023,961 | |||||||
Bilbao Luxembourg SA, 10.50%, 12/01/18 (e) | EUR | 100 | 133,162 | ||||||
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b) | USD | 617 | 629,340 | ||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 63 | 67,337 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 3 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Commercial Services & Supplies (concluded) | |||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 | USD | 306 | $ | 311,355 | |||||
Covanta Holding Corp., 6.38%, 10/01/22 | 100 | 103,047 | |||||||
EC Finance PLC, 9.75%, 8/01/17 | EUR | 100 | 148,449 | ||||||
Interactive Data Corp., 10.25%, 8/01/18 (d) | USD | 2,210 | 2,489,123 | ||||||
Mobile Mini, Inc., 7.88%, 12/01/20 (d) | 915 | 1,008,787 | |||||||
United Rentals North America, Inc. (d): | |||||||||
5.75%, 7/15/18 | 494 | 530,433 | |||||||
7.63%, 4/15/22 | 1,518 | 1,700,160 | |||||||
Verisure Holding AB: | |||||||||
8.75%, 9/01/18 | EUR | 199 | 296,090 | ||||||
8.75%, 12/01/18 | 111 | 162,214 | |||||||
West Corp., 8.63%, 10/01/18 | USD | 165 | 179,644 | ||||||
10,709,852 | |||||||||
Communications Equipment — 2.0% | |||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 (d)(f) | 6,670 | 6,753,375 | |||||||
Alcatel-Lucent USA, Inc., 6.75%, 11/15/20 (b)(d) | 1,770 | 1,785,487 | |||||||
Avaya, Inc., 7.00%, 4/01/19 (b) | 437 | 424,983 | |||||||
CommScope Holding Co., Inc., 6.63%, 6/01/20 (b)(e) | 605 | 626,175 | |||||||
Zayo Group LLC/Zayo Capital, Inc. (d): | |||||||||
8.13%, 1/01/20 | 1,800 | 1,984,500 | |||||||
10.13%, 7/01/20 | 1,460 | 1,686,300 | |||||||
13,260,820 | |||||||||
Construction & Engineering — 0.1% | |||||||||
Astaldi SpA, 7.13%, 12/01/20 | EUR | 215 | 303,623 | ||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b) | USD | 258 | 270,255 | ||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (b) | 320 | 307,200 | |||||||
881,078 | |||||||||
Construction Materials — 1.5% | |||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 | EUR | 154 | 234,445 | ||||||
HD Supply, Inc.: | |||||||||
8.13%, 4/15/19 (d) | USD | 4,285 | 4,783,131 | ||||||
11.00%, 4/15/20 (d) | 770 | 914,375 | |||||||
7.50%, 7/15/20 (d) | 2,696 | 2,857,760 | |||||||
11.50%, 7/15/20 | 335 | 400,325 | |||||||
Corporate Bonds | Par (000) |
Value | |||||||
Construction Materials (concluded) | |||||||||
HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20 | EUR | 64 | $ | 106,313 | |||||
Lafarge SA, 4.75%, 9/30/20 | 245 | 348,899 | |||||||
9,645,248 | |||||||||
Consumer Finance — 0.7% | |||||||||
Ford Motor Credit Co. LLC (d): | |||||||||
3.88%, 1/15/15 | USD | 2,475 | 2,558,133 | ||||||
7.00%, 4/15/15 | 400 | 432,855 | |||||||
Hyundai Capital America, 3.75%, 4/06/16 (b)(d) | 1,285 | 1,347,729 | |||||||
IVS F. SpA, 7.13%, 4/01/20 | EUR | 235 | 328,099 | ||||||
Springleaf Finance Corp. (b): | |||||||||
7.75%, 10/01/21 | USD | 52 | 55,250 | ||||||
8.25%, 10/01/23 | 94 | 101,050 | |||||||
4,823,116 | |||||||||
Containers & Packaging — 0.3% | |||||||||
Ardagh Packaging Finance PLC: | |||||||||
7.38%, 10/15/17 | EUR | 100 | 145,392 | ||||||
5.00%, 11/15/22 | 260 | 350,639 | |||||||
Berry Plastics Corp., 9.75%, 1/15/21 | USD | 290 | 337,487 | ||||||
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 | EUR | 274 | 372,311 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (d) | USD | 144 | 155,520 | ||||||
OI European Group BV, 4.88%, 3/31/21 | EUR | 311 | 442,280 | ||||||
1,803,629 | |||||||||
Distributors — 0.1% | |||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (d) | USD | 874 | 935,180 | ||||||
Diversified Consumer Services — 0.6% | |||||||||
APX Group, Inc.: | |||||||||
6.38%, 12/01/19 | 566 | 571,660 | |||||||
8.75%, 12/01/20 (d) | 1,387 | 1,425,143 | |||||||
Garda World Security Corp., 7.25%, 11/15/21 (b) | 275 | 279,125 | |||||||
Laureate Education, Inc., 9.25%, 9/01/19 (b)(d) | 1,460 | 1,598,700 | |||||||
3,874,628 | |||||||||
Diversified Financial Services — 3.7% | |||||||||
Aircastle Ltd., 6.25%, 12/01/19 (d) | 367 | 396,360 | |||||||
Ally Financial, Inc. (d): | |||||||||
8.30%, 2/12/15 | 2,460 | 2,656,800 | |||||||
8.00%, 11/01/31 | 2,766 | 3,282,600 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 4 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Diversified Financial Services (concluded) | |||||||||
Citigroup, Inc., 5.95% (c)(d)(h) | USD | 1,370 | $ | 1,279,237 | |||||
Co-Operative Group Ltd.: | |||||||||
6.88%, 7/08/20 | GBP | 300 | 499,476 | ||||||
7.50%, 7/08/26 (i) | 600 | 997,500 | |||||||
DPL, Inc.: | |||||||||
6.50%, 10/15/16 | USD | 70 | 75,600 | ||||||
7.25%, 10/15/21 | 185 | 188,700 | |||||||
Gala Group Finance PLC, 8.88%, 9/01/18 | GBP | 700 | 1,231,315 | ||||||
The Goldman Sachs Group, Inc., 3.30%, 5/03/15 (d) | USD | 3,285 | 3,395,103 | ||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)(d) | 585 | 606,206 | |||||||
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (b) | 567 | 559,913 | |||||||
Leucadia National Corp., 8.13%, 9/15/15 (d) | 1,870 | 2,075,700 | |||||||
Macquarie Bank Ltd., 10.25%, 6/20/57 (c) | 1,450 | 1,631,250 | |||||||
Reynolds Group Issuer, Inc.: | |||||||||
7.13%, 4/15/19 (d) | 1,294 | 1,384,580 | |||||||
9.00%, 4/15/19 | 180 | 192,600 | |||||||
9.88%, 8/15/19 | 535 | 593,850 | |||||||
5.75%, 10/15/20 (d) | 800 | 820,000 | |||||||
6.88%, 2/15/21 (d) | 820 | 885,600 | |||||||
WMG Acquisition Corp.: | |||||||||
11.50%, 10/01/18 | 753 | 871,598 | |||||||
6.00%, 1/15/21 (b)(d) | 841 | 876,743 | |||||||
24,500,731 | |||||||||
Diversified Telecommunication Services — 3.9% | |||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 (d) | 906 | 921,855 | |||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 | 735 | 805,744 | |||||||
Level 3 Financing, Inc.: | |||||||||
4.15%, 2/15/15 (c)(d) | 1,725 | 1,725,949 | |||||||
3.83%, 1/15/18 (b)(c) | 411 | 414,082 | |||||||
8.13%, 7/01/19 (d) | 3,083 | 3,375,885 | |||||||
7.00%, 6/01/20 | 495 | 524,700 | |||||||
6.13%, 1/15/21 (b)(d) | 1,682 | 1,707,230 | |||||||
Telecom Italia SpA: | |||||||||
6.38%, 6/24/19 | GBP | 200 | 339,107 | ||||||
4.88%, 9/25/20 | EUR | 220 | 300,606 | ||||||
5.88%, 5/19/23 | GBP | 450 | 698,425 | ||||||
Series TIT, 6.13%, 11/15/16 | EUR | 300 | 417,464 | ||||||
Telenet Finance V Luxembourg SCA: | |||||||||
6.25%, 8/15/22 | 271 | 388,562 | |||||||
6.75%, 8/15/24 | 397 | 570,300 | |||||||
Verizon Communications, Inc., 3.65%, 9/14/18 (d) | USD | 13,000 | 13,821,418 | ||||||
Corporate Bonds | Par (000) |
Value | |||||||
Diversified Telecommunication Services (concluded) | |||||||||
Windstream Corp., 7.75%, 10/15/20 | USD | 46 | $ | 49,220 | |||||
26,060,547 | |||||||||
Electric Utilities — 0.2% | |||||||||
Homer City Generation LP (e): | |||||||||
8.14%, 10/01/19 | 345 | 356,213 | |||||||
8.73%, 10/01/26 | 495 | 508,612 | |||||||
Mirant Mid Atlantic Pass-Through Trust B, Series B, 9.13%, 6/30/17 (d) | 538 | 568,212 | |||||||
1,433,037 | |||||||||
Electrical Equipment — 0.4% | |||||||||
Belden, Inc., 5.50%, 4/15/23 | EUR | 140 | 186,427 | ||||||
Pentair Finance SA, 1.88%, 9/15/17 (d) | USD | 371 | 369,485 | ||||||
Rexel SA, 5.13%, 6/15/20 | EUR | 439 | 632,304 | ||||||
Techem GmbH: | |||||||||
6.13%, 10/01/19 | 300 | 442,290 | |||||||
7.88%, 10/01/20 | 106 | 160,597 | |||||||
Trionista Holdco GmbH, 5.00%, 4/30/20 | 410 | 565,521 | |||||||
Trionista TopCo GmbH, 6.88%, 4/30/21 | 100 | 142,144 | |||||||
2,498,768 | |||||||||
Energy Equipment & Services — 1.9% | |||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b)(d) | USD | 503 | 509,287 | ||||||
CGG, 7.75%, 5/15/17 (d) | 330 | 339,488 | |||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (d) | 185 | 187,775 | |||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (d) | 375 | 386,250 | |||||||
MEG Energy Corp. (b)(d): | |||||||||
6.50%, 3/15/21 | 358 | 372,320 | |||||||
7.00%, 3/31/24 | 864 | 881,280 | |||||||
Oil States International, Inc. (d): | |||||||||
6.50%, 6/01/19 | 1,614 | 1,716,892 | |||||||
5.13%, 1/15/23 | 908 | 1,019,230 | |||||||
Peabody Energy Corp. (d): | |||||||||
6.00%, 11/15/18 | 1,004 | 1,066,750 | |||||||
6.25%, 11/15/21 | 991 | 1,013,297 | |||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b)(d) | 535 | 548,375 | |||||||
Seadrill Ltd., 5.63%, 9/15/17 (b) | 2,320 | 2,383,800 | |||||||
Transocean, Inc. (d): | |||||||||
4.95%, 11/15/15 | 1,040 | 1,116,537 | |||||||
5.05%, 12/15/16 | 180 | 198,624 | |||||||
2.50%, 10/15/17 | 725 | 735,502 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 5 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Energy Equipment & Services (concluded) | |||||||||
Transocean, Inc. (d) (concluded): | |||||||||
6.00%, 3/15/18 | USD | 230 | $ | 260,504 | |||||
12,735,911 | |||||||||
Food & Staples Retailing — 0.8% | |||||||||
Bakkavor Finance 2 PLC: | |||||||||
8.25%, 2/15/18 | GBP | 312 | 544,986 | ||||||
8.75%, 6/15/20 | 200 | 357,532 | |||||||
Brakes Capital, 7.13%, 12/15/18 | 1,655 | 2,700,223 | |||||||
R&R Ice Cream PLC, 9.25%, 5/15/18 (e) | EUR | 314 | 439,463 | ||||||
Rite Aid Corp., 9.25%, 3/15/20 (d) | USD | 1,095 | 1,263,356 | ||||||
5,305,560 | |||||||||
Food Products — 0.3% | |||||||||
Findus Bondco SA: | |||||||||
9.13%, 7/01/18 | EUR | 187 | 278,235 | ||||||
9.50%, 7/01/18 | GBP | 100 | 177,538 | ||||||
Post Holdings, Inc., 6.75%, 12/01/21 (b) | USD | 252 | 257,040 | ||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 (d) | 783 | 827,044 | |||||||
Sun Merger Sub, Inc. (b): | |||||||||
5.25%, 8/01/18 | 207 | 216,315 | |||||||
5.88%, 8/01/21 | 193 | 199,755 | |||||||
Univeg Holding BV, 7.88%, 11/15/20 | EUR | 135 | 182,521 | ||||||
2,138,448 | |||||||||
Gas Utilities — 0.2% | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.88%, 10/15/18 (d) | USD | 1,515 | 1,643,775 | ||||||
Health Care Equipment & Supplies — 1.1% | |||||||||
Biomet, Inc. (d): | |||||||||
6.50%, 8/01/20 | 1,720 | 1,823,200 | |||||||
6.50%, 10/01/20 | 418 | 434,720 | |||||||
CareFusion Corp., 5.13%, 8/01/14 (d) | 3,000 | 3,087,651 | |||||||
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (d) | 413 | 452,235 | |||||||
IDH Finance PLC, 6.00%, 12/01/18 | GBP | 113 | 187,213 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 | USD | 328 | 362,440 | ||||||
Teleflex, Inc., 6.88%, 6/01/19 (d) | 675 | 708,750 | |||||||
7,056,209 | |||||||||
Corporate Bonds | Par (000) |
Value | |||||||
Health Care Providers & Services — 1.7% | |||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp.: | |||||||||
7.75%, 2/15/19 (d) | USD | 995 | $ | 1,069,625 | |||||
6.00%, 10/15/21 (b) | 232 | 237,800 | |||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 (d) | 490 | 509,600 | |||||||
Crown Newco 3 PLC, 7.00%, 2/15/18 | GBP | 441 | 755,343 | ||||||
HCA, Inc. (d): | |||||||||
7.88%, 2/15/20 | USD | 1,896 | 2,045,310 | ||||||
7.25%, 9/15/20 | 711 | 776,768 | |||||||
Hologic, Inc., 6.25%, 8/01/20 (d) | 1,289 | 1,359,895 | |||||||
LifePoint Hospitals, Inc., 5.50%, 12/01/21 (b)(j) | 240 | 241,200 | |||||||
Tenet Healthcare Corp.: | |||||||||
6.25%, 11/01/18 (d) | 1,134 | 1,241,730 | |||||||
8.00%, 8/01/20 (d) | 775 | 844,750 | |||||||
6.00%, 10/01/20 (b) | 461 | 481,745 | |||||||
8.13%, 4/01/22 (d) | 1,198 | 1,299,830 | |||||||
Voyage Care Bondco PLC, 6.50%, 8/01/18 | GBP | 355 | 589,600 | ||||||
11,453,196 | |||||||||
Health Care Technology — 0.8% | |||||||||
IMS Health, Inc., 12.50%, 3/01/18 (b)(d) | USD | 4,300 | 5,074,000 | ||||||
Hotels, Restaurants & Leisure — 4.1% | |||||||||
Carlson Wagonlit BV, 6.88%, 6/15/19 (b)(d) | 370 | 382,950 | |||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 355 | 507,699 | ||||||
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (f) | GBP | 100 | 169,030 | ||||||
Enterprise Inns PLC, 6.50%, 12/06/18 | 926 | 1,575,822 | |||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 | EUR | 290 | 415,757 | ||||||
GLP Capital LP/GLP Financing II, Inc. (b): | |||||||||
4.38%, 11/01/18 | USD | 357 | 364,140 | ||||||
4.88%, 11/01/20 | 458 | 456,855 | |||||||
Intralot Finance Luxembourg SA, 9.75%, 8/15/18 | EUR | 480 | 706,848 | ||||||
Isle of Capri Casinos, Inc.: | |||||||||
7.75%, 3/15/19 | USD | 70 | 74,900 | ||||||
5.88%, 3/15/21 | 294 | 285,180 | |||||||
MCE Finance Ltd., 5.00%, 2/15/21 (b)(d) | 941 | 910,418 | |||||||
Playa Resorts Holding BV, 8.00%, 8/15/20 (b) | 165 | 173,250 | |||||||
PNK Finance Corp., 6.38%, 8/01/21 (b) | 518 | 534,835 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 6 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Hotels, Restaurants & Leisure (concluded) | |||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)(d) | USD | 576 | $ | 564,480 | |||||
Snai SpA, 7.63%, 6/15/18 | EUR | 205 | 283,150 | ||||||
Spirit Issuer PLC (c): | |||||||||
Series A1, 1.07%, 12/28/28 | GBP | 655 | 876,177 | ||||||
Series A2, 3.22%, 12/28/31 | 1,800 | 2,577,172 | |||||||
Series A5, 5.47%, 12/28/28 | 4,500 | 6,792,689 | |||||||
Series A6, 2.32%, 12/28/36 | 2,670 | 4,008,484 | |||||||
Station Casinos LLC, 7.50%, 3/01/21 (d) | USD | 2,245 | 2,396,538 | ||||||
Travelport LLC/Travelport Holdings, Inc., 11.88%, 9/01/16 (b) | 78 | 78,404 | |||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(k) | 375 | — | |||||||
The Unique Pub Finance Co. PLC: | |||||||||
Series A3, 6.54%, 3/30/21 | GBP | 400 | 682,337 | ||||||
Series A4, 5.66%, 6/30/27 | 822 | 1,318,210 | |||||||
Vougeot Bidco PLC, 7.88%, 7/15/20 | 218 | 378,116 | |||||||
Wynn Macau Ltd., 5.25%, 10/15/21 (b)(d) | USD | 428 | 432,280 | ||||||
26,945,721 | |||||||||
Household Durables — 1.4% | |||||||||
Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18 | EUR | 530 | 784,979 | ||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (b)(d) | USD | 510 | 499,800 | ||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 (d) | 910 | 978,250 | |||||||
Berkline/Benchcraft LLC, 4.50%, 11/03/14 (a)(k) | 200 | — | |||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b)(d) | 925 | 964,313 | |||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b) | 259 | 257,705 | |||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)(d) | 2,130 | 2,252,475 | |||||||
KB Home, 7.25%, 6/15/18 (d) | 880 | 963,600 | |||||||
Libbey Glass, Inc., 6.88%, 5/15/20 (d) | 226 | 241,255 | |||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 248 | 382,475 | ||||||
Standard Pacific Corp., 8.38%, 1/15/21 (d) | USD | 1,000 | 1,150,000 | ||||||
Corporate Bonds | Par (000) |
Value | |||||||
Household Durables (concluded) | |||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b) | USD | 597 | $ | 576,105 | |||||
9,050,957 | |||||||||
Household Products — 0.2% | |||||||||
Ontex IV SA, 9.00%, 4/15/19 | EUR | 353 | 518,787 | ||||||
Spectrum Brands Escrow Corp. (b): | |||||||||
6.38%, 11/15/20 | USD | 250 | 266,250 | ||||||
6.63%, 11/15/22 | 285 | 303,525 | |||||||
1,088,562 | |||||||||
Independent Power Producers & Energy Traders — 1.9% | |||||||||
AES Corp., 7.75%, 10/15/15 (d) | 972 | 1,074,060 | |||||||
Calpine Corp. (b): | |||||||||
7.50%, 2/15/21 | 147 | 160,230 | |||||||
6.00%, 1/15/22 | 143 | 146,933 | |||||||
5.88%, 1/15/24 | 438 | 435,810 | |||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: | |||||||||
6.88%, 8/15/17 (b) | 625 | 640,625 | |||||||
10.00%, 12/01/20 | 390 | 414,375 | |||||||
10.00%, 12/01/20 (b)(d) | 2,105 | 2,231,300 | |||||||
12.25%, 3/01/22 (b) | 3,408 | 3,953,280 | |||||||
GenOn REMA LLC: | |||||||||
Series B, 9.24%, 7/02/17 | 247 | 254,213 | |||||||
Series C, 9.68%, 7/02/26 (d) | 1,001 | 1,031,030 | |||||||
Laredo Petroleum, Inc.: | |||||||||
9.50%, 2/15/19 | 630 | 702,450 | |||||||
7.38%, 5/01/22 | 515 | 557,487 | |||||||
NRG Energy, Inc., 7.63%, 1/15/18 (d) | 913 | 1,040,820 | |||||||
12,642,613 | |||||||||
Insurance — 1.8% | |||||||||
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (d) | 3,000 | 3,473,064 | |||||||
American International Group, Inc., 3.00%, 3/20/15 (d) | 3,120 | 3,212,764 | |||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (b)(d) | 304 | 325,280 | |||||||
Forethought Financial Group, Inc., 8.63%, 4/15/21 (b)(d) | 750 | 826,300 | |||||||
Galaxy Bidco Ltd., 6.38%, 11/15/20 | GBP | 100 | 163,630 | ||||||
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (b) | USD | 255 | 263,606 | ||||||
Liberty Mutual Group, Inc., 7.00%, 3/15/37 (b)(c)(d) | 1,575 | 1,638,000 | |||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) | 595 | 614,338 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 7 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Insurance (concluded) | |||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (c) | EUR | 400 | $ | 637,536 | |||||
TMF Group Holding BV, 9.88%, 12/01/19 (c) | 310 | 454,927 | |||||||
11,609,445 | |||||||||
Internet Software & Services — 0.1% | |||||||||
Cerved Group SpA: | |||||||||
6.38%, 1/15/20 | 100 | 143,989 | |||||||
8.00%, 1/15/21 | 100 | 144,237 | |||||||
Equinix, Inc., 4.88%, 4/01/20 | USD | 139 | 138,652 | ||||||
IAC/InterActiveCorp, 4.88%, 11/30/18 (b) | 495 | 505,519 | |||||||
932,397 | |||||||||
IT Services — 2.3% | |||||||||
Ceridian Corp., 8.88%, 7/15/19 (b)(d) | 1,395 | 1,612,969 | |||||||
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)(d) | 1,004 | 1,159,620 | |||||||
Epicor Software Corp., 8.63%, 5/01/19 (d) | 1,260 | 1,370,250 | |||||||
First Data Corp. (b): | |||||||||
7.38%, 6/15/19 (d) | 1,775 | 1,899,250 | |||||||
6.75%, 11/01/20 (d) | 1,250 | 1,309,375 | |||||||
11.75%, 8/15/21 | 582 | 603,825 | |||||||
SunGard Data Systems, Inc., 6.63%, 11/01/19 (d) | 1,040 | 1,085,500 | |||||||
The Western Union Co. (d): | |||||||||
2.88%, 12/10/17 | 4,000 | 4,105,212 | |||||||
3.35%, 5/22/19 | 1,650 | 1,665,008 | |||||||
WEX, Inc., 4.75%, 2/01/23 (b)(d) | 550 | 507,375 | |||||||
15,318,384 | |||||||||
Machinery — 0.0% | |||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (b) | 167 | 170,340 | |||||||
Media — 4.0% | |||||||||
Adria Bidco BV, 7.88%, 11/15/20 | EUR | 140 | 190,470 | ||||||
AMC Networks, Inc., 7.75%, 7/15/21 (d) | USD | 865 | 973,125 | ||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(b)(k) | 509 | 394,475 | |||||||
Checkout Holding Corp., 10.72%, 11/15/15 (b)(d)(g) | 1,056 | 860,640 | |||||||
Clear Channel Communications, Inc., 9.00%, 3/01/21 | 1,311 | 1,324,110 | |||||||
Clear Channel Worldwide Holdings, Inc.: | |||||||||
7.63%, 3/15/20 (d) | 677 | 714,235 | |||||||
6.50%, 11/15/22 (d) | 965 | 993,950 | |||||||
6.50%, 11/15/22 | 213 | 220,455 | |||||||
Corporate Bonds | Par (000) |
Value | |||||||
Media (continued) | |||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.13%, 2/15/16 (d) | USD | 3,000 | $ | 3,128,679 | |||||
DISH DBS Corp. (d): | |||||||||
7.13%, 2/01/16 | 200 | 221,000 | |||||||
4.25%, 4/01/18 | 1,330 | 1,353,275 | |||||||
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b) | 305 | 324,063 | |||||||
Gannett Co., Inc. (b): | |||||||||
5.13%, 10/15/19 | 197 | 203,156 | |||||||
5.13%, 7/15/20 | 218 | 222,360 | |||||||
6.38%, 10/15/23 | 304 | 316,920 | |||||||
Gray Television, Inc., 7.50%, 10/01/20 (b)(d) | 428 | 450,470 | |||||||
Intelsat Jackson Holdings SA: | |||||||||
7.25%, 10/15/20 (d) | 1,660 | 1,813,550 | |||||||
5.50%, 8/01/23 (b) | 515 | 493,112 | |||||||
Intelsat Luxembourg SA, 6.75%, 6/01/18 (b)(d) | 910 | 953,225 | |||||||
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b) | 185 | 199,800 | |||||||
The McClatchy Co., 9.00%, 12/15/22 | 330 | 358,050 | |||||||
MDC Partners, Inc., 6.75%, 4/01/20 (b) | 493 | 512,720 | |||||||
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b) | 245 | 248,675 | |||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) | 345 | 356,212 | |||||||
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b) | 580 | 585,800 | |||||||
Sirius XM Holdings, Inc. (b): | |||||||||
5.88%, 10/01/20 | 342 | 352,688 | |||||||
5.75%, 8/01/21 | 424 | 429,300 | |||||||
4.63%, 5/15/23 | 311 | 277,568 | |||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 1,175 | 1,175,000 | |||||||
Townsquare Radio LLC / Townsquare Radio, Inc., 9.00%, 4/01/19 (b)(d) | 789 | 848,175 | |||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: | |||||||||
7.50%, 3/15/19 | 1,440 | 1,566,000 | |||||||
5.63%, 4/15/23 | EUR | 104 | 142,409 | ||||||
Univision Communications, Inc., 6.75%, 9/15/22 (b)(d) | USD | 286 | 314,600 | ||||||
Virgin Media Secured Finance PLC: | |||||||||
6.50%, 1/15/18 (d) | 1,000 | 1,036,250 | |||||||
6.00%, 4/15/21 | GBP | 1,274 | 2,141,974 | ||||||
Ziggo BV, 3.63%, 3/27/20 | EUR | 455 | 618,254 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 8 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Media (concluded) | |||||||||
Ziggo Finance BV, 6.13%, 11/15/17 | EUR | 100 | $ | 140,293 | |||||
26,455,038 | |||||||||
Metals & Mining — 2.0% | |||||||||
APERAM (b): | |||||||||
7.38%, 4/01/16 | USD | 150 | 154,875 | ||||||
7.75%, 4/01/18 | 150 | 154,875 | |||||||
ArcelorMittal: | |||||||||
9.50%, 2/15/15 (d) | 1,910 | 2,081,900 | |||||||
4.25%, 8/05/15 (d) | 738 | 763,830 | |||||||
5.00%, 2/25/17 | 343 | 364,009 | |||||||
6.13%, 6/01/18 (d) | 498 | 540,953 | |||||||
Eco-Bat Finance PLC, 7.75%, 2/15/17 | EUR | 495 | 703,714 | ||||||
Glencore Funding LLC, 1.70%, 5/27/16 (b)(d) | USD | 2,450 | 2,454,246 | ||||||
Global Brass & Copper, Inc., 9.50%, 6/01/19 (d) | 695 | 776,662 | |||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 (d) | 510 | 577,575 | |||||||
Novelis, Inc., 8.75%, 12/15/20 (d) | 2,375 | 2,660,000 | |||||||
Perstorp Holding AB, 8.75%, 5/15/17 (b) | 290 | 310,300 | |||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 | 555 | 603,563 | |||||||
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)(j) | 1,301 | 1,336,777 | |||||||
13,483,279 | |||||||||
Multiline Retail — 0.5% | |||||||||
Dollar General Corp., 1.88%, 4/15/18 (d) | 2,133 | 2,087,943 | |||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b)(d) | 557 | 573,710 | |||||||
The Neiman Marcus Group, Inc., 8.00%, 10/15/21 (b)(d) | 856 | 879,540 | |||||||
3,541,193 | |||||||||
Oil, Gas & Consumable Fuels — 3.7% | |||||||||
Access Midstream Partners LP/ACMP Finance Corp., 4.88%, 5/15/23 | 455 | 445,900 | |||||||
Alpha Natural Resources, Inc., 6.25%, 6/01/21 | 209 | 179,218 | |||||||
Antero Resources Finance Corp., 5.38%, 11/01/21 (b)(d) | 774 | 781,740 | |||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b) | 254 | 266,065 | |||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 95 | 100,463 | |||||||
Corporate Bonds | Par (000) |
Value | |||||||
Oil, Gas & Consumable Fuels (continued) | |||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | USD | 305 | $ | 330,162 | |||||
Concho Resources, Inc., 6.50%, 1/15/22 (d) | 221 | 239,232 | |||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 (d) | 1,890 | 2,055,375 | |||||||
EP Energy LLC/Everest Acquisition Finance, Inc., Series WI, 6.88%, 5/01/19 (d) | 630 | 678,825 | |||||||
Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20 (d) | 215 | 225,212 | |||||||
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (b)(d) | 1,285 | 1,412,860 | |||||||
Kinder Morgan, Inc., 5.63%, 11/15/23 (b) | 662 | 651,280 | |||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (d) | 1,470 | 1,628,025 | |||||||
Lightstream Resources Ltd., 8.63%, 2/01/20 (b) | 379 | 377,105 | |||||||
Linn Energy LLC/Linn Energy Finance Corp.: | |||||||||
8.63%, 4/15/20 (d) | 903 | 966,210 | |||||||
7.75%, 2/01/21 | 215 | 223,063 | |||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 344 | 353,460 | |||||||
Oasis Petroleum, Inc.: | |||||||||
7.25%, 2/01/19 | 380 | 409,450 | |||||||
6.50%, 11/01/21 | 410 | 442,800 | |||||||
6.88%, 3/15/22 (b) | 479 | 514,925 | |||||||
Offshore Group Investment Ltd., 7.13%, 4/01/23 | 656 | 675,680 | |||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 | 202 | 212,100 | |||||||
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.38%, 6/01/20 | 351 | 387,855 | |||||||
Petrobras Global Finance BV, 3.00%, 1/15/19 (d) | 768 | 729,436 | |||||||
Range Resources Corp. (d): | |||||||||
6.75%, 8/01/20 | 815 | 884,275 | |||||||
5.75%, 6/01/21 | 161 | 171,666 | |||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (b) | 143 | 149,435 | |||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 379 | 380,421 | |||||||
Sabine Pass Liquefaction LLC, 5.63%, 4/15/23 (b)(d) | 754 | 714,415 | |||||||
Sabine Pass LNG LP, 7.50%, 11/30/16 (d) | 3,110 | 3,514,300 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 9 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||
SandRidge Energy, Inc.: | |||||||||
8.75%, 1/15/20 | USD | 94 | $ | 101,520 | |||||
7.50%, 2/15/23 (d) | 1,096 | 1,117,920 | |||||||
SESI LLC, 6.38%, 5/01/19 (d) | 475 | 505,875 | |||||||
SM Energy Co.: | |||||||||
6.63%, 2/15/19 | 60 | 63,600 | |||||||
6.50%, 11/15/21 (d) | 605 | 647,350 | |||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b) | 636 | 664,620 | |||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (d) | 176 | 180,840 | |||||||
Whiting Petroleum Corp., 5.00%, 3/15/19 (d) | 1,426 | 1,458,085 | |||||||
24,840,763 | |||||||||
Paper & Forest Products — 0.2% | |||||||||
Ainsworth Lumber Co., Ltd., 7.50%, 12/15/17 (b)(d) | 728 | 784,420 | |||||||
NewPage Corp., 11.38%, 12/31/14 (a)(k) | 3,177 | — | |||||||
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (b)(d) | 305 | 332,450 | |||||||
1,116,870 | |||||||||
Pharmaceuticals — 0.8% | |||||||||
Capsugel SA, 7.00%, 5/15/19 (b)(e) | 156 | 158,730 | |||||||
Valeant Pharmaceuticals International (b): | |||||||||
6.75%, 8/15/18 (d) | 2,214 | 2,438,167 | |||||||
6.88%, 12/01/18 (d) | 1,210 | 1,297,725 | |||||||
6.38%, 10/15/20 (d) | 613 | 645,949 | |||||||
7.50%, 7/15/21 | 335 | 368,500 | |||||||
5.63%, 12/01/21 (j) | 520 | 522,600 | |||||||
5,431,671 | |||||||||
Professional Services — 0.1% | |||||||||
La Financiere Atalian SA, 7.25%, 1/15/20 | EUR | 202 | 283,887 | ||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 | USD | 540 | 610,875 | ||||||
894,762 | |||||||||
Real Estate Investment Trusts (REITs) — 0.6% | |||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (b)(d) | 634 | 670,455 | |||||||
Felcor Lodging LP, 6.75%, 6/01/19 (d) | 820 | 877,400 | |||||||
Corporate Bonds | Par (000) |
Value | |||||||
Real Estate Investment Trusts (REITs) (concluded) | |||||||||
The Geo Group, Inc., 5.88%, 1/15/22 (b) | USD | 340 | $ | 340,000 | |||||
iStar Financial, Inc., 4.88%, 7/01/18 | 449 | 446,755 | |||||||
Ventas Realty LP / Ventas Capital Corp., 4.75%, 6/01/21 (d) | 1,300 | 1,378,367 | |||||||
3,712,977 | |||||||||
Real Estate Management & Development — 1.1% | |||||||||
Realogy Corp. (b): | |||||||||
7.88%, 2/15/19 (d) | 1,833 | 2,002,552 | |||||||
7.63%, 1/15/20 (d) | 1,015 | 1,134,263 | |||||||
9.00%, 1/15/20 | 367 | 425,720 | |||||||
The Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b) | 756 | 757,890 | |||||||
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (b) | 220 | 220,000 | |||||||
RPG Byty Sro, 6.75%, 5/01/20 | EUR | 220 | 302,673 | ||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (d) | USD | 2,110 | 2,331,550 | ||||||
7,174,648 | |||||||||
Road & Rail — 0.9% | |||||||||
Asciano Finance, Ltd., 3.13%, 9/23/15 (b)(d) | 3,400 | 3,488,148 | |||||||
The Hertz Corp.: | |||||||||
7.50%, 10/15/18 | 540 | 583,875 | |||||||
6.75%, 4/15/19 | 405 | 436,388 | |||||||
5.88%, 10/15/20 | 435 | 451,312 | |||||||
7.38%, 1/15/21 (d) | 675 | 740,812 | |||||||
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b) | 319 | 318,203 | |||||||
6,018,738 | |||||||||
Semiconductors & Semiconductor Equipment — 0.3% | |||||||||
GCS Holdco Finance I SA, 6.50%, 11/15/18 | EUR | 100 | 138,937 | ||||||
NXP BV/NXP Funding LLC (b)(d): | |||||||||
3.75%, 6/01/18 | USD | 950 | 957,125 | ||||||
5.75%, 2/15/21 | 560 | 583,100 | |||||||
1,679,162 | |||||||||
Software — 0.7% | |||||||||
Activision Blizzard, Inc. (b): | |||||||||
5.63%, 9/15/21 (d) | 467 | 485,096 | |||||||
6.13%, 9/15/23 | 163 | 170,743 | |||||||
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (b)(e) | 298 | 306,195 | |||||||
Infor US, Inc., 9.38%, 4/01/19 (d) | 2,000 | 2,255,000 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 10 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||
Software (concluded) | |||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (b)(d) | USD | 1,715 | $ | 1,616,387 | |||||
4,833,421 | |||||||||
Specialty Retail — 1.1% | |||||||||
Claire's Stores, Inc. (b): | |||||||||
9.00%, 3/15/19 (d) | 1,034 | 1,156,788 | |||||||
7.75%, 6/01/20 | 219 | 219,000 | |||||||
Magnolia BC SA, 9.00%, 8/01/20 | EUR | 274 | 389,065 | ||||||
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (b)(d)(e) | USD | 620 | 641,700 | ||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 317 | 343,153 | |||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (b)(e) | 218 | 223,180 | |||||||
New Look Bondco I PLC, 8.75%, 5/14/18 | GBP | 100 | 172,016 | ||||||
Party City Holdings, Inc., 8.88%, 8/01/20 | USD | 599 | 664,890 | ||||||
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (b)(e) | 252 | 260,190 | |||||||
QVC, Inc. (b)(d): | |||||||||
7.50%, 10/01/19 | 410 | 440,939 | |||||||
7.38%, 10/15/20 | 1,260 | 1,363,393 | |||||||
Sally Holdings LLC / Sally Capital, Inc.: | |||||||||
6.88%, 11/15/19 (d) | 920 | 1,017,750 | |||||||
5.50%, 11/01/23 | 508 | 505,460 | |||||||
7,397,524 | |||||||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||||||
Levi Strauss & Co., 6.88%, 5/01/22 (d) | 380 | 415,150 | |||||||
SIWF Merger Sub, Inc., 6.25%, 6/01/21 (b) | 645 | 648,225 | |||||||
The William Carter Co., 5.25%, 8/15/21 (b) | 346 | 352,055 | |||||||
1,415,430 | |||||||||
Transportation Infrastructure — 1.8% | |||||||||
Aguila 3 SA (b): | |||||||||
7.88%, 1/31/18 | 498 | 528,502 | |||||||
Series 144, 7.88%, 1/31/18 | 350 | 371,438 | |||||||
Federal Express Corp. 2012 Pass Through Trust, 2.63%, 1/15/18 (b)(d) | 1,212 | 1,225,253 | |||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. (b)(d): | |||||||||
3.13%, 5/11/15 | 3,372 | 3,469,087 | |||||||
Corporate Bonds | Par (000) |
Value | |||||||
Transportation Infrastructure (concluded) | |||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. (b)(d) (concluded): | |||||||||
3.38%, 3/15/18 | USD | 6,155 | $ | 6,350,095 | |||||
11,944,375 | |||||||||
Wireless Telecommunication Services — 2.4% | |||||||||
Crown Castle Towers LLC, 4.52%, 1/15/35 (b)(d) | 3,000 | 3,104,556 | |||||||
Digicel Ltd., 6.00%, 4/15/21 (b)(d) | 2,073 | 2,000,445 | |||||||
Sprint Communications, Inc. (b)(d): | |||||||||
9.00%, 11/15/18 | 2,020 | 2,444,200 | |||||||
7.00%, 3/01/20 | 1,361 | 1,514,113 | |||||||
Sprint Corp., 7.88%, 9/15/23 (b)(d) | 2,590 | 2,836,050 | |||||||
T-Mobile USA, Inc.: | |||||||||
6.63%, 4/28/21 (d) | 1,380 | 1,445,550 | |||||||
6.13%, 1/15/22 | 215 | 219,031 | |||||||
6.73%, 4/28/22 (d) | 1,455 | 1,516,837 | |||||||
6.50%, 1/15/24 | 395 | 399,938 | |||||||
Wind Acquisition Finance SA, 6.50%, 4/30/20 (b) | 311 | 328,105 | |||||||
15,808,825 | |||||||||
Total Corporate Bonds — 64.0% | 424,968,442 | ||||||||
Floating Rate Loan Interests (c) | |||||||||
Aerospace & Defense — 0.7% | |||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 | 1,294 | 1,304,818 | |||||||
Transdigm, Inc., Term Loan C, 3.75%, 2/28/20 | 655 | 657,834 | |||||||
TransUnion LLC, Term Loan, 4.25%, 2/10/19 | 2,577 | 2,591,797 | |||||||
4,554,449 | |||||||||
Airlines — 0.4% | |||||||||
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18 | 681 | 683,451 | |||||||
Northwest Airlines, Inc.: | |||||||||
Term Loan, 2.24%, 3/10/17 | 527 | 485,747 | |||||||
Term Loan, 1.62%, 9/10/18 | 690 | 608,925 | |||||||
US Airways Group, Inc., Term Loan B1, 4.25%, 5/23/19 | 840 | 842,520 | |||||||
2,620,643 | |||||||||
Auto Components — 2.1% | |||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 | 908 | 919,071 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 11 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||
Auto Components (concluded) | |||||||||
Autoparts Holdings Ltd.: | |||||||||
1st Lien Term Loan, 6.50%, 7/28/17 | USD | 964 | $ | 946,399 | |||||
2nd Lien Term Loan, 10.50%, 1/29/18 | 1,500 | 1,395,000 | |||||||
Federal-Mogul Corp.: | |||||||||
Term Loan B, 2.10% - 2.11%, 12/29/14 | 3,463 | 3,418,164 | |||||||
Term Loan C, 2.10% – 2.11%, 12/28/15 | 3,177 | 3,136,176 | |||||||
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 | 2,985 | 3,011,119 | |||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 | 140 | 140,759 | |||||||
Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18 | 1,272 | 1,256,248 | |||||||
14,222,936 | |||||||||
Beverages — 0.0% | |||||||||
Le-Nature's, Inc., Tranche B Term Loan, 0.00%, 3/01/11 (a)(k) | 1,000 | 100 | |||||||
Biotechnology — 0.1% | |||||||||
Grifols, Inc., Term Loan B, 4.25%, 6/01/17 | 529 | 531,749 | |||||||
Building Products — 0.7% | |||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.50%, 8/14/20 | 915 | 910,425 | |||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 | 1,380 | 1,381,725 | |||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 | 550 | 552,161 | |||||||
United Subcontractors, Inc., Term Loan, 4.25%, 6/30/15 | 172 | 162,963 | |||||||
Wilsonart International Holdings LLC: | |||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 | 770 | 760,375 | |||||||
Term Loan B, 4.00%, 10/31/19 | 814 | 806,054 | |||||||
4,573,703 | |||||||||
Capital Markets — 0.4% | |||||||||
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16 | 557 | 558,821 | |||||||
HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17 | 793 | 795,250 | |||||||
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 | 492 | 493,385 | |||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||
Capital Markets (concluded) | |||||||||
Santander Asset Management, Term Loan, 1.00%, 11/11/20 | USD | 1,125 | $ | 1,125,000 | |||||
2,972,456 | |||||||||
Chemicals — 1.8% | |||||||||
Allnex USA, Inc.: | |||||||||
Term Loan B1, 4.50%, 10/03/19 | 322 | 323,012 | |||||||
Term Loan B2, 4.50%, 10/03/19 | 167 | 167,596 | |||||||
American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17 | 525 | 528,691 | |||||||
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20 | 46 | 45,764 | |||||||
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 | 378 | 380,043 | |||||||
Chromaflo Technologies Corp.: | |||||||||
1st Lien Term Loan, 4.50%, 11/30/19 | 660 | 660,000 | |||||||
2nd Lien Term Loan, 8.25%, 5/30/20 | 560 | 562,800 | |||||||
Evergreen Acquisition 1 LP, Term Loan, 5.00%, 7/09/19 | 775 | 776,416 | |||||||
INEOS US Finance LLC, 6 Year Term Loan, 4.00%, 5/04/18 | 507 | 507,619 | |||||||
MacDermid, Inc., 1st Lien Term Loan, 3.16%, 6/08/20 | 668 | 671,667 | |||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | 1,268 | 1,258,792 | |||||||
OXEA Finance LLC: | |||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 | 705 | 716,238 | |||||||
Term Loan B2, 4.25%, 1/15/20 | 680 | 683,570 | |||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 | 790 | 796,093 | |||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 | 663 | 661,679 | |||||||
Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.50%, 3/19/20 | 940 | 950,543 | |||||||
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/01/20 | 2,099 | 2,114,314 | |||||||
11,804,837 | |||||||||
Commercial Banks — 0.1% | |||||||||
Redtop Acquisitions Ltd.: | |||||||||
1st Lien Term Loan, 3.27%, 11/30/20 | 420 | 421,575 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 12 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||
Commercial Banks (concluded) | |||||||||
Redtop Acquisitions Ltd. (concluded): | |||||||||
2nd Lien Term Loan, 8.25%, 5/31/21 | USD | 355 | $ | 356,775 | |||||
778,350 | |||||||||
Commercial Services & Supplies — 1.4% | |||||||||
ADS Waste Holdings, Inc., Term Loan B, 4.25%, 10/09/19 | 1,478 | 1,484,195 | |||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18 | 1,259 | 1,262,221 | |||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16 | 600 | 601,493 | |||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 | 370 | 374,163 | |||||||
KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17 | 967 | 970,046 | |||||||
Learning Care Group (US) No. 2, Inc., Term Loan B, 6.00%, 5/08/19 | 204 | 204,535 | |||||||
Livingston International, Inc.: | |||||||||
1st Lien Term Loan, 5.00%, 4/16/19 | 778 | 777,077 | |||||||
2nd Lien Term Loan, 9.00%, 4/20/20 | 352 | 354,169 | |||||||
Protection One, Inc., Term Loan, 4.25%, 3/21/19 | 573 | 572,218 | |||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 1,790 | 1,791,128 | |||||||
West Corp., Term Loan B8, 3.75%, 6/29/18 | 982 | 985,466 | |||||||
9,376,711 | |||||||||
Communications Equipment — 1.7% | |||||||||
Alcatel-Lucent USA, Inc.: | |||||||||
Term Loan C, 5.75%, 1/30/19 | 3,623 | 3,652,077 | |||||||
Term Loan D, 6.25%, 1/30/19 | EUR | 1,226 | 1,665,533 | ||||||
Avaya, Inc.: | |||||||||
Extended Term Loan B3, 4.74%, 10/26/17 | USD | 767 | 734,362 | ||||||
Term Loan B5, 8.00%, 3/30/18 | 171 | 169,868 | |||||||
CommScope, Inc., Term Loan, 3.75%, 1/12/18 | 1,219 | 1,219,359 | |||||||
Telesat Canada, Term Loan A, 4.38%, 3/24/17 | CAD | 1,766 | 1,664,294 | ||||||
Zayo Group LLC, Term Loan B, 4.00%, 7/02/19 | USD | 2,301 | 2,299,546 | ||||||
11,405,039 | |||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||
Construction & Engineering — 0.4% | |||||||||
Centaur LLC: | |||||||||
1st Lien Term Loan, 5.25%, 2/20/19 | USD | 1,438 | $ | 1,452,153 | |||||
2nd Lien Term Loan, 8.75%, 2/15/20 | 710 | 724,200 | |||||||
USIC Holdings, Inc., 1st Lien Term Loan, 4.75%, 7/10/20 | 474 | 475,589 | |||||||
2,651,942 | |||||||||
Construction Materials — 0.5% | |||||||||
Filtration Group Corp.: | |||||||||
1st Lien Term Loan, 4.50%, 11/30/20 | 505 | 508,575 | |||||||
2nd Lien Term Loan, 8.25%, 11/30/21 | 605 | 614,831 | |||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 1,883 | 1,892,802 | |||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/12/19 | 380 | 382,732 | |||||||
3,398,940 | |||||||||
Consumer Finance — 0.2% | |||||||||
Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19 | 1,220 | 1,232,200 | |||||||
Containers & Packaging — 0.4% | |||||||||
Pact Group (USA), Inc., Term Loan B, 3.75%, 5/29/20 | 1,247 | 1,235,192 | |||||||
Polarpak, Inc., 1st Lien Canadian Borrower, 4.50%, 6/05/20 | 167 | 168,294 | |||||||
Sealed Air Corp., 2013 Term Loan, 4.00%, 10/03/18 | 452 | 452,228 | |||||||
WNA Holdings, Inc.: | |||||||||
1st Lien US Borrower, 4.50% - 5.50%, 6/05/20 | 91 | 91,419 | |||||||
2nd Lien Term Loan, 8.50%, 12/07/20 | 475 | 478,562 | |||||||
2,425,695 | |||||||||
Distributors — 0.4% | |||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 | 2,105 | 2,102,369 | |||||||
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 | 382 | 380,202 | |||||||
VWR Funding, Inc., Extended Add on Term Loan, 4.16%, 4/03/17 | 457 | 457,691 | |||||||
2,940,262 | |||||||||
Diversified Consumer Services — 0.7% | |||||||||
Bright Horizons Family Solutions, Inc., Term Loan B, 4.00% - 5.25%, 1/30/20 | 779 | 782,525 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 13 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||
Diversified Consumer Services (concluded) | |||||||||
Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20 | USD | 552 | $ | 556,715 | |||||
Garda World Security Corp., Term Loan B, 4.00%, 11/06/20 | 299 | 300,359 | |||||||
ROC Finance LLC, Term Loan, 5.00%, 5/15/19 | 630 | 602,834 | |||||||
ServiceMaster Co., Term Loan, 4.25%, 1/31/17 | 1,041 | 1,024,323 | |||||||
Weight Watchers International, Inc., Term Loan B2, 3.75%, 4/02/20 | 1,669 | 1,431,167 | |||||||
4,697,923 | |||||||||
Diversified Financial Services — 0.8% | |||||||||
ION Trading Technologies Sarl: | |||||||||
1st Lien Term Loan, 4.50%, 5/22/20 | 559 | 561,046 | |||||||
2nd Lien Term Loan, 8.25%, 5/21/21 | 310 | 312,843 | |||||||
Kasima LLC, Term Loan B, 3.25%, 5/17/21 | 740 | 737,691 | |||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/31/18 | 1,517 | 1,526,545 | |||||||
RPI Finance Trust, Term Loan B3, 3.50%, 11/09/18 | 454 | 455,667 | |||||||
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20 | 1,740 | 1,737,825 | |||||||
5,331,617 | |||||||||
Diversified Telecommunication Services — 1.8% | |||||||||
Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18 | 2,238 | 2,249,949 | |||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 | 1,737 | 1,740,358 | |||||||
Integra Telecom, Inc.: | |||||||||
1st Lien Term Loan, 5.25%, 2/22/19 | 1,169 | 1,180,454 | |||||||
2nd Lien Term Loan, 9.75%, 2/21/20 | 590 | 604,502 | |||||||
Level 3 Financing, Inc., 2020 Term Loan B, 4.00%, 1/15/20 | 4,865 | 4,895,406 | |||||||
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19 | 509 | 512,180 | |||||||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 995 | 993,383 | |||||||
12,176,232 | |||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Electric Utilities — 0.1% | ||||||
Sandy Creek Energy Associates, L.P., Term Loan B, 5.00%, 11/06/20 | USD | 485 | $ | 486,324 | ||
Electrical Equipment — 0.4% | ||||||
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.67% - 4.74%, 10/10/17 | 3,490 | 2,413,789 | ||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||
CDW LLC, Term Loan, 3.50%, 4/29/20 | 846 | 841,522 | ||||
Energy Equipment & Services — 0.3% | ||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 1,107 | 1,108,377 | ||||
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 | 648 | 652,422 | ||||
Unifrax Corp., Term Loan, 4.25%, 11/28/18 | 551 | 551,636 | ||||
2,312,435 | ||||||
Food & Staples Retailing — 0.3% | ||||||
Rite Aid Corp.: | ||||||
2nd Lien Term Loan, 5.75%, 8/21/20 | 240 | 245,700 | ||||
Term Loan 6, 4.00%, 2/21/20 | 259 | 260,500 | ||||
Supervalu, Inc., Refinancing Term Loan B, 5.00%, 3/21/19 | 914 | 917,455 | ||||
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19 | 299 | 299,998 | ||||
1,723,653 | ||||||
Food Products — 1.3% | ||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 779 | 774,048 | ||||
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 | 655 | 655,000 | ||||
Del Monte Foods Co.: | ||||||
1st Lien Term Loan, 1.00%, 11/06/20 | 645 | 648,225 | ||||
Term Loan, 4.00%, 3/08/18 | 327 | 327,760 | ||||
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 | 1,065 | 1,069,729 | ||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 | 1,047 | 1,043,447 | ||||
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20 | 1,194 | 1,192,209 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 14 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Food Products (concluded) | ||||||
Reddy Ice Corp.: | ||||||
1st Lien Term Loan, 6.75%, 5/01/19 | USD | 1,483 | $ | 1,481,631 | ||
2nd Lien Term Loan, 10.75%, 11/01/19 | 1,380 | 1,355,850 | ||||
8,547,899 | ||||||
Gas Utilities — 0.1% | ||||||
EFS Cogen Holdings I, Inc., Term Loan B, 1.00%, 12/01/20 | 585 | 585,000 | ||||
Health Care Equipment & Supplies — 1.7% | ||||||
Arysta LifeScience Corp.: | ||||||
1st Lien Term Loan, 4.50%, 5/29/20 | 1,481 | 1,487,775 | ||||
2nd Lien Term Loan, 8.25%, 11/30/20 | 530 | 538,612 | ||||
Biomet, Inc., Term Loan B2, 3.67% - 3.75%, 7/25/17 | 1,242 | 1,251,003 | ||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 985 | 982,594 | ||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 | 583 | 581,988 | ||||
DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17 | 1,709 | 1,726,121 | ||||
The Hologic, Inc., Term Loan B, 3.75%, 8/01/19 | 1,321 | 1,326,028 | ||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 | 638 | 639,818 | ||||
Kinetic Concepts, Inc., Term Loan D1, 4.50%, 5/04/18 | 275 | 277,681 | ||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 849 | 794,049 | ||||
Onex Carestream Finance LP: | ||||||
1st Lien Term Loan, 5.00%, 6/07/19 | 844 | 853,212 | ||||
2nd Lien Term Loan, 9.50%, 6/07/19 | 740 | 744,625 | ||||
11,203,506 | ||||||
Health Care Providers & Services — 1.8% | ||||||
American Renal Holdings, Inc.: | ||||||
1st Lien Term Loan, 4.50%, 9/20/19 | 851 | 848,598 | ||||
2nd Lien Term Loan, 8.50%, 2/14/20 | 890 | 876,650 | ||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 476 | 475,209 | ||||
CHG Buyer Corp., Term Loan, 4.25%, 11/19/19 | 707 | 710,274 | ||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 | 1,220 | 1,225,806 | ||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Health Care Providers & Services (concluded) | ||||||
DaVita, Inc., Term Loan B, 4.50%, 10/20/16 | USD | 1,945 | $ | 1,954,239 | ||
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20 | 905 | 907,263 | ||||
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 | 277 | 277,225 | ||||
Fresenius SE & Co. KGaA, Incremental Term Loan B, 2.25%, 6/30/19 | EUR | 610 | 826,796 | |||
Genesis HealthCare Corp., Term Loan B, 10.00% - 10.75%, 9/25/17 | USD | 1,055 | 1,065,427 | |||
Ikaria Acquisition, Inc., 1st Lien Term Loan, 7.25%, 7/03/18 | 499 | 502,428 | ||||
inVentiv Health, Inc.: | ||||||
Combined Term Loan, 7.50%, 8/04/16 | 360 | 355,636 | ||||
Incremental Term Loan B3, 7.75%, 5/15/18 | 232 | 229,815 | ||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18 | 599 | 599,996 | ||||
US Renal Care, Inc., Incremental 1st Lien Term Loan, 5.25%, 7/03/19 | 1,152 | 1,162,483 | ||||
12,017,845 | ||||||
Health Care Technology — 0.1% | ||||||
IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17 | 640 | 642,179 | ||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | 265 | 265,041 | ||||
907,220 | ||||||
Hotels, Restaurants & Leisure — 6.5% | ||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20 | 675 | 678,935 | ||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 1,330 | 1,343,300 | ||||
Caesars Entertainment Resort Properties, LLC, Term Loan B, 7.00%, 10/12/20 | 17,560 | 17,241,813 | ||||
Drumm Investors LLC, Term Loan, 5.00%, 5/04/18 | 1,057 | 1,029,067 | ||||
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 | 585 | 598,894 | ||||
Hilton Worldwide Finance LLC, Term Loan B2, 4.00%, 10/26/20 | 6,507 | 6,524,780 | ||||
Intrawest ULC, Term Loan, 5.50%, 11/26/20 | 615 | 615,769 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 15 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Hotels, Restaurants & Leisure (concluded) | ||||||
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18 | USD | 1,375 | $ | 1,376,719 | ||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 1,078 | 1,076,535 | ||||
OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19 | 605 | 605,127 | ||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 923 | 925,861 | ||||
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 | 725 | 730,894 | ||||
Sabre, Inc.: | ||||||
Incremental Term Loan, 4.50%, 2/19/19 | 400 | 399,252 | ||||
Term Loan B, 5.25%, 2/19/19 | 566 | 568,910 | ||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/02/20 | 3,269 | 3,301,947 | ||||
Travelport LLC: | ||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 | 1,178 | 1,218,720 | ||||
2nd Lien Term Loan 2, 4.00%, 12/01/16 (e) | 1,033 | 1,051,026 | ||||
Refinancing Term Loan, 6.25%, 6/26/19 | 1,581 | 1,614,065 | ||||
Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18 | 1,423 | 1,437,520 | ||||
Wendy's International, Inc., Term Loan B, 3.25%, 5/15/19 | 668 | 667,722 | ||||
43,006,856 | ||||||
Household Products — 0.4% | ||||||
Prestige Brands, Inc., Term Loan, 3.75% - 5.00%, 1/31/19 | 640 | 641,432 | ||||
Spectrum Brands, Inc.: | ||||||
Term Loan, 4.50%, 12/17/19 | 887 | 890,455 | ||||
Term Loan A, 3.00%, 9/07/17 | 720 | 720,598 | ||||
Term Loan C, 3.50%, 9/04/19 | 180 | 180,446 | ||||
2,432,931 | ||||||
Independent Power Producers & Energy Traders — 0.7% | ||||||
AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18 | 381 | 383,228 | ||||
Calpine Corp., Term Loan B1, 4.00%, 4/02/18 | 1,056 | 1,062,351 | ||||
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20 | 1,831 | 1,848,654 | ||||
Star West Generation LLC, Term Loan B, 4.25%, 3/13/20 | 1,025 | 1,031,255 | ||||
4,325,488 | ||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Industrial Conglomerates — 0.3% | ||||||
Sequa Corp., Term Loan B, 5.25%, 12/19/17 | USD | 1,839 | $ | 1,814,283 | ||
Insurance — 1.1% | ||||||
Alliant Holdings I, Inc., Term Loan B, 4.75%, 12/20/19 | 1,067 | 1,068,943 | ||||
Asurion LLC, Term Loan B1, 4.50%, 5/24/19 | 1,533 | 1,532,355 | ||||
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/20/18 | 1,312 | 1,313,350 | ||||
Cooper Gay Swett & Crawford Ltd.: | ||||||
1st Lien Term Loan, 5.00%, 4/16/20 | 1,057 | 1,043,139 | ||||
2nd Lien Term Loan, 8.25%, 10/16/20 | 500 | 490,415 | ||||
Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19 | 923 | 920,718 | ||||
Hub International Ltd., Term Loan B, 4.75%, 10/02/20 | 780 | 787,511 | ||||
National Financial Partners Corp., Term Loan, 5.25%, 7/01/20 | 304 | 307,660 | ||||
7,464,091 | ||||||
Internet Software & Services — 0.6% | ||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 2,121 | 2,118,650 | ||||
W3 Co.: | ||||||
1st Lien Term Loan, 5.75%, 3/13/20 | 1,035 | 1,037,387 | ||||
2nd Lien Term Loan, 9.25%, 9/11/20 | 404 | 408,027 | ||||
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17 | 545 | 549,508 | ||||
4,113,572 | ||||||
IT Services — 1.0% | ||||||
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 | 308 | 307,675 | ||||
Ceridian Corp., Term Loan B, 4.42%, 5/09/17 | 1,115 | 1,119,094 | ||||
First Data Corp., 2018 Term Loan: | ||||||
4.17%, 9/24/18 | 1,615 | 1,618,521 | ||||
Extended B, 4.17%, 3/23/18 | 2,169 | 2,173,541 | ||||
InfoGroup, Inc., Term Loan, 8.00%, 5/25/18 | 754 | 610,602 | ||||
Moneygram International, Inc., Term Loan B, 4.25%, 3/27/20 | 142 | 142,623 | ||||
SunGard Data Systems, Inc.: | ||||||
Term Loan D, 4.50%, 1/31/20 | 387 | 389,130 | ||||
Term Loan E, 4.00%, 3/09/20 | 433 | 436,071 | ||||
6,797,257 | ||||||
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 16 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Life Sciences Tools & Services — 0.1% | ||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | USD | 465 | $ | 469,665 | ||
Machinery — 2.0% | ||||||
Allegion PLC, Term Loan B, 3.00%, 9/30/20 | 795 | 795,246 | ||||
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18 | 274 | 274,863 | ||||
Dayco Products LLC, Term Loan B, 5.25%, 11/26/19 | 860 | 853,550 | ||||
Faenza Acquisition GmbH: | ||||||
Term Loan B1, 4.25%, 8/31/20 | 463 | 464,768 | ||||
Term Loan B3, 4.25%, 8/28/20 | 141 | 141,366 | ||||
Gardner Denver, Inc.: | ||||||
4.25%, 7/30/20 | 1,348 | 1,340,997 | ||||
4.75%, 7/30/20 | EUR | 223 | 304,850 | |||
Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20 | USD | 1,421 | 1,421,438 | |||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 | 1,089 | 1,091,723 | ||||
Mirror Bidco Corp., Term Loan, 5.25%, 12/27/19 | 1,434 | 1,440,731 | ||||
Navistar International Corp., Term Loan B, 5.75%, 8/17/17 | 525 | 532,997 | ||||
Pacific Industrial Services US Finance Co., LLC: | ||||||
1st Lien Term Loan, 5.00%, 10/02/18 | 895 | 904,514 | ||||
2nd Lien Term Loan, 8.75%, 4/02/19 | 730 | 744,600 | ||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 | 1,326 | 1,325,607 | ||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 | 592 | 591,443 | ||||
Terex Corp., Term Loan, 4.00%, 4/28/17 | EUR | 176 | 240,068 | |||
Wabash National Corp., Term Loan B, 4.50%, 5/02/19 | USD | 1,086 | 1,090,524 | |||
13,559,285 | ||||||
Marine — 0.2% | ||||||
HGIM Corp., Term Loan B, 5.50%, 6/18/20 | 1,650 | 1,656,187 | ||||
Media — 5.6% | ||||||
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 | 1,380 | 1,383,022 | ||||
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 | 465 | 465,000 | ||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Media (continued) | ||||||
Catalina Marketing Corp., Term Loan B, 5.25%, 10/12/20 | USD | 1,020 | $ | 1,028,670 | ||
Cengage Learning Acquisitions, Inc., Tranche 1 Incremental, 7.50%, 7/03/14 | 2,005 | 1,506,762 | ||||
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20 | 1,182 | 1,164,969 | ||||
Clear Channel Communications, Inc.: | ||||||
Term Loan B, 3.81%, 1/29/16 | 316 | 304,483 | ||||
Term Loan C, 3.81%, 1/29/16 | 210 | 200,226 | ||||
Term Loan D, 6.91%, 1/30/19 | 4,063 | 3,829,052 | ||||
Cumulus Media Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/17/18 | 1,362 | 1,368,899 | ||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 | 762 | 764,981 | ||||
EW Scripps Co., Term Loan B, 3.25%, 11/14/20 | 635 | 636,587 | ||||
Fender Musical Instruments Corp., 2019 Term Loan B, 5.75%, 4/03/19 | 264 | 266,970 | ||||
Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17 | 1,115 | 1,116,826 | ||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 209 | 193,325 | ||||
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20 | 893 | 895,557 | ||||
Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 4.25%, 6/01/18 | 2,147 | 2,151,766 | ||||
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 | 715 | 720,861 | ||||
Intelsat Jackson Holdings SA, Term Loan B2, 2.00%, 6/30/19 | 2,514 | 2,517,089 | ||||
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 | 395 | 395,494 | ||||
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 | 565 | 565,283 | ||||
Media General, Inc., Delayed Draw Term Loan B, 5.50%, 7/31/20 | 750 | 757,035 | ||||
NEP/NCP Holdco, Inc., Term Loan: | ||||||
2nd Lien, 9.50%, 7/22/20 | 340 | 348,289 | ||||
4.75%, 1/22/20 | 1,667 | 1,671,568 | ||||
Rentpath, Inc., Term Loan B, 6.25%, 5/29/20 | 998 | 975,056 | ||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 | 1,007 | 1,010,342 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 17 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Media (concluded) | ||||||
Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/14/20 | USD | 990 | $ | 992,683 | ||
Tribune Co., 2013 Term Loan, 4.00%, 11/12/20 | 1,175 | 1,169,489 | ||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 | 840 | 859,950 | ||||
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20 | 2,442 | 2,451,222 | ||||
UPC Financing Partnership, Term Loan AG, 3.88%, 3/31/21 | EUR | 442 | 603,738 | |||
Virgin Media Investment Holdings Ltd.: | ||||||
Term Loan B, 3.50%, 6/08/20 | USD | 410 | 409,967 | |||
Term Loan C, 4.50%, 6/05/20 | GBP | 2,340 | 3,864,857 | |||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 | USD | 736 | 739,703 | |||
37,329,721 | ||||||
Metals & Mining — 1.9% | ||||||
Ameriforge Group, Inc.: | ||||||
1st Lien Term Loan, 5.00%, 12/19/19 | 943 | 950,729 | ||||
2nd Lien Term Loan, 8.75%, 12/18/20 | 470 | 479,400 | ||||
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19 | 681 | 677,315 | ||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 | 1,348 | 1,380,245 | ||||
FMG Resources August 2006 Property Ltd., Term Loan, 4.25%, 6/28/19 | 2,984 | 3,010,342 | ||||
Murray Energy Corp., Term Loan B, 4.75%, 5/24/19 | 164 | 164,946 | ||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 | 3,861 | 3,876,942 | ||||
Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18 | 193 | 189,267 | ||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 1,561 | 1,598,273 | ||||
12,327,459 | ||||||
Multiline Retail — 1.5% | ||||||
99 Cents Only Stores, Term Loan, 4.50%, 1/11/19 | 787 | 789,906 | ||||
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20 | 697 | 697,663 | ||||
BJ's Wholesale Club, Inc.: | ||||||
1st Lien Term Loan, 4.50%, 9/26/19 | 589 | 590,775 | ||||
2nd Lien Term Loan, 8.50%, 3/26/20 | 575 | 585,781 | ||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Multiline Retail (concluded) | ||||||
HEMA Holding BV: | ||||||
Extended 2nd Lien Term Loan, 5.88%, 1/05/18 | EUR | 2,600 | $ | 3,273,816 | ||
Extended Term Loan B, 4.50%, 12/06/17 | 323 | 440,969 | ||||
Extended Term Loan C, 4.50%, 12/06/17 | 295 | 403,839 | ||||
Hudson's Bay Co.: | ||||||
1st Lien Term Loan, 4.75%, 11/04/20 | USD | 1,025 | 1,037,464 | |||
2nd Lien Term Loan, 8.25%, 11/04/21 | 130 | 133,467 | ||||
JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/22/18 | 444 | 433,505 | ||||
The Neiman Marcus Group, Inc., Term Loan B, 5.00%, 10/26/20 | 1,655 | 1,664,930 | ||||
10,052,115 | ||||||
Oil, Gas & Consumable Fuels — 2.9% | ||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/20/20 | 1,575 | 1,581,140 | ||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 2,595 | 2,646,900 | ||||
Drillships Financing Holding, Inc., Term Loan B2, 5.50%, 7/15/16 | 1,491 | 1,508,666 | ||||
EP Energy LLC, Term Loan B3, 3.50%, 5/24/18 | 1,127 | 1,126,948 | ||||
Fieldwood Energy LLC, 1st Lien Term Loan, 3.88%, 9/28/18 | 470 | 472,862 | ||||
GIM Channelview Cogeneration LLC, Term Loan B, 4.25%, 5/08/20 | 484 | 486,811 | ||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 1,448 | 1,448,151 | ||||
Offshore Group Investment Ltd.: | ||||||
Term Loan, 6.25%, 10/25/17 | 893 | 896,174 | ||||
Term Loan B, 5.75%, 3/28/19 | 731 | 737,951 | ||||
Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18 | 1,002 | 1,010,638 | ||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 | 900 | 922,500 | ||||
Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18 | 944 | 843,217 | ||||
PowerTeam Services LLC: | ||||||
1st Lien Term Loan, 4.25%, 5/06/20 | 355 | 350,123 | ||||
2nd Lien Term Loan, 8.25%, 11/06/20 | 275 | 270,188 | ||||
Delayed Draw Term Loan, 4.25%, 5/06/20 | 19 | 19,086 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 18 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Oil, Gas & Consumable Fuels (concluded) | ||||||
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20 | USD | 709 | $ | 711,100 | ||
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18 | 740 | 741,850 | ||||
State Class Tankers II LLC, Term Loan B, 6.75%, 6/22/20 | 1,080 | 1,088,100 | ||||
Tesoro Corp., Term Loan B, 2.41%, 5/30/16 | 1,368 | 1,368,125 | ||||
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20 | 1,020 | 1,028,293 | ||||
19,258,823 | ||||||
Paper & Forest Products — 0.1% | ||||||
NewPage Corp., Exit Term Loan, 7.75%, 12/21/18 (a)(k) | 821 | 837,282 | ||||
Pharmaceuticals — 1.2% | ||||||
Akorn, Inc., Term Loan B, 1.00%, 8/27/20 | 885 | 887,770 | ||||
Amneal Pharmaceuticals LLC, Term Loan, 7.00%, 11/01/19 | 610 | 610,000 | ||||
Aptalis Pharma, Inc., Term Loan B, 6.00%, 9/18/20 | 1,959 | 1,977,730 | ||||
Par Pharmaceutical Cos., Inc., Refinancing Term Loan B, 4.25%, 9/30/19 | 1,662 | 1,668,828 | ||||
Pharmaceutical Product Development LLC, Term Loan B, 4.25%, 12/05/18 | 1,403 | 1,410,298 | ||||
Valeant Pharmaceuticals International, Inc.: | ||||||
Series C2 Term Loan B, 3.75%, 12/11/19 | 553 | 556,656 | ||||
Term Loan E, 4.50%, 8/05/20 | 898 | 907,940 | ||||
8,019,222 | ||||||
Professional Services — 0.6% | ||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 | 612 | 613,672 | ||||
ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20 | 435 | 433,205 | ||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 | 1,065 | 1,083,281 | ||||
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20 | 605 | 605,000 | ||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 | 1,175 | 1,178,601 | ||||
3,913,759 | ||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Real Estate Investment Trusts (REITs) — 0.5% | ||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 | USD | 2,887 | $ | 2,899,560 | ||
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20 | 640 | 637,203 | ||||
3,536,763 | ||||||
Real Estate Management & Development — 0.5% | ||||||
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20 | 1,035 | 1,046,323 | ||||
Realogy Corp.: | ||||||
Extended Letter of Credit, 4.45%, 10/10/16 | 102 | 102,938 | ||||
Extended Term Loan, 4.50%, 3/05/20 | 2,117 | 2,138,007 | ||||
3,287,268 | ||||||
Road & Rail — 0.1% | ||||||
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 | 629 | 631,469 | ||||
Semiconductors & Semiconductor Equipment — 0.6% | ||||||
Freescale Semiconductor, Inc.: | ||||||
Term Loan B4, 5.00%, 2/28/20 | 1,567 | 1,583,282 | ||||
Term Loan B5, 5.00%, 1/15/21 | 380 | 383,933 | ||||
NXP BV: | ||||||
Term Loan C, 4.75%, 1/11/20 | 973 | 973,379 | ||||
Term Loan D, 3.25%, 1/10/20 | 990 | 990,743 | ||||
3,931,337 | ||||||
Software — 1.9% | ||||||
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 | 845 | 849,225 | ||||
CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20 | 224 | 223,220 | ||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 | 464 | 451,662 | ||||
GCA Services Group, Inc.: | ||||||
2nd Lien Term Loan, 9.25%, 10/22/20 | 700 | 707,000 | ||||
Term Loan B, 5.25% - 6.25%, 11/01/19 | 539 | 539,550 | ||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 1,138 | 1,143,174 | ||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 1,840 | 1,895,200 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 19 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Software (concluded) | ||||||
Mitchell International, Inc.: | ||||||
1st Lien Term Loan, 4.50%, 10/12/20 | USD | 635 | $ | 638,969 | ||
2nd Lien Term Loan, 8.50%, 10/08/21 | 1,200 | 1,215,000 | ||||
RP Crown Parent LLC, 1st Lien Term Loan, 6.75%, 12/21/18 | 913 | 921,281 | ||||
Sophia LP, Term Loan B, 4.50%, 7/19/18 | 856 | 862,239 | ||||
SS&C Technologies, Inc.: | ||||||
Term Loan B1, 3.25%, 6/07/19 | 1,015 | 1,017,445 | ||||
Term Loan B2, 3.25%, 6/07/19 | 105 | 105,253 | ||||
StoneRiver Holdings, Inc.: | ||||||
1st Lien Term Loan, 4.50%, 11/29/19 | 340 | 338,246 | ||||
2nd Lien Term Loan, 8.50%, 5/29/20 | 267 | 268,225 | ||||
Websence, Inc.: | ||||||
2nd Lien Term Loan, 8.25%, 12/24/20 | 835 | 833,956 | ||||
Term Loan B, 4.50%, 6/25/20 | 419 | 418,426 | ||||
12,428,071 | ||||||
Specialty Retail — 1.5% | ||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 | 1,769 | 1,776,735 | ||||
Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19 | 1,159 | 1,162,821 | ||||
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17 | 199 | 199,929 | ||||
David's Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 948 | 948,435 | ||||
Equinox Holdings, Inc., Repriced Term Loan B, 4.50% - 5.50%, 1/31/20 | 1,134 | 1,139,972 | ||||
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19 | 525 | 530,114 | ||||
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20 | 542 | 543,530 | ||||
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19 | 1,787 | 1,790,966 | ||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 900 | 903,374 | ||||
Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20 | 322 | 324,037 | ||||
SRAM LLC, Term Loan B, 4.00%, 4/10/20 | 427 | 425,736 | ||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||
Specialty Retail (concluded) | ||||||
Toys 'R' Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18 | USD | 244 | $ | 216,247 | ||
9,961,896 | ||||||
Textiles, Apparel & Luxury Goods — 0.2% | ||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 1,256 | 1,193,872 | ||||
True Religion Apparel, Inc., 1st Lien Term Loan, 5.88%, 7/30/19 | 220 | 210,375 | ||||
1,404,247 | ||||||
Thrifts & Mortgage Finance — 0.3% | ||||||
IG Investments Holdings LLC, 1st Lien Term Loan, 5.50%, 10/31/19 | 863 | 866,981 | ||||
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18 | 811 | 820,218 | ||||
1,687,199 | ||||||
Trading Companies & Distributors — 0.1% | ||||||
Fly Funding II Sarl, Term Loan B, 4.50%, 8/08/18 | 140 | 140,788 | ||||
WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19 | 192 | 192,514 | ||||
333,302 | ||||||
Wireless Telecommunication Services — 0.4% | ||||||
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 | 882 | 884,916 | ||||
Light Tower Fiber LLC, 1st Lien Term Loan, 4.50%, 4/13/20 | 1,546 | 1,546,774 | ||||
2,431,690 | ||||||
Total Floating Rate Loan Interests — 53.6% | 355,746,215 | |||||
Foreign Agency Obligations — 0.5% | ||||||
Slovenia Government Bond, Series RS65, 4.38%, 4/02/14 | EUR | 2,550 | 3,492,904 | |||
Non-Agency Mortgage-Backed Securities | ||||||
Collateralized Mortgage Obligations — 2.8% | ||||||
Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A21, 4.11%, 3/25/37 (c) | USD | 180 | 178,771 | |||
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 | 5,728 | 4,848,400 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 20 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities | Par (000) |
Value | ||||
Collateralized Mortgage Obligations (concluded) | ||||||
Countrywide Home Loan Mortgage Pass Through Trust: | ||||||
Series 2005-17, Class 1A6, 5.50%, 9/25/35 | USD | 1,612 | $ | 1,572,954 | ||
Series 2006-17, Class A2, 6.00%, 12/25/36 | 3,348 | 2,998,774 | ||||
Series 2007-HY5, Class 3A1, 5.38%, 9/25/37 (c) | 2,248 | 2,018,930 | ||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.72%, 10/25/35 (c) | 1,997 | 1,818,776 | ||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(j) | 4,162 | 4,182,810 | ||||
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.47%, 2/26/37 (b)(c) | 946 | 938,928 | ||||
18,558,343 | ||||||
Commercial Mortgage-Backed Securities — 8.5% | ||||||
Banc of America Commercial Mortgage, Inc. (c): | ||||||
Series 2007-3, Class A2, 5.80%, 6/10/49 | 171 | 171,031 | ||||
Series 2007-4, Class A4, 5.94%, 2/10/51 | 2,150 | 2,405,297 | ||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, 5.21%, 12/11/49 | 46 | 46,218 | ||||
Commercial Mortgage Pass-Through Certificates: | ||||||
Series 2013-LC13, Class D, 5.22%, 8/10/46 (b)(c) | 3,530 | 3,185,366 | ||||
Series 2013-LC6, Class B, 3.74%, 1/10/46 | 1,110 | 1,059,350 | ||||
Series 2013-LC6, Class D, 4.43%, 1/10/46 (b)(c) | 1,330 | 1,150,026 | ||||
Credit Suisse Mortgage Capital Certificates: | ||||||
Series 2006-C5, Class AM, 5.34%, 12/15/39 | 1,850 | 1,981,196 | ||||
Series 2007-C2, Class A2, 5.45%, 1/15/49 (c) | 66 | 65,887 | ||||
Series 2007-C4, Class A3, 5.95%, 9/15/39 (c) | 2,815 | 2,840,825 | ||||
Series 2007-C5, Class AAB, 5.62%, 9/15/40 (c) | 1,515 | 1,625,800 | ||||
First Union Commercial Mortgage Securities, Inc., Series 1997-C2, Class G, 7.50%, 11/18/29 (b)(c) | 694 | 710,710 | ||||
Non-Agency Mortgage-Backed Securities | Par (000) |
Value | ||||
Commercial Mortgage-Backed Securities (concluded) | ||||||
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 6.02%, 7/10/38 (c) | USD | 1,610 | $ | 1,766,717 | ||
GS Mortgage Securities Corp. II, Series 2006-GG6, Class AM, 5.62%, 4/10/38 (c) | 3,680 | 3,991,519 | ||||
GS Mortgage Securities Trust, Series 2013-GC10, Class B, 3.68%, 2/10/46 (b) | 1,995 | 1,908,385 | ||||
JP Morgan Chase Commercial Mortgage Securities Corp.: | ||||||
Series 2007-CB18, Class A4, 5.44%, 6/12/47 | 2,110 | 2,332,945 | ||||
Series 2007-CB19, Class A4, 5.89%, 2/12/49 (c) | 2,140 | 2,400,355 | ||||
Series 2012-LC9, Class XA, 2.09%, 12/15/47 (c) | 14,910 | 1,594,644 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-LN2, Class A2, 5.12%, 7/15/41 | 2,166 | 2,200,302 | ||||
LB-UBS Commercial Mortgage Trust (c): | ||||||
Series 2007-C2, Class AM, 5.49%, 2/15/40 | 2,500 | 2,658,738 | ||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 | 4,745 | 5,219,505 | ||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 6.05%, 6/12/50 (c) | 1,564 | 1,688,942 | ||||
Talisman Finance PLC, Series 6, Class A, 0.40%, 10/22/16 (c) | EUR | 1,971 | 2,523,765 | |||
Titan Europe PLC, Series 2007-1X, Class A, 0.77%, 1/20/17 (c) | GBP | 2,548 | 3,846,486 | |||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 6.12%, 2/15/51 (c) | USD | 2,030 | 2,248,556 | |||
WF-RBS Commercial Mortgage Trust: | ||||||
Series 2012-C8, Class B, 4.31%, 8/15/45 | 1,085 | 1,098,365 | ||||
Series 2012-C8, Class C, 5.04%, 8/15/45 (c) | 1,395 | 1,414,457 | ||||
Series 2013-C11, Class D, 4.32%, 3/15/45 (b)(c) | 1,400 | 1,203,545 | ||||
Windermere XI Cmbs PLC, Series XI-X, Class A, 0.77%, 4/24/17 (c) | GBP | 1,786 | 2,883,085 | |||
56,222,017 | ||||||
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 21 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities | Par (000) |
Value | ||||
Interest Only Commercial Mortgage-Backed Securities — 0.6% | ||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.86%, 3/15/45 (b)(c) | USD | 15,292 | $ | 1,921,552 | ||
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.42%, 11/15/45 (b)(c) | 16,810 | 2,112,017 | ||||
4,033,569 | ||||||
Total Non-Agency Mortgage-Backed Securities — 11.9% | 78,813,929 | |||||
US Government Sponsored Agency Securities | ||||||
Collateralized Mortgage Obligations — 1.0% | ||||||
Freddie Mac Mortgage-Backed Securities: | ||||||
Series 3986, Class M, REMIC, 4.50%, 9/15/41 | 2,686 | 2,904,691 | ||||
Series K032, Class A2, 3.31%, 5/25/23 (c) | 3,500 | 3,506,821 | ||||
6,411,512 | ||||||
Interest Only Collateralized Mortgage Obligations — 1.0% | ||||||
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.25%, 12/25/17 (c) | 20,923 | 2,843,833 | ||||
Freddie Mac Mortgage-Backed Securities, Class X1 (c): | ||||||
Series K707, 1.69%, 12/25/18 | 43,086 | 2,897,878 | ||||
Series K710, 1.91%, 5/25/19 | 13,360 | 1,097,354 | ||||
6,839,065 | ||||||
Mortgage-Backed Securities — 4.3% | ||||||
Fannie Mae Mortgage-Backed Securities: | ||||||
3.50%, 8/01/26 | 8,924 | 9,417,128 | ||||
5.00%, 7/01/20 - 8/01/23 | 7,372 | 7,901,119 | ||||
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 | 10,539 | 11,451,529 | ||||
28,769,776 | ||||||
Total US Government Sponsored Agency Securities — 6.3% | 42,020,353 | |||||
Other Interests (l) | Beneficial Interest (000) |
|||||
Auto Components — 0.0% | ||||||
Lear Corp. Escrow | 1,000 | 8,750 | ||||
Construction Materials — 0.0% | ||||||
USI Senior Holdings | 6 | — | ||||
Other Interests (l) | Beneficial Interest (000) |
Value | ||||
Diversified Financial Services — 0.1% | ||||||
J.G. Wentworth LLC Preferred Equity Interests (90-day lock), (Acquired 11/18/13, cost $1,177,928) (a)(m) | USD | 14 | $ | 218,241 | ||
J.G. Wentworth LLC Preferred Equity Interests (135-day lock), (Acquired 11/18/13, cost $1,177,928) (a)(m) | 14 | 218,241 | ||||
J.G. Wentworth LLC Preferred Equity Interests (180-day lock), (Acquired 11/18/13, cost $1,177,928) (a)(m) | 14 | 218,241 | ||||
654,723 | ||||||
Household Durables — 0.0% | ||||||
Berkline Benchcraft Equity LLC | 3 | — | ||||
Total Other Interests — 0.1% | 663,473 | |||||
Preferred Securities | ||||||
Capital Trusts | ||||||
Commercial Banks — 0.2% | ||||||
Wachovia Capital Trust III, 5.57% (c)(d)(h) | 1,625 | 1,512,225 | ||||
Insurance — 0.5% | ||||||
AXA SA, 6.46% (b)(c)(d)(h) | 1,625 | 1,653,437 | ||||
Genworth Holdings, Inc., 6.15%, 11/15/66 (c)(d) | 1,850 | 1,646,500 | ||||
3,299,937 | ||||||
Total Capital Trusts — 0.7% | 4,812,162 | |||||
Preferred Stocks | Shares |
|||||
Auto Components — 0.2% | ||||||
Dana Holding Corp., 4.00% (b)(f) | 8,098 | 1,379,191 | ||||
Trust Preferreds — 0.7% | ||||||
Diversified Financial Services — 0.7% | ||||||
GMAC Capital Trust I, Series 2, 8.13% (c) | 175,070 | 4,682,086 | ||||
Total Preferred Securities – 1.6% | 10,873,439 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 22 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Warrants (n) | Shares |
Value | |||
Software — 0.0% | |||||
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 3,100 | — | |||
Total Long-Term Investments (Cost — $954,217,149) — 146.1% |
$ | 970,740,325 | |||
Short-Term Securities | Shares |
Value | |||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.07% (o)(p) | 11,303,105 | $ | 11,303,105 | ||
Total Short-Term Securities (Cost — $11,303,105) — 1.7% |
11,303,105 | ||||
Options Purchased | |||||
(Cost — $44,978) — 0.0% | — | ||||
Total Investments (Cost — $965,565,232*) — 147.8% |
982,043,430 | ||||
Liabilities in Excess of Other Assets — (47.8)% | (317,772,407) | ||||
Net Assets — 100.0% | $ | 664,271,023 | |||
* | As of November 30, 2013, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
Tax cost | $ | 967,455,892 | |
Gross unrealized appreciation | $ | 34,967,808 | |
Gross unrealized depreciation | (20,380,270) | ||
Net unrealized appreciation | $ | 14,587,538 |
Notes to Schedule of Investments | ||
(a) | Non-income producing security. | |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. | |
(c) | Variable rate security. Rate shown is as of report date. | |
(d) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. | |
(e) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. | |
(f) | Convertible security. | |
(g) | Represents a zero-coupon bond. The rate shown reflects the current yield as of report date. | |
(h) | Security is perpetual in nature and has no stated maturity date. | |
(i) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. | |
(j) | When-issued security. Unsettled when-issued transactions were as follows: | |
Counterparty | Value | Unrealized Appreciation | |||||
Bank of America N.A. | $ | 1,336,777 | $ | 35,778 | |||
Barclays Capital, Inc. | $ | 241,200 | $ | 1,200 | |||
Goldman Sachs & Co. | $ | 522,600 | $ | 2,600 | |||
J.P. Morgan Securities LLC | $ | 4,182,810 | — |
(k) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
(l) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(m) | Restricted securities as to resale. As of report date the Trust held 0.1% of its net assets, with a current value of $654,723 in these securities. |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 23 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(n) | Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(o) | Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares Held at August 31, 2013 |
Net Activity |
Shares Held at November 30, 2013 |
Income | ||
BlackRock Liquidity Funds, TempFund, Institutional Class | 1,184,093 | 10,119,012 | 11,303,105 | $ | 371 |
(p) | Represents the current yield as of report date. |
Portfolio Abbreviations | ||
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: | ||
CAD | Canadian Dollar | |
DIP | Debtor-In-Possession | |
EUR | Euro | |
GBP | British Pound | |
USD | US Dollar | |
• |
Reverse repurchase agreements outstanding as of November 30, 2013 were as follows: |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest | ||
Deutsche Bank Securities, Inc. | 0.50% | 1/15/13 | Open | $ | 1,416,000 | $ | 1,422,254 |
Deutsche Bank Securities, Inc. | 0.55% | 1/15/13 | Open | 632,000 | 635,080 | ||
Deutsche Bank Securities, Inc. | 0.55% | 1/15/13 | Open | 976,000 | 980,757 | ||
Deutsche Bank Securities, Inc. | 0.55% | 1/15/13 | Open | 1,544,000 | 1,551,525 | ||
Deutsche Bank Securities, Inc. | 0.55% | 1/15/13 | Open | 289,000 | 290,408 | ||
Deutsche Bank Securities, Inc. | 0.57% | 1/15/13 | Open | 303,000 | 304,530 | ||
Deutsche Bank Securities, Inc. | 0.57% | 1/15/13 | Open | 4,654,000 | 4,677,507 | ||
Deutsche Bank Securities, Inc. | 0.58% | 1/15/13 | Open | 587,000 | 590,017 | ||
Deutsche Bank Securities, Inc. | 0.58% | 1/15/13 | Open | 1,264,000 | 1,270,496 | ||
Deutsche Bank Securities, Inc. | 0.60% | 1/15/13 | Open | 1,895,000 | 1,905,075 | ||
Deutsche Bank Securities, Inc. | 0.60% | 1/15/13 | Open | 825,000 | 829,386 | ||
Deutsche Bank Securities, Inc. | 0.63% | 1/15/13 | Open | 1,645,000 | 1,635,890 | ||
Deutsche Bank Securities, Inc. | 0.65% | 1/15/13 | Open | 790,000 | 794,550 | ||
Deutsche Bank Securities, Inc. | 0.57% | 1/17/13 | Open | 354,614 | 356,399 | ||
Deutsche Bank Securities, Inc. | 0.65% | 1/17/13 | Open | 900,900 | 906,073 | ||
Deutsche Bank Securities, Inc. | 0.50% | 1/18/13 | Open | 1,123,744 | 1,118,796 | ||
Deutsche Bank Securities, Inc. | 0.58% | 1/30/13 | Open | 915,000 | 919,496 | ||
UBS Securities LLC | 0.50% | 1/30/13 | Open | 1,862,820 | 1,870,711 | ||
UBS Securities LLC | 0.65% | 1/31/13 | Open | 547,200 | 550,204 | ||
Barclays Capital, Inc. | 0.35% | 2/7/13 | Open | 3,115,905 | 3,124,872 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 335,729 | 337,385 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 592,144 | 595,065 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 918,045 | 922,574 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 292,304 | 293,746 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 1,000,721 | 1,005,658 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 633,994 | 637,122 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 1,673,438 | 1,681,694 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 1,877,899 | 1,887,163 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 507,052 | 509,553 | ||
Barclays Capital, Inc. | 0.60% | 2/7/13 | Open | 662,469 | 665,737 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 24 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• |
Reverse repurchase agreements outstanding as of November 30, 2013 (continued): |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest | ||
UBS Securities LLC | 0.25% | 2/7/13 | Open | $ | 1,048,688 | $ | 1,050,844 |
UBS Securities LLC | 0.34% | 2/7/13 | Open | 3,334,275 | 3,343,596 | ||
UBS Securities LLC | 0.45% | 2/7/13 | Open | 866,250 | 869,455 | ||
UBS Securities LLC | 0.55% | 2/7/13 | Open | 2,196,563 | 2,206,496 | ||
UBS Securities LLC | 0.65% | 2/7/13 | Open | 356,250 | 358,154 | ||
UBS Securities LLC | 0.65% | 2/7/13 | Open | 843,275 | 847,782 | ||
Deutsche Bank Securities, Inc. | 0.58% | 2/8/13 | Open | 1,170,163 | 1,175,687 | ||
Deutsche Bank Securities, Inc. | 0.58% | 2/8/13 | Open | 483,060 | 485,364 | ||
Barclays Capital, Inc. | 0.60% | 2/15/13 | Open | 291,043 | 292,445 | ||
UBS Securities LLC | 0.65% | 2/19/13 | Open | 166,058 | 166,912 | ||
Deutsche Bank Securities, Inc. | 0.55% | 2/20/13 | Open | 484,000 | 486,100 | ||
Deutsche Bank Securities, Inc. | 0.55% | 2/20/13 | Open | 217,133 | 218,074 | ||
Deutsche Bank Securities, Inc. | 0.58% | 2/20/13 | Open | 2,512,000 | 2,523,453 | ||
Deutsche Bank Securities, Inc. | 0.55% | 2/22/13 | Open | 509,588 | 511,782 | ||
Deutsche Bank Securities, Inc. | 0.55% | 2/22/13 | Open | 509,760 | 511,956 | ||
Deutsche Bank Securities, Inc. | 0.55% | 2/22/13 | Open | 848,076 | 851,730 | ||
Deutsche Bank Securities, Inc. | 0.55% | 2/28/13 | Open | 1,280,181 | 1,285,579 | ||
Deutsche Bank Securities, Inc. | 0.55% | 2/28/13 | Open | 107,113 | 107,564 | ||
Deutsche Bank Securities, Inc. | 0.55% | 2/28/13 | Open | 1,901,900 | 1,909,920 | ||
Credit Suisse Securities (USA) LLC | 0.40% | 3/7/13 | Open | 1,503,125 | 1,507,601 | ||
UBS Securities LLC | 0.60% | 3/12/13 | Open | 3,040,295 | 3,053,672 | ||
UBS Securities LLC | 0.35% | 3/13/13 | Open | 1,560,000 | 1,563,989 | ||
UBS Securities LLC | 0.55% | 3/13/13 | Open | 395,650 | 397,240 | ||
UBS Securities LLC | 0.55% | 3/13/13 | Open | 1,222,200 | 1,227,111 | ||
Deutsche Bank Securities, Inc. | 0.55% | 3/14/13 | Open | 760,000 | 763,030 | ||
Deutsche Bank Securities, Inc. | 0.70% | 3/14/13 | Open | 1,523,693 | 1,531,426 | ||
Deutsche Bank Securities, Inc. | 0.55% | 3/19/13 | Open | 972,625 | 976,444 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 3/22/13 | Open | 1,496,075 | 1,499,769 | ||
Deutsche Bank Securities, Inc. | 0.40% | 3/27/13 | Open | 3,022,500 | 3,030,862 | ||
Deutsche Bank Securities, Inc. | 0.55% | 3/27/13 | Open | 1,464,750 | 1,470,322 | ||
Deutsche Bank Securities, Inc. | 0.55% | 3/27/13 | Open | 1,452,700 | 1,458,226 | ||
Deutsche Bank Securities, Inc. | 0.60% | 3/27/13 | Open | 1,634,000 | 1,640,754 | ||
Deutsche Bank Securities, Inc. | 0.60% | 3/27/13 | Open | 919,000 | 922,799 | ||
Deutsche Bank Securities, Inc. | 0.60% | 3/27/13 | Open | 527,000 | 529,178 | ||
Deutsche Bank Securities, Inc. | 0.60% | 3/27/13 | Open | 579,000 | 581,393 | ||
Barclays Capital, Inc. | 0.40% | 4/2/13 | Open | 3,326,900 | 3,335,846 | ||
Barclays Capital, Inc. | 0.60% | 4/2/13 | Open | 865,247 | 868,737 | ||
Barclays Capital, Inc. | 0.60% | 4/2/13 | Open | 331,500 | 332,837 | ||
Deutsche Bank Securities, Inc. | 0.55% | 4/2/13 | Open | 1,250,330 | 1,254,972 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 182,025 | 182,451 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 243,800 | 244,371 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 5,701,069 | 5,714,427 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 677,875 | 679,463 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 1,034,800 | 1,037,225 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 1,233,600 | 1,236,490 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 1,277,250 | 1,280,243 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 2,861,250 | 2,867,954 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 3,119,100 | 3,126,408 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 2,958,750 | 2,965,683 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 2,560,000 | 2,565,998 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 3,213,750 | 3,221,280 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 25 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• |
Reverse repurchase agreements outstanding as of November 30, 2013 (continued): |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | $ | 3,091,969 | $ | 3,099,214 |
Credit Suisse Securities (USA) LLC | 0.35% | 4/3/13 | Open | 3,695,000 | 3,703,658 | ||
Deutsche Bank Securities, Inc. | 0.58% | 4/3/13 | Open | 1,482,188 | 1,487,967 | ||
Deutsche Bank Securities, Inc. | 0.58% | 4/3/13 | Open | 1,624,500 | 1,630,808 | ||
UBS Securities LLC | 0.55% | 4/8/13 | Open | 2,327,500 | 2,335,856 | ||
Deutsche Bank Securities, Inc. | 0.55% | 4/10/13 | Open | 846,000 | 849,037 | ||
Deutsche Bank Securities, Inc. | 0.55% | 4/10/13 | Open | 536,000 | 537,924 | ||
Deutsche Bank Securities, Inc. | 0.55% | 4/10/13 | Open | 489,000 | 490,756 | ||
Deutsche Bank Securities, Inc. | 0.55% | 4/12/13 | Open | 2,054,000 | 2,061,312 | ||
Deutsche Bank Securities, Inc. | 0.25% | 4/17/13 | Open | 690,206 | 689,137 | ||
Credit Suisse Securities (USA) LLC | 0.35% | 4/25/13 | Open | 336,683 | 337,402 | ||
Barclays Capital, Inc. | 0.60% | 5/7/13 | Open | 225,153 | 225,933 | ||
Barclays Capital, Inc. | 0.40% | 5/10/13 | Open | 2,061,011 | 2,065,706 | ||
Deutsche Bank Securities, Inc. | 0.55% | 5/14/13 | Open | 789,000 | 791,423 | ||
Credit Suisse Securities (USA) LLC | 0.75% | 5/23/13 | Open | 238,810 | 239,765 | ||
Deutsche Bank Securities, Inc. | 0.55% | 5/28/13 | Open | 1,037,513 | 1,040,477 | ||
Credit Suisse Securities (USA) LLC | 0.40% | 5/30/13 | Open | 720,960 | 722,442 | ||
Credit Suisse Securities (USA) LLC | 0.40% | 5/30/13 | Open | 2,333,625 | 2,338,422 | ||
Deutsche Bank Securities, Inc. | 0.55% | 5/30/13 | Open | 851,000 | 853,405 | ||
Deutsche Bank Securities, Inc. | 0.55% | 5/30/13 | Open | 1,511,000 | 1,515,271 | ||
Deutsche Bank Securities, Inc. | 0.55% | 5/30/13 | Open | 2,137,000 | 2,143,040 | ||
Deutsche Bank Securities, Inc. | 0.55% | 5/31/13 | Open | 586,181 | 587,829 | ||
UBS Securities LLC | 0.55% | 6/3/13 | Open | 808,520 | 810,756 | ||
UBS Securities LLC | 0.55% | 6/12/13 | Open | 864,648 | 866,906 | ||
Deutsche Bank Securities, Inc. | 0.55% | 6/13/13 | Open | 923,000 | 925,411 | ||
Deutsche Bank Securities, Inc. | 0.55% | 6/13/13 | Open | 1,440,000 | 1,443,740 | ||
UBS Securities LLC | 0.34% | 6/20/13 | Open | 3,123,313 | 3,128,121 | ||
UBS Securities LLC | 0.65% | 6/20/13 | Open | 743,850 | 746,039 | ||
Barclays Capital, Inc. | 0.44% | 6/21/13 | Open | 1,109,299 | 1,111,509 | ||
Barclays Capital, Inc. | 0.60% | 6/24/13 | Open | 1,731,221 | 1,735,838 | ||
Barclays Capital, Inc. | 0.60% | 6/24/13 | Open | 432,962 | 434,117 | ||
Barclays Capital, Inc. | 0.60% | 6/24/13 | Open | 488,876 | 490,180 | ||
Barclays Capital, Inc. | 0.60% | 6/24/13 | Open | 979,729 | 982,342 | ||
Barclays Capital, Inc. | 0.60% | 6/24/13 | Open | 2,180,349 | 2,186,163 | ||
Deutsche Bank Securities, Inc. | 0.55% | 6/24/13 | Open | 803,000 | 804,963 | ||
Deutsche Bank Securities, Inc. | 0.55% | 6/24/13 | Open | 1,629,700 | 1,633,684 | ||
Barclays Capital, Inc. | 0.60% | 6/25/13 | Open | 434,031 | 435,181 | ||
Deutsche Bank Securities, Inc. | 0.57% | 6/26/13 | Open | 504,000 | 505,253 | ||
Deutsche Bank Securities, Inc. | 0.58% | 6/27/13 | Open | 698,000 | 699,754 | ||
Deutsche Bank Securities, Inc. | 0.55% | 7/18/13 | Open | 871,000 | 872,810 | ||
Deutsche Bank Securities, Inc. | 0.55% | 7/30/13 | Open | 1,095,000 | 1,097,074 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/12/13 | Open | 2,958,000 | 2,963,290 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 208,000 | 208,362 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 1,295,000 | 1,297,253 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 450,000 | 450,783 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 1,288,000 | 1,290,241 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 1,009,000 | 1,010,756 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 137,000 | 137,238 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 198,000 | 198,345 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 311,000 | 311,541 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 1,241,000 | 1,243,159 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 26 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• |
Reverse repurchase agreements outstanding as of November 30, 2013 (continued): |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | $ | 3,135,000 | $ | 3,140,455 |
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 1,107,000 | 1,108,926 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 780,000 | 781,357 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 1,169,000 | 1,171,034 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 948,000 | 949,650 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/13/13 | Open | 356,000 | 356,619 | ||
Deutsche Bank Securities, Inc. | 0.58% | 8/14/13 | Open | 703,000 | 704,235 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/11/13 | Open | 610,000 | 610,796 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/16/13 | Open | 2,124,000 | 2,126,601 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/16/13 | Open | 1,480,000 | 1,481,812 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/16/13 | Open | 1,524,000 | 1,525,866 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/16/13 | Open | 1,562,000 | 1,563,913 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/16/13 | Open | 2,142,000 | 2,144,623 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/16/13 | Open | 1,309,000 | 1,310,603 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/16/13 | Open | 1,523,000 | 1,524,865 | ||
Deutsche Bank Securities, Inc. | 0.58% | 9/17/13 | Open | 163,000 | 163,197 | ||
BNP Paribas Securities Corp. | 0.34% | 9/18/13 | Open | 13,065,000 | 13,074,131 | ||
Credit Suisse Securities (USA) LLC | 0.75% | 9/23/13 | Open | 389,825 | 390,385 | ||
Deutsche Bank Securities, Inc. | 0.55% | 9/26/13 | Open | 397,000 | 397,400 | ||
Barclays Capital, Inc. | 0.60% | 9/27/13 | Open | 1,189,125 | 1,190,413 | ||
Barclays Capital, Inc. | 0.60% | 9/27/13 | Open | 724,680 | 725,465 | ||
Deutsche Bank Securities, Inc. | 0.60% | 9/27/13 | Open | 2,219,000 | 2,221,404 | ||
Deutsche Bank Securities, Inc. | 0.60% | 9/27/13 | Open | 2,954,000 | 2,957,200 | ||
Deutsche Bank Securities, Inc. | 0.60% | 9/27/13 | Open | 1,035,000 | 1,036,121 | ||
Deutsche Bank Securities, Inc. | 0.60% | 9/27/13 | Open | 882,000 | 882,955 | ||
Credit Suisse Securities (USA) LLC | 0.55% | 10/9/13 | Open | 6,111,388 | 6,116,243 | ||
Deutsche Bank Securities, Inc. | 0.56% | 10/11/13 | Open | 1,016,000 | 1,016,806 | ||
Barclays Capital, Inc. | 0.60% | 10/15/13 | Open | 628,340 | 628,832 | ||
Barclays Capital, Inc. | 0.60% | 10/15/13 | Open | 893,525 | 894,225 | ||
Barclays Capital, Inc. | 0.60% | 10/15/13 | Open | 919,755 | 920,475 | ||
Barclays Capital, Inc. | 0.60% | 10/15/13 | Open | 497,888 | 498,277 | ||
Barclays Capital, Inc. | 0.60% | 10/16/13 | Open | 803,938 | 804,553 | ||
Deutsche Bank Securities, Inc. | 0.58% | 10/16/13 | Open | 546,563 | 546,967 | ||
Deutsche Bank Securities, Inc. | 0.58% | 10/16/13 | Open | 1,207,500 | 1,208,395 | ||
Deutsche Bank Securities, Inc. | 0.58% | 10/16/13 | Open | 934,313 | 935,004 | ||
Barclays Capital, Inc. | 0.60% | 10/17/13 | Open | 728,013 | 728,558 | ||
Barclays Capital, Inc. | 0.60% | 10/17/13 | Open | 682,594 | 683,106 | ||
Barclays Capital, Inc. | 0.60% | 10/17/13 | Open | 875,600 | 876,257 | ||
Barclays Capital, Inc. | 0.60% | 10/17/13 | Open | 1,215,288 | 1,216,199 | ||
Deutsche Bank Securities, Inc. | 0.58% | 10/17/13 | Open | 770,000 | 770,558 | ||
Barclays Capital, Inc. | 0.60% | 10/21/13 | 12/31/22 | 676,000 | 676,451 | ||
Deutsche Bank Securities, Inc. | 0.59% | 10/21/13 | Open | 791,000 | 791,531 | ||
Deutsche Bank Securities, Inc. | 0.59% | 10/21/13 | Open | 389,000 | 389,261 | ||
Deutsche Bank Securities, Inc. | 0.59% | 10/21/13 | Open | 803,000 | 803,540 | ||
Deutsche Bank Securities, Inc. | 0.59% | 10/21/13 | Open | 395,000 | 395,265 | ||
UBS Securities LLC | 0.50% | 10/21/13 | Open | 983,281 | 982,735 | ||
UBS Securities LLC | 0.65% | 10/21/13 | Open | 1,601,775 | 1,602,932 | ||
UBS Securities LLC | 0.65% | 10/21/13 | Open | 588,263 | 588,687 | ||
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | 867,913 | 868,491 | ||
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | 845,434 | 845,998 | ||
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | 1,023,231 | 1,023,913 |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 27 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• |
Reverse repurchase agreements outstanding as of November 30, 2013 (concluded): |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest | ||
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | $ | 755,625 | $ | 756,129 |
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | 851,218 | 851,784 | ||
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | 788,400 | 788,926 | ||
Deutsche Bank Securities, Inc. | 0.55% | 10/22/13 | Open | 2,441,000 | 2,442,454 | ||
Deutsche Bank Securities, Inc. | 0.58% | 10/22/13 | Open | 1,964,000 | 1,965,234 | ||
Barclays Capital, Inc. | 0.60% | 10/25/13 | Open | 651,000 | 651,401 | ||
Deutsche Bank Securities, Inc. | 0.59% | 10/25/13 | Open | 707,445 | 707,874 | ||
Deutsche Bank Securities, Inc. | 0.59% | 10/25/13 | Open | 835,450 | 835,957 | ||
BNP Paribas Securities Corp. | 0.10% | 10/30/13 | Open | 588,000 | 588,051 | ||
Deutsche Bank Securities, Inc. | 0.55% | 10/30/13 | Open | 1,124,000 | 1,124,550 | ||
Credit Suisse Securities (USA) LLC | 0.16% | 11/15/13 | 12/17/13 | 27,765,741 | 27,767,345 | ||
Barclays Capital, Inc. | 0.60% | 11/15/13 | Open | 2,067,975 | 2,068,526 | ||
Barclays Capital, Inc. | 0.60% | 11/15/13 | Open | 1,356,788 | 1,357,150 | ||
Barclays Capital, Inc. | 0.60% | 11/15/13 | Open | 1,291,249 | 1,291,593 | ||
Barclays Capital, Inc. | 0.60% | 11/15/13 | Open | 1,283,400 | 1,283,742 | ||
Deutsche Bank Securities, Inc. | 0.58% | 11/15/13 | Open | 2,512,000 | 2,512,648 | ||
Deutsche Bank Securities, Inc. | 0.59% | 11/15/13 | Open | 424,000 | 424,111 | ||
Deutsche Bank Securities, Inc. | 0.59% | 11/15/13 | Open | 1,601,000 | 1,601,420 | ||
Barclays Capital, Inc. | 0.55% | 11/18/13 | Open | 1,313,488 | 1,313,749 | ||
Deutsche Bank Securities, Inc. | 0.58% | 11/18/13 | Open | 968,000 | 968,203 | ||
Barclays Capital, Inc. | 0.60% | 11/22/13 | Open | 1,167,155 | 1,167,330 | ||
Deutsche Bank Securities, Inc. | 0.59% | 11/25/13 | Open | 2,083,936 | 2,084,155 | ||
Deutsche Bank Securities, Inc. | 0.35% | 11/27/13 | Open | 1,585,000 | 1,585,031 | ||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 1,227,000 | 1,227,041 | ||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 646,000 | 646,022 | ||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 1,538,000 | 1,538,051 | ||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 2,602,000 | 2,602,087 | ||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 834,000 | 834,028 | ||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 708,000 | 708,024 | ||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 772,000 | 772,026 | ||
Total | $ | 300,527,112 | $ | 301,126,337 |
1 | Certain agreements have no stated maturity and can be terminated by either party at any time. |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 28 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• | Financial futures contracts as of November 30, 2013 were as follows: |
Contracts Purchased/ Sold |
Issue | Exchange | Expiration | Notional Value |
Unrealized Appreciation (Depreciation) | |||
6 | 90-Day Euro-Dollar | Chicago Mercantile | December 2013 | $ | 1,496,438 | $ | 35,871 | |
6 | 90-Day Euro-Dollar | Chicago Mercantile | March 2014 | $ | 1,496,175 | 38,908 | ||
(97) | 10-Year US Treasury Note | Chicago Board of Trade | March 2014 | $ | 12,161,375 | (31,549) | ||
(225) | 5-Year US Treasury Note | Chicago Board of Trade | March 2014 | $ | 27,207,422 | (24,456) | ||
Total | $ | 18,774 |
• | Foreign currency exchange contracts as of November 30, 2013 were as follows: |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation/ (Depreciation) | ||||
USD | 33,469,020 | EUR | 24,785,000 | Barclays Bank PLC | 1/22/14 | $ | (209,580) | |
GBP | 2,130,000 | USD | 3,463,934 | Barclays Bank PLC | 1/23/14 | 20,103 | ||
GBP | 3,533,000 | USD | 5,609,415 | State Street Bank and Trust Co. | 1/23/14 | 169,506 | ||
USD | 1,415,935 | CAD | 1,460,000 | Westpac Banking Corp. | 1/23/14 | 43,644 | ||
USD | 51,876,706 | GBP | 32,142,000 | Barclays Bank PLC | 1/23/14 | (697,900) | ||
USD | 1,306,245 | GBP | 810,000 | Citibank N.A. | 1/23/14 | (18,670) | ||
USD | 1,937,105 | GBP | 1,200,000 | Deutsche Bank AG | 1/23/14 | (25,733) | ||
Total | $ | (718,630) |
• | Over-the-counter options purchased as of November 30, 2013 were as follows: |
Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Contracts | Notional Amount (000) |
Market Value | ||
Marsico Parent Superholdco LLC | Goldman Sachs & Co. | Call | USD | 942.86 | 12/21/19 | 46 | — | — |
• | Over-the-counter credit default swaps – buy protection outstanding as of November 30, 2013 were as follows: |
Issuer | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Market Value |
Premiums Received |
Unrealized Depreciation | ||||
Australia & New Zealand Banking Group Ltd. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | $ | (7) | $ | 12 | $ | (19) |
Westpac Banking Corp. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | (7) | 12 | (19) | |||
Total | $ | (14) | $ | 24 | $ | (38) |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 29 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• | Over-the-counter credit default swaps – sold protection outstanding as of November 30, 2013 were as follows: |
Issuer | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 | Notional Amount (000)2 |
Market Value |
Premiums Received |
Unrealized Appreciation (Depreciation) | |||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 9/20/15 | CCC- | USD | 470 | $ | (97,963) | $ | (97,278) | $ | (685) | |||
Caesars Entertainment Operating Co., Inc. | 5.00% | J.P. Morgan Securities LLC | 12/20/15 | CCC- | USD | 626 | (156,830) | (160,818) | 3,988 | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citibank N.A. | 12/20/15 | CCC- | USD | 357 | (89,566) | (81,960) | (7,606) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | J.P. Morgan Securities LLC | 12/20/15 | CCC- | USD | 145 | (36,339) | (32,302) | (4,037) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citibank N.A. | 12/20/15 | CCC- | USD | 172 | (43,119) | (35,359) | (7,760) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | UBS AG | 12/20/15 | CCC- | USD | 840 | (210,581) | (162,290) | (48,291) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 12/20/15 | CCC- | USD | 382 | (95,884) | (48,748) | (47,136) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 247 | (71,527) | (53,404) | (18,123) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 247 | (71,527) | (53,404) | (18,123) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 739 | (214,132) | (152,384) | (61,748) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 165 | (47,877) | (32,400) | (15,477) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/16 | CCC- | USD | 75 | (21,622) | (14,356) | (7,266) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | J.P. Morgan Securities LLC | 3/20/16 | CCC- | USD | 82 | (23,805) | (15,212) | (8,593) |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 30 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• | Over-the-counter credit default swaps – sold protection outstanding as of November 30, 2013 were as follows (continued): |
Issuer | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 | Notional Amount (000)2 |
Market Value |
Premiums Received |
Unrealized Appreciation (Depreciation) | |||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/16 | CCC- | USD | 72 | $ | (20,901) | $ | (12,320) | $ | (8,581) | |||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citibank N.A. | 3/20/16 | CCC- | USD | 79 | (22,737) | (13,694) | (9,043) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 634 | (183,612) | (100,336) | (83,276) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citibank N.A. | 3/20/16 | CCC- | USD | 135 | (38,991) | (21,643) | (17,348) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 6/20/16 | CCC- | USD | 499 | (164,517) | (114,196) | (50,321) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 6/20/16 | CCC- | USD | 970 | (319,614) | (214,857) | (104,757) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 6/20/16 | CCC- | USD | 440 | (144,980) | (77,231) | (67,749) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | J.P. Morgan Securities LLC | 6/20/16 | CCC- | USD | 412 | (135,634) | (76,290) | (59,344) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citibank N.A. | 9/20/16 | CCC- | USD | 330 | (122,091) | (104,269) | (17,822) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 9/20/16 | CCC- | USD | 1,710 | (632,498) | (358,532) | (273,966) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/17 | CCC- | USD | 453 | (195,504) | (116,490) | (79,014) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/17 | CCC- | USD | 72 | (31,179) | (19,468) | (11,711) | ||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/17 | CCC- | USD | 147 | (63,483) | (40,230) | (23,253) |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 31 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• | Over-the-counter credit default swaps – sold protection outstanding as of November 30, 2013 were as follows (concluded): |
Issuer | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Market Value |
Premiums Received |
Unrealized Appreciation (Depreciation) | |||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Deutsche Bank AG | 6/20/17 | CCC- | USD | 635 | $ | (288,505) | $ | (175,051) | $ | (113,454) | |||
Total | $ | (3,545,018) | $ | (2,384,522) | $ | (1,160,496) |
1 | Using Standard & Poor’s rating of the issuer. |
2 | The maximum potential amount the Trust may pay should a negative event take place as defined under the terms of the agreement. |
• | Fair Value
Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These
inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial
reporting purposes as follows: | |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access | |
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust's own assumptions used in determining the fair value of investments and derivative financial instruments) | |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust's policy regarding valuation of investments and derivative financial instruments, please refer to the Trust's most recent financial statements as contained in its annual report. |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 32 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
The following tables summarize the Trust's investments and derivative financial instruments categorized in the disclosure hierarchy as of November 30, 2013: |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Long-Term Investments: | ||||||||||||
Common Stocks | $ | 66,908 | $ | 1,494,682 | $ | 6,688,533 | $ | 8,250,123 | ||||
Asset-Backed Securities | — | 22,424,279 | 23,487,168 | 45,911,447 | ||||||||
Corporate Bonds | — | 417,040,067 | 7,928,375 | 424,968,442 | ||||||||
Floating Rate Loan Interests | — | 323,823,114 | 31,923,101 | 355,746,215 | ||||||||
Foreign Agency Obligations | — | 3,492,904 | — | 3,492,904 | ||||||||
Non-Agency Mortgage-Backed Securities | — | 78,813,929 | — | 78,813,929 | ||||||||
US Government Sponsored Agency Securities | — | 42,020,353 | — | 42,020,353 | ||||||||
Other Interests | — | — | 663,473 | 663,473 | ||||||||
Preferred Securities | — | 10,873,439 | — | 10,873,439 | ||||||||
Short-Term Securities | 11,303,105 | — | — | 11,303,105 | ||||||||
Unfunded Loan Commitments | — | 716 | — | 716 | ||||||||
Liabilities: | ||||||||||||
Unfunded Loan Commitments | — | (155) | — | (155) | ||||||||
Total | $ | 11,370,013 | $ | 899,983,328 | $ | 70,690,650 | $ | 982,043,991 |
Level 1 | Level 2 | Level 3 | Total | ||||||||
Derivative Financial Instruments1 | |||||||||||
Assets: | |||||||||||
Interest rate contracts | $ | 74,779 | — | — | $ | 74,779 | |||||
Foreign currency exchange contracts |
$ | 233,253 | — | 233,253 | |||||||
Credit contracts | — | 3,988 | — | ||||||||
Liabilities: | |||||||||||
Interest rate contracts | (56,005) | — | — | (56,005) | |||||||
Foreign currency exchange contracts |
— | (951,883) | — | (951,883) | |||||||
Credit contracts | — | (1,164,522) | — | (1,164,522) | |||||||
Total | $ | 18,774 | $ | (1,879,164) | — | $ | (1,860,390) |
1 | Derivative financial instruments are swaps, financial futures contracts and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 33 |
Consolidated Schedule of Investments (concluded) | BlackRock Limited Duration Income Trust (BLW) |
Certain of the Trust's assets and/or liabilities are held at carrying amount or face value including accrued interest, which approximates fair value for financial reporting purposes. As of November 30, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
Level 1 | Level 2 | Level 3 | Total | ||||||||
Assets: | |||||||||||
Cash | $ | 75,872 | — | — | $ | 75,872 | |||||
Cash pledged as collateral for over-the-counter swaps | 1,170,000 | — | — | 1,170,000 | |||||||
Cash pledged as collateral for reverse repurchase agreements | 2,350,000 | — | — | 2,350,000 | |||||||
Cash pledged for financial futures contracts | 383,500 | — | — | 383,500 | |||||||
Foreign currency at value | 411,230 | — | — | 411,230 | |||||||
Liabilities: | |||||||||||
Reverse repurchase agreements including accrued interest | — | $ | (301,126,337) | — | (301,126,337) | ||||||
Total | $ | 4,390,602 | $ | (301,126,337) | — | $ | (296,735,735) |
There were no transfers between Level 1 and Level 2 during the period ended November 30, 2013. |
The Trust's investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.
|
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
Common Stocks | Asset-Backed Securities | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Total | ||||||||||||||||||
Assets: | |||||||||||||||||||||||
Opening Balance, as of August 31, 2013 | $ | 3,050,139 | $ | 26,050,547 | $ | 7,930,102 | $ | 42,689,763 | $ | 537,766 | $ | 80,258,317 | |||||||||||
Transfers into Level 31 | 3,425,957 | — | — | 11,369,704 | — | 14,795,661 | |||||||||||||||||
Transfers out of Level 32 | — | — | — | (23,752,930 | ) | — | (23,752,930 | ) | |||||||||||||||
Accrued discounts/premiums | — | (324,161 | ) | — | 15,732 | — | (308,429 | ) | |||||||||||||||
Net realized gain (loss) | 1,950 | 71,807 | — | 43,425 | — | 117,182 | |||||||||||||||||
Net change in unrealized appreciation/depreciation3 | 378,108 | 359,946 | (1,727 | ) | 74,796 | 254,722 | 1,065,845 | ||||||||||||||||
Purchases | — | 3,675,879 | — | 6,456,199 | 2,908,766 | 13,040,844 | |||||||||||||||||
Sales | (167,621 | ) | (6,346,850 | ) | — | (4,973,588 | ) | (3,037,781 | ) | (14,525,840 | ) | ||||||||||||
Closing Balance, as of November 30, 2013 | $ | 6,688,533 | $ | 23,487,168 | $ | 7,928,375 | $ | 31,923,101 | $ | 663,473 | $ | 70,690,650 |
1 | As of August 31, 2013, the Trust used observable inputs in determining the value of certain investments. As of November 30, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $14,795,661 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of November 30, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $23,752,930 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | The change in unrealized appreciation/depreciation on investments still held as of November 30, 2013 was $(1,383,165). |
BLACKROCK LIMITED DURATION INCOME TRUST | NOVEMBER 30, 2013 | 34 |
Item 2 – | Controls and Procedures | |
2(a) – | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the ″1940 Act″)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. | |
2(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 registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. | |
Item 3 – | Exhibits | |
Certifications – Attached hereto | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. | ||
BlackRock Limited Duration Income Trust | ||
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Limited Duration Income Trust | ||
Date: January 24, 2014 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Limited Duration Income Trust | ||
Date: January 24, 2014 | ||
By: | /s/ Neal J. Andrews | |
Neal J. Andrews | ||
Chief Financial Officer (principal financial officer) of | ||
BlackRock Limited Duration Income Trust | ||
Date: January 24, 2014 |